From e4c803d0db09bb0a78d1593330db18a89a23aab6 Mon Sep 17 00:00:00 2001
From: Michel Juillard <michel.juillard@mjui.fr>
Date: Mon, 21 Nov 2011 12:39:02 +0100
Subject: [PATCH] fixed issues with estimation of non-stationary models. Option
lik_init=2 is contradictory with diffuse_filter or unit_root_variables
declaration. Models with non-stationary variables, but only stationary
observed variables need diffuse_filter option and make a useless call to
kalman_filter_d (this seems better than trying to distinguish these rare
cases)
---
matlab/dynare_estimation_init.m | 7 ++++++-
matlab/kalman/likelihood/kalman_filter_d.m | 1 +
tests/arima/mod1c.mod | 1 -
tests/arima/mod2a.mod | 3 +--
tests/arima/mod2b.mod | 3 +--
tests/arima/mod3a.mod | 24 ----------------------
6 files changed, 9 insertions(+), 30 deletions(-)
delete mode 100644 tests/arima/mod3a.mod
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index 8cab9c472..ca98d735f 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -69,7 +69,12 @@ end
% Set options_.lik_init equal to 3 if diffuse filter is used or
% kalman_algo refers to a diffuse filter algorithm.
if (options_.diffuse_filter==1) || (options_.kalman_algo > 2)
- options_.lik_init = 3;
+ if options_.lik_init == 2
+ error(['options diffuse_filter, lik_init and/or kalman_algo have ' ...
+ 'contradictory settings'])
+ else
+ options_.lik_init = 3;
+ end
end
% If options_.lik_init == 1
diff --git a/matlab/kalman/likelihood/kalman_filter_d.m b/matlab/kalman/likelihood/kalman_filter_d.m
index 1bb56e635..a39856c1a 100644
--- a/matlab/kalman/likelihood/kalman_filter_d.m
+++ b/matlab/kalman/likelihood/kalman_filter_d.m
@@ -58,6 +58,7 @@ t = start; % Initialization of the time index.
dlik = zeros(smpl,1); % Initialization of the vector gathering the densities.
dLIK = Inf; % Default value of the log likelihood.
oldK = Inf;
+s = 0;
while rank(Pinf,kalman_tol) && (t<=last)
s = t-start+1;
diff --git a/tests/arima/mod1c.mod b/tests/arima/mod1c.mod
index a670c6766..3b7e21fde 100644
--- a/tests/arima/mod1c.mod
+++ b/tests/arima/mod1c.mod
@@ -23,5 +23,4 @@ stderr y,INV_GAMMA_PDF,0.01,inf;
end;
varobs x y;
-unit_root_vars x y;
estimation(datafile=data1,nobs=1000,mh_replic=2000,lik_init=2,mh_jscale=1.2);
\ No newline at end of file
diff --git a/tests/arima/mod2a.mod b/tests/arima/mod2a.mod
index a0ceed658..305f4f2bd 100644
--- a/tests/arima/mod2a.mod
+++ b/tests/arima/mod2a.mod
@@ -29,5 +29,4 @@ end;
varobs dx dy;
-unit_root_vars x y;
-estimation(datafile=data2,nobs=100,mh_replic=0,lik_init=2);
+estimation(datafile=data2,nobs=100,mh_replic=0,diffuse_filter);
diff --git a/tests/arima/mod2b.mod b/tests/arima/mod2b.mod
index 1fd7a0ba2..ffe3e5362 100644
--- a/tests/arima/mod2b.mod
+++ b/tests/arima/mod2b.mod
@@ -29,5 +29,4 @@ end;
varobs x y;
-unit_root_vars x y;
-estimation(datafile=data2,nobs=100,mh_replic=0,lik_init=2);
+estimation(datafile=data2,nobs=100,mh_replic=0,diffuse_filter);
diff --git a/tests/arima/mod3a.mod b/tests/arima/mod3a.mod
deleted file mode 100644
index cfa20775d..000000000
--- a/tests/arima/mod3a.mod
+++ /dev/null
@@ -1,24 +0,0 @@
-var dx dy;
-varexo e_x e_y;
-
-parameters rho_x rho_y;
-
-rho_x = 0.5;
-rho_y = -0.3;
-
-model;
-dx = rho_x*dx(-1)+e_x;
-dy = rho_y*dy(-1)+e_y;
-end;
-
-estimated_params;
-rho_x,NORMAL_PDF,0.5,0.1;
-rho_y,NORMAL_PDF,-0.3,0.1;
-stderr e_x,INV_GAMMA_PDF,0.01,inf;
-stderr e_y,INV_GAMMA_PDF,0.01,inf;
-end;
-
-varobs dx dy;
-check;
-estimation(datafile=data1,nobs=1000,mh_replic=0,load_mh_file);
-stab_map_;
\ No newline at end of file
--
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