From e637319be5eb6436fea72fd9e49abd2a88dc557e Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Fri, 14 Sep 2012 17:05:35 +0200
Subject: [PATCH] bug fix. the diffuse filter should simply penalize the
likelihood with the NaN without breaking the estimation (this is in line with
missing_observations_kalman_filter_d.m).
---
matlab/dsge_likelihood.m | 7 +++++++
matlab/kalman/likelihood/univariate_kalman_filter_d.m | 4 ++--
2 files changed, 9 insertions(+), 2 deletions(-)
diff --git a/matlab/dsge_likelihood.m b/matlab/dsge_likelihood.m
index 0aaee7215..c6ab3ccd9 100644
--- a/matlab/dsge_likelihood.m
+++ b/matlab/dsge_likelihood.m
@@ -427,6 +427,13 @@ switch DynareOptions.lik_init
T,R,Q,H1,Z,mmm,pp,rr);
diffuse_periods = length(dlik);
end
+ if isnan(dLIK),
+ fval=dLIK;
+ info = 45;
+ exit_flag = 0;
+ return
+ end
+
case 4% Start from the solution of the Riccati equation.
if kalman_algo ~= 2
kalman_algo = 1;
diff --git a/matlab/kalman/likelihood/univariate_kalman_filter_d.m b/matlab/kalman/likelihood/univariate_kalman_filter_d.m
index e983fd820..7bf16ef57 100644
--- a/matlab/kalman/likelihood/univariate_kalman_filter_d.m
+++ b/matlab/kalman/likelihood/univariate_kalman_filter_d.m
@@ -155,8 +155,8 @@ while newRank && (t<=last)
end
if (t>last)
- error(['univariate_diffuse_kalman_filter:: There isn''t enough information to estimate the initial conditions of the nonstationary variables']);
- LIK = NaN;
+ warning(['univariate_diffuse_kalman_filter:: There isn''t enough information to estimate the initial conditions of the nonstationary variables']);
+ dLIK = NaN;
return
end
--
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