Dear Michel Shall we check if Pstar is positive definite and also abandon with penalty or continue as is done at the moment in Matlab Dynare?
Best regards
George
----- Original Message ----- From: "Michel Juillard" michel.juillard@ens.fr To: "Joe Pearlman" j.pearlman@londonmet.ac.uk Cc: "G. Perendia" george@perendia.orangehome.co.uk; "List for Dynare developers" dev@dynare.org Sent: Friday, November 27, 2009 9:27 AM Subject: Re: disclyap_fast issue
That makes perfect sense. We can only use disclyap_fast if the user specifies that her model is stationary and that the priors exclude any unit root
Best
Michel Juillard
On Nov 26, 2009, at 23:59, "Joe Pearlman" j.pearlman@londonmet.ac.uk wrote:
Dear Michel
I checked the dynamic matrix that George sent me and it had an eigenvalue of 1. That explains why disclyap_fast does not work.
joe
Dear George,
I think that we need first to characterize the cases where disclyap_fast return NaN, then we can decide what to do with these cases in estimation.
All the best,
michel
G. Perendia wrote:
Dear Michel
It seems that disclyap_fast is not returning results for good reasons whilst Dynare solver lyapunov_symm still returns some acceptable results which may or may not result in incorrect estimates.
The problem with NAN was debugged from C++ version of DsgeLikelihood as I was trying to use fs2000k model and the non-pos-def with fs2000a (though either of which models are not the most suitable anyway) . The pos-def issue occurred in Matlab Dynare as I was running disclyap_fast with check option, something not currently imposed in either C++ DsgeLikelihood nor in lyapunov_symm.
But I wander what we should do in such situations if it occur in general
stick to disclyap_fast diagnosis and return penalty from DsgeLikelihood in case results are NAN (which seems adequate solution at least for time being) or poss. change C++ lyapunov solver?
Also, - shall we check if Pstar is positive definite and also abandon with penalty or continue as is done at the moment?
Best regards
George
----- Original Message ----- From: "joe pearlman" j.pearlman@londonmet.ac.uk To: "G. Perendia" george@perendia.orangehome.co.uk Sent: Thursday, November 26, 2009 2:38 PM Subject: Re: disclyap_fast issue
Dear George
there is quite obviously an eigenvalue of 1 in the T matrix, so the Lyapunov matrix cannot posibly converge!
Joe
G. Perendia wrote:
Dear Joe
I have encountered a problem with disclyap_fast returning NAN matrix when another Dynare solver returns still suitable results for KF. Please see the enclosed file giving input and outputs.
Do you have any suggestions on how to overcome such issue?
Best regards
George
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