diff --git a/matlab/+mom/run.m b/matlab/+mom/run.m index d8899f408304caf8bac2bc50288b8c1859381cac..3e562030802f5d236f9f3a3922544038124a291b 100644 --- a/matlab/+mom/run.m +++ b/matlab/+mom/run.m @@ -316,7 +316,7 @@ if strcmp(options_mom_.mom.mom_method,'GMM') || strcmp(options_mom_.mom.mom_meth end % check for calibrated covariances before updating parameters -estim_params_ = check_for_calibrated_covariances(xparam0,estim_params_,M_); +estim_params_ = check_for_calibrated_covariances(estim_params_,M_); % checks on parameter calibration and initialization xparam_calib = get_all_parameters(estim_params_,M_); % get calibrated parameters diff --git a/matlab/check_for_calibrated_covariances.m b/matlab/check_for_calibrated_covariances.m index a4e77dc7560edcae2b1f867284410ff8b40a8955..276a1c93277b4c4d5c766cca0dd28961e2cc7e44 100644 --- a/matlab/check_for_calibrated_covariances.m +++ b/matlab/check_for_calibrated_covariances.m @@ -1,10 +1,9 @@ -function estim_params=check_for_calibrated_covariances(xparam1,estim_params,M) -% function check_for_calibrated_covariances(xparam1,estim_params,M) +function estim_params=check_for_calibrated_covariances(estim_params,M_) +% function check_for_calibrated_covariances(estim_params,M) % find calibrated covariances to consider during estimation % Inputs -% -xparam1 [vector] parameters to be estimated % -estim_params [structure] describing parameters to be estimated -% -M [structure] describing the model +% -M_ [structure] describing the model % % Outputs % -estim_params [structure] describing parameters to be estimated @@ -12,7 +11,7 @@ function estim_params=check_for_calibrated_covariances(xparam1,estim_params,M) % Notes: M is local to this function and not updated when calling % set_all_parameters -% Copyright © 2013-2017 Dynare Team +% Copyright © 2013-2023 Dynare Team % % This file is part of Dynare. % @@ -28,27 +27,108 @@ function estim_params=check_for_calibrated_covariances(xparam1,estim_params,M) % % You should have received a copy of the GNU General Public License % along with Dynare. If not, see <https://www.gnu.org/licenses/>. -Sigma_e_calibrated=M.Sigma_e; -H_calibrated=M.H; -%check covariance for structural errors -covariance_pos=find(tril(Sigma_e_calibrated,-1)); %off-diagonal elements set by covariances before updating correlation matrix to reflect estimated covariances -covariance_pos_ME=find(tril(H_calibrated,-1)); %off-diagonal elements set by covariances before updating correlation matrix to reflect estimated covariances - -%locally updated M -M = set_all_parameters(xparam1,estim_params,M); - -correlation_pos=find(tril(M.Correlation_matrix,-1)); %off-diagonal elements set by correlations after accounting for estimation -calibrated_covariance_pos=covariance_pos(~ismember(covariance_pos,correlation_pos)); -if any(calibrated_covariance_pos) - [rows, columns]=ind2sub(size(M.Sigma_e),calibrated_covariance_pos); %find linear indices of lower triangular covariance entries - estim_params.calibrated_covariances.position=[calibrated_covariance_pos;sub2ind(size(M.Sigma_e),columns,rows)]; %get linear entries of upper triangular parts - estim_params.calibrated_covariances.cov_value=Sigma_e_calibrated(estim_params.calibrated_covariances.position); + +if isfield(estim_params,'calibrated_covariances') + estim_params = rmfield(estim_params,'calibrated_covariances'); %remove if already present +end +if isfield(estim_params,'calibrated_covariances_ME') + estim_params = rmfield(estim_params,'calibrated_covariances_ME'); %remove if already present +end + +[rows_calibrated, columns_calibrated]=ind2sub(size(M_.Sigma_e),find(tril(M_.Sigma_e,-1))); %find linear indices of preset lower triangular covariance entries + +if estim_params.ncx %delete preset entries actually estimated + for i=1:estim_params.ncx + shock_1 = estim_params.corrx(i,1); + shock_2 = estim_params.corrx(i,2); + estimated_corr_pos=find(rows_calibrated==shock_1 & columns_calibrated==shock_2); + if ~isempty(estimated_corr_pos) + rows_calibrated(estimated_corr_pos)=[]; + columns_calibrated(estimated_corr_pos)=[]; + end + estimated_corr_pos=find(rows_calibrated==shock_2 & columns_calibrated==shock_1); + if ~isempty(estimated_corr_pos) + rows_calibrated(estimated_corr_pos)=[]; + columns_calibrated(estimated_corr_pos)=[]; + end + end + if any(rows_calibrated) + estim_params.calibrated_covariances.position=[sub2ind(size(M_.Sigma_e),rows_calibrated,columns_calibrated);sub2ind(size(M_.Sigma_e),columns_calibrated,rows_calibrated)]; %get linear entries of upper triangular parts + estim_params.calibrated_covariances.cov_value=M_.Sigma_e(estim_params.calibrated_covariances.position); + end +end + +[rows_calibrated, columns_calibrated]=ind2sub(size(M_.H),find(tril(M_.H,-1))); %find linear indices of preset lower triangular covariance entries + +if estim_params.ncn %delete preset entries actually estimated + for i=1:estim_params.ncn + shock_1 = estim_params.corrn(i,1); + shock_2 = estim_params.corrn(i,2); + estimated_corr_pos=find(rows_calibrated==shock_1 & columns_calibrated==shock_2); + if ~isempty(estimated_corr_pos) + rows_calibrated(estimated_corr_pos)=[]; + columns_calibrated(estimated_corr_pos)=[]; + end + estimated_corr_pos=find(rows_calibrated==shock_2 & columns_calibrated==shock_1); + if ~isempty(estimated_corr_pos) + rows_calibrated(estimated_corr_pos)=[]; + columns_calibrated(estimated_corr_pos)=[]; + end + end +end +if any(rows_calibrated) + estim_params.calibrated_covariances_ME.position=[sub2ind(size(M_.H),rows_calibrated,columns_calibrated);sub2ind(size(M_.H),columns_calibrated,rows_calibrated)]; %get linear entries of upper triangular parts + estim_params.calibrated_covariances_ME.cov_value=M_.H(estim_params.calibrated_covariances_ME.position); end -correlation_pos_ME=find(tril(M.Correlation_matrix_ME,-1)); %off-diagonal elements set by correlations after accounting for estimation -calibrated_covariance_pos_ME=covariance_pos_ME(~ismember(covariance_pos_ME,correlation_pos_ME)); -if any(calibrated_covariance_pos_ME) - [rows, columns]=ind2sub(size(M.H),calibrated_covariance_pos_ME); %find linear indices of lower triangular covariance entries - estim_params.calibrated_covariances_ME.position=[calibrated_covariance_pos_ME;sub2ind(size(M.H),columns,rows)]; %get linear entries of upper triangular parts - estim_params.calibrated_covariances_ME.cov_value=H_calibrated(estim_params.calibrated_covariances_ME.position); +return % --*-- Unit tests --*-- + +%@test:1 + +M_.Sigma_e=[1 0; 0 1]; +M_.H=[1 0; 0 1]; +M_.Correlation_matrix= [1 -0.5; -0.5 1]; +M_.Correlation_matrix_ME=[1 -0.5; -0.5 1]; +estim_params.ncx=1; +estim_params.ncn=1; + +estim_params.corrx=[2 1 NaN -1 1 3 0 0.2000 NaN NaN NaN]; +estim_params.corrn=[2 1 NaN -1 1 3 0 0.2000 NaN NaN NaN]; + +estim_params=check_for_calibrated_covariances(estim_params,M_); +if isfield(estim_params,'calibrated_covariances_ME') || isfield(estim_params,'calibrated_covariances') + t(1)=false; +else + t(1)=true; +end + +M_.Sigma_e=[1 -0.1; -0.1 1]; +M_.H=[1 -0.1; -0.1 1]; +M_.Correlation_matrix= [1 -0.5; -0.5 1]; +M_.Correlation_matrix_ME=[1 0; 0 1]; +estim_params.ncx=1; +estim_params.ncn=0; + +estim_params.corrx=[2 1 NaN -1 1 3 0 0.2000 NaN NaN NaN]; +estim_params.corrn=[]; +estim_params=check_for_calibrated_covariances(estim_params,M_); +t(2)=isequal(estim_params.calibrated_covariances_ME.position,[2;3]); +t(3)=isequal(estim_params.calibrated_covariances_ME.cov_value,[-0.1;-0.1]); + +M_.Sigma_e=[1 -0.1; -0.1 1]; +M_.H=[1 -0.1; -0.1 1]; +M_.Correlation_matrix= [1 -0.5; -0.5 1]; +M_.Correlation_matrix_ME=[1 0; 0 1]; +estim_params.ncx=1; +estim_params.ncn=1; + +estim_params.corrx=[2 1 NaN -1 1 3 0 0.2000 NaN NaN NaN]; +estim_params.corrn=[2 1 NaN -1 1 3 0 0.2000 NaN NaN NaN]; +estim_params=check_for_calibrated_covariances(estim_params,M_); +if isfield(estim_params,'calibrated_covariances_ME') || isfield(estim_params,'calibrated_covariances') + t(4)=false; +else + t(4)=true; end +T = all(t); +%@eof:1 diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m index 179d39f5019c7a207e76fb23559826ccc90fae57..7c9d22ed5b443f1d1e4e11ca5a1fffac1315ed14 100644 --- a/matlab/dynare_estimation_init.m +++ b/matlab/dynare_estimation_init.m @@ -163,7 +163,7 @@ end %check for calibrated covariances before updating parameters if ~isempty(estim_params_) && ~(isfield(estim_params_,'nvx') && sum(estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np)==0) - estim_params_=check_for_calibrated_covariances(xparam1,estim_params_,M_); + estim_params_=check_for_calibrated_covariances(estim_params_,M_); end %%read out calibration that was set in mod-file and can be used for initialization