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Add function to check covariances for consistency in stochastic simulations

time-shift
Johannes Pfeifer 2013-11-04 21:53:44 +01:00
parent 27f525e1e4
commit 68a33a76d8
2 changed files with 40 additions and 0 deletions
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31
matlab/check_consistency_covariances.m Normal file
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@ -0,0 +1,31 @@
function correct_flag=check_consistency_covariances(Covariance_matrix)
% function check_consistency_covariances(Covariance_matrix)
% checks consistency of covariance matrices by checking whether the
% covariances imply correlations bigger than 1.
%
% Outputs: correct_flag [scalar] 0 if not consistent, 1 otherwise
% Inputs: Covariance_matrix [matrix] covariance matrix to be checked
% Copyright (C) 2013 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/>.
%compute theoretical bound by assuming correlation of 1
bound=diag(sqrt(diag(Covariance_matrix)))*ones(size(Covariance_matrix))*diag(sqrt(diag(Covariance_matrix)));
correct_flag=1;
if any(any(tril(Covariance_matrix,-1)>bound)) || any(any(tril(Covariance_matrix,-1)<-bound))
correct_flag=0;
end

9
matlab/check_model.m
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@ -30,4 +30,13 @@ end
if (DynareModel.exo_det_nbr > 0) && (DynareModel.maximum_lag > 1 || DynareModel.maximum_lead > 1)
error(['Exogenous deterministic variables are currently only allowed in' ...
' models with leads and lags on only one period'])
end
if ~check_consistency_covariances(DynareModel.Sigma_e)
error('The specified covariances for the structural errors are not consistent with the variances as they imply a correlation larger than +-1')
end
if ~isequal(DynareModel.H,0)
if ~check_consistency_covariances(DynareModel.H)
error('The specified covariances for the measurement errors are not consistent with the variances as they imply a correlation larger than +-1')
end
end