75 lines
2.6 KiB
Matlab
75 lines
2.6 KiB
Matlab
function options_=select_qz_criterium_value(options_)
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% function options_=select_qz_criterium_value(options_)
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% set the value of options_.qz_criterium depending on the Kalman filter used
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%
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% INPUTS
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% options_: Dynare options structure
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%
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% OUTPUTS
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% options_: Dynare options structure
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2016-2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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% If options_.lik_init == 1
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% set by default options_.qz_criterium to 1-1e-6
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% and check options_.qz_criterium < 1-eps if options_.lik_init == 1
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% Else
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% set by default options_.qz_criterium to 1+1e-6
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stack = dbstack;
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if options_.particle.status
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% Non linear filter
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if isequal(options_.particle.initialization, 3)
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if isempty(options_.qz_criterium)
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options_.qz_criterium = 1+1e-6;
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else
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if options_.qz_criterium <= 1
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fprintf('\n%s:: You set nonlinear_filter_initialization equal to 3, it is assumed that you try to estimate a non stationary model. Resetting it to 1+1e-6.\n', stack(2).file)
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options_.qz_criterium = 1+1e-6;
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end
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end
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else
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if isempty(options_.qz_criterium)
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options_.qz_criterium = 1-1e-6;
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end
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end
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else
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% Linear filter
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if isequal(options_.lik_init,1)
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if isempty(options_.qz_criterium)
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options_.qz_criterium = 1-1e-6;
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elseif options_.qz_criterium > 1-eps
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error([stack(2).file ': option qz_criterium is too large for estimating/smoothing ' ...
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'a stationary model. If your model contains unit roots, use ' ...
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'option diffuse_filter'])
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end
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else
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if isempty(options_.qz_criterium)
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options_.qz_criterium = 1+1e-6;
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else
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if options_.qz_criterium <= 1
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fprintf('\n%s:: diffuse filter is incompatible with a qz_criterium<=1. Resetting it to 1+1e-6.\n',stack(2).file)
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options_.qz_criterium = 1+1e-6;
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end
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end
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end
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end |