From e0f068d63c80ce63b1e69bc7fda91bd8c65fe6ea Mon Sep 17 00:00:00 2001
From: Willi Mutschler <willi@mutschler.eu>
Date: Wed, 11 Aug 2021 17:31:24 +0200
Subject: [PATCH] MoM: Changed some defaults and cosmetical changes
//wip
(cherry picked from commit 31f3bfa3d05af8b5e4fa97c96b1c70df2c387e2e)
---
matlab/method_of_moments/method_of_moments.m | 10 +++++-----
.../method_of_moments_objective_function.m | 3 +++
2 files changed, 8 insertions(+), 5 deletions(-)
diff --git a/matlab/method_of_moments/method_of_moments.m b/matlab/method_of_moments/method_of_moments.m
index eb5579f43a..097940fefe 100644
--- a/matlab/method_of_moments/method_of_moments.m
+++ b/matlab/method_of_moments/method_of_moments.m
@@ -92,6 +92,7 @@ function [oo_, options_mom_, M_] = method_of_moments(bayestopt_, options_, oo_,
% - [ ] SMM with extended path
% - [ ] deal with measurement errors (once @wmutschl has implemented this in identification toolbox)
% - [ ] dirname option to save output to different directory not yet implemented
+% - [ ] display scaled moments
% The TeX option crashes MATLAB R2014a run with "-nodisplay" option
% (as is done from the testsuite).
@@ -151,7 +152,7 @@ if strcmp(options_mom_.mom.mom_method,'GMM') || strcmp(options_mom_.mom.mom_meth
options_mom_.mom = set_default_option(options_mom_.mom,'bartlett_kernel_lag',20); % bandwith in optimal weighting matrix
options_mom_.mom = set_default_option(options_mom_.mom,'penalized_estimator',false); % include deviation from prior mean as additional moment restriction and use prior precision as weight
options_mom_.mom = set_default_option(options_mom_.mom,'verbose',false); % display and store intermediate estimation results
- options_mom_.mom = set_default_option(options_mom_.mom,'weighting_matrix',{'DIAGONAL'; 'DIAGONAL'}); % weighting matrix in moments distance objective function at each iteration of estimation;
+ options_mom_.mom = set_default_option(options_mom_.mom,'weighting_matrix',{'DIAGONAL'; 'OPTIMAL'}); % weighting matrix in moments distance objective function at each iteration of estimation;
% possible values are 'OPTIMAL', 'IDENTITY_MATRIX' ,'DIAGONAL' or a filename. Size of cell determines stages in iterated estimation.
options_mom_.mom = set_default_option(options_mom_.mom,'weighting_matrix_scaling_factor',1); % scaling of weighting matrix in objective function
options_mom_.mom = set_default_option(options_mom_.mom,'se_tolx',1e-5); % step size for numerical computation of standard errors
@@ -166,10 +167,10 @@ if strcmp(options_mom_.mom.mom_method,'SMM')
options_mom_.mom = set_default_option(options_mom_.mom,'burnin',500); % number of periods dropped at beginning of simulation
options_mom_.mom = set_default_option(options_mom_.mom,'bounded_shock_support',false); % trim shocks in simulation to +- 2 stdev
options_mom_.mom = set_default_option(options_mom_.mom,'seed',24051986); % seed used in simulations
- options_mom_.mom = set_default_option(options_mom_.mom,'simulation_multiple',5); % multiple of the data length used for simulation
+ options_mom_.mom = set_default_option(options_mom_.mom,'simulation_multiple',7); % multiple of the data length used for simulation
if options_mom_.mom.simulation_multiple < 1
fprintf('The simulation horizon is shorter than the data. Dynare resets the simulation_multiple to 5.\n')
- options_mom_.mom.simulation_multiple = 5;
+ options_mom_.mom.simulation_multiple = 7;
end
end
if strcmp(options_mom_.mom.mom_method,'GMM')
@@ -477,7 +478,7 @@ end
bayestopt_laplace=bayestopt_;
% Check on specified priors and penalized estimation
-if any(bayestopt_laplace.pshape > 0) % prior specified, not ML
+if any(bayestopt_laplace.pshape > 0) % prior specified
if ~options_mom_.mom.penalized_estimator
fprintf('\nPriors were specified, but the penalized_estimator-option was not set.\n')
fprintf('Dynare sets penalized_estimator to 1. Conducting %s with penalty.\n',options_mom_.mom.mom_method)
@@ -835,7 +836,6 @@ if size(options_mom_.mom.weighting_matrix,1)>1 && ~(any(strcmpi('diagonal',optio
fprintf('\nYou did not specify the use of an optimal or diagonal weighting matrix. There is no point in running an iterated method of moments.\n')
end
-optim_opt0 = options_mom_.optim_opt; % store original options set by user
for stage_iter=1:size(options_mom_.mom.weighting_matrix,1)
fprintf('Estimation stage %u\n',stage_iter);
Woptflag = false;
diff --git a/matlab/method_of_moments/method_of_moments_objective_function.m b/matlab/method_of_moments/method_of_moments_objective_function.m
index 99b7d91aec..c3b1362cbf 100644
--- a/matlab/method_of_moments/method_of_moments_objective_function.m
+++ b/matlab/method_of_moments/method_of_moments_objective_function.m
@@ -20,6 +20,9 @@ function [fval, info, exit_flag, df, junk1, oo_, M_, options_mom_] = method_of_m
% o oo_: structure containing the results with the following updated fields:
% - mom.model_moments [numMom x 1] vector with model moments
% - mom.Q value of the quadratic form of the moment difference
+% - mom.model_moments_params_derivs
+% [numMom x numParams] Jacobian matrix of derivatives of model_moments with respect to estimated parameters
+% (only for GMM with analytical derivatives)
% o M_: Matlab's structure describing the model
% o options_mom_: structure information about all settings (specified by the user, preprocessor, and taken from global options_)
% -------------------------------------------------------------------------
--
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