2006-09-21 17:48:01 +02:00
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function osr1(i_params,i_var,weights)
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2005-02-18 20:54:39 +01:00
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global M_ oo_ options_ it_
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klen = M_.maximum_lag + M_.maximum_lead + 1;
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iyv = M_.lead_lag_incidence';
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iyv = iyv(:);
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iyr0 = find(iyv) ;
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it_ = M_.maximum_lag + 1 ;
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if M_.exo_nbr == 0
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oo_.exo_steady_state = [] ;
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end
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if ~ M_.lead_lag_incidence(M_.maximum_lag+1,:) > 0
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2006-07-31 17:45:12 +02:00
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error ('OSR: Error in model specification: some variables don"t appear as current') ;
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2005-02-18 20:54:39 +01:00
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end
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if M_.maximum_lead == 0
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error ('Backward or static model: no point in using OLR') ;
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end
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2006-07-31 17:45:12 +02:00
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exe =zeros(M_.exo_nbr,1);
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2006-09-21 17:48:01 +02:00
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oo_.dr = set_state_space(oo_.dr);
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2005-02-18 20:54:39 +01:00
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% check if ys is steady state
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fh = str2func([M_.fname '_static']);
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2006-07-31 17:45:12 +02:00
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if max(abs(feval(fh,oo_.steady_state,exe))) > options_.dynatol
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2007-06-20 15:57:31 +02:00
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[oo_.dr.ys, check] = dynare_solve([M_.fname '_static'],oo_.steady_state,1,exe);
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2005-02-18 20:54:39 +01:00
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if check
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error('OLR: convergence problem in DYNARE_SOLVE')
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end
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else
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2006-09-21 17:48:01 +02:00
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oo_.dr.ys = oo_.steady_state;
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2005-02-18 20:54:39 +01:00
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end
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2006-07-31 17:45:12 +02:00
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np = size(i_params,1);
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t0 = M_.params(i_params);
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2006-09-21 17:48:01 +02:00
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inv_order_var = oo_.dr.inv_order_var;
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H0 = 1e-4*eye(np);
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crit = 1e-7;
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nit = 1000;
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verbose = 2;
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[f,p]=csminwel('osr_obj',t0,H0,[],crit,nit,i_params,...
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inv_order_var(i_var),weights(i_var,i_var));
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% options = optimset('fminunc');
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% options = optimset('display','iter');
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% [p,f]=fminunc(@osr_obj,t0,options,i_params,...
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% inv_order_var(i_var),weights(i_var,i_var));
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2006-07-31 17:45:12 +02:00
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2005-02-18 20:54:39 +01:00
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2006-07-31 17:45:12 +02:00
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2005-02-18 20:54:39 +01:00
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disp('')
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disp('OPTIMAL VALUE OF THE PARAMETERS:')
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disp('')
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for i=1:np
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2006-07-31 17:45:12 +02:00
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disp(sprintf('%16s %16.6g\n',M_.param_names(i_params(i),:),p(i)))
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2005-02-18 20:54:39 +01:00
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end
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disp(sprintf('Objective function : %16.6g\n',f));
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disp(' ')
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2006-07-31 17:45:12 +02:00
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oo_.dr=resol(oo_.steady_state,0);
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2005-02-18 20:54:39 +01:00
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% 05/10/03 MJ modified to work with osr.m and give full report
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