From c62d9db0b9e40501715bbd11bf7aead169ee67a0 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Wed, 27 Nov 2024 10:33:37 +0100
Subject: [PATCH] :bug: OccBin: clear State_uncertainty field before trying to
fill it
Prevents crashes with smoothed_state_uncertainty option if MCMC smoother is run after classical one
---
matlab/estimation/prior_posterior_statistics.m | 7 +++++--
tests/occbin/filter/NKM.mod | 13 +++++++++++--
2 files changed, 16 insertions(+), 4 deletions(-)
diff --git a/matlab/estimation/prior_posterior_statistics.m b/matlab/estimation/prior_posterior_statistics.m
index 36349dc6b8..a0fb6128cc 100644
--- a/matlab/estimation/prior_posterior_statistics.m
+++ b/matlab/estimation/prior_posterior_statistics.m
@@ -141,9 +141,9 @@ if options_.filter_covariance
filter_covariance=1;
end
-smoothed_state_uncertainty=0;
+smoothed_state_uncertainty=false;
if options_.smoothed_state_uncertainty
- smoothed_state_uncertainty=1;
+ smoothed_state_uncertainty=true;
end
% Store the variable mandatory for local/remote parallel computing.
@@ -327,6 +327,9 @@ if options_.smoother
varlist,'UpdatedVariables',DirectoryName, ...
'_update',dispString);
if smoothed_state_uncertainty
+ if isfield(oo_,'Smoother') && isfield(oo_.Smoother,'State_uncertainty')
+ oo_.Smoother=rmfield(oo_.Smoother,'State_uncertainty'); %needs to be removed as classical smoother field has a different format
+ end
oo_=pm3(M_,options_,oo_,endo_nbr,endo_nbr,ifil(13),B,'State Uncertainty',...
varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'StateUncertainty',DirectoryName,'_state_uncert',dispString);
diff --git a/tests/occbin/filter/NKM.mod b/tests/occbin/filter/NKM.mod
index 07166af5db..96f0250fe4 100644
--- a/tests/occbin/filter/NKM.mod
+++ b/tests/occbin/filter/NKM.mod
@@ -389,13 +389,22 @@ varobs yg inom pi;
else
disp('smoother redux successfully recovers full k-step ahead variables results!')
end
+
+ //run PKF with MCMC
+ options_.smoother_redux=false;
+ estimation(
+ datafile=dataobsfile2, mode_file=NKM_mh_mode_saved,
+ mode_compute=0, nobs=120, first_obs=1,
+ mh_replic=50, plot_priors=0, smoother,
+ consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1:8],smoothed_state_uncertainty);
+
// use inversion filter (note that IF provides smoother together with likelihood)
occbin_setup(likelihood_inversion_filter,smoother_inversion_filter);
estimation(
datafile=dataobsfile2, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
- mh_replic=0, plot_priors=0, smoother,
+ mh_replic=50, plot_priors=0, smoother,
consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1:8],smoothed_state_uncertainty);
// show initial condition effect of IF
@@ -420,7 +429,7 @@ varobs yg inom pi;
estimation(
datafile=dataobsfile2, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
- mh_replic=10, plot_priors=0, smoother,
+ mh_replic=50, plot_priors=0, smoother,
consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1:8],smoothed_state_uncertainty);
write_latex_dynamic_model;
--
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