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

irf_matching: add checks for inverse and logdet of weighting matrix

covariance-quadratic-approximation
Willi Mutschler 2023-12-13 13:32:23 +01:00
parent 2521314c39
commit 65f8b56fb0
No known key found for this signature in database
GPG Key ID: 91E724BF17A73F6D
1 changed files with 19 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

21
matlab/+mom/run.m
View File

@ -231,11 +231,28 @@ end
% -------------------------------------------------------------------------
if strcmp(options_mom_.mom.mom_method,'IRF_MATCHING')
[oo_.mom.data_moments, oo_.mom.weighting_info.W, options_mom_.mom.irfIndex, options_mom_.irf] = mom.matched_irfs_blocks(M_.matched_irfs, M_.matched_irfs_weights, options_mom_.varobs_id, options_mom_.obs_nbr, M_.exo_nbr, M_.endo_names);
oo_.mom.weighting_info.Winv = inv(oo_.mom.weighting_info.W);
oo_.mom.weighting_info.Winv_logdet = 2*sum(log(diag(chol(oo_.mom.weighting_info.Winv)))); % use this robust option to avoid inf/nan
% compute inverse of weighting matrix
try
oo_.mom.weighting_info.Winv = inv(oo_.mom.weighting_info.W);
catch
error('method_of_moments: Something wrong while computing inv(W), check your weighting matrix!');
end
if any(isnan(oo_.mom.weighting_info.Winv(:))) || any(isinf(oo_.mom.weighting_info.Winv(:)))
error('method_of_moments: There are nan or inf in inv(W), check your weighting matrix!');
end
% compute log determinant of inverse of weighting matrix in a robust way to avoid inf/nan
try
oo_.mom.weighting_info.Winv_logdet = 2*sum(log(diag(chol(oo_.mom.weighting_info.Winv))));
catch
error('method_of_moments: Something wrong while computing log(det(inv(W))), check your weighting matrix!');
end
if any(isnan(oo_.mom.weighting_info.Winv_logdet(:))) || any(isinf(oo_.mom.weighting_info.Winv_logdet(:)))
error('method_of_moments: There are nan or inf in log(det(inv(W))), check your weighting matrix!');
end
options_mom_.mom.mom_nbr = length(options_mom_.mom.irfIndex);
end
% -------------------------------------------------------------------------
% irf_matching_file: checks and transformations
% -------------------------------------------------------------------------