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-) fixed bugs when there is only one parameter estimated or when simulated moments uncertainty provides zero diagonal terms in the covariance matrix of model matrices; 

-) fixed bug in computing numerical derivatives of the LRE matrices in getJJ;
time-shift
Marco Ratto 2012-12-05 09:46:12 +01:00
parent 967eb63bbb
commit 0ab2c28fd5
2 changed files with 23 additions and 8 deletions
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2
matlab/getJJ.m
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@ -37,7 +37,7 @@ if kronflag == -1,
gp = fjaco(fun,[sqrt(diag(M_.Sigma_e(indexo,indexo))); M_.params(indx)],M_, oo_, indx,indexo,-1);
M_.params = params0;
offset = length(indexo);
gp = gp(1:M_.endo_nbr,offset+1:end);
gp = gp(:,offset+1:end);
dYss = H(1:M_.endo_nbr,offset+1:end);
dA = reshape(H(M_.orig_endo_nbr+[1:numel(A)],:),[size(A),size(H,2)]);
dOm = dA*0;

29
matlab/identification_analysis.m
View File

@ -82,7 +82,7 @@ if info(1)==0,
derivatives_info.DOm=dOm;
derivatives_info.DYss=dYss;
if init,
indJJ = (find(max(abs(JJ'))>1.e-8));
indJJ = (find(max(abs(JJ'),[],1)>1.e-8));
while length(indJJ)<nparam && nlags<10,
disp('The number of moments with non-zero derivative is smaller than the number of parameters')
disp(['Try increasing ar = ', int2str(nlags+1)])
@ -99,8 +99,8 @@ if info(1)==0,
disp('Either further increase ar or reduce the list of estimated parameters')
error('IDETooManyParams',''),
end
indH = (find(max(abs(H'))>1.e-8));
indLRE = (find(max(abs(gp'))>1.e-8));
indH = (find(max(abs(H'),[],1)>1.e-8));
indLRE = (find(max(abs(gp'),[],1)>1.e-8));
end
TAU(:,1)=tau(indH);
LRE(:,1)=vg1(indLRE);
@ -230,16 +230,31 @@ if info(1)==0,
% quant(isok,:) = siH(isok,:)./repmat(TAU(isok,1),1,nparam);
% quant(inok,:) = siH(inok,:)./repmat(mean(abs(TAU)),length(inok),nparam);
% quant = siH./repmat(sqrt(diag(chh)),1,nparam);
quant = siH./repmat(sqrt(diag_chh),1,nparam);
siHnorm = vnorm(quant).*normaliz1;
iy = find(diag_chh);
indH=indH(iy);
siH=siH(iy,:);
if ~isempty(iy),
quant = siH./repmat(sqrt(diag_chh(iy)),1,nparam);
siHnorm = vnorm(quant).*normaliz1;
else
siHnorm = [];
end
% siHnorm = vnorm(siH./repmat(TAU,1,nparam)).*normaliz;
quant=[];
% inok = find((abs(LRE)<1.e-8));
% isok = find((abs(LRE)>=1.e-8));
% quant(isok,:) = siLRE(isok,:)./repmat(LRE(isok,1),1,np);
% quant(inok,:) = siLRE(inok,:)./repmat(mean(abs(LRE)),length(inok),np);
quant = siLRE./repmat(sqrt(diag(clre)),1,np);
siLREnorm = vnorm(quant).*normaliz1(offset+1:end);
diag_clre = diag(clre);
iy = find(diag_clre);
indLRE=indLRE(iy);
siLRE=siLRE(iy,:);
if ~isempty(iy),
quant = siLRE./repmat(sqrt(diag_clre(iy)),1,np);
siLREnorm = vnorm(quant).*normaliz1(offset+1:end);
else
siLREnorm=[];
end
% siLREnorm = vnorm(siLRE./repmat(LRE,1,nparam-offset)).*normaliz(offset+1:end);
ide_hess.ide_strength_J=ide_strength_J;
ide_hess.ide_strength_J_prior=ide_strength_J_prior;