Dear all,
1. there is a bug in Dynare 4.3.1 and master that
leads to crashes of estimation/mode computation. It affects
dsge_likelihood and potentially other functions like DsgeVarLikelihood. Currently, we initialize
fval=[];
Later in the file, we
have two checks for the likelihood
if isnan(LIK)
info = 45;
exit_flag = 0;
return
end
if imag(LIK)~=0
info = 46;
exit_flag = 0;
return
end
The problem is that we did not set the return
argument fval. Hence, subsequent checks as in gmhmaxlik of the form
if all(proposal >
mh_bounds(:,1)) && all(proposal < mh_bounds(:,2))
logpo2 = -
feval(ObjFun,proposal,varargin{:});
else
logpo2 = -inf;
end
% I move if the
proposal is enough likely...
if logpo2 > -inf
&& log(rand) < logpo2 - ilogpo2
fail, because logpo2 is empty. In random_walk_metropolis_hastings_core
we have the same check.
I am not sure how to deal with this issue.
Generally, it would be easiest to initialize fval to NaN
instead of []. What is the current convention regarding the
output of the likelihoods? Sometimes we return a penalty,
sometimes NaN and sometimes nothing, while we do not always
check the exit flag.
Moreover, note that we later check:
if imag(fval)~=0
info = 48;
exit_flag = 0;
return
end
This means that dsge_likelihood actually
returns an imaginary value which then enters the above check
in gmhmaxlik. I think it should never be the case that we
actually return a complex value. This issue would not be
solved by initializing fval to NaN and might lead to
problems.
Thus, my preferred solution would be to
explicitly set fval=NaN directly in front of the return
statements for cases 45,46, and 47. Similar issues seem to
appear in DsgeVarLikelihood, but I am not familiar with this
part of the code.
2. Only non_linear_dsge_likelihood does not suffer
from the same problems, but this is to some degree because
we do not have the same error codes and do not do the same
checks. There is for example currently not a check for
imaginary or NaN priors. Should we open a ticket for this?
Regards,
Johannes
--
Johannes
Pfeifer
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