stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

MoM: Fix typos, improve messages and checks, schur_vec_tol option, dname

time-shift
Willi Mutschler 2020-12-18 14:37:45 +01:00
parent 2359a1496c
commit 205b87d195
No known key found for this signature in database
GPG Key ID: 91E724BF17A73F6D
3 changed files with 22 additions and 15 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

15
matlab/method_of_moments/method_of_moments.m
View File

@ -116,7 +116,7 @@ else
options_mom_.loglinear = false;
end
fprintf('\n==== Method of Moments (%s) Estimation ====\n\n',options_mom_.mom.mom_method)
fprintf('\n==== Method of Moments Estimation (%s) ====\n\n',options_mom_.mom.mom_method)
% -------------------------------------------------------------------------
% Step 1a: Prepare options_mom_ structure
@ -222,9 +222,10 @@ options_mom_ = set_default_option(options_mom_,'lyapunov_doubling_tol',1e-16);
options_mom_ = set_default_option(options_mom_,'sylvester_fp',false); % determines whether to use fixed point algorihtm to solve Sylvester equation (gensylv_fp), faster for large scale models
options_mom_ = set_default_option(options_mom_,'sylvester_fixed_point_tol',1e-12); % convergence criterion used in the fixed point Sylvester solver
options_mom_ = set_default_option(options_mom_,'qz_criterium',1-1e-6); % value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving first order problems
% if there are no unit roots one can use 1.0 (or slightly below) which we set as defautl; if they are possible, you may have have multiple unit roots and the accuracy decreases when computing the eigenvalues in lyapunov_symm
% if there are no unit roots one can use 1.0 (or slightly below) which we set as default; if they are possible, you may have have multiple unit roots and the accuracy decreases when computing the eigenvalues in lyapunov_symm
% Note that unit roots are only possible at first-order, at higher order we set it to 1 in pruned_state_space_system and focus only on stationary observables.
options_mom_ = set_default_option(options_mom_,'qz_zero_threshold',1e-6); % value used to test if a generalized eigenvalue is 0/0 in the generalized Schur decomposition
options_mom_ = set_default_option(options_mom_,'schur_vec_tol',1e-11); % tolerance level used to find nonstationary variables in Schur decomposition of the transition matrix.
if options_mom_.order > 2
fprintf('Dynare will use ''k_order_solver'' as the order>2\n');
options_mom_.k_order_solver = true;
@ -338,7 +339,6 @@ options_mom_.risky_steadystate = false; %needed by resol
options_mom_.threads = options_.threads; %needed by resol
options_mom_.jacobian_flag = true;
options_mom_.gstep = options_.gstep;
options_mom_.Schur_vec_tol = 1e-11; % used to find nonstationary variables in Schur decomposition of the transition matrix
% options_mom.dsge_var = false; %needed by check_list_of_variables
% options_mom.bayesian_irf = false; %needed by check_list_of_variables
@ -609,18 +609,15 @@ if ~isempty(dataset_)
options_mom_.nobs = dataset_.nobs;
end
% provide info on missing observations
if any(any(isnan(dataset_.data)))
fprintf('missing observations will be replaced by the sample mean of the corresponding moment')
end
% Check length of data for estimation of second moments
if options_mom_.ar > options_mom_.nobs+1
error('method_of_moments: Data set is too short to compute second moments');
end
% Get data moments for the method of moments
% Provide info on data moments handling
fprintf('Computing data moments. Note that NaN values in the moments (due to leads and lags or missing data) are replaced by the mean of the corresponding moment\n');
% Get data moments for the method of moments
[oo_.mom.data_moments, oo_.mom.m_data] = method_of_moments_data_moments(dataset_.data, oo_, M_.matched_moments, options_mom_);
% Get shock series for SMM and set variance correction factor

12
matlab/method_of_moments/method_of_moments_check_plot.m
View File

@ -39,11 +39,11 @@ end
[nbplt,nr,nc,lr,lc,nstar] = pltorg(length(xparam));
if ~exist([M_.fname filesep 'graphs'],'dir')
mkdir(M_.fname,'graphs');
if ~exist([M_.dname filesep 'graphs'],'dir')
mkdir(M_.dname,'graphs');
end
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fidTeX = fopen([M_.fname, '/graphs/', M_.fname '_MoMCheckPlots.tex'],'w');
fidTeX = fopen([M_.dname, '/graphs/', M_.fname '_MoMCheckPlots.tex'],'w');
fprintf(fidTeX,'%% TeX eps-loader file generated by method_of_moments_check_plot.m (Dynare).\n');
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
@ -165,12 +165,12 @@ for plt = 1:nbplt
text(0.25,0.5,'log-post')
text(0.69,0.5,'log-lik kernel')
end
dyn_saveas(hh,[M_.fname, '/graphs/', M_.fname '_MoMCheckPlots' int2str(plt) ],options_.nodisplay,options_.graph_format);
dyn_saveas(hh,[M_.dname, '/graphs/', M_.fname '_MoMCheckPlots' int2str(plt) ],options_.nodisplay,options_.graph_format);
if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
% TeX eps loader file
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_MoMCheckPlots%s}\n',options_.figures.textwidth*min(k/nc,1),[M_.fname, '/graphs/',M_.fname],int2str(plt));
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_MoMCheckPlots%s}\n',options_.figures.textwidth*min(k/nc,1),[M_.dname, '/graphs/',M_.fname],int2str(plt));
fprintf(fidTeX,'\\caption{Method of Moments check plots.}');
fprintf(fidTeX,'\\label{Fig:MoMCheckPlots:%s}\n',int2str(plt));
fprintf(fidTeX,'\\end{figure}\n');
@ -181,4 +181,4 @@ if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fclose(fidTeX);
end
save([M_.fname filesep 'graphs' filesep M_.fname '_MoMCheckPlots_data.mat'],'mcheck');
save([M_.dname filesep 'graphs' filesep M_.fname '_MoMCheckPlots_data.mat'],'mcheck');

10
matlab/method_of_moments/method_of_moments_standard_errors.m
View File

@ -60,6 +60,16 @@ eps_value = options_mom_.mom.se_tolx;
if strcmp(options_mom_.mom.mom_method,'GMM') && options_mom_.mom.analytic_standard_errors
fprintf('\nComputing standard errors using analytical derivatives of moments\n');
D = oo_.mom.model_moments_params_derivs; %already computed in objective function via get_perturbation_params.m
idx_nan = find(any(isnan(D)));
if any(idx_nan)
for i = idx_nan
fprintf('No standard errors available for parameter %s\n',get_the_name(i,options_mom_.TeX, M_, estim_params_, options_mom_))
end
warning('There are NaN in the analytical Jacobian of Moments. Check your bounds and/or priors, or use a different optimizer.')
Asympt_Var = NaN(length(xparam),length(xparam));
SE_values = NaN(length(xparam),1);
return
end
else
fprintf('\nComputing standard errors using numerical derivatives of moments\n');
for i=1:dim_params