From 2fe73fafdc4886053f6871daedfecbe8e7fe8d1c Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Sun, 2 Oct 2016 12:56:28 +0200
Subject: [PATCH] Implement and document
keep_kalman_algo_if_singularity_is_detected option
---
doc/dynare.texi | 9 +++++++++
matlab/dsge_likelihood.m | 6 ++++--
2 files changed, 13 insertions(+), 2 deletions(-)
diff --git a/doc/dynare.texi b/doc/dynare.texi
index 23ddc0de2..ce6e3ab0a 100644
--- a/doc/dynare.texi
+++ b/doc/dynare.texi
@@ -6020,6 +6020,15 @@ the option is equal to @code{0}, Dynare will not automatically change
the filter, but rather use a penalty value for the likelihood when
such a singularity is encountered. Default: @code{1}.
+@item keep_kalman_algo_if_singularity_is_detected
+@anchor{keep_kalman_algo_if_singularity_is_detected}
+With the default @ref{use_univariate_filters_if_singularity_is_detected}=1, Dynare will switch
+to the univariate Kalman filter when it encounters a singular forecast error variance
+matrix during Kalman filtering. Upon encountering such a singularity for the first time, all subsequent
+parameter draws and computations will automatically rely on univariate filter, i.e. Dynare will never try
+the multivariate filter again. Use the @code{keep_kalman_algo_if_singularity_is_detected} option to have the
+@code{use_univariate_filters_if_singularity_is_detected} only affect the behavior for the current draw/computation.
+
@item qz_zero_threshold = @var{DOUBLE}
@xref{qz_zero_threshold}.
diff --git a/matlab/dsge_likelihood.m b/matlab/dsge_likelihood.m
index 2d3406ed5..3da705c9a 100644
--- a/matlab/dsge_likelihood.m
+++ b/matlab/dsge_likelihood.m
@@ -894,8 +894,10 @@ if imag(fval)~=0
return
end
-% Update DynareOptions.kalman_algo.
-DynareOptions.kalman_algo = kalman_algo;
+if ~DynareOptions.kalman.keep_kalman_algo_if_singularity_is_detected
+ % Update DynareOptions.kalman_algo.
+ DynareOptions.kalman_algo = kalman_algo;
+end
if analytic_derivation==0 && nargout>3,
lik=lik(start:end,:);
--
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