From fe48de44068224552813e264313d0dc94b2915d4 Mon Sep 17 00:00:00 2001 From: Marco Ratto Date: Wed, 8 Apr 2015 15:44:39 +0200 Subject: [PATCH] Re-set default of new option diffuse_kalman_tol to 1e-6: former hardcoded value was 1e-6 in the univariate smoother (i.e. the one most often used). Updated documentation. --- doc/dynare.texi | 2 +- matlab/global_initialization.m | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/doc/dynare.texi b/doc/dynare.texi index 094089cb4..f107bbf98 100644 --- a/doc/dynare.texi +++ b/doc/dynare.texi @@ -5222,7 +5222,7 @@ singularity is encountered, Dynare by default automatically switches to the univ @anchor{kalman_tol} Numerical tolerance for determining the singularity of the covariance matrix of the prediction errors during the Kalman filter (minimum allowed reciprocal of the matrix condition number). Default value is @code{1e-10} @item diffuse_kalman_tol = @var{DOUBLE} -@anchor{diffuse_kalman_tol} Numerical tolerance for determining the singularity of the covariance matrix of the prediction errors (@math{F_{\infty}}) and the rank of the covariance matrix of the state variables (@math{P_{\infty}}) during the Diffuse Kalman filter. Default value is @code{1e-8} +@anchor{diffuse_kalman_tol} Numerical tolerance for determining the singularity of the covariance matrix of the prediction errors (@math{F_{\infty}}) and the rank of the covariance matrix of the non-stationary state variables (@math{P_{\infty}}) during the Diffuse Kalman filter. Default value is @code{1e-6} @item filter_covariance @anchor{filter_covariance} Saves the series of one step ahead error of diff --git a/matlab/global_initialization.m b/matlab/global_initialization.m index f169bfe6a..93deba482 100644 --- a/matlab/global_initialization.m +++ b/matlab/global_initialization.m @@ -387,7 +387,7 @@ options_.nobs = NaN; options_.kalman_algo = 0; options_.fast_kalman = 0; options_.kalman_tol = 1e-10; -options_.diffuse_kalman_tol = 1e-8; +options_.diffuse_kalman_tol = 1e-6; options_.use_univariate_filters_if_singularity_is_detected = 1; options_.riccati_tol = 1e-6; options_.lik_algo = 1;