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imcforecast.m: make sure qz_criterium is properly set

time-shift
Johannes Pfeifer 2016-10-02 09:26:30 +02:00
parent f553f893c6
commit c68038dfc8
3 changed files with 68 additions and 27 deletions
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24
matlab/dynare_estimation_init.m
View File

@ -123,29 +123,7 @@ if isequal(options_.diffuse_filter,1) || (options_.kalman_algo>2)
end
end
% If options_.lik_init == 1
% set by default options_.qz_criterium to 1-1e-6
% and check options_.qz_criterium < 1-eps if options_.lik_init == 1
% Else
% set by default options_.qz_criterium to 1+1e-6
if isequal(options_.lik_init,1)
if isempty(options_.qz_criterium)
options_.qz_criterium = 1-1e-6;
elseif options_.qz_criterium > 1-eps
error(['Estimation: option qz_criterium is too large for estimating ' ...
'a stationary model. If your model contains unit roots, use ' ...
'option diffuse_filter'])
end
else
if isempty(options_.qz_criterium)
options_.qz_criterium = 1+1e-6;
else
if options_.qz_criterium <= 1;
fprintf('\ndynare_estimation_init:: diffuse filter is incompatible with a qz_criterium<=1. Resetting it to 1+1e-6.\n')
options_.qz_criterium = 1+1e-6;
end
end
end
options_=select_qz_criterium_value(options_);
% Set options related to filtered variables.
if ~isequal(options_.filtered_vars,0) && isempty(options_.filter_step_ahead)

15
matlab/imcforecast.m
View File

@ -119,6 +119,10 @@ if estimated_model
data_index = dataset_info.missing.aindex;
gend = dataset_.nobs;
missing_value = dataset_info.missing.state;
%store qz_criterium
qz_criterium_old=options_.qz_criterium;
options_=select_qz_criterium_value(options_);
[atT,innov,measurement_error,filtered_state_vector,ys,trend_coeff,aK,T,R,P,PK,decomp,trend_addition] = DsgeSmoother(xparam,gend,data,data_index,missing_value);
%get constant part
if options_.noconstant
@ -146,16 +150,16 @@ if estimated_model
trend = constant(oo_.dr.order_var,:);
InitState(:,1) = atT(:,end);
else
qz_criterium_old=options_.qz_criterium;
if isempty(options_.qz_criterium)
options_.qz_criterium = 1+1e-6;
end
graph_title='Calibration';
if ~isfield(oo_.dr,'kstate')
error('You need to call stoch_simul before conditional_forecast')
end
end
if isempty(options_.qz_criterium)
options_.qz_criterium = 1+1e-6;
end
[T,R,ys,info,M_,options_,oo_] = dynare_resolve(M_,options_,oo_);
if ~isdiagonal(M_.Sigma_e)
@ -273,4 +277,7 @@ end
forecasts.graph.title=graph_title;
forecasts.graph.fname=M_.fname;
%reset qz_criterium
options_.qz_criterium=qz_criterium_old;
save('conditional_forecasts.mat','forecasts');

56
matlab/select_qz_criterium_value.m Normal file
View File

@ -0,0 +1,56 @@
function options_=select_qz_criterium_value(options_)
% function options_=select_qz_criterium_value(options_)
% set the value of options_.qz_criterium depending on the Kalman filter used
%
% INPUTS
% options_: Dynare options structure
%
% OUTPUTS
% options_: Dynare options structure
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2016 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
% If options_.lik_init == 1
% set by default options_.qz_criterium to 1-1e-6
% and check options_.qz_criterium < 1-eps if options_.lik_init == 1
% Else
% set by default options_.qz_criterium to 1+1e-6
stack = dbstack;
if isequal(options_.lik_init,1)
if isempty(options_.qz_criterium)
options_.qz_criterium = 1-1e-6;
elseif options_.qz_criterium > 1-eps
error([stack(2).file ': option qz_criterium is too large for estimating/smoothing ' ...
'a stationary model. If your model contains unit roots, use ' ...
'option diffuse_filter'])
end
else
if isempty(options_.qz_criterium)
options_.qz_criterium = 1+1e-6;
else
if options_.qz_criterium <= 1
fprintf('\n%s:: diffuse filter is incompatible with a qz_criterium<=1. Resetting it to 1+1e-6.\n',stack(2).file)
options_.qz_criterium = 1+1e-6;
end
end
end