From 2b1509b7ae45b865f5d057aebac266615d6a40f1 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Fri, 27 Dec 2024 14:33:33 +0100
Subject: [PATCH] :bug: identification: set expected missing data field
Erroneously triggered asymptotic Hessian via simulation
(cherry picked from commit 4d0a3f2cc92356612b306bcd3435f80914f7b9df)
---
matlab/+identification/analysis.m | 9 +++++++++
1 file changed, 9 insertions(+)
diff --git a/matlab/+identification/analysis.m b/matlab/+identification/analysis.m
index 7e7933b862..b9461a3cff 100644
--- a/matlab/+identification/analysis.m
+++ b/matlab/+identification/analysis.m
@@ -297,6 +297,15 @@ if info(1) == 0 %no errors in solution
options_.analytic_derivation = -2; %this sets asy_Hess=1 in dsge_likelihood.m
[info, oo_, options_, M_] = stoch_simul(M_, options_, oo_, options_.varobs);
dataset_ = dseries(oo_.endo_simul(options_.varobs_id,100+1:end)',dates('1Q1'), options_.varobs); %get information on moments
+ % set info on missing data
+ if dataset_info.missing.state
+ [dataset_info.missing.aindex, dataset_info.missing.number_of_observations, dataset_info.missing.no_more_missing_observations, dataset_info.missing.vindex] = ...
+ describe_missing_data(dataset_.data);
+ else
+ dataset_info.missing.aindex = num2cell(transpose(repmat(1:dataset_.vobs,dataset_.nobs,1)),1);
+ dataset_info.missing.no_more_missing_observations = 1;
+ end
+
derivatives_info.no_DLIK = 1;
bounds = prior_bounds(bayestopt_, options_.prior_trunc); %reset bounds as lb and ub must only be operational during mode-finding
%note that for order>1 we do not provide any information on DT,DYss,DOM in derivatives_info, such that dsge_likelihood creates an error. Therefore the computation will be based on simulated_moment_uncertainty for order>1.
--
GitLab