various bug fixes and enhancements of occbin (!2306) · Merge requests · Dynare / dynare

Merged Marco Ratto requested to merge rattoma/dynare:occbin_fixes into master 8 months ago

Aug 26, 2024

augment consistency checks for occbin smoother redux · 64d59cf2
Marco Ratto authored 8 months ago

64d59cf2

the error in reconstructing the k-step ahead forecasts with occbin smoother... · abbd1118

Marco Ratto authored 8 months ago

the error in reconstructing the k-step ahead forecasts with occbin smoother redux, should only occur in the first occbin smoother interation for non-stationary models (with diffuse filter), where tstart>1.

if k>tstart, the same simulation should have been done already in occbin.kalman_update, so it should never give an error

if k<=tstart, the simulation may crash, since we ignore OBC in the first (diffuse) steps and it may happen that, given the linear updated states, the occbin simulation does not converge.

Indeed, I never got a simulation failure in line 474, where this possibility is properly taken into account.

abbd1118

initialize new output argument regime_history in case of early return (due to error flags) · 87ae93cd
Marco Ratto authored 8 months ago

87ae93cd
better handling errors in occbin update step · 5ad067f1
Marco Ratto authored 8 months ago

5ad067f1

Aug 18, 2024
- retrieve regimes found by inversion filter · 867b4aca
  Marco Ratto authored 1 year ago
  
  867b4aca
- trap case when the PKF update engine does not find a solution · 3e923ac9
  Marco Ratto authored 1 year ago
  
  3e923ac9
- - changed use_relaxation behavior, to match more closely the old one (but more efficiently) · cf52a800
  Marco Ratto authored 8 months ago
  
  - new option use_relaxation_tol_period (default=1): if new regime different from guess by more than use_relaxation_tol_period, relaxation is applied
  cf52a800
- - when multiple solutions are found, compute likelihood as the sum of all solutions found · 17451344
  Marco Ratto authored 1 year ago
  
  17451344
- - set noprint before the first call to DsgeSmoother · 7041e107
  Marco Ratto authored 1 year ago
  
  - trap the case when the occbin simulation does not converge (should only happen when first_period_occbin_update>1)
  7041e107
- bug fix: wrong variable name used · 218a529c
  Marco Ratto authored 1 year ago
  
  218a529c
- bug fix for when the desired vintage date does not coincide to an end-of-the-year Q4 period. · 6ea07bf2
  Marco Ratto authored 1 year ago
  
  6ea07bf2

various bug fixes and enhancements of occbin

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