Add function to check covariances for consistency in stochastic simulations
parent
27f525e1e4
commit
68a33a76d8
|
@ -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
|
|
@ -30,4 +30,13 @@ end
|
||||||
if (DynareModel.exo_det_nbr > 0) && (DynareModel.maximum_lag > 1 || DynareModel.maximum_lead > 1)
|
if (DynareModel.exo_det_nbr > 0) && (DynareModel.maximum_lag > 1 || DynareModel.maximum_lead > 1)
|
||||||
error(['Exogenous deterministic variables are currently only allowed in' ...
|
error(['Exogenous deterministic variables are currently only allowed in' ...
|
||||||
' models with leads and lags on only one period'])
|
' 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
|
end
|
Loading…
Reference in New Issue