From 8f53be2a6fe819175e8d992fb7e8fe24e99f8e68 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=28Charybdis=29?=
<stephane.adjemian@univ-lemans.fr>
Date: Sat, 5 May 2018 16:36:50 +0200
Subject: [PATCH] Impose the consistency of the count of unstable
eigenvalues...
... Between stoch_simul and check. Added sdim (the number of stable
eigenvalues) and edim (the complementary number of explosive eigenvalues) in dr
structure. The test is always done with sdim (or edim) returned by mjdgges.
---
doc/dynare.texi | 4 ++++
matlab/check.m | 5 ++---
matlab/dyn_first_order_solver.m | 3 +++
matlab/resol.m | 2 ++
matlab/stochastic_solvers.m | 7 ++++---
5 files changed, 15 insertions(+), 6 deletions(-)
diff --git a/doc/dynare.texi b/doc/dynare.texi
index 6d6a34df3b..9599feaf8e 100644
--- a/doc/dynare.texi
+++ b/doc/dynare.texi
@@ -3729,6 +3729,9 @@ the square submatrix of the right Schur vectors corresponding to the
forward looking variables (jumpers) and to the explosive eigenvalues
must have full rank.
+Note that the outcome may be different from what would be suggested by
+@code{sum(abs(oo_.dr.eigval))} when eigenvalues are very close to @ref{qz_criterium}.
+
@optionshead
@table @code
@@ -4348,6 +4351,7 @@ exogenous variables are made available in @code{oo_.exo_simul}
(@pxref{oo_.exo_simul}). Default: @code{0}.
@item qz_criterium = @var{DOUBLE}
+@anchor{qz_criterium}
Value used to split stable from unstable eigenvalues in reordering the
Generalized Schur decomposition used for solving 1^st order
problems. Default: @code{1.000001} (except when estimating with
diff --git a/matlab/check.m b/matlab/check.m
index f97a758f49..d1755fbb18 100644
--- a/matlab/check.m
+++ b/matlab/check.m
@@ -78,7 +78,6 @@ end
eigenvalues_ = dr.eigval;
[m_lambda,i]=sort(abs(eigenvalues_));
-n_explod = nnz(abs(eigenvalues_) > options.qz_criterium);
% Count number of forward looking variables
if ~options.block
@@ -91,7 +90,7 @@ else
end
result = 0;
-if (nyf == n_explod) && (dr.full_rank)
+if (nyf == dr.edim) && (dr.full_rank)
result = 1;
end
@@ -101,7 +100,7 @@ if options.noprint == 0
disp(sprintf('%16s %16s %16s\n','Modulus','Real','Imaginary'))
z=[m_lambda real(eigenvalues_(i)) imag(eigenvalues_(i))]';
disp(sprintf('%16.4g %16.4g %16.4g\n',z))
- disp(sprintf('\nThere are %d eigenvalue(s) larger than 1 in modulus ', n_explod));
+ disp(sprintf('\nThere are %d eigenvalue(s) larger than 1 in modulus ', dr.edim));
disp(sprintf('for %d forward-looking variable(s)',nyf));
skipline()
if result
diff --git a/matlab/dyn_first_order_solver.m b/matlab/dyn_first_order_solver.m
index c74786f82f..f262a61a1b 100644
--- a/matlab/dyn_first_order_solver.m
+++ b/matlab/dyn_first_order_solver.m
@@ -202,6 +202,9 @@ else
return
end
+ dr.sdim = sdim; % Number of stable eigenvalues.
+ dr.edim = length(dr.eigval)-sdim; % Number of exposive eigenvalues.
+
nba = nd-sdim;
if task==1
diff --git a/matlab/resol.m b/matlab/resol.m
index 8cee960d5d..e58eb7e1ba 100644
--- a/matlab/resol.m
+++ b/matlab/resol.m
@@ -140,6 +140,8 @@ end
if options.block
[dr,info,M,options,oo] = dr_block(dr,check_flag,M,options,oo);
+ dr.edim = nnz(abs(dr.eigval) > options.qz_criterium);
+ dr.sdim = dr.nd-dr.edim;
else
[dr,info] = stochastic_solvers(dr,check_flag,M,options,oo);
end
diff --git a/matlab/stochastic_solvers.m b/matlab/stochastic_solvers.m
index 9b62f5a466..587641023e 100644
--- a/matlab/stochastic_solvers.m
+++ b/matlab/stochastic_solvers.m
@@ -232,10 +232,11 @@ if M_.maximum_endo_lead == 0
end
dr.eigval = eig(kalman_transition_matrix(dr,nstatic+(1:nspred),1:nspred,M_.exo_nbr));
dr.full_rank = 1;
- if any(abs(dr.eigval) > options_.qz_criterium)
+ dr.edim = nnz(abs(dr.eigval) > options_.qz_criterium);
+ dr.sdim = nd-dr.edim;
+ if dr.edim
temp = sort(abs(dr.eigval));
- nba = nnz(abs(dr.eigval) > options_.qz_criterium);
- temp = temp(nd-nba+1:nd)-1-options_.qz_criterium;
+ temp = temp(dr.sdim+1:nd)-1-options_.qz_criterium;
info(1) = 3;
info(2) = temp'*temp;
end
--
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