From 2f07fa292183dbe75e461d07511a576a4332affe Mon Sep 17 00:00:00 2001
From: Willi Mutschler <willi@mutschler.eu>
Date: Thu, 21 Dec 2023 01:40:29 +0100
Subject: [PATCH] irf_matching: adaptations for new interface
---
matlab/+mom/display_comparison_moments_irfs.m | 18 ++-
matlab/+mom/graph_comparison_irfs.m | 51 ++++----
matlab/+mom/matched_irfs_blocks.m | 112 ++++++++++++++----
matlab/+mom/run.m | 4 +-
meson.build | 7 +-
.../method_of_moments/CET/cet_imh.mod | 7 --
...cet_matched_irfs_no_interface_workaround.m | 86 --------------
.../method_of_moments/CET/cet_mle.mod | 7 --
.../method_of_moments/CET/cet_model.inc | 101 +++++++++++++++-
.../method_of_moments/CET/cet_rwmh.mod | 6 -
.../method_of_moments/CET/cet_slice.mod | 6 -
.../method_of_moments/CET/cet_tarb.mod | 8 +-
12 files changed, 240 insertions(+), 173 deletions(-)
delete mode 100644 tests/estimation/method_of_moments/CET/cet_matched_irfs_no_interface_workaround.m
diff --git a/matlab/+mom/display_comparison_moments_irfs.m b/matlab/+mom/display_comparison_moments_irfs.m
index da31a4e34a..f21c745f37 100644
--- a/matlab/+mom/display_comparison_moments_irfs.m
+++ b/matlab/+mom/display_comparison_moments_irfs.m
@@ -42,9 +42,21 @@ function display_comparison_moments_irfs(M_, options_mom_, data_moments, model_m
if strcmp(options_mom_.mom.mom_method,'IRF_MATCHING')
titl = upper('Comparison of matched data IRFs and model IRFs');
headers = {'IRF','Data','Model'};
- for jm = 1:size(M_.matched_irfs,1)
- labels{jm,1} = [M_.endo_names{M_.matched_irfs{jm,1}(1)} ' ' M_.exo_names{M_.matched_irfs{jm,1}(2)} ' (' num2str(M_.matched_irfs{jm,1}(3)) ')'];
- labels_TeX{jm,1} = [M_.endo_names_tex{M_.matched_irfs{jm,1}(1)} ' ' M_.exo_names_tex{M_.matched_irfs{jm,1}(2)} ' (' num2str(M_.matched_irfs{jm,1}(3)) ')'];
+ idx = 1;
+ for jj = 1:size(M_.matched_irfs,1)
+ irf_varname = M_.matched_irfs{jj,1};
+ irf_shockname = M_.matched_irfs{jj,2};
+ % note that periods can span over multiple rows
+ IRF_PERIODS = [];
+ for kk = 1:size(M_.matched_irfs{jj,3},1)
+ irf_periods = M_.matched_irfs{jj,3}{kk,1};
+ IRF_PERIODS = [IRF_PERIODS; irf_periods(:)];
+ end
+ for hh = 1:length(IRF_PERIODS)
+ labels{idx,1} = sprintf('%s %s (%u)',irf_varname,irf_shockname,IRF_PERIODS(hh));
+ labels_TeX{idx,1} = sprintf('%s %s (%u)',M_.endo_names_tex{ismember(M_.endo_names,irf_varname)},M_.exo_names_tex{ismember(M_.exo_names,irf_shockname)},IRF_PERIODS(hh));
+ idx = idx+1;
+ end
end
else
titl = ['Comparison of matched data moments and model moments (',options_mom_.mom.mom_method,')'];
diff --git a/matlab/+mom/graph_comparison_irfs.m b/matlab/+mom/graph_comparison_irfs.m
index ee6d09e73b..5e7f574871 100644
--- a/matlab/+mom/graph_comparison_irfs.m
+++ b/matlab/+mom/graph_comparison_irfs.m
@@ -1,5 +1,5 @@
-function graph_comparison_irfs(matched_irfs,irf_model_varobs,varobs_id,irf_horizon,relative_irf,endo_names,exo_names,exo_names_tex,dname,fname,graph_format,TeX,nodisplay,figures_textwidth)
-% graph_comparison_irfs(matched_irfs,irf_model_varobs,varobs_id,irf_horizon,relative_irf,endo_names,exo_names,exo_names_tex,dname,fname,graph_format,TeX,nodisplay,figures_textwidth)
+function graph_comparison_irfs(matched_irfs,irf_model_varobs,varobs_id,irf_horizon,relative_irf,endo_names,endo_names_tex,exo_names,exo_names_tex,dname,fname,graph_format,TeX,nodisplay,figures_textwidth)
+% graph_comparison_irfs(matched_irfs,irf_model_varobs,varobs_id,irf_horizon,relative_irf,endo_names,endo_names_tex,exo_names,exo_names_tex,dname,fname,graph_format,TeX,nodisplay,figures_textwidth)
% -------------------------------------------------------------------------
% Plots and saves to disk the comparison of the selected data IRFs and corresponding model IRfs
% -------------------------------------------------------------------------
@@ -10,6 +10,7 @@ function graph_comparison_irfs(matched_irfs,irf_model_varobs,varobs_id,irf_horiz
% irf_horizon: [scalar] maximum horizon of IRFs
% relative_irf: [boolean] if true, plots normalized IRFs
% endo_names: [cell] names of endogenous variables
+% endo_names_tex: [cell] names of endogenous variables in latex
% exo_names: [cell] names of exogenous variables
% exo_names_tex: [cell] names of exogenous variables in latex
% dname: [string] name of the directory where to save the graphs
@@ -59,40 +60,48 @@ if TeX && any(strcmp('eps',cellstr(graph_format)))
fprintf(fid_TeX,['%% ' datestr(now,0) '\n']);
fprintf(fid_TeX,' \n');
end
-shock_entries = cellfun(@(x) x(2), matched_irfs(:, 1));
-unique_shock_entries = unique(shock_entries);
+unique_shock_entries = unique(matched_irfs(:, 2));
colDarkGrey = [0.3, 0.3, 0.3]; % dark grey
-for jexo = unique_shock_entries'
- entries_data_irfs = find(cellfun(@(x) x(2) == jexo, matched_irfs(:, 1)));
- unique_variables = unique(cellfun(@(x) x(1), matched_irfs(entries_data_irfs,1)));
+for jexo = unique_shock_entries' % loop over cell with shock names
+ unique_variables = unique(matched_irfs(ismember(matched_irfs(:, 2),jexo), 1));
[nbplt,nr,nc,lr,lc,nstar] = pltorg(length(unique_variables));
fig = 0;
for jvar = 1:length(unique_variables)
+ % get data points, note that periods and values can span over multiple rows
+ jj = ismember(matched_irfs(:,1), unique_variables(jvar)) & ismember(matched_irfs(:,2), jexo);
+ IRF_PERIODS = []; IRF_VALUES = [];
+ for kk = 1:size(matched_irfs{jj,3},1)
+ irf_periods = matched_irfs{jj,3}{kk,1};
+ irf_values = matched_irfs{jj,3}{kk,2};
+ if length(irf_values)==1
+ irf_values = repmat(irf_values,length(irf_periods),1);
+ end
+ IRF_PERIODS = [IRF_PERIODS; irf_periods(:)];
+ IRF_VALUES = [IRF_VALUES; irf_values(:)];
+ end
+
if jvar==1 || ~( (fig-1)*nstar<jvar && jvar<=fig*nstar )
fig = fig+1;
- fig_irf = dyn_figure(nodisplay,'Name',['IRF matching shock to ' exo_names{jexo} ' figure ' int2str(fig)]);
+ fig_irf = dyn_figure(nodisplay,'Name',['IRF matching shock to ' jexo{:} ' figure ' int2str(fig)]);
end
- plt = jvar-(fig-1)*nstar;
- data_irf_rows = find(cellfun(@(x) x(1) == unique_variables(jvar) && x(2) == jexo, matched_irfs(:, 1)));
- data_irf_periods = cellfun(@(x) x(3), matched_irfs(data_irf_rows,1));
- data_irf_values = cell2mat(matched_irfs(data_irf_rows,2));
+ plt = jvar-(fig-1)*nstar;
if nbplt>1 && fig==nbplt
subplot(lr,lc,plt);
else
subplot(nr,nc,plt);
end
- plt_data = plot(data_irf_periods,data_irf_values,'h', 'MarkerEdgeColor',colDarkGrey,'MarkerFaceColor',colDarkGrey,'MarkerSize',8);
+ plt_data = plot(IRF_PERIODS,IRF_VALUES,'h', 'MarkerEdgeColor',colDarkGrey,'MarkerFaceColor',colDarkGrey,'MarkerSize',8);
hold on
- plt_model = plot(1:irf_horizon, irf_model_varobs(:,varobs_id==unique_variables(jvar),jexo),'-k','linewidth',2);
+ plt_model = plot(1:irf_horizon, irf_model_varobs(:,varobs_id==find(ismember(endo_names,unique_variables(jvar))) , ismember(exo_names,jexo)),'-k','linewidth',2);
hold on
plot([1 irf_horizon],[0 0],'-r','linewidth',1);
hold off
xlim([1 irf_horizon]);
remove_fractional_xticks
if TeX
- title(['$' endo_names{unique_variables(jvar)} '$'],'Interpreter','latex');
+ title(['$' endo_names_tex{ismember(endo_names,unique_variables(jvar))} '$'],'Interpreter','latex');
else
- title(endo_names{unique_variables(jvar)},'Interpreter','none');
+ title(unique_variables{jvar},'Interpreter','none');
end
set(gca,'FontSize',12);
if (plt==nstar) || jvar==length(unique_variables)
@@ -101,17 +110,17 @@ for jexo = unique_shock_entries'
lgd = legend([plt_data,plt_model],{'Data', 'Model'}, 'Location', 'southeast','NumColumns',2,'FontSize',14);
lgd.Position = [0.37 0.01 lgd.Position(3) lgd.Position(4)];
- dyn_saveas(fig_irf,[graph_directory_name filesep fname '_matched_irf_' exo_names{jexo} int2str(fig)],nodisplay,graph_format);
+ dyn_saveas(fig_irf,[graph_directory_name filesep fname '_matched_irf_' jexo{:} int2str(fig)],nodisplay,graph_format);
if TeX && any(strcmp('eps',cellstr(graph_format)))
fprintf(fid_TeX,'\\begin{figure}[H]\n');
fprintf(fid_TeX,'\\centering \n');
- fprintf(fid_TeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_matched_irf_%s%s}\n',figures_textwidth*min(plt/nc,1),[graph_directory_name '/' fname],exo_names{jexo},int2str(fig));
+ fprintf(fid_TeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_matched_irf_%s%s}\n',figures_textwidth*min(plt/nc,1),[graph_directory_name '/' fname],jexo{:},int2str(fig));
if relative_irf
- fprintf(fid_TeX,'\\caption{Relative impulse response functions (orthogonalized shock to $%s$).}', exo_names_tex{jexo});
+ fprintf(fid_TeX,'\\caption{Relative impulse response functions (orthogonalized shock to $%s$).}', jexo{:});
else
- fprintf(fid_TeX,'\\caption{Impulse response functions (orthogonalized shock to $%s$).}', exo_names_tex{jexo});
+ fprintf(fid_TeX,'\\caption{Impulse response functions (orthogonalized shock to $%s$).}', jexo{:});
end
- fprintf(fid_TeX,'\\label{Fig:MatchedIRF:%s:%s}\n', exo_names{jexo},int2str(fig));
+ fprintf(fid_TeX,'\\label{Fig:MatchedIRF:%s:%s}\n', jexo{:},int2str(fig));
fprintf(fid_TeX,'\\end{figure}\n');
fprintf(fid_TeX,' \n');
end
diff --git a/matlab/+mom/matched_irfs_blocks.m b/matlab/+mom/matched_irfs_blocks.m
index cce2d82781..ed8f01aa8f 100644
--- a/matlab/+mom/matched_irfs_blocks.m
+++ b/matlab/+mom/matched_irfs_blocks.m
@@ -1,5 +1,5 @@
-function [data_irfs, weight_mat, irf_index, max_irf_horizon] = matched_irfs_blocks(matched_irfs, matched_irfs_weight, varobs_id, obs_nbr, exo_nbr, endo_names)
-% [data_irfs, weight_mat, irf_index, max_irf_horizon] = matched_irfs_blocks(matched_irfs, matched_irfs_weight, varobs_id, obs_nbr, exo_nbr, endo_names)
+function [data_irfs, weight_mat, irf_index, max_irf_horizon] = matched_irfs_blocks(matched_irfs, matched_irfs_weight, varobs_id, obs_nbr, exo_nbr, endo_names, exo_names)
+% [data_irfs, weight_mat, irf_index, max_irf_horizon] = matched_irfs_blocks(matched_irfs, matched_irfs_weight, varobs_id, obs_nbr, exo_nbr, endo_names, exo_names)
% -------------------------------------------------------------------------
% Checks and transforms matched_irfs and matched_irfs_weight blocks
% for further use in the estimation.
@@ -10,7 +10,8 @@ function [data_irfs, weight_mat, irf_index, max_irf_horizon] = matched_irfs_bloc
% varobs_id: [vector] index for observable variables in endo_names
% obs_nbr: [scalar] number of observable variables
% exo_nbr: [scalar] number of exogenous variables
-% endo_names: [cell array] list of endogenous variables
+% endo_names: [cell array] names of endogenous variables
+% exo_names: [cell array] names of exogenous variables
% -------------------------------------------------------------------------
% OUTPUT
% data_irfs: [matrix] IRFs for VAROBS as declared in matched_irfs block
@@ -39,29 +40,78 @@ function [data_irfs, weight_mat, irf_index, max_irf_horizon] = matched_irfs_bloc
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
+% note matched_irfs block:
+% - each row in the cell contains a unique combination of var and varexo,
+% however the third column in each row is a nested cell with information
+% on periods, values and weights
+% - periods, values and weights can span several rows with different lengths of entries
+% - in some cases we need to duplicate values and/or weights
+% - at the end we want to have everything vectorized and the same length
-max_irf_horizon = max(cellfun(@(x) x(end), matched_irfs(:,1))); % get maximum IRF horizon
-% create full matrix where 1st dimension are IRF periods, 2nd dimension are variables as declared in VAROBS, 3rd dimension are shocks.
+% get maximum IRF horizons
+max_irf_horizon = [];
+for jj = 1:size(matched_irfs,1)
+ max_irf_horizon = [max_irf_horizon; cell2mat(cellfun(@(c) c(:), matched_irfs{jj,3}(:,1), 'UniformOutput', false))];
+end
+max_irf_horizon = max(max_irf_horizon);
+
+% create full matrix where 1st dimension are IRF periods, 2nd dimension are variables as declared in VAROBS, 3rd dimension are shocks
+% idea: overwrite NaN values if they are declared in matched_irfs block; at the end the remaining NaN values will be removed
data_irfs = NaN(max_irf_horizon,obs_nbr,exo_nbr);
-% overwrite NaN values if they are declared in matched_irfs block; remaining NaN values will be later ignored in the matching
+% create full empirical weighting matrix, identity matrix by default, i.e. all IRFs are equally important
+% idea: first specify full matrix and then reduce it using only entries that are declared in matched_irfs block
+weight_mat = speye(max_irf_horizon*obs_nbr*exo_nbr);
+
for jj = 1:size(matched_irfs,1)
- id_var = matched_irfs{jj,1}(1);
+ id_var = find(ismember(endo_names,matched_irfs{jj,1}));
id_varobs = find(varobs_id==id_var,1);
- id_shock = matched_irfs{jj,1}(2);
- id_irf_period = matched_irfs{jj,1}(3);
- irf_value = matched_irfs{jj,2};
+ id_shock = find(ismember(exo_names,matched_irfs{jj,2}));
if isempty(id_varobs)
skipline;
error('method_of_moments: You specified an IRF matching involving variable %s, but it is not declared as a varobs!',endo_names{id_var})
+ end
+ IRF_PERIODS = []; IRF_VALUES = []; IRF_WEIGHTS = [];
+ for kk = 1:size(matched_irfs{jj,3},1)
+ irf_periods = matched_irfs{jj,3}{kk,1};
+ if length(unique(irf_periods)) < length(irf_periods) % row-specific check for unique periods
+ error('method_of_moments: You specified an IRF matching involving variable %s and shock %s, but there were duplicate ''periods'' in the specification!',endo_names{id_var},exo_names{id_shock});
+ end
+ irf_values = matched_irfs{jj,3}{kk,2};
+ if length(irf_values)==1
+ irf_values = repmat(irf_values,length(irf_periods),1);
+ end
+ if length(irf_periods) ~= length(irf_values) % row-specific check for enough values
+ error('method_of_moments: You specified an IRF matching involving variable %s and shock %s, but the length of ''periods'' does not match the length of ''values''!',endo_names{id_var},exo_names{id_shock});
+ end
+ irf_weights = matched_irfs{jj,3}{kk,3};
+ if length(irf_weights)==1
+ irf_weights = repmat(irf_weights,length(irf_periods),1);
+ end
+ if length(irf_periods) ~= length(irf_weights) % row-specific check for enough weights
+ error('method_of_moments: You specified an IRF matching involving variable %s and shock %s, but the length of ''periods'' does not match the length of ''weights''!',endo_names{id_var},exo_names{id_shock});
+ end
+ IRF_PERIODS = [IRF_PERIODS; irf_periods(:)];
+ IRF_VALUES = [IRF_VALUES; irf_values(:)];
+ IRF_WEIGHTS = [IRF_WEIGHTS; irf_weights(:)];
+ end
+ if length(unique(irf_periods)) < length(irf_periods) % overall check for unique periods
+ error('method_of_moments: You specified an IRF matching involving variable %s and shock %s, but there were duplicate ''periods'' in the specification!',endo_names{id_var},exo_names{id_shock});
+ end
+ for hh = 1:length(IRF_PERIODS)
+ data_irfs(IRF_PERIODS(hh),id_varobs,id_shock) = IRF_VALUES(hh);
+ if IRF_WEIGHTS(hh) ~= 1
+ idweight_mat = sub2ind(size(data_irfs),IRF_PERIODS(hh),id_varobs,id_shock);
+ weight_mat(idweight_mat,idweight_mat) = IRF_WEIGHTS(hh);
+ end
end
- data_irfs(id_irf_period,id_varobs,id_shock) = irf_value;
end
-% create (full) empirical weighting matrix
-weight_mat = eye(max_irf_horizon*obs_nbr*exo_nbr); % identity matrix by default: all IRFs are equally important
+
+% fine-tune weighting matrix using matched_irfs_weights
for jj = 1:size(matched_irfs_weight,1)
- id_var1 = matched_irfs_weight{jj,1}(1); id_varobs1 = find(varobs_id==id_var1,1); id_shock1 = matched_irfs_weight{jj,1}(2); id_irf_period1 = matched_irfs_weight{jj,1}(3);
- id_var2 = matched_irfs_weight{jj,2}(1); id_varobs2 = find(varobs_id==id_var2,1); id_shock2 = matched_irfs_weight{jj,2}(2); id_irf_period2 = matched_irfs_weight{jj,2}(3);
- weight_mat_value = matched_irfs_weight{jj,3};
+ id_var1 = find(ismember(endo_names,matched_irfs_weight{jj,1}));
+ id_var2 = find(ismember(endo_names,matched_irfs_weight{jj,4}));
+ id_varobs1 = find(varobs_id==id_var1,1);
+ id_varobs2 = find(varobs_id==id_var2,1);
if isempty(id_varobs1)
skipline;
error('method_of_moments: You specified a weight for an IRF matching involving variable %s, but it is not a varobs!',endo_names{id_var1})
@@ -70,12 +120,32 @@ for jj = 1:size(matched_irfs_weight,1)
skipline;
error('method_of_moments: You specified a weight for an IRF matching involving variable %s, but it is not a varobs!',endo_names{id_var2})
end
- idweight_mat1 = sub2ind(size(data_irfs),id_irf_period1,id_varobs1,id_shock1);
- idweight_mat2 = sub2ind(size(data_irfs),id_irf_period2,id_varobs2,id_shock2);
- weight_mat(idweight_mat1,idweight_mat2) = weight_mat_value;
- weight_mat(idweight_mat2,idweight_mat1) = weight_mat_value; % symmetry
+ id_shock1 = find(ismember(exo_names,matched_irfs_weight{jj,3}));
+ id_shock2 = find(ismember(exo_names,matched_irfs_weight{jj,6}));
+ irf_periods1 = matched_irfs_weight{jj,2};
+ irf_periods2 = matched_irfs_weight{jj,5};
+ if length(irf_periods1) ~= length(irf_periods2)
+ error('method_of_moments: You specified a ''matched_irfs_weights'' entry for an IRF matching involving %s/%s and %s/%s,\n but the horizons do not have the same length!',endo_names{id_var1},exo_names{id_shock1},endo_names{id_var2},exo_names{id_shock2});
+ end
+ if max([irf_periods1(:);irf_periods2(:)]) > max_irf_horizon
+ error('method_of_moments: You specified a ''matched_irfs_weights'' entry for an IRF matching involving %s/%s and %s/%s,\n but the horizon is larger than the maximum one declared in the ''matched_irfs'' block!',endo_names{id_var1},exo_names{id_shock1},endo_names{id_var2},exo_names{id_shock2});
+ end
+ weight_mat_values = matched_irfs_weight{jj,7};
+ if length(weight_mat_values)==1 && length(irf_periods1)>1
+ weight_mat_values = repmat(weight_mat_values,length(irf_periods1),1);
+ end
+ if length(weight_mat_values) ~= length(irf_periods1)
+ error('method_of_moments: You specified a ''matched_irfs_weights'' entry for an IRF matching involving %s/%s and %s/%s,\n but the horizons do not match the length of ''weights''!',endo_names{id_var1},exo_names{id_shock1},endo_names{id_var2},exo_names{id_shock2});
+ end
+ for hh = 1:length(irf_periods1)
+ idweight_mat1 = sub2ind(size(data_irfs),irf_periods1(hh),id_varobs1,id_shock1);
+ idweight_mat2 = sub2ind(size(data_irfs),irf_periods2(hh),id_varobs2,id_shock2);
+ weight_mat(idweight_mat1,idweight_mat2) = weight_mat_values(hh);
+ weight_mat(idweight_mat2,idweight_mat1) = weight_mat_values(hh); % symmetry
+ end
end
-% focus only on specified IRFs
+
+% remove non-specified IRFs
irf_index = find(~isnan(data_irfs));
data_irfs = data_irfs(irf_index);
weight_mat = weight_mat(irf_index,irf_index);
\ No newline at end of file
diff --git a/matlab/+mom/run.m b/matlab/+mom/run.m
index c53d3aece5..19b1a6206b 100644
--- a/matlab/+mom/run.m
+++ b/matlab/+mom/run.m
@@ -230,7 +230,7 @@ end
% matched_irfs: checks and transformations
% -------------------------------------------------------------------------
if strcmp(options_mom_.mom.mom_method,'IRF_MATCHING')
- [oo_.mom.data_moments, oo_.mom.weighting_info.W, options_mom_.mom.irfIndex, options_mom_.irf] = mom.matched_irfs_blocks(M_.matched_irfs, M_.matched_irfs_weights, options_mom_.varobs_id, options_mom_.obs_nbr, M_.exo_nbr, M_.endo_names);
+ [oo_.mom.data_moments, oo_.mom.weighting_info.W, options_mom_.mom.irfIndex, options_mom_.irf] = mom.matched_irfs_blocks(M_.matched_irfs, M_.matched_irfs_weights, options_mom_.varobs_id, options_mom_.obs_nbr, M_.exo_nbr, M_.endo_names, M_.exo_names);
% compute inverse of weighting matrix
try
oo_.mom.weighting_info.Winv = inv(oo_.mom.weighting_info.W);
@@ -799,7 +799,7 @@ if strcmp(options_mom_.mom.mom_method,'SMM') || strcmp(options_mom_.mom.mom_meth
oo_.mom.J_test = mom.Jtest(xparam1, objective_function, oo_.mom.Q, oo_.mom.model_moments, oo_.mom.m_data, oo_.mom.data_moments, oo_.mom.weighting_info, options_mom_, M_, estim_params_, bayestopt_, BoundsInfo, oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
elseif strcmp(options_mom_.mom.mom_method,'IRF_MATCHING')
if ~options_mom_.nograph
- mom.graph_comparison_irfs(M_.matched_irfs,oo_.mom.irf_model_varobs,options_mom_.varobs_id,options_mom_.irf,options_mom_.relative_irf,M_.endo_names,M_.exo_names,M_.exo_names_tex,M_.dname,M_.fname,options_mom_.graph_format,options_mom_.TeX,options_mom_.nodisplay,options_mom_.figures.textwidth)
+ mom.graph_comparison_irfs(M_.matched_irfs,oo_.mom.irf_model_varobs,options_mom_.varobs_id,options_mom_.irf,options_mom_.relative_irf,M_.endo_names,M_.endo_names_tex,M_.exo_names,M_.exo_names_tex,M_.dname,M_.fname,options_mom_.graph_format,options_mom_.TeX,options_mom_.nodisplay,options_mom_.figures.textwidth)
end
end
% display comparison of model moments/IRFs and data moments/IRFs
diff --git a/meson.build b/meson.build
index 65d6775600..8e9d27d68e 100644
--- a/meson.build
+++ b/meson.build
@@ -910,39 +910,34 @@ mod_and_m_tests = [
{ 'test' : [ 'estimation/method_of_moments/AFVRR/AFVRR_MFB_RRA.mod' ],
'extra' : [ 'estimation/method_of_moments/AFVRR/AFVRR_common.inc',
'estimation/method_of_moments/AFVRR/AFVRR_data.mat',
- 'estimation/method_of_moments/AFVRR/AFVRR_steady_helper.m' ] },
+ 'estimation/method_of_moments/AFVRR/AFVRR_steady_helper.m' ] },
{ 'test' : [ 'estimation/method_of_moments/CET/cet_imh.mod' ],
'extra' : [ 'estimation/method_of_moments/CET/cet_data.mat',
'estimation/method_of_moments/CET/cet_irf_matching_file.m',
- 'estimation/method_of_moments/CET/cet_matched_irfs_no_interface_workaround.m',
'estimation/method_of_moments/CET/cet_model.inc',
'estimation/method_of_moments/CET/cet_original_mode.mat',
'estimation/method_of_moments/CET/cet_steady_helper.m' ] },
{ 'test' : [ 'estimation/method_of_moments/CET/cet_mle.mod' ],
'extra' : [ 'estimation/method_of_moments/CET/cet_data.mat',
'estimation/method_of_moments/CET/cet_irf_matching_file.m',
- 'estimation/method_of_moments/CET/cet_matched_irfs_no_interface_workaround.m',
'estimation/method_of_moments/CET/cet_model.inc',
'estimation/method_of_moments/CET/cet_original_mode.mat',
'estimation/method_of_moments/CET/cet_steady_helper.m' ] },
{ 'test' : [ 'estimation/method_of_moments/CET/cet_rwmh.mod' ],
'extra' : [ 'estimation/method_of_moments/CET/cet_data.mat',
'estimation/method_of_moments/CET/cet_irf_matching_file.m',
- 'estimation/method_of_moments/CET/cet_matched_irfs_no_interface_workaround.m',
'estimation/method_of_moments/CET/cet_model.inc',
'estimation/method_of_moments/CET/cet_original_mode.mat',
'estimation/method_of_moments/CET/cet_steady_helper.m' ] },
{ 'test' : [ 'estimation/method_of_moments/CET/cet_slice.mod' ],
'extra' : [ 'estimation/method_of_moments/CET/cet_data.mat',
'estimation/method_of_moments/CET/cet_irf_matching_file.m',
- 'estimation/method_of_moments/CET/cet_matched_irfs_no_interface_workaround.m',
'estimation/method_of_moments/CET/cet_model.inc',
'estimation/method_of_moments/CET/cet_original_mode.mat',
'estimation/method_of_moments/CET/cet_steady_helper.m' ] },
{ 'test' : [ 'estimation/method_of_moments/CET/cet_tarb.mod' ],
'extra' : [ 'estimation/method_of_moments/CET/cet_data.mat',
'estimation/method_of_moments/CET/cet_irf_matching_file.m',
- 'estimation/method_of_moments/CET/cet_matched_irfs_no_interface_workaround.m',
'estimation/method_of_moments/CET/cet_model.inc',
'estimation/method_of_moments/CET/cet_original_mode.mat',
'estimation/method_of_moments/CET/cet_steady_helper.m' ] },
diff --git a/tests/estimation/method_of_moments/CET/cet_imh.mod b/tests/estimation/method_of_moments/CET/cet_imh.mod
index 44d91a7ee3..f2cacb89a8 100644
--- a/tests/estimation/method_of_moments/CET/cet_imh.mod
+++ b/tests/estimation/method_of_moments/CET/cet_imh.mod
@@ -25,13 +25,6 @@
options_.prior_interval= 0.95;
-
-%%%%%%%%%%%%%%%%%%%%%%
-%% NO INTERFACE YET %%
-%%%%%%%%%%%%%%%%%%%%%%
-[M_.matched_irfs, M_.matched_irfs_weights] = cet_matched_irfs_no_interface_workaround(M_.endo_names,M_.exo_names);
-
-
method_of_moments(mom_method = irf_matching
%, add_tiny_number_to_cholesky = 1e-14
%, additional_optimizer_steps = [4]
diff --git a/tests/estimation/method_of_moments/CET/cet_matched_irfs_no_interface_workaround.m b/tests/estimation/method_of_moments/CET/cet_matched_irfs_no_interface_workaround.m
deleted file mode 100644
index 5f8bf190d8..0000000000
--- a/tests/estimation/method_of_moments/CET/cet_matched_irfs_no_interface_workaround.m
+++ /dev/null
@@ -1,86 +0,0 @@
-function [matched_irfs, matched_irfs_weights] = cet_matched_irfs_no_interface_workaround(endo_names,exo_names)
-% [matched_irfs, matched_irfs_weights] = cet_matched_irfs_no_interface_workaround(endo_names,exo_names)
-% -------------------------------------------------------------------------
-% Based on replication codes for Christiano, Eichenbaum, Trabandt (2016, Econometrica) - Unemployment and the Business Cycle
-% This currently replaces the interface for the IRF Matching capabilities of the method_of_moments toolbox.
-% -------------------------------------------------------------------------
-
-% Copyright © 2023 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 <https://www.gnu.org/licenses/>.
-
-%% settings
-irf_horizon = 15; % horizon of impulse responses to match
-do_monetary_shock_only = 0; % if = 0 all shocks are used in estimation
-
-%% load VAR impulse responses from Christiano, Trabandt and Walentin (2010)- Handbook of Monetary Economics Chapter
-% IRFFF: impulse responses with respect to monetary policy shock
-% IRFFz: impulse responses with respect to neutral tech shock
-% IRFFu: impulse responses with respect to invest tech shock
-% IRFFFSE, IRFzSE, IRFuSE contain the corresponding estimated standard errors
-% dimensions: rows are periods, columns are variables:
-% - column 1: gdp corresponds to GDPAGG + cumsum(muF)
-% - column 2: inflation corresponds to piAGG
-% - column 3: federal funds rate corresponds to RAGG
-% - column 4: capacity utilization corresponds to ukAGG
-% - column 5: total hours corresponds to lAGG
-% - column 6: real wage corresponds to wAGG + cumsum(muF)
-% - column 7: consumption corresponds to cAGG + cumsum(muF)
-% - column 7: investment corresponds to iAGG + cumsum(muF) + cumsum(mupsiF)
-% - column 8: rel. price investment corresponds to cumsum(pinvestAGG)
-% - column 10: unemployment rate corresponds to unempAGG
-% - column 11: vacancies corresponds to vTotAGG*u
-% - column 12: labor force
-% - column 13: separation rate
-% - column 14: job finding rate corresponds to fAGG*f
-load('cet_data','IRFz','IRFzSE','IRFFF','IRFFFSE','IRFu','IRFuSE');
-
-%% map empirical irf data to a model variable
-% note that any further required transformations or manipulations to model variables (such as cumsum, adding muF and mupsiF)
-% as well as selection of which periods to match occurs in an extra function cet_irf_matching_file.m
-% if no such function is given then the mapping is exact and the whole horizon will be considered
-
-% irfs with respect to monetary shock
-if do_monetary_shock_only
- SHOCKNAMES = {'epsR_eps'};
-else
- SHOCKNAMES = {'epsR_eps', 'muz_eps', 'mupsi_eps'};
-end
-VARNAMES = {'GDPAGG' 'piAGG' 'RAGG' 'ukAGG' 'lAGG' 'wAGG' 'cAGG' 'iAGG' 'pinvestAGG' 'unempAGG' 'vTotAGG' 'fAGG'};
-RESCALE = [1 400 400 1 1 1 1 1 1 100 1 100 ];
-idx=1;
-for jexo = 1:length(SHOCKNAMES)
- id_shock = strmatch(SHOCKNAMES{jexo},exo_names);
- if SHOCKNAMES{jexo}=="epsR_eps"
- IRF = -1*IRFFF(:,[1:11 14]); IRFSE = IRFFFSE(:,[1:11 14]);
- elseif SHOCKNAMES{jexo}=="muz_eps"
- IRF = IRFz(:,[1:11 14]); IRFSE = IRFzSE(:,[1:11 14]);
- elseif SHOCKNAMES{jexo}=="mupsi_eps"
- IRF = IRFu(:,[1:11 14]); IRFSE = IRFuSE(:,[1:11 14]);
- end
- for jvar = 1:length(VARNAMES)
- id_var = strmatch(VARNAMES{jvar},endo_names);
- for jirf=1:irf_horizon
- if IRF(jirf,jvar) ~= 0
- matched_irfs(idx,:) = {[id_var, id_shock, jirf], IRF(jirf,jvar)/RESCALE(jvar)};
- matched_irfs_weights(idx,:) = {[id_var, id_shock, jirf], [id_var, id_shock, jirf], 1/(IRFSE(jirf,jvar)/RESCALE(jvar))^2 };
- idx = idx+1;
- end
- end
- end
-end
-
-end
\ No newline at end of file
diff --git a/tests/estimation/method_of_moments/CET/cet_mle.mod b/tests/estimation/method_of_moments/CET/cet_mle.mod
index bf7057584e..a05a44b0eb 100644
--- a/tests/estimation/method_of_moments/CET/cet_mle.mod
+++ b/tests/estimation/method_of_moments/CET/cet_mle.mod
@@ -24,13 +24,6 @@
options_.prior_interval= 0.95;
-
-%%%%%%%%%%%%%%%%%%%%%%
-%% NO INTERFACE YET %%
-%%%%%%%%%%%%%%%%%%%%%%
-[M_.matched_irfs, M_.matched_irfs_weights] = cet_matched_irfs_no_interface_workaround(M_.endo_names,M_.exo_names);
-
-
method_of_moments(mom_method = irf_matching
%, add_tiny_number_to_cholesky = 1e-14
%, additional_optimizer_steps = [4]
diff --git a/tests/estimation/method_of_moments/CET/cet_model.inc b/tests/estimation/method_of_moments/CET/cet_model.inc
index 678d6fe070..3e19aed60e 100644
--- a/tests/estimation/method_of_moments/CET/cet_model.inc
+++ b/tests/estimation/method_of_moments/CET/cet_model.inc
@@ -742,4 +742,103 @@ rhomupsi , , , , beta_pdf , 0.75, 0.100;
end;
@#endif
-varobs GDPAGG piAGG RAGG ukAGG lAGG wAGG cAGG iAGG pinvestAGG unempAGG vTotAGG fAGG;
\ No newline at end of file
+varobs GDPAGG piAGG RAGG ukAGG lAGG wAGG cAGG iAGG pinvestAGG unempAGG vTotAGG fAGG;
+
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+%% IRF DATA TRANSFORMATIONS %%
+%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
+load('cet_data','IRFz','IRFzSE','IRFFF','IRFFFSE','IRFu','IRFuSE');
+% IRFFF: impulse responses with respect to monetary policy shock
+% IRFFz: impulse responses with respect to neutral tech shock
+% IRFFu: impulse responses with respect to invest tech shock
+% IRFFFSE, IRFzSE, IRFuSE contain the corresponding estimated standard errors
+% dimensions: rows are periods, columns are variables:
+% - column 1: gdp corresponds to GDPAGG + cumsum(muF)
+% - column 2: inflation corresponds to piAGG
+% - column 3: federal funds rate corresponds to RAGG
+% - column 4: capacity utilization corresponds to ukAGG
+% - column 5: total hours corresponds to lAGG
+% - column 6: real wage corresponds to wAGG + cumsum(muF)
+% - column 7: consumption corresponds to cAGG + cumsum(muF)
+% - column 7: investment corresponds to iAGG + cumsum(muF) + cumsum(mupsiF)
+% - column 8: rel. price investment corresponds to cumsum(pinvestAGG)
+% - column 10: unemployment rate corresponds to unempAGG
+% - column 11: vacancies corresponds to vTotAGG*u
+% - column 12: labor force
+% - column 13: separation rate
+% - column 14: job finding rate corresponds to fAGG*f
+% transformations will be done in cet_irf_matching_file.m
+
+% change sign of monetary policy shock irfs
+IRFFF = -1*IRFFF;
+% rescale some irfs
+IRFFF(:,[2 3] ) = IRFFF(:,[2 3] )./400; IRFFFSE(:,[2 3] ) = IRFFFSE(:,[2 3] )./400;
+IRFFF(:,[10 14]) = IRFFF(:,[10 14])./100; IRFFFSE(:,[10 14]) = IRFFFSE(:,[10 14])./100;
+IRFz( :,[2 3] ) = IRFz( :,[2 3] )./400; IRFzSE( :,[2 3] ) = IRFzSE( :,[2 3] )./400;
+IRFz( :,[10 14]) = IRFz( :,[10 14])./100; IRFzSE( :,[10 14]) = IRFzSE( :,[10 14])./100;
+IRFu( :,[2 3] ) = IRFu( :,[2 3] )./400; IRFuSE( :,[2 3] ) = IRFuSE( :,[2 3] )./400;
+IRFu( :,[10 14]) = IRFu( :,[10 14])./100; IRFuSE( :,[10 14]) = IRFuSE( :,[10 14])./100;
+
+%%%%%%%%%%%%%%%%%%%%%%%%
+%% MATCHED_IRFS BLOCK %%
+%%%%%%%%%%%%%%%%%%%%%%%%
+% use anonymous functions to quickly access variables in matrices
+irfs_epsR_eps = @(j) IRFFF(2:15,j); % start in t=2 due to identification restrictions in SVAR
+irfs_muz_eps = @(j) IRFz(1:15,j);
+irfs_mupsi_eps = @(j) IRFu(1:15,j);
+weights_epsR_eps = @(j) 1./(IRFFFSE(2:15,j).^2); % start in t=2 due to identification restrictions in SVAR
+weights_muz_eps = @(j) 1./(IRFzSE(1:15,j).^2);
+weights_mupsi_eps = @(j) 1./(IRFuSE(1:15,j).^2);
+% for RAGG we also include t=1
+ RAGG_epsR_eps = IRFFF(1:15,3);
+w_RAGG_epsR_eps = 1./(IRFFFSE(1:15,3).^2);
+
+matched_irfs;
+var GDPAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(1)); weights (weights_epsR_eps(1));
+var GDPAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(1)); weights (weights_muz_eps(1));
+var GDPAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(1)); weights (weights_mupsi_eps(1));
+
+var piAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(2)); weights (weights_epsR_eps(2));
+var piAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(2)); weights (weights_muz_eps(2));
+var piAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(2)); weights (weights_mupsi_eps(2));
+
+var RAGG; varexo epsR_eps; periods 1:15; values (RAGG_epsR_eps); weights (w_RAGG_epsR_eps);
+var RAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(3)); weights (weights_muz_eps(3));
+var RAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(3)); weights (weights_mupsi_eps(3));
+
+var ukAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(4)); weights (weights_epsR_eps(4));
+var ukAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(4)); weights (weights_muz_eps(4));
+var ukAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(4)); weights (weights_mupsi_eps(4));
+
+var lAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(5)); weights (weights_epsR_eps(5));
+var lAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(5)); weights (weights_muz_eps(5));
+var lAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(5)); weights (weights_mupsi_eps(5));
+
+var wAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(6)); weights (weights_epsR_eps(6));
+var wAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(6)); weights (weights_muz_eps(6));
+var wAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(6)); weights (weights_mupsi_eps(6));
+
+var cAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(7)); weights (weights_epsR_eps(7));
+var cAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(7)); weights (weights_muz_eps(7));
+var cAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(7)); weights (weights_mupsi_eps(7));
+
+var iAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(8)); weights (weights_epsR_eps(8));
+var iAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(8)); weights (weights_muz_eps(8));
+var iAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(8)); weights (weights_mupsi_eps(8));
+
+var pinvestAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(9)); weights (weights_epsR_eps(9));
+var pinvestAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(9)); weights (weights_muz_eps(9));
+var pinvestAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(9)); weights (weights_mupsi_eps(9));
+
+var unempAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(10)); weights (weights_epsR_eps(10));
+var unempAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(10)); weights (weights_muz_eps(10));
+var unempAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(10)); weights (weights_mupsi_eps(10));
+
+var vTotAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(11)); weights (weights_epsR_eps(11));
+var vTotAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(11)); weights (weights_muz_eps(11));
+var vTotAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(11)); weights (weights_mupsi_eps(11));
+
+var fAGG; varexo epsR_eps; periods 2:15; values (irfs_epsR_eps(14)); weights (weights_epsR_eps(14));
+var fAGG; varexo muz_eps; periods 1:15; values (irfs_muz_eps(14)); weights (weights_muz_eps(14));
+var fAGG; varexo mupsi_eps; periods 1:15; values (irfs_mupsi_eps(14)); weights (weights_mupsi_eps(14));
+end;
\ No newline at end of file
diff --git a/tests/estimation/method_of_moments/CET/cet_rwmh.mod b/tests/estimation/method_of_moments/CET/cet_rwmh.mod
index 870d12b628..c83515690f 100644
--- a/tests/estimation/method_of_moments/CET/cet_rwmh.mod
+++ b/tests/estimation/method_of_moments/CET/cet_rwmh.mod
@@ -28,12 +28,6 @@
options_.prior_interval= 0.95;
-%%%%%%%%%%%%%%%%%%%%%%
-%% NO INTERFACE YET %%
-%%%%%%%%%%%%%%%%%%%%%%
-[M_.matched_irfs, M_.matched_irfs_weights] = cet_matched_irfs_no_interface_workaround(M_.endo_names,M_.exo_names);
-
-
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%% RUN 1: FIND POSTERIOR MODE USING MODEFILE %%
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
diff --git a/tests/estimation/method_of_moments/CET/cet_slice.mod b/tests/estimation/method_of_moments/CET/cet_slice.mod
index 27a5652fce..6316c9bead 100644
--- a/tests/estimation/method_of_moments/CET/cet_slice.mod
+++ b/tests/estimation/method_of_moments/CET/cet_slice.mod
@@ -28,12 +28,6 @@
options_.prior_interval= 0.95;
-%%%%%%%%%%%%%%%%%%%%%%
-%% NO INTERFACE YET %%
-%%%%%%%%%%%%%%%%%%%%%%
-[M_.matched_irfs, M_.matched_irfs_weights] = cet_matched_irfs_no_interface_workaround(M_.endo_names,M_.exo_names);
-
-
%%%%%%%%%%%%%%%%%%%%%%%%%%
%% RUN 1: DEFAULT SLICE %%
%%%%%%%%%%%%%%%%%%%%%%%%%%
diff --git a/tests/estimation/method_of_moments/CET/cet_tarb.mod b/tests/estimation/method_of_moments/CET/cet_tarb.mod
index f7af30dee1..c9d5a03561 100644
--- a/tests/estimation/method_of_moments/CET/cet_tarb.mod
+++ b/tests/estimation/method_of_moments/CET/cet_tarb.mod
@@ -26,12 +26,6 @@
options_.prior_interval= 0.95;
-%%%%%%%%%%%%%%%%%%%%%%
-%% NO INTERFACE YET %%
-%%%%%%%%%%%%%%%%%%%%%%
-[M_.matched_irfs, M_.matched_irfs_weights] = cet_matched_irfs_no_interface_workaround(M_.endo_names,M_.exo_names);
-
-
method_of_moments(mom_method = irf_matching
%, add_tiny_number_to_cholesky = 1e-14
, additional_optimizer_steps = [4]
@@ -168,7 +162,7 @@ method_of_moments(mom_method = irf_matching
, irf_matching_file = cet_irf_matching_file
, mh_conf_sig = 0.90
, mh_replic=0
-, mode_check
+%, mode_check
, mode_compute = 4
, mode_file = 'cet_tarb_results/method_of_moments/cet_tarb_mh_mode'
, plot_priors = 0
--
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