diff --git a/matlab/+mom/run.m b/matlab/+mom/run.m
index ec023fed259041253028686c26ccbb8c21271c4e..e05816bf07dd86f526eda5e295b140ff5604f23a 100644
--- a/matlab/+mom/run.m
+++ b/matlab/+mom/run.m
@@ -530,8 +530,7 @@ if any(bayestopt_laplace.pshape > 0) % prior specified
end
end
-% Check for calibrated covariances before updating parameters
-estim_params_ = check_for_calibrated_covariances(xparam0,estim_params_,M_);
+estim_params_ = check_for_calibrated_covariances(estim_params_,M_);
% Checks on parameter calibration and initialization
xparam1_calib = get_all_parameters(estim_params_,M_); %get calibrated parameters
diff --git a/matlab/check_for_calibrated_covariances.m b/matlab/check_for_calibrated_covariances.m
index 8cefe9abbd32cc533c804c9e168a9a3a4fb84bae..26034d2a43ecdac66477f9ee45abb83d4c0ca5b9 100644
--- a/matlab/check_for_calibrated_covariances.m
+++ b/matlab/check_for_calibrated_covariances.m
@@ -1,10 +1,9 @@
-function estim_params=check_for_calibrated_covariances(xparam1,estim_params,M)
-% function check_for_calibrated_covariances(xparam1,estim_params,M)
+function estim_params=check_for_calibrated_covariances(estim_params,M_)
+% function check_for_calibrated_covariances(estim_params,M)
% find calibrated covariances to consider during estimation
% Inputs
-% -xparam1 [vector] parameters to be estimated
% -estim_params [structure] describing parameters to be estimated
-% -M [structure] describing the model
+% -M_ [structure] describing the model
%
% Outputs
% -estim_params [structure] describing parameters to be estimated
@@ -12,7 +11,7 @@ function estim_params=check_for_calibrated_covariances(xparam1,estim_params,M)
% Notes: M is local to this function and not updated when calling
% set_all_parameters
-% Copyright (C) 2013-2017 Dynare Team
+% Copyright © 2013-2023 Dynare Team
%
% This file is part of Dynare.
%
@@ -28,27 +27,108 @@ function estim_params=check_for_calibrated_covariances(xparam1,estim_params,M)
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-Sigma_e_calibrated=M.Sigma_e;
-H_calibrated=M.H;
-%check covariance for structural errors
-covariance_pos=find(tril(Sigma_e_calibrated,-1)); %off-diagonal elements set by covariances before updating correlation matrix to reflect estimated covariances
-covariance_pos_ME=find(tril(H_calibrated,-1)); %off-diagonal elements set by covariances before updating correlation matrix to reflect estimated covariances
-
-%locally updated M
-M = set_all_parameters(xparam1,estim_params,M);
-
-correlation_pos=find(tril(M.Correlation_matrix,-1)); %off-diagonal elements set by correlations after accounting for estimation
-calibrated_covariance_pos=covariance_pos(~ismember(covariance_pos,correlation_pos));
-if any(calibrated_covariance_pos)
- [rows, columns]=ind2sub(size(M.Sigma_e),calibrated_covariance_pos); %find linear indices of lower triangular covariance entries
- estim_params.calibrated_covariances.position=[calibrated_covariance_pos;sub2ind(size(M.Sigma_e),columns,rows)]; %get linear entries of upper triangular parts
- estim_params.calibrated_covariances.cov_value=Sigma_e_calibrated(estim_params.calibrated_covariances.position);
-end
-
-correlation_pos_ME=find(tril(M.Correlation_matrix_ME,-1)); %off-diagonal elements set by correlations after accounting for estimation
-calibrated_covariance_pos_ME=covariance_pos_ME(~ismember(covariance_pos_ME,correlation_pos_ME));
-if any(calibrated_covariance_pos_ME)
- [rows, columns]=ind2sub(size(M.H),calibrated_covariance_pos_ME); %find linear indices of lower triangular covariance entries
- estim_params.calibrated_covariances_ME.position=[calibrated_covariance_pos_ME;sub2ind(size(M.H),columns,rows)]; %get linear entries of upper triangular parts
- estim_params.calibrated_covariances_ME.cov_value=H_calibrated(estim_params.calibrated_covariances_ME.position);
+
+if isfield(estim_params,'calibrated_covariances')
+ estim_params = rmfield(estim_params,'calibrated_covariances'); %remove if already present
+end
+if isfield(estim_params,'calibrated_covariances_ME')
+ estim_params = rmfield(estim_params,'calibrated_covariances_ME'); %remove if already present
+end
+
+[rows_calibrated, columns_calibrated]=ind2sub(size(M_.Sigma_e),find(tril(M_.Sigma_e,-1))); %find linear indices of preset lower triangular covariance entries
+
+if estim_params.ncx %delete preset entries actually estimated
+ for i=1:estim_params.ncx
+ shock_1 = estim_params.corrx(i,1);
+ shock_2 = estim_params.corrx(i,2);
+ estimated_corr_pos=find(rows_calibrated==shock_1 & columns_calibrated==shock_2);
+ if ~isempty(estimated_corr_pos)
+ rows_calibrated(estimated_corr_pos)=[];
+ columns_calibrated(estimated_corr_pos)=[];
+end
+ estimated_corr_pos=find(rows_calibrated==shock_2 & columns_calibrated==shock_1);
+ if ~isempty(estimated_corr_pos)
+ rows_calibrated(estimated_corr_pos)=[];
+ columns_calibrated(estimated_corr_pos)=[];
+ end
+ end
+ if any(rows_calibrated)
+ estim_params.calibrated_covariances.position=[sub2ind(size(M_.Sigma_e),rows_calibrated,columns_calibrated);sub2ind(size(M_.Sigma_e),columns_calibrated,rows_calibrated)]; %get linear entries of upper triangular parts
+ estim_params.calibrated_covariances.cov_value=M_.Sigma_e(estim_params.calibrated_covariances.position);
+ end
+end
+
+[rows_calibrated, columns_calibrated]=ind2sub(size(M_.H),find(tril(M_.H,-1))); %find linear indices of preset lower triangular covariance entries
+
+if estim_params.ncn %delete preset entries actually estimated
+ for i=1:estim_params.ncn
+ shock_1 = estim_params.corrn(i,1);
+ shock_2 = estim_params.corrn(i,2);
+ estimated_corr_pos=find(rows_calibrated==shock_1 & columns_calibrated==shock_2);
+ if ~isempty(estimated_corr_pos)
+ rows_calibrated(estimated_corr_pos)=[];
+ columns_calibrated(estimated_corr_pos)=[];
+end
+ estimated_corr_pos=find(rows_calibrated==shock_2 & columns_calibrated==shock_1);
+ if ~isempty(estimated_corr_pos)
+ rows_calibrated(estimated_corr_pos)=[];
+ columns_calibrated(estimated_corr_pos)=[];
+ end
+ end
+end
+if any(rows_calibrated)
+ estim_params.calibrated_covariances_ME.position=[sub2ind(size(M_.H),rows_calibrated,columns_calibrated);sub2ind(size(M_.H),columns_calibrated,rows_calibrated)]; %get linear entries of upper triangular parts
+ estim_params.calibrated_covariances_ME.cov_value=M_.H(estim_params.calibrated_covariances_ME.position);
+end
+
+return % --*-- Unit tests --*--
+
+%@test:1
+
+M_.Sigma_e=[1 0; 0 1];
+M_.H=[1 0; 0 1];
+M_.Correlation_matrix= [1 -0.5; -0.5 1];
+M_.Correlation_matrix_ME=[1 -0.5; -0.5 1];
+estim_params.ncx=1;
+estim_params.ncn=1;
+
+estim_params.corrx=[2 1 NaN -1 1 3 0 0.2000 NaN NaN NaN];
+estim_params.corrn=[2 1 NaN -1 1 3 0 0.2000 NaN NaN NaN];
+
+estim_params=check_for_calibrated_covariances(estim_params,M_);
+if isfield(estim_params,'calibrated_covariances_ME') || isfield(estim_params,'calibrated_covariances')
+ t(1)=false;
+else
+ t(1)=true;
+end
+
+M_.Sigma_e=[1 -0.1; -0.1 1];
+M_.H=[1 -0.1; -0.1 1];
+M_.Correlation_matrix= [1 -0.5; -0.5 1];
+M_.Correlation_matrix_ME=[1 0; 0 1];
+estim_params.ncx=1;
+estim_params.ncn=0;
+
+estim_params.corrx=[2 1 NaN -1 1 3 0 0.2000 NaN NaN NaN];
+estim_params.corrn=[];
+estim_params=check_for_calibrated_covariances(estim_params,M_);
+t(2)=isequal(estim_params.calibrated_covariances_ME.position,[2;3]);
+t(3)=isequal(estim_params.calibrated_covariances_ME.cov_value,[-0.1;-0.1]);
+
+M_.Sigma_e=[1 -0.1; -0.1 1];
+M_.H=[1 -0.1; -0.1 1];
+M_.Correlation_matrix= [1 -0.5; -0.5 1];
+M_.Correlation_matrix_ME=[1 0; 0 1];
+estim_params.ncx=1;
+estim_params.ncn=1;
+
+estim_params.corrx=[2 1 NaN -1 1 3 0 0.2000 NaN NaN NaN];
+estim_params.corrn=[2 1 NaN -1 1 3 0 0.2000 NaN NaN NaN];
+estim_params=check_for_calibrated_covariances(estim_params,M_);
+if isfield(estim_params,'calibrated_covariances_ME') || isfield(estim_params,'calibrated_covariances')
+ t(4)=false;
+else
+ t(4)=true;
end
+T = all(t);
+%@eof:1
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index 1322e8ce5b70516bebdeac17c45d0301f0228e27..bf93db3a92a4efe18696d8e63ab3f2f561ea3488 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -309,7 +309,7 @@ end
%check for calibrated covariances before updating parameters
if ~isempty(estim_params_) && ~(isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0)
- estim_params_=check_for_calibrated_covariances(xparam1,estim_params_,M_);
+ estim_params_=check_for_calibrated_covariances(estim_params_,M_);
end
%%read out calibration that was set in mod-file and can be used for initialization