From c68038dfc894d33c042afa2bbe83baf6893826e8 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Sun, 2 Oct 2016 09:26:30 +0200
Subject: [PATCH] imcforecast.m: make sure qz_criterium is properly set

---
 matlab/dynare_estimation_init.m    | 24 +------------
 matlab/imcforecast.m               | 15 +++++---
 matlab/select_qz_criterium_value.m | 56 ++++++++++++++++++++++++++++++
 3 files changed, 68 insertions(+), 27 deletions(-)
 create mode 100644 matlab/select_qz_criterium_value.m

diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index 2d6d4d65a..e9936d75d 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -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)
diff --git a/matlab/imcforecast.m b/matlab/imcforecast.m
index 038da4952..99ee00219 100644
--- a/matlab/imcforecast.m
+++ b/matlab/imcforecast.m
@@ -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');
\ No newline at end of file
diff --git a/matlab/select_qz_criterium_value.m b/matlab/select_qz_criterium_value.m
new file mode 100644
index 000000000..09282747e
--- /dev/null
+++ b/matlab/select_qz_criterium_value.m
@@ -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