adding global test for identification for sbvar

time-shift
Michel Juillard 2015-02-22 21:54:39 +01:00
parent 32c29fece5
commit 5fc48440d6
4 changed files with 109 additions and 1 deletions

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@ -1,4 +1,4 @@
function [Ui,Vi,n0,np,ixmC0Pres] = exclusions(nvar,nexo,options_ms)
function [Ui,Vi,n0,np,ixmC0Pres,Qi] = exclusions(nvar,nexo,options_ms)
% function [Ui,Vi,n0,np,ixmC0Pres] = exclusions(nvar,nexo,options_ms)
%
% INPUTS

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function indent = sbvar_global_identification_check(options_)
% function sbvar_global_identification_check(options_.ms)
%
% INPUTS
% options_ms: (struct) options
%
% OUTPUTS
% ident: (boolean) false = not identified; true = identified
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2015 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/licenses/>.
ident = false;
if isequal(options_.ms.restriction_fname, 'upper_cholesky') || ...
isequal(options_.ms.restriction_fname, 'lower_cholesky')
ident = true;
if ~options_.noprint
disp(' ')
disp('SBVAR: Cholesky identification is always identified')
disp(' ')
end
return
end
nvar = length(options_.varobs); % number of endogenous variables
nexo = 1;
[Uiconst,Viconst,n0,np,ixmC0Pres,Qi] = exclusions(nvar,nexo,options_.ms );
% order column constraints by rank
Qranks = zeros(nvar,2);
for j=1:nvar
Qranks(j,:) = [j,rank(Qi{j})];
end
Qranks = sortrows(Qranks,-2);
ident = true;
for j=1:nvar
i = Qranks(j,1);
for k=1:1
M = [Qi{i}*rand(size(Qi{i},1),nvar);[eye(j) zeros(j,nvar- ...
j)]];
disp([j,k,rank(M)])
if rank(M) < nvar
ident = false
break
end
end
end
if ~options_.noprint
disp(' ')
if ident
disp('The sufficient condition for SBVAR identification is met')
else
disp('WARNGING: The sufficient condition for SBVAR identification is not met')
end
disp(' ')
end

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// same as test_lower_cholesky.mod, but using exclusion syntax
var R Pie Y;
varobs Y Pie R;
svar_identification;
exclusion lag 0;
equation 1, Pie, Y;
exclusion lag 1;
equation 2, Y;
end;
sbvar_global_identification_check(options_);
sbvar(datafile = data,freq=4,initial_year=1959,final_year=2005,nlags=4);

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// same as test_lower_cholesky.mod, but using exclusion syntax
var R Pie Y;
varobs Y Pie R;
svar_identification;
exclusion lag 0;
equation 1, Pie, Y;
equation 2, Y;
end;
sbvar_global_identification_check(options_);
sbvar(datafile = data,freq=4,initial_year=1959,final_year=2005,nlags=4);