Merge branch 'occ_checks' of git.dynare.org:JohannesPfeifer/dynare

Ref. !2040

doc/manual/source/the-model-file.rst

@@ -3101,8 +3101,11 @@ Finding the steady state with Dynare nonlinear solver
     .. option:: markowitz = DOUBLE
-       Value of the Markowitz criterion, used to select the
-       pivot. Only used when ``solve_algo = 5``. Default: 0.5.
+       Value of the Markowitz criterion (:math:(0,\infty)`) used to select the
+       pivot with sparse Gaussian elimination (``solve_algo = 5``). This criterion 
+       governs the tradeoff between selecting the pivot resulting in the most 
+       accurate solution (low ``markowitz`` values) and the one that preserves 
+       maximum sparsity (high ``markowitz`` values). Default: 0.5.
     *Example*
@@ -5374,6 +5377,11 @@ All of these elements are discussed in the following.
     to NaN and the standard deviation of the associated shock set to 0 for the
     corresponding periods using the ``heteroskedastic_shocks``-block.
+    Note that models with unit roots will require the user to specify the ``diffuse_filter``-option as 
+    otherwise Blanchard-Kahn errors will be triggered. For the piecewise Kalman filter, the 
+    initialization steps in the diffuse filter will always rely on the model solved for the baseline 
+    regime, without checking whether this is the actual regime in the first period(s).
+
     *Example*
         ::
@@ -5482,7 +5490,8 @@ All of these elements are discussed in the following.
     .. option:: likelihood_piecewise_kalman_filter
        Employ the piecewise Kalman filter of *Giovannini, Pfeiffer, and Ratto (2021)* when estimating
-       the model. Default: enabled.
+       the model. Note that this filter is incompatible with univariate Kalman filters, i.e. ``kalman_algo=2,4``. 
+       Default: enabled.
     .. option:: likelihood_max_kalman_iterations
@@ -7513,7 +7522,9 @@ block decomposition of the model (see :opt:`block`).
        Koopman (2012)* and *Koopman and Durbin (2003)* for the
        multivariate and *Koopman and Durbin (2000)* for the univariate
        filter) to estimate models with non-stationary observed
-       variables.
+       variables. This option will also reset the ``qz_criterium`` to 
+       count unit root variables towards the stable variables. Trying to estimate 
+       a model with unit roots will otherwise result in a Blanchard-Kahn error.
        When ``diffuse_filter`` is used the ``lik_init`` option of
        ``estimation`` has no effect.

matlab/initial_estimation_checks.m

@@ -20,7 +20,7 @@ function DynareResults = initial_estimation_checks(objective_function,xparam1,Dy
 % SPECIAL REQUIREMENTS
 %    none
 
-% Copyright © 2003-2018 Dynare Team
+% Copyright © 2003-2022 Dynare Team
 %
 % This file is part of Dynare.
 %
@@ -80,6 +80,12 @@ if DynareOptions.occbin.likelihood.status || DynareOptions.occbin.smoother.statu
     if DynareOptions.prefilter
         error('initial_estimation_checks:: Occbin is incompatible with the prefilter option due to the sample mean generally not corresponding to the steady state with an occasionally binding constraint.')
     end
+    if ~DynareOptions.occbin.likelihood.inversion_filter && (DynareOptions.kalman_algo==2 || DynareOptions.kalman_algo==4)
+        error('initial_estimation_checks:: Occbin is incompatible with the selected univariate Kalman filter.')        
+    end
+    if DynareOptions.fast_kalman_filter
+        error('initial_estimation_checks:: Occbin is incompatible with the fast Kalman filter.')        
+    end
 end
 
 if (DynareOptions.occbin.likelihood.status && DynareOptions.occbin.likelihood.inversion_filter) || (DynareOptions.occbin.smoother.status && DynareOptions.occbin.smoother.inversion_filter)