Add interface for SMM/GMM (#1530) · Issues · Dynare / dynare

Add interface for SMM/GMM

Add commands gmm_estimation and smm_estimation modelled like prior_function/posterior_function-commands. Syntax should be a. Command gmm_estimation(options_list) var_list_ translating to [M_,oo_,estim_params_,bayestopt_,dataset_,dataset_info]=GMM_SMM_estimation_core(var_list_,M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info,'GMM'); where var_list_ is the list of variables provided. The command smm_estimation(options_list) should lead to the same output, but with the last string being 'SMM'
The options_list should share the following options with estimation

datafile
silent_optimizer
dirname
xls_sheet
xls_range
nobs
first_obs
loglinear
logdata
nograph
graph_format
mode_file
huge_number
optim
tex
solve_algo
aim_solver
irf
irf_shocks
irf_plot_threshold
qz_zero_threshold

GMM/SMM common options written to different subfields of options_.smm or options_.gmm (depending on the respective command)

order translating to options_.gmm.order
centered_moments translating to options_.gmm.centeredmoments
verbose translating to options_.gmm.verbose
autolag translating to options_.gmm.autolag
recursive_order_estimation translating to options_.gmm.recursive_estimation
mode_compute translating to options_.gmm.mode_compute
newey_west_bandwith translating to options_.gmm.qLag
optimal_weighting_matrix translating to options_.gmm.optimal_weighting
use_prior translating to options_.gmm.use_prior

Additional options for smm_estimation only, written to options_.smm:

simulation_multiple translating to options_.smm.simulation_multiple
smm_drop translating to options_.smm.drop
seed translating to options_.smm.seed
bounded_support translating to options_.smm.bounded_support

New options to estimation, stoch_simul, and gmm_estimation/smm_estimation

analytical_GIRF translating to options_.irf_opt.generalized_irf
IRF_in_percent translating to options_.irf_opt.percent
EMAS_GIRF translating to options_.irf_opt.ergodic_mean_irf
EMAS_drop translating to options_.irf_opt.EM.drop
EMAS_tolf_ translating to options_.irf_opt.EM.tolf
EMAS_max_iter translating to options_.irf_opt.EM.iter

1. Add commands `gmm_estimation` and `smm_estimation` modelled like `prior_function/posterior_function`-commands. Syntax should be
a. Command `gmm_estimation(options_list) var_list_`
translating to
`[M_,oo_,estim_params_,bayestopt_,dataset_,dataset_info]=GMM_SMM_estimation_core(var_list_,M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info,'GMM');`
where `var_list_` is the list of variables provided.
The command `smm_estimation(options_list)` should lead to the same output, but with the last string being `'SMM' `

2. The options_list should share the following options with `estimation`

- `datafile`
- `silent_optimizer`
- `dirname`
- `xls_sheet`
- `xls_range`
- `nobs`
- `first_obs`
- `loglinear`
- `logdata`
- `nograph`
- `graph_format`
- `mode_file`
- `huge_number`
- `optim`
- `tex`
- `solve_algo`
- `aim_solver`
- `irf`
- `irf_shocks`
- `irf_plot_threshold`
- `qz_zero_threshold`

3. GMM/SMM common options written to different subfields of `options_.smm` or `options_.gmm` (depending on the respective command)

- `order` translating to `options_.gmm.order`
- `centered_moments` translating to `options_.gmm.centeredmoments`
- `verbose` translating to `options_.gmm.verbose`
- `autolag` translating to `options_.gmm.autolag`
- `recursive_order_estimation` translating to `options_.gmm.recursive_estimation`
- `mode_compute` translating to `options_.gmm.mode_compute`
- `newey_west_bandwith` translating to `options_.gmm.qLag`
- `optimal_weighting_matrix` translating to `options_.gmm.optimal_weighting`
- `use_prior` translating to `options_.gmm.use_prior`

4. Additional options for `smm_estimation` only, written to `options_.smm`:

- `simulation_multiple` translating to `options_.smm.simulation_multiple`
- `smm_drop` translating to `options_.smm.drop`
- `seed` translating to `options_.smm.seed`
- `bounded_support` translating to `options_.smm.bounded_support`

5. New options to `estimation`, `stoch_simul`, and `gmm_estimation`/`smm_estimation`

- `analytical_GIRF` translating to `options_.irf_opt.generalized_irf`
- `IRF_in_percent` translating to `options_.irf_opt.percent`
- `EMAS_GIRF` translating to `options_.irf_opt.ergodic_mean_irf`
- `EMAS_drop` translating to `options_.irf_opt.EM.drop`
- `EMAS_tolf_` translating to `options_.irf_opt.EM.tolf`
- `EMAS_max_iter` translating to `options_.irf_opt.EM.iter`