OccBin Smoother: do not write non-converged results to oo_

Closes Dynare/dynare#1863

matlab/+occbin/DSGE_smoother.m

@@ -255,7 +255,7 @@ while is_changed && maxiter>iter && ~is_periodic
         err_TT(iter-1) = max(max(max(abs(TT-sto_TT))));
     end
 
-    if occbin_smoother_debug
+    if occbin_smoother_debug || is_periodic
         regime_ = cell(0);
         regime_new = regime_;
         start_ = regime_;
@@ -333,18 +333,26 @@ regime_history0(max(iter+1,1),:) = regime_history;
 oo_.occbin.smoother.regime_history=regime_history0(end,:);
 oo_.occbin.smoother.regime_history_iter=regime_history0;
 if occbin_smoother_debug
-save('info1','regime_history0')
+    save('info1','regime_history0')
 end
 
 if (maxiter==iter && is_changed) || is_periodic
-    disp(['Occbin smoother did not converge.'])
+    disp('occbin.DSGE_smoother: smoother did not converge.')
+    fprintf('occbin.DSGE_smoother: The algorithm did not reach a fixed point for the smoothed regimes.\n')
     if is_periodic
-        disp(['Occbin smoother algo loops between two solutions.'])
+        oo_.occbin.smoother.error_flag=0;
+        fprintf('occbin.DSGE_smoother: For the periods indicated above, regimes loops between the "regime_" and the "regime_new_" pattern displayed above.\n')
+        fprintf('occbin.DSGE_smoother: We provide smoothed shocks consistent with "regime_" in oo_.\n')
+    else
+        fprintf('occbin.DSGE_smoother: The respective fields in oo_ will be left empty.\n')
+        oo_.occbin.smoother=[];
+        oo_.occbin.smoother.error_flag=1;
     end
 else
-    disp(['Occbin smoother converged.'])
+    disp('occbin.DSGE_smoother: smoother converged.')
+    oo_.occbin.smoother.error_flag=0;
     if occbin_smoother_fast && is_changed_start
-        disp('WARNING: fast algo is used, regime(s) duration(s) was not forced to converge')
+        disp('occbin.DSGE_smoother: WARNING: fast algo is used, regime duration was not forced to converge')
     end
 end
 if (~is_changed || occbin_smoother_debug) && nargin==12

matlab/dynare_estimation_1.m

@@ -185,10 +185,13 @@ if isequal(options_.mode_compute,0) && isempty(options_.mode_file) && ~options_.
             else
                 if options_.occbin.smoother.status
                     [atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = occbin.DSGE_smoother(xparam1,gend,transpose(data),data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,dataset_,dataset_info);
+                    if oo_.occbin.smoother.error_flag==0
+                        [oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
+                    end
                 else
                     [atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = DsgeSmoother(xparam1,gend,transpose(data),data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_);
+                    [oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
                 end
-                [oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
             end
             if options_.forecast > 0
                 oo_.forecast = dyn_forecast(var_list_,M_,options_,oo_,'smoother',dataset_info);
@@ -600,8 +603,12 @@ if (~((any(bayestopt_.pshape > 0) && options_.mh_replic) || (any(bayestopt_.psha
     else
         if options_.occbin.smoother.status
             [atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = occbin.DSGE_smoother(xparam1,dataset_.nobs,transpose(dataset_.data),dataset_info.missing.aindex,dataset_info.missing.state,M_,oo_,options_,bayestopt_,estim_params_,dataset_,dataset_info);
+            if oo_.occbin.smoother.error_flag==0
+                [oo_,yf]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
+            end
         else
             [atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = DsgeSmoother(xparam1,dataset_.nobs,transpose(dataset_.data),dataset_info.missing.aindex,dataset_info.missing.state,M_,oo_,options_,bayestopt_,estim_params_);
+            [oo_,yf]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
         end
         [oo_,yf]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
     end

matlab/evaluate_smoother.m

@@ -120,7 +120,9 @@ else
         DsgeSmoother(parameters,dataset_.nobs,transpose(dataset_.data),dataset_info.missing.aindex,dataset_info.missing.state,M_,oo_,options_,bayestopt_,estim_params_);
 end
 if ~(options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter)
-    [oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
+    if ~options_.occbin.smoother.status || (options_.occbin.smoother.status && oo_.occbin.smoother.error_flag==0)
+        [oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
+    end
 else
     [oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff);
 end