Verified Commit ad17b8ec authored by Johannes Pfeifer 's avatar Johannes Pfeifer Committed by Stéphane Adjemian
Browse files

Particle filtering: provide more informative error messages in typical problematic cases

Also adds test cases
parent fe935891
......@@ -166,6 +166,8 @@ switch info(1)
message = 'Aim: A is NAN or INF.';
case 164
message = 'Aim: Problem in SPEIG.';
case 201
message = 'Particle Filter: Initial covariance of the states is not positive definite. Try a different nonlinear_filter_initialization';
otherwise
message = 'This case shouldn''t happen. Contact the authors of Dynare';
end
\ No newline at end of file
......@@ -51,6 +51,14 @@ if DynareOptions.order>1
if BayesInfo.with_trend
error('initial_estimation_checks:: particle filtering does not support trends')
end
if Model.H==0
error('initial_estimation_checks:: particle filtering requires measurement error on the observables')
else
[~,flag]=chol(Model.H);
if flag
error('initial_estimation_checks:: the measurement error matrix must be positive definite')
end
end
end
non_zero_ME=length(EstimatedParameters.H_entries_to_check_for_positive_definiteness);
......@@ -152,6 +160,10 @@ if ~isequal(DynareOptions.mode_compute,11) || ...
fprintf('initial_estimation_checks:: If you think the latter is the case, you should try with different initial values for the estimated parameters.\n')
error('initial_estimation_checks:: The forecast error variance in the multivariate Kalman filter became singular.')
end
if info(1)==201
fprintf('initial_estimation_checks:: Initial covariance of the states is not positive definite. Try a different nonlinear_filter_initialization.\n')
error('initial_estimation_checks:: Initial covariance of the states is not positive definite. Try a different nonlinear_filter_initialization.')
end
%reset options
DynareOptions.use_univariate_filters_if_singularity_is_detected=use_univariate_filters_if_singularity_is_detected_old;
else
......
......@@ -158,6 +158,14 @@ end
ReducedForm.StateVectorMean = StateVectorMean;
ReducedForm.StateVectorVariance = StateVectorVariance;
[~, flag] = chol(ReducedForm.StateVectorVariance);%reduced_rank_cholesky(ReducedForm.StateVectorVariance)';
if flag
fval = Inf;
info(1) = 201;
info(4) = 0.1;
exit_flag = 0;
return;
end
%------------------------------------------------------------------------------
% 4. Likelihood evaluation
%------------------------------------------------------------------------------
......
......@@ -417,6 +417,7 @@ MODFILES = \
bgp/nk-1/nk.mod \
bgp/ramsey-1/ramsey.mod \
dynare-command-options/ramst.mod \
particle/first_spec.mod \
particle/local_state_space_iteration_k_test.mod
ECB_MODFILES = \
......@@ -558,6 +559,8 @@ XFAIL_MODFILES = ramst_xfail.mod \
identification/LindeTrabandt/LindeTrabandt2019_xfail.mod \
steady_state/Linear_steady_state_xfail.mod \
optimal_policy/Ramsey/ramsey_histval_xfail.mod \
particle/first_spec_xfail_0.mod \
particle/first_spec_xfail_1.mod \
example1_extra_exo_xfail.mod \
estimation/tune_mh_jscale/fs2000_1_xfail.mod \
estimation/tune_mh_jscale/fs2000_2_xfail.mod
......@@ -1150,6 +1153,7 @@ EXTRA_DIST = \
shock_decomposition/example1_calib_shock_decomp_data.mat \
shock_decomposition/fsdat_simul.m \
smoother2histval/fsdat_simul.m \
particle/first_spec_common.inc \
optimal_policy/Ramsey/find_c.m \
optimal_policy/Ramsey/oo_ramsey_policy_initval.mat \
observation_trends_and_prefiltering/generate_trend_stationary_AR1.m \
......
......@@ -113,5 +113,7 @@ end;
data(file='../../fs2000/fsdat_simul.m');
options_.order=1;
[dataset_, dataset_info, xparam1, hh, M_, options_, oo_, estim_params_, bayestopt_, bounds] = ...
dynare_estimation_init(char(), M_.fname, [], M_, options_, oo_, estim_params_, bayestopt_);
\ No newline at end of file
//File testing error message if initial state vector is not positive definite
@#include "first_spec_common.inc"
shocks;
var eeps = 0.04^2;
var nnu = 0.03^2;
var q = 0.01^2;
var ca = 0.01^2;
end;
stoch_simul(order=3,periods=200, irf=0);
save('my_data.mat','q','ca');
estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=1,filter_algorithm=sis,nonlinear_filter_initialization=2);
\ No newline at end of file
var c q m b u R uaux ca;
varexo eeps nnu;
parameters bbetaL ies crra gbar bbar eeta Rbar Rpers;
bbetaL = 0.98;
ies = 1.5;
crra = 12.0;
gbar = .01;
bbar = -.04;
eeta = 2.0;
Rbar = 1.03;
Rpers = .5;
model;
q = m(+1)*R(+1);
uaux = u(+1)^(1-crra);
m = bbetaL*exp(-gbar/ies)*uaux(-1)^((ies-1)/(ies*(1-crra))-1)*u^(1/ies-crra)*c^(-1/ies)/c(-1)^(-1/ies);
b = bbar*q^eeta*exp(nnu);
c + q*b*exp(gbar) = 1 + R*b(-1);
u = ( (1-bbetaL)*c^((ies-1)/ies) + bbetaL*exp(gbar*(ies-1)/ies)*uaux^((ies-1)/(ies*(1-crra))) )^(ies/(ies-1));
R = (1-Rpers)*Rbar + Rpers*R(-1) + eeps;
ca = b*exp(gbar)-b(-1);
end;
initval;
R = Rbar;
m = bbetaL*exp(-gbar/ies);
q = bbetaL*exp(-gbar/ies)*Rbar;
b = bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta;
c = 1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar;
u = ((1-bbetaL)/(1-bbetaL*exp(gbar*(ies-1)/ies )) )^(ies/(ies-1))*(1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar);
uaux = (1 + Rbar*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta - exp(gbar)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta*bbetaL*exp(-gbar/ies)*Rbar)^(1-crra);
ca = (exp(gbar)-1)*bbar*(bbetaL*exp(-gbar/ies)*Rbar)^eeta;
end;
steady(solve_algo=3);
varobs q ca;
estimated_params;
ies, normal_pdf, 1.5, .2;
end;
options_.plot_priors=0;
//File testing error message if no measurement error present
@#include "first_spec_common.inc"
shocks;
var eeps = 0.04^2;
var nnu = 0.03^2;
end;
stoch_simul(order=3,periods=200, irf=0, nomoments, nofunctions);
save('my_data.mat','q','ca');
estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=0,filter_algorithm=sis);
\ No newline at end of file
//File testing error message if measurement error is not positive definite
@#include "first_spec_common.inc"
shocks;
var eeps = 0.04^2;
var nnu = 0.03^2;
var q = 0.01^2;
end;
stoch_simul(order=3,periods=200, irf=0);
save('my_data.mat','q','ca');
estimation(datafile='my_data.mat',order=2,mode_compute=0,mh_replic=0,filter_algorithm=sis);
\ No newline at end of file
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