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🐛 Fix wrong computations when identification(useautocorr)

time-shift
Willi Mutschler 2020-06-17 21:14:47 +02:00
parent 926a54388e
commit 347be1f89a
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GPG Key ID: 91E724BF17A73F6D
3 changed files with 13 additions and 16 deletions
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9
matlab/get_identification_jacobians.m
View File

@ -241,12 +241,11 @@ if order == 1
end
%% Compute dMOMENTS
if ~no_identification_moments
if useautocorr
E_yy = pruned.Corr_y; dE_yy = pruned.dCorr_y;
if ~no_identification_moments
E_yy = pruned.Var_y; dE_yy = pruned.dVar_y;
if useautocorr
E_yyi = pruned.Corr_yi; dE_yyi = pruned.dCorr_yi;
else
E_yy = pruned.Var_y; dE_yy = pruned.dVar_y;
else
E_yyi = pruned.Var_yi; dE_yyi = pruned.dVar_yi;
end
MOMENTS = [MEAN; dyn_vech(E_yy)];

6
matlab/identification_numerical_objective.m
View File

@ -82,11 +82,7 @@ pruned = pruned_state_space_system(M, options, oo.dr, indvar, nlags, useautocorr
%% out = [vech(cov(Y_t,Y_t)); vec(cov(Y_t,Y_{t-1}); ...; vec(cov(Y_t,Y_{t-nlags})] of indvar variables, in DR order. This is Iskrev (2010)'s J matrix.
if outputflag == 1
if useautocorr
out = dyn_vech(pruned.Corr_y);
else
out = dyn_vech(pruned.Var_y);
end
out = dyn_vech(pruned.Var_y);
for i = 1:nlags
if useautocorr
out = [out;vec(pruned.Corr_yi(:,:,i))];

14
matlab/pruned_state_space_system.m
View File

@ -1032,9 +1032,9 @@ end
indzeros = find(abs(Var_y) < 1e-12); %find values that are numerical zero
Var_y(indzeros) = 0;
if useautocorr
sy = sqrt(diag(Var_y)); %theoretical standard deviation
sy = sy(stationary_vars);
sy = sy*sy'; %cross products of standard deviations
sdy = sqrt(diag(Var_y)); %theoretical standard deviation
sdy = sdy(stationary_vars);
sy = sdy*sdy'; %cross products of standard deviations
Corr_y = NaN*ones(y_nbr,y_nbr);
Corr_y(stationary_vars,stationary_vars) = Var_y(stationary_vars,stationary_vars)./sy;
Corr_yi = NaN*ones(y_nbr,y_nbr,nlags);
@ -1060,10 +1060,9 @@ if compute_derivs
dVar_y_tmp(indzeros) = 0;
dVar_y(stationary_vars,stationary_vars,jpV) = dVar_y_tmp;
if useautocorr
%is this correct?[@wmutschl]
dsy = 1/2./sy.*diag(dVar_y(:,:,jpV));
dsy = 1/2./sdy.*diag(dVar_y(:,:,jpV));
dsy = dsy(stationary_vars);
dsy = dsy*sy'+sy*dsy';
dsy = dsy*sdy'+sdy*dsy';
dCorr_y(stationary_vars,stationary_vars,jpV) = (dVar_y(stationary_vars,stationary_vars,jpV).*sy-dsy.*Var_y(stationary_vars,stationary_vars))./(sy.*sy);
dCorr_y(stationary_vars,stationary_vars,jpV) = dCorr_y(stationary_vars,stationary_vars,jpV)-diag(diag(dCorr_y(stationary_vars,stationary_vars,jpV)))+diag(diag(dVar_y(stationary_vars,stationary_vars,jpV)));
end
@ -1138,6 +1137,9 @@ if compute_derivs
+ dD(stationary_vars,:,jpVi)*E_inovzlagi*C(stationary_vars,:)' + D(stationary_vars,:)*dE_inovzlagi_jpVi*C(stationary_vars,:)' + D(stationary_vars,:)*E_inovzlagi*dC(stationary_vars,:,jpVi)';
end
if useautocorr
dsy = 1/2./sdy.*diag(dVar_y(:,:,jpVi));
dsy = dsy(stationary_vars);
dsy = dsy*sdy'+sdy*dsy';
dCorr_yi(stationary_vars,stationary_vars,i,jpVi) = (dVar_yi(stationary_vars,stationary_vars,i,jpVi).*sy-dsy.*Var_yi(stationary_vars,stationary_vars,i))./(sy.*sy);
end
dAi_jpVi = dAi_jpVi*A + Ai*dA(:,:,jpVi);