### - added a test an a penalty in estimation (DsgeLikelihood.m) if, in a...

```- added a test an a penalty in estimation (DsgeLikelihood.m) if, in a stationary model (lik_init==1), a particular parameter set generates unit roots.
- modified lyapunov_symm to return absolute value of unit roots in a third argument```
parent e6da2849
 ... ... @@ -170,7 +170,15 @@ if options_.lik_init == 1 % Kalman filter if kalman_algo ~= 2 kalman_algo = 1; end Pstar = lyapunov_symm(T,R*Q*R',options_.qz_criterium,options_.lyapunov_complex_threshold); [Pstar,junk,unit_roots] = lyapunov_symm(T,R*Q*R',options_.qz_criterium,... options_.lyapunov_complex_threshold); if ~isempty(unit_roots) % if unit roots the penalty equals the sum of distance to 2-qz_criterium fval = bayestopt_.penalty + sum(unit_roots-2+ ... options_.qz_criterium); cost_flag = 0; return end Pinf = []; elseif options_.lik_init == 2 % Old Diffuse Kalman filter if kalman_algo ~= 2 ... ...
 function [x,u] = lyapunov_symm(a,b,qz_criterium,lyapunov_complex_threshold,method) function [x,u,unit_roots] = lyapunov_symm(a,b,qz_criterium,lyapunov_complex_threshold,method) % Solves the Lyapunov equation x-a*x*a' = b, for b and x symmetric matrices. % If a has some unit roots, the function computes only the solution of the stable subsystem. % ... ... @@ -15,6 +15,7 @@ function [x,u] = lyapunov_symm(a,b,qz_criterium,lyapunov_complex_threshold,metho % OUTPUTS % x: [double] m*m solution matrix of the lyapunov equation, where m is the dimension of the stable subsystem. % u: [double] Schur vectors associated with unit roots % unit_roots [double] vector containing roots too close to 1 % % ALGORITHM % Uses reordered Schur decomposition ... ... @@ -57,10 +58,13 @@ if size(a,1) == 1 return end unit_roots = []; if method<2 [U,T] = schur(a); e1 = abs(ordeig(T)) > 2-qz_criterium; k = sum(e1); % Number of unit roots. roots = abs(ordeig(T)); e1 = roots > 2-qz_criterium; k = sum(e1); % Number of unit roots. unit_roots = roots(1:k); n = length(e1)-k; % Number of stationary variables. if k > 0 % Selects stable roots ... ...
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