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OccBin: improve consistency - Make name of opts_simul subfield homogeneous for likelihood computation and smoother - fill the new field opts_regime with init_binding_indicator init_regime_history, to avoid possible conflics with simulations done in realtime filtering steps - smoother: use init_binding_indicator and init_regime_history options set in options_.occbin.smoother

covariance-quadratic-approximation
Johannes Pfeifer 2023-12-18 14:03:52 +01:00
parent ac346ef83d
commit d7ae0d0039
5 changed files with 26 additions and 28 deletions
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34
matlab/+occbin/DSGE_smoother.m
View File

@ -119,9 +119,9 @@ opts_simul.piecewise_only = options_.occbin.smoother.piecewise_only;
occbin_options = struct();
occbin_options.first_period_occbin_update = options_.occbin.smoother.first_period_occbin_update;
occbin_options.opts_regime = opts_simul; % this builds the opts_simul options field needed by occbin.solver
occbin_options.opts_regime.binding_indicator = options_.occbin.likelihood.init_binding_indicator;
occbin_options.opts_regime.regime_history=options_.occbin.likelihood.init_regime_history;
occbin_options.opts_simul = opts_simul; % this builds the opts_simul options field needed by occbin.solver
occbin_options.opts_regime.binding_indicator = options_.occbin.smoother.init_binding_indicator;
occbin_options.opts_regime.regime_history=options_.occbin.smoother.init_regime_history;
error_indicator=false;
try
@ -133,7 +133,7 @@ catch ME
for iter = 1:numel(ME.stack)
ME.stack(iter)
end
end
end
if error_indicator || isempty(alphahat0)
etahat= oo_.occbin.linear_smoother.etahat;
alphahat0= oo_.occbin.linear_smoother.alphahat0;
@ -299,13 +299,13 @@ while is_changed && maxiter>iter && ~is_periodic
eee(:,k) = eig(TT(:,:,k));
end
if options_.debug
err_eig(iter-1) = max(max(abs(sort(eee)-sort(sto_eee))));
err_alphahat(iter-1) = max(max(max(abs(alphahat-sto_alphahat))));
err_etahat(iter-1) = max(max(max(abs(etahat-sto_etahat{iter-1}))));
err_CC(iter-1) = max(max(max(abs(CC-sto_CC))));
err_RR(iter-1) = max(max(max(abs(RR-sto_RR))));
err_TT(iter-1) = max(max(max(abs(TT-sto_TT))));
end
err_eig(iter-1) = max(max(abs(sort(eee)-sort(sto_eee))));
err_alphahat(iter-1) = max(max(max(abs(alphahat-sto_alphahat))));
err_etahat(iter-1) = max(max(max(abs(etahat-sto_etahat{iter-1}))));
err_CC(iter-1) = max(max(max(abs(CC-sto_CC))));
err_RR(iter-1) = max(max(max(abs(RR-sto_RR))));
err_TT(iter-1) = max(max(max(abs(TT-sto_TT))));
end
end
if occbin_smoother_debug || is_periodic
@ -483,15 +483,15 @@ if (~is_changed || occbin_smoother_debug) && nargin==12
fprintf(fidTeX,'\\label{Fig:smoothedshocks_occbin:%s}\n',int2str(ifig));
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
end
end
end
end
end
if mod(j1,9)~=0 && j==M_.exo_nbr
annotation('textbox', [0.1,0,0.35,0.05],'String', 'Linear','Color','Blue','horizontalalignment','center','interpreter','none');
annotation('textbox', [0.55,0,0.35,0.05],'String', 'Piecewise','Color','Red','horizontalalignment','center','interpreter','none');
dyn_saveas(hh_fig,[GraphDirectoryName filesep M_.fname,'_smoothedshocks_occbin',int2str(ifig)],options_.nodisplay,options_.graph_format);
if mod(j1,9)~=0 && j==M_.exo_nbr
annotation('textbox', [0.1,0,0.35,0.05],'String', 'Linear','Color','Blue','horizontalalignment','center','interpreter','none');
annotation('textbox', [0.55,0,0.35,0.05],'String', 'Piecewise','Color','Red','horizontalalignment','center','interpreter','none');
dyn_saveas(hh_fig,[GraphDirectoryName filesep M_.fname,'_smoothedshocks_occbin',int2str(ifig)],options_.nodisplay,options_.graph_format);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
% TeX eps loader file
fprintf(fidTeX,'\\begin{figure}[H]\n');
@ -505,6 +505,6 @@ if (~is_changed || occbin_smoother_debug) && nargin==12
end
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fclose(fidTeX);
end
end
end
end

4
matlab/+occbin/kalman_update_algo_3.m
View File

@ -85,7 +85,7 @@ if isempty(nk)
end
nk=max(nk,1);
opts_simul = occbin_options.opts_regime;
opts_simul = occbin_options.opts_simul;
options_.occbin.simul=opts_simul;
base_regime = struct();
if M_.occbin.constraint_nbr==1
@ -383,4 +383,4 @@ while t > 1
ri = T'*ri; % KD (2003), eq. (23), equation for r_{t-1,p_{t-1}}
end
end
end

6
matlab/estimation/dsge_likelihood.m
View File

@ -906,7 +906,5 @@ occbin_options.opts_simul.restrict_state_space = options_.occbin.likelihood.rest
occbin_options.opts_simul.full_output = options_.occbin.likelihood.full_output;
occbin_options.opts_simul.piecewise_only = options_.occbin.likelihood.piecewise_only;
if ~isempty(options_.occbin.smoother.init_binding_indicator)
occbin_options.opts_simul.init_binding_indicator = options_.occbin.likelihood.init_binding_indicator;
occbin_options.opts_simul.init_regime_history=options_.occbin.likelihood.init_regime_history;
end
occbin_options.opts_regime.init_binding_indicator = options_.occbin.likelihood.init_binding_indicator;
occbin_options.opts_regime.init_regime_history=options_.occbin.likelihood.init_regime_history;

4
matlab/kalman/likelihood/missing_observations_kalman_filter.m
View File

@ -109,8 +109,8 @@ if occbin_.status
M_=occbin_.info{6};
occbin_options=occbin_.info{7};
occbin_options.opts_simul.SHOCKS = [];
opts_regime.regime_history = occbin_options.opts_simul.init_regime;
opts_regime.binding_indicator = occbin_options.opts_simul.init_binding_indicator;
opts_regime.regime_history = occbin_options.opts_regime.init_regime_history;
opts_regime.binding_indicator = occbin_options.opts_regime.init_binding_indicator;
if t>1
first_period_occbin_update = max(t+1,options_.occbin.likelihood.first_period_occbin_update);
else

6
matlab/kalman/missing_DiffuseKalmanSmootherH3_Z.m
View File

@ -348,7 +348,7 @@ if isoccbin
first_period_occbin_update = max(t+2,occbin_options.first_period_occbin_update);
% kalman update is not yet robust to accommodate diffuse steps
end
if occbin_options.opts_regime.waitbar && first_period_occbin_update<smpl
if occbin_options.opts_simul.waitbar && first_period_occbin_update<smpl
hh_fig = dyn_waitbar(0,'Occbin: Piecewise Kalman Filter');
set(hh_fig,'Name','Occbin: Piecewise Kalman Filter.');
waitbar_indicator=1;
@ -381,7 +381,7 @@ while notsteady && t<smpl
if waitbar_indicator
dyn_waitbar(t/smpl, hh_fig, sprintf('Period %u of %u', t,smpl));
end
occbin_options.opts_regime.waitbar=0;
occbin_options.opts_simul.waitbar=0;
if t==1
if isqvec
Qt = cat(3,Q,Qvec(:,:,t:t+1));
@ -532,7 +532,7 @@ while notsteady && t<smpl
end
aK(1,:,t+1) = a1(:,t+1);
if ~isempty(nk) && nk>1 && isoccbin && (t>=first_period_occbin_update || isinf(first_period_occbin_update))
opts_simul = occbin_options.opts_regime;
opts_simul = occbin_options.opts_simul;
opts_simul.SHOCKS = zeros(nk,M_.exo_nbr);
if smoother_redux
tmp=zeros(M_.endo_nbr,1);