2009-09-24 09:34:21 +02:00
|
|
|
function [pdraws, idemodel, idemoments] = dynare_identification()
|
|
|
|
|
|
|
|
% main
|
2009-09-24 10:24:32 +02:00
|
|
|
%
|
|
|
|
% Copyright (C) 2008 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/>.
|
2009-09-24 09:34:21 +02:00
|
|
|
|
|
|
|
global M_ options_ oo_ bayestopt_ estim_params_
|
|
|
|
|
|
|
|
|
|
|
|
options_ = set_default_option(options_,'datafile',[]);
|
|
|
|
options_.mode_compute = 0;
|
|
|
|
[data,rawdata]=dynare_estimation_init([],1);
|
|
|
|
% computes a first linear solution to set up various variables
|
|
|
|
dynare_resolve;
|
|
|
|
|
|
|
|
options_.prior_mc=2000;
|
|
|
|
|
|
|
|
SampleSize = options_.prior_mc;
|
|
|
|
|
|
|
|
% results = prior_sampler(0,M_,bayestopt_,options_,oo_);
|
|
|
|
|
|
|
|
prior_draw(1,bayestopt_);
|
|
|
|
IdentifDirectoryName = CheckPath('identification');
|
|
|
|
|
|
|
|
indx = estim_params_.param_vals(:,1);
|
|
|
|
indexo=[];
|
|
|
|
if ~isempty(estim_params_.var_exo)
|
|
|
|
indexo = estim_params_.var_exo(:,1);
|
|
|
|
end
|
|
|
|
useautocorr = 0;
|
|
|
|
nlags = 3;
|
|
|
|
|
|
|
|
iteration = 0;
|
|
|
|
loop_indx = 0;
|
|
|
|
|
|
|
|
h = waitbar(0,'Monte Carlo identification checks ...');
|
|
|
|
|
|
|
|
while iteration < SampleSize,
|
|
|
|
loop_indx = loop_indx+1;
|
|
|
|
params = prior_draw();
|
|
|
|
set_all_parameters(params);
|
|
|
|
|
|
|
|
[JJ, H] = getJJ(M_,oo_,options_,0,indx,indexo,bayestopt_.mf2,nlags,useautocorr);
|
|
|
|
|
|
|
|
if ~isempty(JJ),
|
|
|
|
iteration = iteration + 1;
|
|
|
|
pdraws(iteration,:) = params';
|
|
|
|
[idemodel.Mco(:,iteration), idemoments.Mco(:,iteration), ...
|
|
|
|
idemodel.Pco(:,:,iteration), idemoments.Pco(:,:,iteration), ...
|
|
|
|
idemodel.cond(iteration), idemoments.cond(iteration), ...
|
|
|
|
idemodel.ee(:,iteration), idemoments.ee(:,iteration), ...
|
|
|
|
idemodel.ind(:,iteration), idemoments.ind(:,iteration), ...
|
|
|
|
idemodel.indno{iteration}, idemoments.indno{iteration}] = ...
|
|
|
|
identification_checks(H,JJ, bayestopt_);
|
|
|
|
|
|
|
|
waitbar(iteration/SampleSize,h)
|
|
|
|
end
|
|
|
|
end
|
|
|
|
|
|
|
|
close(h)
|
|
|
|
|
|
|
|
|
|
|
|
save([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments')
|
|
|
|
|
|
|
|
|
|
|
|
disp_identification(pdraws, idemodel, idemoments)
|
|
|
|
|