Dear Sebastien,
I would like to discuss two problems that I would like to fix around identification and sensitivity analysis preprocessor.
1) You may remember the issue about overly large params_derivs files descending from elaborated parameterizations. This specially affects the second order derivs w.r.t. model params. I just had an exchange with Jasper Linde who is using a model where he uses pond syntax to define a complicated parametrization, which then implies such a problem.
I think for the next 4.2.5 dynare bug fix release we could simply drop second order derivs w.r.t. parameters in the official distribution, since such derivatives are not used for the moment (this feature maybe useful in the future when I will have the time to preceed further with some diagnostics for global identification). This would make the release of dynare totally compatible with such complicated cases.
2) In the case of sensitivity analysis, on the other hand, there is a problem when models have unit roots. We should allow for 4.3 version to add the option kalman_algo to dynare_sensitivity and identification. In such a case, the qz_criterium would be kept 1+1.e-6. Otherwise, the call to dynare_estimation_init, with the default kalman_algo=1, resets qz_criterium to 1-1.e-6 and the blanchard kahn are always violated for any parameter value in the Monte Carlo search for stability mapping, when the model has unit roots.
how do you think? thanks a lot for your assistance
best wishes Marco