1. 01 Jun, 2017 1 commit
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  15. 03 Apr, 2017 2 commits
    • Houtan Bastani's avatar
    • Stéphane Adjemian (Charybdis)'s avatar
      Added option nonlinear_filter_initialization. · f9a803f4
      Stéphane Adjemian (Charybdis) authored
      Default value is 1 (initialization with the ergodic variance of the reduced
      form solution of the model approximated at order one).
      
      If the model has unit roots, the user must use `nonlinear_filter_initialization=3`,
      which select an identity matrix for the initial covariance matrix of the state variables.
      
      A side effect of this option is to temporarily change the value of options_.qz_criterium to
      a value above one (ie 1+1e-6) so that the unit roots are not rejected. If the
      model has unit roots and if the and if the option
      nonlinear_filter_initialization has a value less than 3, the evaluation of the
      likelihood will fail, because by default the unit root is counted as an
      unstable root.
      f9a803f4
  16. 31 Mar, 2017 2 commits
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  20. 22 Mar, 2017 9 commits