Make schur_vec_tol settable and document it

Related to Dynare/preprocessor!29
Also convert it to lowercase as all other options

doc/manual/source/the-model-file.rst

@@ -9829,6 +9829,12 @@ Performing identification analysis
         Tolerance level for selecting non-zero singular values.
         Default: ``1.e-3``.
 
+    .. option:: schur_vec_tol = DOUBLE
+
+        Tolerance level used to find nonstationary variables in Schur decomposition 
+        of the transition matrix.
+        Default: ``1.e-11``.
+
 *Identification Strength Options*
 
     .. option:: no_identification_strength

matlab/UnivariateSpectralDensity.m

@@ -98,7 +98,7 @@ end
 [vx, u] =  lyapunov_symm(A,B*M_.Sigma_e*B',options_.lyapunov_fixed_point_tol,options_.qz_criterium,options_.lyapunov_complex_threshold,[],options_.debug);
 iky = iv(ivar);
 if ~isempty(u)
-    iky = iky(find(any(abs(ghx(iky,:)*u) < options_.Schur_vec_tol,2)));
+    iky = iky(find(any(abs(ghx(iky,:)*u) < options_.schur_vec_tol,2)));
     ivar = oo_.dr.order_var(iky);
 end
 

matlab/default_option_values.m

@@ -46,7 +46,7 @@ options_.gstep(2) = 1.0;
 options_.scalv = 1;
 options_.debug = false;
 options_.initval_file = false;
-options_.Schur_vec_tol = 1e-11; % used to find nonstationary variables in Schur decomposition of the
+options_.schur_vec_tol = 1e-11; % used to find nonstationary variables in Schur decomposition of the
                                 % transition matrix
 options_.qz_criterium = [];
 options_.qz_zero_threshold = 1e-6;

matlab/dynare_identification.m

@@ -139,6 +139,8 @@ options_ident = set_default_option(options_ident,'tol_deriv',1.e-8);
     % tolerance level for selecting columns of non-zero derivatives
 options_ident = set_default_option(options_ident,'tol_sv',1.e-3);
     % tolerance level for selecting non-zero singular values in identification_checks.m
+options_ident = set_default_option(options_ident,'schur_vec_tol',1e-11);
+    % tolerance level used to find nonstationary variables in Schur decomposition of the transition matrix.
 
 %check whether to compute identification strength based on information matrix
 if ~isfield(options_ident,'no_identification_strength')
@@ -289,7 +291,7 @@ if options_ident.order == 3
 end
 options_.ar = options_ident.ar;
 options_.prior_mc = options_ident.prior_mc;
-options_.Schur_vec_tol = 1.e-8;
+options_.schur_vec_tol = options_ident.schur_vec_tol;
 options_.nomoments = 0;
 options_.analytic_derivation=options_ident.analytic_derivation;
     % 1: analytic derivation of gradient and hessian of likelihood in dsge_likelihood.m, only works for stationary models, i.e. kalman_algo<3

matlab/get_variance_of_endogenous_variables.m

@@ -48,7 +48,7 @@ n = length(i_var);
 [vx,u] = lyapunov_symm(A,B*Sigma_e*B',options_.lyapunov_fixed_point_tol,options_.qz_criterium,options_.lyapunov_complex_threshold, [], options_.debug);
 
 if size(u,2) > 0
-    i_stat = find(any(abs(ghx*u) < options_.Schur_vec_tol,2)); %only set those variances of objective function for which variance is finite
+    i_stat = find(any(abs(ghx*u) < options_.schur_vec_tol,2)); %only set those variances of objective function for which variance is finite
     ghx = ghx(i_stat,:);
     ghu = ghu(i_stat,:);
 else

matlab/pruned_state_space_system.m

@@ -372,7 +372,7 @@ stationary_vars = (1:y_nbr)';
 if ~isempty(Schur_u)
     %base this only on first order, because if first-order is stable so are the higher-order pruned systems
     x = abs(gx*Schur_u);
-    stationary_vars = find(all(x < options.Schur_vec_tol,2));
+    stationary_vars = find(all(x < options.schur_vec_tol,2));
 end
 
 if compute_derivs == 1

matlab/th_autocovariances.m

@@ -143,8 +143,8 @@ if local_order == 2 || options_.hp_filter == 0
     stationary_vars = (1:length(ivar))';
     if ~isempty(u)
         x = abs(ghx*u);
-        iky = iky(find(all(x(iky,:) < options_.Schur_vec_tol,2)));
-        stationary_vars = find(all(x(inv_order_var(ivar(stationary_vars)),:) < options_.Schur_vec_tol,2));
+        iky = iky(find(all(x(iky,:) < options_.schur_vec_tol,2)));
+        stationary_vars = find(all(x(inv_order_var(ivar(stationary_vars)),:) < options_.schur_vec_tol,2));
     end
     aa = ghx(iky,:);
     bb = ghu(iky,:);