Merge remote-tracking branch 'ratto/master'

matlab/dynare_identification.m

@@ -58,6 +58,7 @@ options_ident = set_default_option(options_ident,'prior_range',0);
 options_ident = set_default_option(options_ident,'periods',300);
 options_ident = set_default_option(options_ident,'replic',100);
 options_ident = set_default_option(options_ident,'advanced',0);
+options_ident = set_default_option(options_ident,'normalize_jacobians',1);
 options_ident = set_default_option(options_ident,'lik_init',1);
 if options_ident.gsa_sample_file,
     GSAFolder = checkpath('GSA');

matlab/identification_analysis.m

@@ -56,6 +56,7 @@ advanced = options_ident.advanced;
 replic = options_ident.replic;
 periods = options_ident.periods;
 max_dim_cova_group = options_ident.max_dim_cova_group;
+normalize_jacobians = options_ident.normalize_jacobians;
 [I,J]=find(M_.lead_lag_incidence');
 
 ide_hess = struct();
@@ -230,9 +231,18 @@ if info(1)==0,
         ide_lre.siLREnorm=siLREnorm; 
         ide_hess.flag_score=flag_score; 
     end,
+    if normalize_jacobians,
         normH = max(abs(siH)')';
+        normH = normH(:,ones(nparam,1));
         normJ = max(abs(siJ)')';
+        normJ = normJ(:,ones(nparam,1));
         normLRE = max(abs(siLRE)')';
+        normLRE = normLRE(:,ones(size(gp,2),1));
+    else
+        normH = 1;
+        normJ = 1;
+        normLRE = 1;
+    end
     ide_moments.indJJ=indJJ;
     ide_model.indH=indH;
     ide_lre.indLRE=indLRE;
@@ -251,12 +261,13 @@ if info(1)==0,
 %         ide_checks.idemodel_ino, ide_checks.idemoments_ino] = ...
 %         identification_checks(H(indH,:)./normH(:,ones(nparam,1)),JJ(indJJ,:)./normJ(:,ones(nparam,1)), gp(indLRE,:)./normLRE(:,ones(size(gp,2),1)));
     [ide_moments.cond, ide_moments.ind0, ide_moments.indno, ide_moments.ino, ide_moments.Mco, ide_moments.Pco, ide_moments.jweak, ide_moments.jweak_pair] = ...
-        identification_checks(JJ(indJJ,:)./normJ(:,ones(nparam,1)), 0);
+        identification_checks(JJ(indJJ,:)./normJ, 0);
     [ide_model.cond, ide_model.ind0, ide_model.indno, ide_model.ino, ide_model.Mco, ide_model.Pco, ide_model.jweak, ide_model.jweak_pair] = ...
-        identification_checks(H(indH,:)./normH(:,ones(nparam,1)), 0);
+        identification_checks(H(indH,:)./normH, 0);
     [ide_lre.cond, ide_lre.ind0, ide_lre.indno, ide_lre.ino, ide_lre.Mco, ide_lre.Pco, ide_lre.jweak, ide_lre.jweak_pair] = ...
-        identification_checks(gp(indLRE,:)./normLRE(:,ones(size(gp,2),1)), 0);
-    [U, S, V]=svd(JJ(indJJ,:)./normJ(:,ones(nparam,1)),0);
+        identification_checks(gp(indLRE,:)./normLRE, 0);
+    normJ=1;
+    [U, S, V]=svd(JJ(indJJ,:)./normJ,0);
     S=diag(S);
     if nparam>8
         ide_moments.S = S([1:4, end-3:end]);
@@ -268,6 +279,6 @@ if info(1)==0,
     
     indok = find(max(ide_moments.indno,[],1)==0);
     if advanced,
-        [ide_moments.pars, ide_moments.cosnJ] = ident_bruteforce(JJ(indJJ,:)./normJ(:,ones(nparam,1)),max_dim_cova_group,options_.TeX,name_tex);
+        [ide_moments.pars, ide_moments.cosnJ] = ident_bruteforce(JJ(indJJ,:)./normJ,max_dim_cova_group,options_.TeX,name_tex);
     end
 end    

matlab/identification_checks.m

@@ -49,11 +49,11 @@ ind1 = find(vnorm(JJ)>=eps); % take non-zero columns
 JJ1 = JJ(:,ind1);
 [eu,ee2,ee1] = svd( JJ1, 0 );
 condJ= cond(JJ1);
-rankJ = rank(JJ);
+rankJ = rank(JJ./norm(JJ),1.e-10);
 rankJJ = rankJ;
-if hess_flag==0,
-    rankJJ = rank(JJ'*JJ);
-end   
+% if hess_flag==0,
+%     rankJJ = rank(JJ'*JJ);
+% end   
 
 ind0 = zeros(1,npar);
 ind0(ind1) = 1;

matlab/plot_identification.m

@@ -56,7 +56,6 @@ tittxt1=regexprep(tittxt, ' ', '_');
 tittxt1=strrep(tittxt1, '.', '');
 if SampleSize == 1,
     siJ = idemoments.siJ;
-    normJ = max(abs(siJ)')';
     figure('Name',[tittxt, ' - Identification using info from observables']),
     subplot(211)
     mmm = (idehess.ide_strength_J);
@@ -171,6 +170,7 @@ if SampleSize == 1,
         disp('')
         if idehess.flag_score,
             [U,S,V]=svd(idehess.AHess,0);
+            S=diag(S);
             if nparam<5,
                 f1 = figure('name',[tittxt,' - Identification patterns (Information matrix)']);
             else
@@ -178,7 +178,8 @@ if SampleSize == 1,
                 f2 = figure('name',[tittxt,' - Identification patterns (Information matrix): HIGHEST SV']);
             end
         else
-            [U,S,V]=svd(siJ./normJ(:,ones(nparam,1)),0);
+            S = idemoments.S;
+            V = idemoments.V;
             if nparam<5,
                 f1 = figure('name',[tittxt,' - Identification patterns (moments)']);
             else
@@ -197,10 +198,10 @@ if SampleSize == 1,
             subplot(4,1,jj),
             if j<5
                 bar(abs(V(:,end-j+1))),
-                Stit = S(end-j+1,end-j+1);
+                Stit = S(end-j+1);
             else
                 bar(abs(V(:,jj))),
-                Stit = S(jj,jj);
+                Stit = S(jj);
             end
             set(gca,'xticklabel','')
             if j==4 || j==nparam || j==8,