From d77d5dd695798fa66d06f1c150930fe11ee6eb2f Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Wed, 5 Jul 2017 18:03:14 +0200
Subject: [PATCH] Posterior moments: fix bug that prevented updating decision
rules for parameter vector, leading to wrong results/crashes when computing
second moments
When removing globals in 24cd4236710b452f5131b20d844a5bba991c0d3b the call to set_parameters.m, which relies on M_ being global, was not removed. The problem arises
1. When computing second moments for big models with drsize*SampleSize>MaxMegaBytes (in which case decision rules dr were not saved, but recomputed)
2. When computing the conditional variance decomposition for all models regardless of size (dsge_simulated_theoretical_conditional_variance_decomposition.m relied on the wrong M_.Sigma_e in this case)
(cherry picked from commit 0b9244dc01ef3052f23f3225194789ad0fdb574d)
---
...tical_conditional_variance_decomposition.m | 4 +-
.../dsge_simulated_theoretical_correlation.m | 2 +-
.../dsge_simulated_theoretical_covariance.m | 2 +-
...lated_theoretical_variance_decomposition.m | 2 +-
matlab/set_parameters_locally.m | 85 +++++++++++++++++++
5 files changed, 90 insertions(+), 5 deletions(-)
create mode 100644 matlab/set_parameters_locally.m
diff --git a/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m b/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m
index 1c0441361..4a2604d5b 100644
--- a/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m
+++ b/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m
@@ -109,10 +109,10 @@ for file = 1:NumberOfDrawsFiles
for linee = 1:NumberOfDraws
linea = linea+1;
if isdrsaved
- set_parameters(pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
+ M_=set_parameters_locally(M_,pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
dr = pdraws{linee,2};
else
- set_parameters(pdraws{linee,1});
+ M_=set_parameters_locally(M_,pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
if first_call
diff --git a/matlab/dsge_simulated_theoretical_correlation.m b/matlab/dsge_simulated_theoretical_correlation.m
index ae141905b..dca103166 100644
--- a/matlab/dsge_simulated_theoretical_correlation.m
+++ b/matlab/dsge_simulated_theoretical_correlation.m
@@ -106,7 +106,7 @@ for file = 1:NumberOfDrawsFiles
if isdrsaved
dr = pdraws{linee,2};
else
- set_parameters(pdraws{linee,1});
+ M_=set_parameters_locally(M_,pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
diff --git a/matlab/dsge_simulated_theoretical_covariance.m b/matlab/dsge_simulated_theoretical_covariance.m
index 304028ba5..19f56297f 100644
--- a/matlab/dsge_simulated_theoretical_covariance.m
+++ b/matlab/dsge_simulated_theoretical_covariance.m
@@ -105,7 +105,7 @@ for file = 1:NumberOfDrawsFiles
if isdrsaved
dr = pdraws{linee,2};
else
- set_parameters(pdraws{linee,1});
+ M_=set_parameters_locally(M_,pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
diff --git a/matlab/dsge_simulated_theoretical_variance_decomposition.m b/matlab/dsge_simulated_theoretical_variance_decomposition.m
index 9eb985174..3441b152e 100644
--- a/matlab/dsge_simulated_theoretical_variance_decomposition.m
+++ b/matlab/dsge_simulated_theoretical_variance_decomposition.m
@@ -113,7 +113,7 @@ for file = 1:NumberOfDrawsFiles
if isdrsaved
dr = pdraws{linee,2};
else
- set_parameters(pdraws{linee,1});
+ M_=set_parameters_locally(M_,pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
if file==1 && linee==1
diff --git a/matlab/set_parameters_locally.m b/matlab/set_parameters_locally.m
new file mode 100644
index 000000000..173e50257
--- /dev/null
+++ b/matlab/set_parameters_locally.m
@@ -0,0 +1,85 @@
+function M_=set_parameters_locally(M_,xparam1)
+
+% function M_out=set_parameters(M_,xparam1)
+% Sets parameters value (except measurement errors)
+% This is called for computations such as IRF and forecast
+% when measurement errors aren't taken into account; in contrast to
+% set_parameters.m, the global M_-structure is not altered
+%
+% INPUTS
+% xparam1: vector of parameters to be estimated (initial values)
+% M_: Dynare model-structure
+%
+% OUTPUTS
+% M_: Dynare model-structure
+%
+% SPECIAL REQUIREMENTS
+% none
+
+% Copyright (C) 2017 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/>.
+
+global estim_params_
+
+nvx = estim_params_.nvx;
+ncx = estim_params_.ncx;
+nvn = estim_params_.nvn;
+ncn = estim_params_.ncn;
+np = estim_params_.np;
+Sigma_e = M_.Sigma_e;
+Correlation_matrix = M_.Correlation_matrix;
+offset = 0;
+
+% setting shocks variance on the diagonal of Covariance matrix; used later
+% for updating covariances
+if nvx
+ var_exo = estim_params_.var_exo;
+ for i=1:nvx
+ k = var_exo(i,1);
+ Sigma_e(k,k) = xparam1(i)^2;
+ end
+end
+% and update offset
+offset = offset + nvx + nvn;
+
+% correlations amonx shocks (ncx)
+if ncx
+ corrx = estim_params_.corrx;
+ for i=1:ncx
+ k1 = corrx(i,1);
+ k2 = corrx(i,2);
+ Correlation_matrix(k1,k2) = xparam1(i+offset);
+ Correlation_matrix(k2,k1) = Correlation_matrix(k1,k2);
+ end
+end
+%build covariance matrix from correlation matrix and variances already on
+%diagonal
+Sigma_e = diag(sqrt(diag(Sigma_e)))*Correlation_matrix*diag(sqrt(diag(Sigma_e)));
+if isfield(estim_params_,'calibrated_covariances')
+ Sigma_e(estim_params_.calibrated_covariances.position)=estim_params_.calibrated_covariances.cov_value;
+end
+
+% and update offset
+offset = offset + ncx + ncn;
+
+% structural parameters
+if np
+ M_.params(estim_params_.param_vals(:,1)) = xparam1(offset+1:end);
+end
+
+M_.Sigma_e = Sigma_e;
+M_.Correlation_matrix=Correlation_matrix;
\ No newline at end of file
--
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