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dynare
dynare
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Opened by Johannes Pfeifer @JohannesPfeiferDeveloper

Add interface for SMM/GMM

  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
  1. 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
  1. 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
  1. 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