PKF: document incompatibilities and throw proper errors if triggered

(manually cherry picked from commit 8ac72590)

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

@@ -4870,6 +4870,11 @@ 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*
         ::
@@ -4978,7 +4983,8 @@ 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
@@ -6991,7 +6997,9 @@ 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 (C) 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)
@@ -323,4 +329,4 @@ end
 function evaluate_expression(expression,M_,oo_)
 % function evaluate_expression(expression,M_,oo_)
 %evaluates expressions relying on M_ and oo_ having their original names
-eval(expression);
\ No newline at end of file
+eval(expression);