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irfmatching: add function to translate irf_matching blocks into useful structures 

This needs to be adapted once we implement an interface in the preprocessor
covariance-quadratic-approximation
Willi Mutschler 2023-10-09 15:22:56 +02:00
parent c45c0efeba
commit 2d8bcd6918
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2 changed files with 87 additions and 5 deletions
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81
matlab/+mom/matched_irfs_blocks.m Normal file
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@ -0,0 +1,81 @@
function [data_irfs, weightMat, irfIndex, maxIrfHorizon] = matched_irfs_blocks(matched_irfs, matched_irfs_weight, varobs_id, obs_nbr, exo_nbr, endo_names)
% [data_irfs, weightMat, irfIndex, maxIrfHorizon] = matched_irfs_blocks(matched_irfs, matched_irfs_weight, varobs_id, obs_nbr, exo_nbr, endo_names)
% -------------------------------------------------------------------------
% Checks and transforms matched_irfs and matched_irfs_weight blocks
% for further use in the estimation.
% -------------------------------------------------------------------------
% INPUTS
% matched_irfs: [cell array] original matched_irfs block
% matched_irfs_weight: [cell array] original matched_irfs_weight block
% varobs_id: [vector] index for observable variables in endo_names
% obs_nbr: [scalar] number of observable variables
% exo_nbr: [scalar] number of exogenous variables
% endo_names: [cell array] list of endogenous variables
% -------------------------------------------------------------------------
% OUTPUT
% data_irfs: [matrix] irfs for VAROBS as declared in matched_irfs block
% weightMat: [matrix] weighting matrix for irfs as declared in matched_irfs_weight block
% irfIndex: [vector] index for selecting specific irfs from full irf matrix of observables
% maxIrfHorizon: [scalar] maximum irf horizon as declared in matched_irfs 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/>.
maxIrfHorizon = max(cellfun(@(x) x(end), matched_irfs(:,1))); % get maximum irf horizon
% create full matrix where 1st dimension are irf periods, 2nd dimension are variables as declared in VAROBS, 3rd dimension are shocks.
data_irfs = nan(maxIrfHorizon,obs_nbr,exo_nbr);
% overwrite nan values if they are declared in matched_irfs block; remaining nan values will be later ignored in the matching
for jj = 1:size(matched_irfs,1)
idVar = matched_irfs{jj,1}(1);
idVarobs = find(varobs_id==idVar,1);
idShock = matched_irfs{jj,1}(2);
idIrfPeriod = matched_irfs{jj,1}(3);
irfValue = matched_irfs{jj,2};
if isempty(idVarobs)
skipline;
error('method_of_moments: You specified an irf matching involving variable %s, but it is not declared as a varobs!',endo_names{idVar})
end
data_irfs(idIrfPeriod,idVarobs,idShock) = irfValue;
end
% create (full) empirical weighting matrix
weightMat = eye(maxIrfHorizon*obs_nbr*exo_nbr); % identity matrix by default: all irfs are equally important
for jj = 1:size(matched_irfs_weight,1)
idVar1 = matched_irfs_weight{jj,1}(1); idVarobs1 = find(varobs_id==idVar1,1); idShock1 = matched_irfs_weight{jj,1}(2); idIrfPeriod1 = matched_irfs_weight{jj,1}(3);
idVar2 = matched_irfs_weight{jj,2}(1); idVarobs2 = find(varobs_id==idVar2,1); idShock2 = matched_irfs_weight{jj,2}(2); idIrfPeriod2 = matched_irfs_weight{jj,2}(3);
weightMatValue = matched_irfs_weight{jj,3};
if isempty(idVarobs1)
skipline;
error('method_of_moments: You specified a weight for an irf matching involving variable %s, but it is not a varobs!',endo_names{idVar1})
end
if isempty(idVarobs2)s
skipline;
error('method_of_moments: You specified a weight for an irf matching involving variable %s, but it is not a varobs!',endo_names{idVar2})
end
idweightMat1 = sub2ind(size(data_irfs),idIrfPeriod1,idVarobs1,idShock1);
idweightMat2 = sub2ind(size(data_irfs),idIrfPeriod2,idVarobs2,idShock2);
weightMat(idweightMat1,idweightMat2) = weightMatValue;
weightMat(idweightMat2,idweightMat1) = weightMatValue; % symmetry
end
% focus only on specified irfs
irfIndex = find(~isnan(data_irfs));
data_irfs = data_irfs(irfIndex);
weightMat = weightMat(irfIndex,irfIndex);

11
matlab/+mom/matched_moments_block.m
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@ -1,8 +1,8 @@
function matched_moments = matched_moments_block(matched_moments, mom_method)
% function matched_moments = matched_moments_block(matched_moments, mom_method)
% matched_moments = matched_moments_block(matched_moments, mom_method)
% -------------------------------------------------------------------------
% Checks and transforms matched_moments block for further use in the estimation
% -------------------------------------------------------------------------
% 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)
@ -12,7 +12,8 @@ function matched_moments = matched_moments_block(matched_moments, mom_method)
% -------------------------------------------------------------------------
% This function is called by
% o mom.run
% =========================================================================
% -------------------------------------------------------------------------
% Copyright © 2023 Dynare Team
%
% This file is part of Dynare.
@ -29,7 +30,7 @@ function matched_moments = matched_moments_block(matched_moments, mom_method)
%
% 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