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identification: added brute force search for groups of parameters that replicate the derivative pattern of another parameter.

time-shift
Marco Ratto 2011-03-18 11:00:20 +01:00
parent 52cc078de5
commit 218b9efc34
1 changed files with 92 additions and 0 deletions
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matlab/ident_bruteforce.m Normal file
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function [pars, cosnJ] = ident_bruteforce(J,n,TeX, pnames_TeX)
% function [pars, cosnJ] = ident_bruteforce(J,n,TeX, pnames_TeX)
%
% given the Jacobian matrix J of moment derivatives w.r.t. parameters
% computes, for each column of J, the groups of columns from 1 to n that
% can repliate at best the derivatives of that column
%
% OUTPUTS
% pars : cell array with groupf of params for each column of J for 1 to n
% cosnJ : the cosn of each column with the selected group of columns
% Copyright (C) 2009 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/licen
global M_
OutputDirectoryName = CheckPath('Identification');
k = size(J,2); % number of parameters
if nargin<2 || isempty(n)
n = 4; % max n-tuple
end
if nargin<3 || isempty(TeX)
TeX = 0; % max n-tuple
end
cosnJ=zeros(k,n);
pars{k,n}=[];
for ll = 1:n,
h = waitbar(0,['Brute force collinearity for ' int2str(ll) ' parameters.']);
for ii = 1:k
tmp = find([1:k]~=ii);
tmp2 = nchoosek(tmp,ll);
cosnJ2=zeros(size(tmp2,1),1);
for jj = 1:size(tmp2,1)
cosnJ2(jj,1) = cosn([J(:,ii),J(:,tmp2(jj,:))]);
end
cosnJ(ii,ll) = max(cosnJ2(:,1));
pars{ii,ll} = tmp2(find(cosnJ2(:,1)==max(cosnJ2(:,1))),:);
waitbar(ii/k,h)
end
close(h),
if TeX
filename = [OutputDirectoryName '/' M_.fname '_collinearity_patterns' int2str(ll) '.TeX'];
fidTeX = fopen(filename,'w');
fprintf(fidTeX,'%% TeX-table generated by ident_bruteforce (Dynare).\n');
fprintf(fidTeX,['%% Collinearity patterns with ',int2str(ll),' parameter(s)\n']);
fprintf(fidTeX,['%% ' datestr(now,0)]);
fprintf(fidTeX,' \n');
fprintf(fidTeX,' \n');
fprintf(fidTeX,'{\\tiny \n');
fprintf(fidTeX,'\\begin{table}\n');
fprintf(fidTeX,'\\centering\n');
fprintf(fidTeX,'\\begin{tabular}{l|lc} \n');
fprintf(fidTeX,'\\hline\\hline \\\\ \n');
fprintf(fidTeX,' Parameter & Explanatory & cosn \\\\ \n');
fprintf(fidTeX,' & parameter(s) & \\\\ \n');
fprintf(fidTeX,'\\hline \\\\ \n');
for i=1:k,
plist='';
for ii=1:ll,
plist = [plist ' $' pnames_TeX(pars{i,ll}(ii),:) '$ '];
end
fprintf(fidTeX,'$%s$ & [%s] & %7.3f \\\\ \n',...
pnames_TeX(i,:),...
plist,...
cosnJ(i,ll));
end
fprintf(fidTeX,'\\hline\\hline \n');
fprintf(fidTeX,'\\end{tabular}\n ');
fprintf(fidTeX,['\\caption{Collinearity patterns with ',int2str(ll),' parameter(s)}\n ']);
fprintf(fidTeX,['\\label{Table:CollinearityPatterns:',int2str(ll),'}\n']);
fprintf(fidTeX,'\\end{table}\n');
fprintf(fidTeX,'} \n');
fprintf(fidTeX,'%% End of TeX file.\n');
fclose(fidTeX);
end
end