diff --git a/tests/.gitignore b/tests/.gitignore
index 501fbc71d03f0f5e8098101e43bfa26287473633..722a27d5d7d11d53c5cdc860106a4364cda2f7c0 100644
--- a/tests/.gitignore
+++ b/tests/.gitignore
@@ -50,6 +50,8 @@ wsOct
!/ep/mean_preserving_spread.m
!/ep/rbcii_steady_state.m
!/estimation/fsdat_simul.m
+!/estimation/method_of_moments/RBC_MoM_steady_helper.m
+!/estimation/method_of_moments/RBC_Andreasen_Data_2.mat
!/expectations/expectation_ss_old_steadystate.m
!/external_function/extFunDeriv.m
!/external_function/extFunNoDerivs.m
diff --git a/tests/Makefile.am b/tests/Makefile.am
index cfaf424ffe8e2acc239440b46790f9302484a767..88302799d47117c221df3fed009779808e20f563 100644
--- a/tests/Makefile.am
+++ b/tests/Makefile.am
@@ -25,8 +25,6 @@ MODFILES = \
measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod \
TeX/fs2000_corr_ME.mod \
estimation/MH_recover/fs2000_recover_tarb.mod \
- estimation/method_of_moments/RBC_MoM.mod \
- estimation/method_of_moments/RBC_MoM_SMM_ME.mod \
estimation/fs2000.mod \
gsa/ls2003a.mod \
optimizers/fs2000_8.mod \
@@ -50,7 +48,9 @@ MODFILES = \
estimation/t_proposal/fs2000_student.mod \
estimation/tune_mh_jscale/fs2000.mod \
estimation/method_of_moments/AnScho_MoM.mod \
- estimation/method_of_moments/RBCmodel_MoM.mod \
+ estimation/method_of_moments/RBC_MoM_Andreasen.mod \
+ estimation/method_of_moments/RBC_MoM_SMM_ME.mod \
+ estimation/method_of_moments/RBC_MoM_prefilter.mod \
moments/example1_var_decomp.mod \
moments/example1_bp_test.mod \
moments/test_AR1_spectral_density.mod \
diff --git a/tests/estimation/method_of_moments/AnScho_MoM.mod b/tests/estimation/method_of_moments/AnScho_MoM.mod
index 7b482897c18f3b4b778676dbe818455f63506e27..674111120283a75c0f3ac4a07b12555248d32bca 100644
--- a/tests/estimation/method_of_moments/AnScho_MoM.mod
+++ b/tests/estimation/method_of_moments/AnScho_MoM.mod
@@ -194,7 +194,7 @@ matched_moments_ = {
% , penalized_estimator % use penalized optimization
, pruning % use pruned state space system at higher-order
% , verbose % display and store intermediate estimation results
- , weighting_matrix = OPTIMAL % weighting matrix in moments distance objective function; possible values: OPTIMAL|IDENTITY_MATRIX|DIAGONAL|filename
+ , weighting_matrix = ['optimal'] % weighting matrix in moments distance objective function; possible values: OPTIMAL|IDENTITY_MATRIX|DIAGONAL|filename
, additional_optimizer_steps = [4] % vector of numbers for the iterations in the 2-step feasible method of moments
% , prefilter=0 % demean each data series by its empirical mean and use centered moments
%
diff --git a/tests/estimation/method_of_moments/RBC_Andreasen_Data_2.mat b/tests/estimation/method_of_moments/RBC_Andreasen_Data_2.mat
new file mode 100644
index 0000000000000000000000000000000000000000..0b2ba62defdaab77aa663f2907ae16801837f6b6
Binary files /dev/null and b/tests/estimation/method_of_moments/RBC_Andreasen_Data_2.mat differ
diff --git a/tests/estimation/method_of_moments/RBC_MoM.mod b/tests/estimation/method_of_moments/RBC_MoM.mod
deleted file mode 100644
index 7714ac5f2b9568c3432ff003d51c1d6d1751ca80..0000000000000000000000000000000000000000
--- a/tests/estimation/method_of_moments/RBC_MoM.mod
+++ /dev/null
@@ -1,194 +0,0 @@
-% Tests SMM and GMM routines
-%
-% Copyright (C) 2020 Dynare Team
-%
-% This file is part of Dynare.
-%
-% Dynare is free software: you can redistribute it and/or modify
-% it under the terms of the GNU General Public License as published by
-% the Free Software Foundation, either version 3 of the License, or
-% (at your option) any later version.
-%
-% Dynare is distributed in the hope that it will be useful,
-% but WITHOUT ANY WARRANTY; without even the implied warranty of
-% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
-% GNU General Public License for more details.
-%
-% You should have received a copy of the GNU General Public License
-% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
-% =========================================================================
-
-% Define testscenario
-@#define orderApp = 1
-@#define estimParams = 1
-
-% Note that we will set the numerical optimization tolerance levels very large to speed up the testsuite
-@#define optimizer = 13
-
-
-@#include "RBC_MoM_common.inc"
-
-shocks;
-var u_a; stderr 0.0072;
-end;
-
-varobs n c iv;
-
-
-@#if estimParams == 0
-estimated_params;
- DELTA, 0.025;
- BETTA, 0.98;
- B, 0.45;
- %ETAl, 1;
- ETAc, 1.8;
- ALFA, 0.65;
- RHOA, 0.95;
- stderr u_a, 0.01;
- %THETA, 3.48;
-end;
-@#endif
-
-@#if estimParams == 1
-estimated_params;
- DELTA, , 0, 1;
- BETTA, , 0, 1;
- B, , 0, 1;
- %ETAl, 1, 0, 10;
- ETAc, , 0, 10;
- ALFA, , 0, 1;
- RHOA, , 0, 1;
- stderr u_a, , 0, 1;
- %THETA, 3.48, 0, 10;
-end;
-@#endif
-
-@#if estimParams == 2
-estimated_params;
- DELTA, 0.025, 0, 1, normal_pdf, 0.02, 0.5;
- BETTA, 0.98, 0, 1, beta_pdf, 0.90, 0.25;
- B, 0.45, 0, 1, normal_pdf, 0.40, 0.5;
- %ETAl, 1, 0, 10, normal_pdf, 0.25, 0.0.1;
- ETAc, 1.8, 0, 10, normal_pdf, 1.80, 0.5;
- ALFA, 0.65, 0, 1, normal_pdf, 0.60, 0.5;
- RHOA, 0.95, 0, 1, normal_pdf, 0.90, 0.5;
- stderr u_a, 0.01, 0, 1, normal_pdf, 0.01, 0.5;
- %THETA, 3.48, 0, 10, normal_pdf, 0.25, 0.0.1;
-end;
-@#endif
-
-% Simulate data
-stoch_simul(order=@{orderApp},pruning,nodisplay,nomoments,periods=500);
-save('RBC_MoM_data_@{orderApp}.mat', options_.varobs{:} );
-pause(1);
-
-
-estimated_params_init(use_calibration);
-end;
-
-%--------------------------------------------------------------------------
-% Method of Moments Estimation
-%--------------------------------------------------------------------------
-% matched_moments blocks : We don't have an interface yet
-
-% get indices in declaration order
-ic = strmatch('c', M_.endo_names,'exact');
-iiv = strmatch('iv', M_.endo_names,'exact');
-in = strmatch('n', M_.endo_names,'exact');
-% first entry: number of variable in declaration order
-% second entry: lag
-% third entry: power
-
-matched_moments_ = {
- [ic ] [0 ], [1 ];
- [in ] [0 ], [1 ];
- [iiv ] [0 ], [1 ];
- [ic ic ] [0 0], [1 1];
- [ic iiv] [0 0], [1 1];
- [ic in ] [0 0], [1 1];
- [iiv ic ] [0 0], [1 1];
- [iiv iiv] [0 0], [1 1];
- [iiv in ] [0 0], [1 1];
-% [in ic ] [0 0], [1 1];
-% [in iiv] [0 0], [1 1];
- [in in ] [0 0], [1 1];
- [ic ic ] [0 -1], [1 1];
- [in in ] [0 -1], [1 1];
- [iiv iiv] [0 -1], [1 1];
-% [iiv iiv] [0 -1], [1 1];
-};
-
-
-
-@#for mommethod in ["GMM", "SMM"]
- method_of_moments(
- % Necessery options
- mom_method = @{mommethod} % method of moments method; possible values: GMM|SMM
- , datafile = 'RBC_MoM_data_@{orderApp}.mat' % name of filename with data
-
- % Options for both GMM and SMM
- % , bartlett_kernel_lag = 20 % bandwith in optimal weighting matrix
- , order = @{orderApp} % order of Taylor approximation in perturbation
- % , penalized_estimator % use penalized optimization
- , pruning % use pruned state space system at higher-order
- % , verbose % display and store intermediate estimation results
- , weighting_matrix = ['optimal','optimal'] % weighting matrix in moments distance objective function; possible values: OPTIMAL|IDENTITY_MATRIX|DIAGONAL|filename
- , weighting_matrix_scaling_factor=1
- %, additional_optimizer_steps = [4] % vector of additional mode-finders run after mode_compute
- % , prefilter=0 % demean each data series by its empirical mean and use centered moments
- %
- % Options for SMM
- % , bounded_shock_support % trim shocks in simulation to +- 2 stdev
- % , drop = 500 % number of periods dropped at beginning of simulation
- % , seed = 24051986 % seed used in simulations
- % , simulation_multiple = 5 % multiple of the data length used for simulation
- %
- % General options
- %, dirname = 'MM' % directory in which to store estimation output
- % , graph_format = EPS % specify the file format(s) for graphs saved to disk
- % , nodisplay % do not display the graphs, but still save them to disk
- % , nograph % do not create graphs (which implies that they are not saved to the disk nor displayed)
- % , noprint % do not print stuff to console
- % , plot_priors = 1 % control plotting of priors
- % , prior_trunc = 1e-10 % probability of extreme values of the prior density that is ignored when computing bounds for the parameters
- % , TeX % print TeX tables and graphics
- %
- % Data and model options
- %, first_obs = 501 % number of first observation
- % , logdata % if loglinear is set, this option is necessary if the user provides data already in logs, otherwise the log transformation will be applied twice (this may result in complex data)
- % , loglinear % computes a log-linear approximation of the model instead of a linear approximation
- %, nobs = 500 % number of observations
- % , xls_sheet = willi % name of sheet with data in Excel
- % , xls_range = B2:D200 % range of data in Excel sheet
- %
- % Optimization options that can be set by the user in the mod file, otherwise default values are provided
- % , analytic_derivation % uses analytic derivatives to compute standard errors for GMM
- %, huge_number=1D10 % value for replacing the infinite bounds on parameters by finite numbers. Used by some optimizers for numerical reasons
- , mode_compute = @{optimizer} % specifies the optimizer for minimization of moments distance, note that by default there is a new optimizer
- %, optim = ('TolFun', 1e-3
- % ,'TolX', 1e-5
- % ) % a list of NAME and VALUE pairs to set options for the optimization routines. Available options depend on mode_compute
- %, silent_optimizer % run minimization of moments distance silently without displaying results or saving files in between
- % , tolf = 1e-5 % convergence criterion on function value for numerical differentiation
- % , tolx = 1e-6 % convergence criterion on funciton input for numerical differentiation
- %
- % % Numerical algorithms options
- % , aim_solver % Use AIM algorithm to compute perturbation approximation
- % , dr=default % method used to compute the decision rule; possible values are DEFAULT, CYCLE_REDUCTION, LOGARITHMIC_REDUCTION
- % , dr_cycle_reduction_tol = 1e-7 % convergence criterion used in the cycle reduction algorithm
- % , dr_logarithmic_reduction_maxiter = 100 % maximum number of iterations used in the logarithmic reduction algorithm
- % , dr_logarithmic_reduction_tol = 1e-12 % convergence criterion used in the cycle reduction algorithm
- % , k_order_solver % use k_order_solver in higher order perturbation approximations
- % , lyapunov = DEFAULT % algorithm used to solve lyapunov equations; possible values are DEFAULT, FIXED_POINT, DOUBLING, SQUARE_ROOT_SOLVER
- % , lyapunov_complex_threshold = 1e-15 % complex block threshold for the upper triangular matrix in symmetric Lyapunov equation solver
- % , lyapunov_fixed_point_tol = 1e-10 % convergence criterion used in the fixed point Lyapunov solver
- % , lyapunov_doubling_tol = 1e-16 % convergence criterion used in the doubling algorithm
- % , sylvester = default % algorithm to solve Sylvester equation; possible values are DEFAULT, FIXED_POINT
- % , sylvester_fixed_point_tol = 1e-12 % convergence criterion used in the fixed point Sylvester solver
- % , qz_criterium = 0.999999 % value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving first order problems [IS THIS CORRET @wmutschl]
- % , qz_zero_threshold = 1e-6 % value used to test if a generalized eigenvalue is 0/0 in the generalized Schur decomposition
- );
-@#endfor
-
-
-
diff --git a/tests/estimation/method_of_moments/RBC_MoM_Andreasen.mod b/tests/estimation/method_of_moments/RBC_MoM_Andreasen.mod
new file mode 100644
index 0000000000000000000000000000000000000000..feb47cb3a7db966a98538d123d5eaa782161c06b
--- /dev/null
+++ b/tests/estimation/method_of_moments/RBC_MoM_Andreasen.mod
@@ -0,0 +1,202 @@
+% Tests SMM and GMM routines
+%
+% Copyright (C) 2020 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
+% =========================================================================
+
+% Define testscenario
+@#define orderApp = 2
+@#define estimParams = 1
+
+% Note that we will set the numerical optimization tolerance levels very large to speed up the testsuite
+@#define optimizer = 13
+
+
+@#include "RBC_MoM_common.inc"
+
+shocks;
+var u_a; stderr 0.0072;
+end;
+
+varobs c iv n;
+
+
+@#if estimParams == 0
+estimated_params;
+ DELTA, 0.025;
+ BETTA, 0.984;
+ B, 0.5;
+ ETAc, 2;
+ ALFA, 0.667;
+ RHOA, 0.979;
+ stderr u_a, 0.0072;
+end;
+@#endif
+
+@#if estimParams == 1
+estimated_params;
+ DELTA, , 0, 1;
+ BETTA, , 0, 1;
+ B, , 0, 1;
+ ETAc, , 0, 10;
+ ALFA, , 0, 1;
+ RHOA, , 0, 1;
+ stderr u_a, , 0, 1;
+end;
+@#endif
+
+@#if estimParams == 2
+estimated_params;
+ DELTA, 0.025, 0, 1, normal_pdf, 0.02, 0.5;
+ BETTA, 0.98, 0, 1, beta_pdf, 0.90, 0.25;
+ B, 0.45, 0, 1, normal_pdf, 0.40, 0.5;
+ %ETAl, 1, 0, 10, normal_pdf, 0.25, 0.0.1;
+ ETAc, 1.8, 0, 10, normal_pdf, 1.80, 0.5;
+ ALFA, 0.65, 0, 1, normal_pdf, 0.60, 0.5;
+ RHOA, 0.95, 0, 1, normal_pdf, 0.90, 0.5;
+ stderr u_a, 0.01, 0, 1, normal_pdf, 0.01, 0.5;
+ %THETA, 3.48, 0, 10, normal_pdf, 0.25, 0.0.1;
+end;
+@#endif
+
+% Simulate data
+%stoch_simul(order=@{orderApp},pruning,nodisplay,nomoments,periods=500);
+%save('RBC_MoM_data_@{orderApp}.mat', options_.varobs{:} );
+%pause(1);
+
+
+estimated_params_init(use_calibration);
+end;
+
+%--------------------------------------------------------------------------
+% Method of Moments Estimation
+%--------------------------------------------------------------------------
+% matched_moments blocks : We don't have an interface yet
+
+% get indices in declaration order
+ic = strmatch('c', M_.endo_names,'exact');
+iiv = strmatch('iv', M_.endo_names,'exact');
+in = strmatch('n', M_.endo_names,'exact');
+% first entry: number of variable in declaration order
+% second entry: lag
+% third entry: power
+
+matched_moments_ = {
+ [ic ] [0 ], [1 ];
+ [in ] [0 ], [1 ];
+ [iiv ] [0 ], [1 ];
+
+ [ic ic ] [0 0], [1 1];
+ [ic iiv] [0 0], [1 1];
+ %[ic in ] [0 0], [1 1];
+ %[iiv ic ] [0 0], [1 1];
+ [iiv in ] [0 0], [1 1];
+ [iiv iiv] [0 0], [1 1];
+ [in ic ] [0 0], [1 1];
+ %[in iiv] [0 0], [1 1];
+ [in in ] [0 0], [1 1];
+
+ [ic ic ] [0 -1], [1 1];
+ [in in ] [0 -1], [1 1];
+ [iiv iiv] [0 -1], [1 1];
+
+ [ic ic ] [0 -3], [1 1];
+ [in in ] [0 -3], [1 1];
+ [iiv iiv] [0 -3], [1 1];
+
+ [ic ic ] [0 -5], [1 1];
+ [in in ] [0 -5], [1 1];
+ [iiv iiv] [0 -5], [1 1];
+
+};
+
+
+
+ method_of_moments(
+ % Necessery options
+ mom_method = GMM % method of moments method; possible values: GMM|SMM
+ , datafile = 'RBC_Andreasen_Data_2.mat' % name of filename with data
+
+ % Options for both GMM and SMM
+ %, bartlett_kernel_lag = 20 % bandwith in optimal weighting matrix
+ , order = 2 % order of Taylor approximation in perturbation
+ %, penalized_estimator % use penalized optimization
+ %, pruning % use pruned state space system at higher-order
+ %, verbose % display and store intermediate estimation results
+ , weighting_matrix = ['DIAGONAL','OPTIMAL'] % weighting matrix in moments distance objective function; possible values: OPTIMAL|IDENTITY_MATRIX|DIAGONAL|filename
+ %, weighting_matrix_scaling_factor=1
+ , additional_optimizer_steps = [13] % vector of additional mode-finders run after mode_compute
+ %, prefilter=0 % demean each data series by its empirical mean and use centered moments
+ %
+ % Options for SMM
+ %, bounded_shock_support % trim shocks in simulation to +- 2 stdev
+ %, drop = 500 % number of periods dropped at beginning of simulation
+ %, seed = 24051986 % seed used in simulations
+ %, simulation_multiple = 5 % multiple of the data length used for simulation
+ %, burnin = 200
+ %
+ % General options
+ %, dirname = 'MM' % directory in which to store estimation output
+ %, graph_format = EPS % specify the file format(s) for graphs saved to disk
+ %, nodisplay % do not display the graphs, but still save them to disk
+ %, nograph % do not create graphs (which implies that they are not saved to the disk nor displayed)
+ %, noprint % do not print stuff to console
+ %, plot_priors = 1 % control plotting of priors
+ %, prior_trunc = 1e-10 % probability of extreme values of the prior density that is ignored when computing bounds for the parameters
+ , TeX % print TeX tables and graphics
+ %
+ % Data and model options
+ %, first_obs = 501 % number of first observation
+ %, logdata % if loglinear is set, this option is necessary if the user provides data already in logs, otherwise the log transformation will be applied twice (this may result in complex data)
+ %, loglinear % computes a log-linear approximation of the model instead of a linear approximation
+ %, nobs = 50 % number of observations
+ % , xls_sheet = willi % name of sheet with data in Excel
+ % , xls_range = B2:D200 % range of data in Excel sheet
+ %
+ % Optimization options that can be set by the user in the mod file, otherwise default values are provided
+ %, analytic_derivation % uses analytic derivatives to compute standard errors for GMM
+ %, huge_number=1D10 % value for replacing the infinite bounds on parameters by finite numbers. Used by some optimizers for numerical reasons
+ , mode_compute = 13 % specifies the optimizer for minimization of moments distance, note that by default there is a new optimizer
+ , optim = ('TolFun', 1D-6
+ ,'TolX', 1D-6
+ ) % a list of NAME and VALUE pairs to set options for the optimization routines. Available options depend on mode_compute
+ %, silent_optimizer % run minimization of moments distance silently without displaying results or saving files in between
+ , se_tolx = 1e-6 % convergence criterion on funciton input for numerical differentiation
+ %
+ % % Numerical algorithms options
+ %, aim_solver % Use AIM algorithm to compute perturbation approximation
+ %, dr=DEFAULT % method used to compute the decision rule; possible values are DEFAULT, CYCLE_REDUCTION, LOGARITHMIC_REDUCTION
+ %, dr_cycle_reduction_tol = 1e-7 % convergence criterion used in the cycle reduction algorithm
+ %, dr_logarithmic_reduction_maxiter = 100 % maximum number of iterations used in the logarithmic reduction algorithm
+ %, dr_logarithmic_reduction_tol = 1e-12 % convergence criterion used in the cycle reduction algorithm
+ %, k_order_solver % use k_order_solver in higher order perturbation approximations
+ %, lyapunov = DEFAULT % algorithm used to solve lyapunov equations; possible values are DEFAULT, FIXED_POINT, DOUBLING, SQUARE_ROOT_SOLVER
+ %, lyapunov_complex_threshold = 1e-15 % complex block threshold for the upper triangular matrix in symmetric Lyapunov equation solver
+ %, lyapunov_fixed_point_tol = 1e-10 % convergence criterion used in the fixed point Lyapunov solver
+ %, lyapunov_doubling_tol = 1e-16 % convergence criterion used in the doubling algorithm
+ %, sylvester = default % algorithm to solve Sylvester equation; possible values are DEFAULT, FIXED_POINT
+ %, sylvester_fixed_point_tol = 1e-12 % convergence criterion used in the fixed point Sylvester solver
+ %, qz_criterium = 0.999999 % value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving first order problems [IS THIS CORRET @wmutschl]
+ %, qz_zero_threshold = 1e-6 % value used to test if a generalized eigenvalue is 0/0 in the generalized Schur decomposition
+ , mode_check
+ %, mode_check_neighbourhood_size=0.5
+ %, mode_check_symmetric_plots=0
+ %, mode_check_number_of_points=25
+ );
+
+
+
diff --git a/tests/estimation/method_of_moments/RBC_MoM_SMM_ME.mod b/tests/estimation/method_of_moments/RBC_MoM_SMM_ME.mod
index a5199c1c0bfd15d2e1a0921cbe1a00fe8354006d..a0e4ea654cd699c3db19dffc5a75645ba02f3cab 100644
--- a/tests/estimation/method_of_moments/RBC_MoM_SMM_ME.mod
+++ b/tests/estimation/method_of_moments/RBC_MoM_SMM_ME.mod
@@ -16,11 +16,11 @@
% =========================================================================
% Define testscenario
-@#define orderApp = 2
+@#define orderApp = 1
@#define estimParams = 0
% Note that we will set the numerical optimization tolerance levels very large to speed up the testsuite
-@#define optimizer = 13
+@#define optimizer = 5
@#include "RBC_MoM_common.inc"
@@ -33,14 +33,14 @@ varobs n c iv;
@#if estimParams == 0
estimated_params;
- DELTA, 0.02;
- BETTA, 0.9;
- B, 0.4;
+ DELTA, 0.025;
+ BETTA, 0.984;
+ B, 0.5;
%ETAl, 1;
- ETAc, 1.5;
- ALFA, 0.6;
- RHOA, 0.9;
- stderr u_a, 0.010;
+ ETAc, 1;
+ ALFA, 0.667;
+ RHOA, 0.979;
+ stderr u_a, 0.0072;
%THETA, 3.48;
stderr n, 0.01;
@@ -76,7 +76,7 @@ end;
@#endif
% Simulate data
-stoch_simul(order=@{orderApp},pruning,nodisplay,nomoments,periods=750,drop=500);
+stoch_simul(order=@{orderApp},pruning,nodisplay,nomoments,periods=250);
save('RBC_MoM_data_@{orderApp}.mat', options_.varobs{:} );
pause(1);
@@ -128,8 +128,10 @@ matched_moments_ = {
% , penalized_estimator % use penalized optimization
, pruning % use pruned state space system at higher-order
% , verbose % display and store intermediate estimation results
- , weighting_matrix = OPTIMAL % weighting matrix in moments distance objective function; possible values: OPTIMAL|IDENTITY_MATRIX|DIAGONAL|filename
- , additional_optimizer_steps = [4] % vector of additional mode-finders run after mode_compute
+ , weighting_matrix = ['identity_matrix'] % weighting matrix in moments distance objective function; possible values: OPTIMAL|IDENTITY_MATRIX|DIAGONAL|filename
+ , weighting_matrix_scaling_factor = 10
+ , burnin=250
+ %, additional_optimizer_steps = [4] % vector of additional mode-finders run after mode_compute
% , prefilter=0 % demean each data series by its empirical mean and use centered moments
%
% Options for SMM
diff --git a/tests/estimation/method_of_moments/RBC_MoM_prefilter.mod b/tests/estimation/method_of_moments/RBC_MoM_prefilter.mod
index de5d12d5f02a3b81520d3bd99fe36d28bc59dd0c..22924d0666800b38b523efa406562c68a75dc02b 100644
--- a/tests/estimation/method_of_moments/RBC_MoM_prefilter.mod
+++ b/tests/estimation/method_of_moments/RBC_MoM_prefilter.mod
@@ -87,7 +87,7 @@ matched_moments_ = {
% [iiv iiv] [0 -1], [1 1];
};
-weighting_matrix=diag([1000;ones(6,1)]);
+weighting_matrix=diag([1000;ones(8,1)]);
save('test_matrix.mat','weighting_matrix')
@#for mommethod in ["GMM", "SMM"]
diff --git a/tests/estimation/method_of_moments/RBC_MoM_steady_helper.m b/tests/estimation/method_of_moments/RBC_MoM_steady_helper.m
new file mode 100644
index 0000000000000000000000000000000000000000..08185c1e16ef38dedd379c6e46d726df66b545fe
--- /dev/null
+++ b/tests/estimation/method_of_moments/RBC_MoM_steady_helper.m
@@ -0,0 +1,8 @@
+function N = RBC_MoM_steady_helper(THETA,ETAl,ETAc,BETTA,B,C_O_N,W)
+if ETAc == 1 && ETAl == 1
+ N = (1-BETTA*B)*(C_O_N*(1-B))^-1*W/THETA/(1+(1-BETTA*B)*(C_O_N*(1-B))^-1*W/THETA);
+else
+ % No closed-form solution use a fixed-point algorithm
+ N0 = 1/3;
+ N = fsolve(@(N) THETA*(1-N)^(-ETAl)*N^ETAc - (1-BETTA*B)*(C_O_N*(1-B))^(-ETAc)*W, N0,optimset('Display','off','TolX',1e-12,'TolFun',1e-12));
+end
\ No newline at end of file