From fbe91646f035555011cbaee4be81f2d21b3fbed6 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Tue, 31 May 2022 17:36:48 +0200
Subject: [PATCH] PKF: document incompatibilities and throw proper errors if
triggered
(manually cherry picked from commit 8ac72590dab13305f2b08896d8d130c41e6fc0a9)
---
doc/manual/source/the-model-file.rst | 12 ++++++++++--
matlab/initial_estimation_checks.m | 10 ++++++++--
2 files changed, 18 insertions(+), 4 deletions(-)
diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index 107a91c527..5976044bff 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/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.
diff --git a/matlab/initial_estimation_checks.m b/matlab/initial_estimation_checks.m
index 9cf98c82f8..27717a15ae 100644
--- a/matlab/initial_estimation_checks.m
+++ b/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);
--
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