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Dóra Kocsis
dynare
Commits
d83c5326
Commit
d83c5326
authored
Jun 24, 2011
by
Marco Ratto
Browse files
check that theoretical moments are independent when evaluating simulated moments uncertainty
parent
47787f6f
Changes
1
Hide whitespace changes
Inline
Side-by-side
matlab/identification_analysis.m
View file @
d83c5326
...
...
@@ -99,54 +99,14 @@ if info(1)==0,
indH
=
(
find
(
max
(
abs
(
H
'
))
>
1.e-8
));
indLRE
=
(
find
(
max
(
abs
(
gp
'
))
>
1.e-8
));
end
ide_moments
.
indJJ
=
indJJ
;
ide_model
.
indH
=
indH
;
ide_lre
.
indLRE
=
indLRE
;
TAU
(:,
1
)
=
tau
(
indH
);
LRE
(:,
1
)
=
vg1
(
indLRE
);
GAM
(:,
1
)
=
gam
(
indJJ
);
siJ
=
(
JJ
(
indJJ
,:));
siH
=
(
H
(
indH
,:));
siLRE
=
(
gp
(
indLRE
,:));
normH
=
max
(
abs
(
siH
)
')'
;
normJ
=
max
(
abs
(
siJ
)
')'
;
normLRE
=
max
(
abs
(
siLRE
)
')'
;
ide_moments
.
siJ
=
siJ
;
ide_model
.
siH
=
siH
;
ide_lre
.
siLRE
=
siLRE
;
ide_moments
.
GAM
=
GAM
;
ide_model
.
TAU
=
TAU
;
ide_lre
.
LRE
=
LRE
;
% [ide_checks.idemodel_Mco, ide_checks.idemoments_Mco, ide_checks.idelre_Mco, ...
% ide_checks.idemodel_Pco, ide_checks.idemoments_Pco, ide_checks.idelre_Pco, ...
% ide_checks.idemodel_cond, ide_checks.idemoments_cond, ide_checks.idelre_cond, ...
% ide_checks.idemodel_ee, ide_checks.idemoments_ee, ide_checks.idelre_ee, ...
% ide_checks.idemodel_ind, ide_checks.idemoments_ind, ...
% ide_checks.idemodel_indno, ide_checks.idemoments_indno, ...
% ide_checks.idemodel_ino, ide_checks.idemoments_ino] = ...
% identification_checks(H(indH,:)./normH(:,ones(nparam,1)),JJ(indJJ,:)./normJ(:,ones(nparam,1)), gp(indLRE,:)./normLRE(:,ones(size(gp,2),1)));
[
ide_moments
.
cond
,
ide_moments
.
ind0
,
ide_moments
.
indno
,
ide_moments
.
ino
,
ide_moments
.
Mco
,
ide_moments
.
Pco
,
ide_moments
.
jweak
,
ide_moments
.
jweak_pair
]
=
...
identification_checks
(
JJ
(
indJJ
,:)
.
/
normJ
(:,
ones
(
nparam
,
1
)),
0
);
[
ide_model
.
cond
,
ide_model
.
ind0
,
ide_model
.
indno
,
ide_model
.
ino
,
ide_model
.
Mco
,
ide_model
.
Pco
,
ide_model
.
jweak
,
ide_model
.
jweak_pair
]
=
...
identification_checks
(
H
(
indH
,:)
.
/
normH
(:,
ones
(
nparam
,
1
)),
0
);
[
ide_lre
.
cond
,
ide_lre
.
ind0
,
ide_lre
.
indno
,
ide_lre
.
ino
,
ide_lre
.
Mco
,
ide_lre
.
Pco
,
ide_lre
.
jweak
,
ide_lre
.
jweak_pair
]
=
...
identification_checks
(
gp
(
indLRE
,:)
.
/
normLRE
(:,
ones
(
size
(
gp
,
2
),
1
)),
0
);
[
U
,
S
,
V
]
=
svd
(
JJ
(
indJJ
,:)
.
/
normJ
(:,
ones
(
nparam
,
1
)),
0
);
S
=
diag
(
S
);
if
nparam
>
8
ide_moments
.
S
=
S
([
1
:
4
,
end
-
3
:
end
]);
ide_moments
.
V
=
V
(:,[
1
:
4
,
end
-
3
:
end
]);
else
ide_moments
.
S
=
S
;
ide_moments
.
V
=
V
;
end
indok
=
find
(
max
(
ide_moments
.
indno
,[],
1
)
==
0
);
ide_strength_J
=
NaN
(
1
,
nparam
);
ide_strength_J_prior
=
NaN
(
1
,
nparam
);
if
advanced
,
[
ide_moments
.
pars
,
ide_moments
.
cosnJ
]
=
ident_bruteforce
(
JJ
(
indJJ
,:)
.
/
normJ
(:,
ones
(
nparam
,
1
)),
max_dim_cova_group
,
options_
.
TeX
,
name_tex
);
end
if
init
,
%~isempty(indok),
normaliz
=
abs
(
params
);
if
prior_exist
,
...
...
@@ -201,6 +161,19 @@ if info(1)==0,
replic
=
max
([
replic
,
length
(
indJJ
)
*
3
]);
cmm
=
simulated_moment_uncertainty
(
indJJ
,
periods
,
replic
);
% MIM=siJ(:,indok)'*(cmm\siJ(:,indok));
% look for independent moments!
sd
=
sqrt
(
diag
(
cmm
));
cc
=
cmm
.
/(
sd
*
sd
'
);
ix
=
[];
for
jc
=
1
:
length
(
cmm
),
jcheck
=
find
(
abs
(
cc
(:,
jc
))
>
(
1
-
1.e-6
));
ix
=
[
ix
;
jcheck
(
jcheck
>
jc
)];
end
iy
=
find
(
~
ismember
([
1
:
length
(
cmm
)],
ix
));
indJJ
=
indJJ
(
iy
);
GAM
=
GAM
(
iy
);
cmm
=
cmm
(
iy
,
iy
);
siJ
=
(
JJ
(
indJJ
,:));
MIM
=
siJ
'*
(
cmm
\
siJ
);
ide_hess
.
AHess
=
MIM
;
deltaM
=
sqrt
(
diag
(
MIM
));
...
...
@@ -257,4 +230,44 @@ if info(1)==0,
ide_lre
.
siLREnorm
=
siLREnorm
;
ide_hess
.
flag_score
=
flag_score
;
end
,
normH
=
max
(
abs
(
siH
)
')'
;
normJ
=
max
(
abs
(
siJ
)
')'
;
normLRE
=
max
(
abs
(
siLRE
)
')'
;
ide_moments
.
indJJ
=
indJJ
;
ide_model
.
indH
=
indH
;
ide_lre
.
indLRE
=
indLRE
;
ide_moments
.
siJ
=
siJ
;
ide_model
.
siH
=
siH
;
ide_lre
.
siLRE
=
siLRE
;
ide_moments
.
GAM
=
GAM
;
ide_model
.
TAU
=
TAU
;
ide_lre
.
LRE
=
LRE
;
% [ide_checks.idemodel_Mco, ide_checks.idemoments_Mco, ide_checks.idelre_Mco, ...
% ide_checks.idemodel_Pco, ide_checks.idemoments_Pco, ide_checks.idelre_Pco, ...
% ide_checks.idemodel_cond, ide_checks.idemoments_cond, ide_checks.idelre_cond, ...
% ide_checks.idemodel_ee, ide_checks.idemoments_ee, ide_checks.idelre_ee, ...
% ide_checks.idemodel_ind, ide_checks.idemoments_ind, ...
% ide_checks.idemodel_indno, ide_checks.idemoments_indno, ...
% ide_checks.idemodel_ino, ide_checks.idemoments_ino] = ...
% identification_checks(H(indH,:)./normH(:,ones(nparam,1)),JJ(indJJ,:)./normJ(:,ones(nparam,1)), gp(indLRE,:)./normLRE(:,ones(size(gp,2),1)));
[
ide_moments
.
cond
,
ide_moments
.
ind0
,
ide_moments
.
indno
,
ide_moments
.
ino
,
ide_moments
.
Mco
,
ide_moments
.
Pco
,
ide_moments
.
jweak
,
ide_moments
.
jweak_pair
]
=
...
identification_checks
(
JJ
(
indJJ
,:)
.
/
normJ
(:,
ones
(
nparam
,
1
)),
0
);
[
ide_model
.
cond
,
ide_model
.
ind0
,
ide_model
.
indno
,
ide_model
.
ino
,
ide_model
.
Mco
,
ide_model
.
Pco
,
ide_model
.
jweak
,
ide_model
.
jweak_pair
]
=
...
identification_checks
(
H
(
indH
,:)
.
/
normH
(:,
ones
(
nparam
,
1
)),
0
);
[
ide_lre
.
cond
,
ide_lre
.
ind0
,
ide_lre
.
indno
,
ide_lre
.
ino
,
ide_lre
.
Mco
,
ide_lre
.
Pco
,
ide_lre
.
jweak
,
ide_lre
.
jweak_pair
]
=
...
identification_checks
(
gp
(
indLRE
,:)
.
/
normLRE
(:,
ones
(
size
(
gp
,
2
),
1
)),
0
);
[
U
,
S
,
V
]
=
svd
(
JJ
(
indJJ
,:)
.
/
normJ
(:,
ones
(
nparam
,
1
)),
0
);
S
=
diag
(
S
);
if
nparam
>
8
ide_moments
.
S
=
S
([
1
:
4
,
end
-
3
:
end
]);
ide_moments
.
V
=
V
(:,[
1
:
4
,
end
-
3
:
end
]);
else
ide_moments
.
S
=
S
;
ide_moments
.
V
=
V
;
end
indok
=
find
(
max
(
ide_moments
.
indno
,[],
1
)
==
0
);
if
advanced
,
[
ide_moments
.
pars
,
ide_moments
.
cosnJ
]
=
ident_bruteforce
(
JJ
(
indJJ
,:)
.
/
normJ
(:,
ones
(
nparam
,
1
)),
max_dim_cova_group
,
options_
.
TeX
,
name_tex
);
end
end
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