Re: [DynareDev] Kalman filter

-- Marco Ratto, Financial and Economic Analysis Joint Research Centre European Commission, TP 361, 21027 ISPRA(VA), ITALY Tel: +39 0332 78 3794 Fax: +39 0332 78 5752, marco.ratto@jrc.ec.europa.eu http://www.macfinrobods.eu/ On 10/14/2015 11:37 PM, Stéphane Adjemian wrote: > -----BEGIN PGP SIGNED MESSAGE----- > Hash: SHA512 > > In TeX/fs2000_corr_ME a singularity is detected and Dynare goes to the > univariate Kalman filter. Unfortunately, in this situation (with > correlated measurement errors) the state vector does not have the > correct dimension. > > If we force Dynare not to use the univariate filter in case of > singularity (setting use_univariate_filters_if_singularity_is_detected > equal to zero) the estimation goes smoothly. Obviously this is not a > solution for this test (though I always use this option). > > I fixed the problem by adding a flag called > singularity_has_been_detected in dsge_likelihood (at the beginning of > section 4) equal to false by default and resetting this variable to > true when isinf(LIK) and > DynareOptions.use_univariate_filters_if_singularity_is_detected are > true. When the flag is true I augment the size of the state vector (a) > when needed (if the model has correlated measurement errors). I need > to do more testing with other mod files... > > I think that this is a long standing bug. Before the last commits by > Marco the singularity was not detected (and we never reached this case). > > The bugs in kalman/likelihood_from_dynare/*.mod are not related to > this one. > > Best, > Stéphane. > > On 14/10/2015 21:58, Michel Juillard wrote: >> Some test cases never ran. For example: | * >> kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * >> kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * >> kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * >> kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod >> >> The fixing is not trivial and on my todo list. I don't know if it >> corresponds to what Johannes just observed. >> >> Best >> >> Michel >> >> Johannes Pfeifer writes: >> >>> Try TeX/fs2000_corr_ME.mod I selectively ran some of the failed >>> tests from today's mail to the dev list, not the whole suite >>> >>> >>>> Am 14.10.2015 um 21:26 schrieb Stéphane Adjemian >>>> stepan@dynare.org: >>>> >> Hi Johannes, >> >> Can you send the output of the testsuite (the txt file returned >> after make check-matlab) ? I didn't observe any problem today. I >> have just checked that estimation/fs2000.mod runs without any >> problem. >> >> Best, Stéphane. >> >>>>>> On 14/10/2015 19:41, Johannes Pfeifer wrote: Hi Marco, >>>>>> >>>>>> it seems your recent commits broke the dsge_likelihood >>>>>> routine. Almost all unit tests crash in the Kalman filter >>>>>> routines due to non-conformable matrices. Unfortunately, I >>>>>> could not trace the origin of the problem. >>>>>> >>>>>> Best, >>>>>> >>>>>> Johannes >>>>>> >>>>>> >>>>>> >>>>>> >>>>>> >>>>>> -- >>>>>> >>>>>> Johannes Pfeifer >>>>>> >>>>>> Friesenwall 104 >>>>>> >>>>>> 50672 Köln >>>>>> >>>>>> Tel.: +49-221-29873852 >>>>>> >>>>>> Mobil.: +49-170-6936820 >>>>>> >>>>>> Germany >>>>>> >>>>>> >>>>>> >>>>>> >>>>>> >>>>>> _______________________________________________ Dev mailing >>>>>> list Dev@dynare.org >>>>>> https://www.dynare.org/cgi-bin/mailman/listinfo/dev >>>>>> >>>> _______________________________________________ Dev mailing >>>> list Dev@dynare.org >>>> https://www.dynare.org/cgi-bin/mailman/listinfo/dev >>> _______________________________________________ Dev mailing list >>> Dev@dynare.org >>> https://www.dynare.org/cgi-bin/mailman/listinfo/dev > -----BEGIN PGP SIGNATURE----- > > iQQcBAEBCgAGBQJWHsswAAoJEKbUTLnGTOd7jwkf/1HT3LW9bGx6Py2urRTabPxY > dThqu43KDZJtW1ee2dP5LsDBZthDukbUwTEu/05KA6Eq/ZjB145U/zZE1Jw1w24H > +qnJ9dUzJ/+I/XGunX1dUEmmVJ+voC1FgyinvVmeEDir5R0ilTcSp2nQpZFIl8f1 > k4asszSbkG1Xeb8juyX3rjJHWYLTmsYPAjKCPbO8sd5b9kGv0TlaJKIueRep/6EC > jj2169xipRTTDiFzle2xpq5PW/8ewwx0ev9VrjHuCDmPriA2yFGrowWreo1OzXWA > bWET7d0U8MeQemQ0E2Pt8DZtu5L+KwUJg1bcnK+ZpBr7nVP7H6OdK6jg2DzaGfAM > PnHG8uW44ZrcgMMBxlghEM6iad/gYi+woCq7qDNmCa9SYpRcCAHsjk6/EaCdDfb2 > uJ0CdnjyNwcqoqZe9DFbHjSdrhzXBEOdDDxPYoNjkUFEXkGBqIC/50hil4SmP8RA > PeO5QETQ/M/QfwCeoGq2pB5g9/bovc7SmA4Y+UErhTfqfHy+NMGcDziH7DbO2mJx > lnweo50PQsP9J1qS9tCoio5k0XzaCt7m5nEXBSU4MmbHQneE5oPYC6xeqizf7vP0 > PP2LTZXz6r08Z38UTCfSybD4uOlQ+1aA+FpoEcqPhzSf4QHTR7JKaJ6Oq0BGFVAW > g4L893tej+2Um1nnVbK7o8A0nNM0GFBtlkefPj017YjwMqgCmLDaNJYV/l02jZDE > C4TfyNgJaBt+n71u8NGIKYqLmqh/fc63z0QYRVuTOuD2Ca92cSDrWJ209MtIymJa > pOrwSy/6KMa3Ghh4hVOjFDZoDrjfdrvrSpUHUmp5y3K6ASbBwTKOnCCDMdBJXpc8 > 69uWInSDZxLjDk0j/kkgeYSoOlsofklJMijPJd6Wo3mNJirjTZM8FdjBax10Tw0D > I+LsZugdXFFwoHzoKPnHdZQgSIVWGQmEuq1eOCokD8B0okcT58iZa50MTWyIVOeP > LyP2u4yHhVspBfAWYxYaBXUYuyrguCGMFdUWRdZ2FnZHInFv9ukusFtFww+3Hfrd > OEXVO3LVwONhsB1USZCGUzDWyZpEgvxuYzwUiuoE3N35KVjAPq9jSc0h//QeYIYC > An/u/nReIR0DYfEE4f2fwvLOnuYZIF3xeZxbzxgM2UXY+L+pxrqnUuznmaOds+EN > 4O4HFFCp91zi8zbDL952WPgZ4AInIZeWsqbREdO9mCx6T0YVGKwpQIYFEJaXgjNl > aYtpdl5xzRWLi+jD5QM7gFxnsF3CW8FOyv722lj7H6pJ59xgR0V/8A49ZijJFot6 > fWrpkqrfHQ3aj3OxUVFQeMJzLD2doJxN1CQ3qMWnrmJBvoyASdxtCn4Culvp1fU= > =3wcy > -----END PGP SIGNATURE----- > _______________________________________________ > Dev mailing list > Dev@dynare.org > https://www.dynare.org/cgi-bin/mailman/listinfo/dev