From f19decf297447adf558aa5a5736122b6c4e0fe29 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Thu, 21 Jan 2021 19:26:53 +0100
Subject: [PATCH] non_linear_dsge_likelihood.m: consistently use
options_.particles.pruning
Closes https://git.dynare.org/Dynare/dynare/-/issues/1756
---
matlab/initial_estimation_checks.m | 3 +++
matlab/non_linear_dsge_likelihood.m | 3 +++
2 files changed, 6 insertions(+)
diff --git a/matlab/initial_estimation_checks.m b/matlab/initial_estimation_checks.m
index 0e293e7c2f..fd1c7de98a 100644
--- a/matlab/initial_estimation_checks.m
+++ b/matlab/initial_estimation_checks.m
@@ -66,6 +66,9 @@ if DynareOptions.order>1
if DynareOptions.order>2 && DynareOptions.particle.pruning==1
error('initial_estimation_checks:: the particle filter with order>2 does not support pruning')
end
+ if DynareOptions.particle.pruning~=DynareOptions.pruning
+ fprintf('initial_estimation_checks:: the pruning settings differ between the particle filter and the one used for IRFs/simulations. Make sure this is intended.\n')
+ end
end
non_zero_ME=length(EstimatedParameters.H_entries_to_check_for_positive_definiteness);
diff --git a/matlab/non_linear_dsge_likelihood.m b/matlab/non_linear_dsge_likelihood.m
index a4bef42376..b5a9ff76ff 100644
--- a/matlab/non_linear_dsge_likelihood.m
+++ b/matlab/non_linear_dsge_likelihood.m
@@ -143,10 +143,13 @@ switch DynareOptions.particle.initialization
StateVectorMean = ReducedForm.constant(mf0);
old_DynareOptionsperiods = DynareOptions.periods;
DynareOptions.periods = 5000;
+ old_DynareOptionspruning = DynareOptions.pruning;
+ DynareOptions.pruning = DynareOptions.particle.pruning;
y_ = simult(DynareResults.steady_state, dr,Model,DynareOptions,DynareResults);
y_ = y_(dr.order_var(state_variables_idx),2001:5000); %state_variables_idx is in dr-order while simult_ is in declaration order
StateVectorVariance = cov(y_');
DynareOptions.periods = old_DynareOptionsperiods;
+ DynareOptions.pruning = old_DynareOptionspruning;
clear('old_DynareOptionsperiods','y_');
case 3% Initial state vector covariance is a diagonal matrix (to be used
% if model has stochastic trends).
--
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