80 lines
3.9 KiB
Matlab
80 lines
3.9 KiB
Matlab
|
function matched_moments = matched_moments_block(matched_moments, mom_method)
|
||
|
% function matched_moments = matched_moments_block(matched_moments, mom_method)
|
||
|
% -------------------------------------------------------------------------
|
||
|
% Checks and transforms matched_moments bock for further use in the estimation
|
||
|
% =========================================================================
|
||
|
% INPUTS
|
||
|
% matched_moments: [cell array] original matched_moments block
|
||
|
% mom_method: [string] method of moments method (GMM or SMM)
|
||
|
% -------------------------------------------------------------------------
|
||
|
% OUTPUT
|
||
|
% matched_moments: [cell array] transformed matched_moments block
|
||
|
% -------------------------------------------------------------------------
|
||
|
% This function is called by
|
||
|
% o mom.run
|
||
|
% =========================================================================
|
||
|
% 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/>.
|
||
|
% =========================================================================
|
||
|
|
||
|
matched_moments_orig = matched_moments;
|
||
|
% higher-order product moments not supported yet for GMM
|
||
|
if strcmp(mom_method, 'GMM') && any(cellfun(@sum,matched_moments(:,3))> 2)
|
||
|
error('method_of_moments: GMM does not yet support product moments higher than 2. Change your ''matched_moments'' block!');
|
||
|
end
|
||
|
% check for duplicate moment conditions
|
||
|
for jm = 1:size(matched_moments,1)
|
||
|
% expand powers to vector of ones
|
||
|
if any(matched_moments{jm,3}>1)
|
||
|
tmp1=[]; tmp2=[]; tmp3=[];
|
||
|
for jjm=1:length(matched_moments{jm,3})
|
||
|
tmp1 = [tmp1 repmat(matched_moments{jm,1}(jjm),[1 matched_moments{jm,3}(jjm)]) ];
|
||
|
tmp2 = [tmp2 repmat(matched_moments{jm,2}(jjm),[1 matched_moments{jm,3}(jjm)]) ];
|
||
|
tmp3 = [tmp3 repmat(1,[1 matched_moments{jm,3}(jjm)]) ];
|
||
|
end
|
||
|
matched_moments{jm,1} = tmp1;
|
||
|
matched_moments{jm,2} = tmp2;
|
||
|
matched_moments{jm,3} = tmp3;
|
||
|
end
|
||
|
% shift time structure to focus only on lags
|
||
|
matched_moments{jm,2} = matched_moments{jm,2} - max(matched_moments{jm,2});
|
||
|
% sort such that t=0 variable comes first
|
||
|
[matched_moments{jm,2},idx_sort] = sort(matched_moments{jm,2},'descend');
|
||
|
matched_moments{jm,1} = matched_moments{jm,1}(idx_sort);
|
||
|
matched_moments{jm,3} = matched_moments{jm,3}(idx_sort);
|
||
|
end
|
||
|
% find duplicate rows in cell array by making groups according to powers as we can then use cell2mat for the unique function
|
||
|
powers = cellfun(@sum,matched_moments(:,3))';
|
||
|
UniqueMomIdx = [];
|
||
|
for jpow = unique(powers)
|
||
|
idx1 = find(powers==jpow);
|
||
|
[~,idx2] = unique(cell2mat(matched_moments(idx1,:)),'rows');
|
||
|
UniqueMomIdx = [UniqueMomIdx idx1(idx2)];
|
||
|
end
|
||
|
% remove duplicate elements
|
||
|
DuplicateMoms = setdiff(1:size(matched_moments_orig,1),UniqueMomIdx);
|
||
|
if ~isempty(DuplicateMoms)
|
||
|
fprintf('Duplicate declared moments found and removed in ''matched_moments'' block in rows:\n %s.\n',num2str(DuplicateMoms))
|
||
|
fprintf('Dynare will continue with remaining moment conditions\n');
|
||
|
end
|
||
|
if strcmp(mom_method, 'SMM')
|
||
|
% for SMM: keep the original structure, but get rid of duplicate moments
|
||
|
matched_moments = matched_moments_orig(sort(UniqueMomIdx),:);
|
||
|
elseif strcmp(mom_method, 'GMM')
|
||
|
% for GMM we use the transformed matched_moments structure
|
||
|
matched_moments = matched_moments(sort(UniqueMomIdx),:);
|
||
|
end
|