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Merged with master

time-shift
Stéphane Adjemian (Scylla) 2015-03-13 15:48:57 +01:00
parent 7343fa8f99
commit 6d7b72cb0d
9 changed files with 129 additions and 24 deletions
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19
matlab/dr_block.m
View File

@ -315,13 +315,17 @@ for i = 1:Size;
dr.eigval = [dr.eigval ; data(i).eigval];
case 6
%% ------------------------------------------------------------------
%Solve Forward complete
%Solve Forward complete
if (maximum_lag > 0)
ghx = - jacob(: , n_pred + 1 : n_pred + n_static ...
+ n_pred + n_both) \ jacob(: , 1 : n_pred);
else
ghx = 0;
end;
if maximum_lag > 0 && n_pred > 0
data(i).eigval = eig(- jacob(: , 1 : n_pred) / ...
jacob(: , (n_pred + n_static + 1 : n_pred + n_static + n_pred )));
data(i).eigval = -eig(ghx(n_static+1:end,:));
data(i).rank = 0;
full_rank = (rcond(jacob(: , (n_pred + n_static + 1 : n_pred ...
+ n_static + n_pred ))) > 1e-9);
full_rank = (rcond(ghx(n_static+1:end,:)) > 1e-9);
else
data(i).eigval = [];
data(i).rank = 0;
@ -330,11 +334,6 @@ for i = 1:Size;
dr.eigval = [dr.eigval ; data(i).eigval];
dr.full_rank = dr.full_rank && full_rank;
if task ~= 1
if (maximum_lag > 0)
ghx = - jacob(: , 1 : n_pred) / jacob(: , n_pred + n_static + 1 : n_pred + n_static + n_pred + n_both);
else
ghx = 0;
end;
if other_endo_nbr
fx = data(i).g1_o;
% retrieves the derivatives with respect to endogenous

2
matlab/global_initialization.m
View File

@ -363,7 +363,7 @@ estimation_info.structural_innovation_corr_prior_index = {};
estimation_info.structural_innovation_corr_options_index = {};
estimation_info.structural_innovation_corr.range_index = {};
estimation_info.joint_parameter_prior_index = {};
estimation_info.joint_parameter = cell2table(cell(0,11));
estimation_info.joint_parameter = {'index','domain','interval','mean','median','mode','shape','shift','stdev','truncate','variance'};
options_.initial_period = NaN; %dates(1,1);
options_.dataset.file = [];
options_.dataset.series = [];

2
matlab/ms-sbvar/identification/exclusions.m
View File

@ -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

77
matlab/ms-sbvar/sbvar_global_identification_check.m Normal file
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@ -0,0 +1,77 @@
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

2
matlab/perfect-foresight-models/sim1_purely_forward.m
View File

@ -37,7 +37,7 @@ function oo_ = sim1_purely_forward(options_, M_, oo_)
1, options_.gstep, options_.solve_tolf, ...
options_.solve_tolx, options_.simul.maxit, ...
options_.debug,oo_.exo_simul, M_.params, oo_.steady_state, ...
it);
it+M_.maximum_lag);
if info
oo_.deterministic_simulation.status = 0;

18
preprocessor/ComputingTasks.cc
View File

@ -2157,7 +2157,7 @@ JointPriorStatement::writeOutput(ostream &output, const string &basename) const
writeOutputHelper(output, "truncate", lhs_field);
writeOutputHelper(output, "variance", lhs_field);
output << "estimation_info.joint_parameter_tmp = table(key, ..." << endl
output << "estimation_info.joint_parameter_tmp = [key, ..." << endl
<< " " << lhs_field << ".domain , ..." << endl
<< " " << lhs_field << ".interval , ..." << endl
<< " " << lhs_field << ".mean , ..." << endl
@ -2167,15 +2167,9 @@ JointPriorStatement::writeOutput(ostream &output, const string &basename) const
<< " " << lhs_field << ".shift , ..." << endl
<< " " << lhs_field << ".stdev , ..." << endl
<< " " << lhs_field << ".truncate , ..." << endl
<< " " << lhs_field << ".variance, ..." << endl
<< " 'VariableNames',{'index','domain','interval','mean','median','mode','shape','shift','stdev','truncate','variance'});" << endl;
output << "if height(estimation_info.joint_parameter)" << endl
<< " estimation_info.joint_parameter = [estimation_info.joint_parameter; estimation_info.joint_parameter_tmp];" << endl
<< "else" << endl
<< " estimation_info.joint_parameter = estimation_info.joint_parameter_tmp;" << endl
<< "end" << endl
<< "clear estimation_info.joint_parameter_tmp;" << endl;
<< " " << lhs_field << ".variance];" << endl
<< "estimation_info.joint_parameter = [estimation_info.joint_parameter; estimation_info.joint_parameter_tmp];" << endl
<< "estimation_info=rmfield(estimation_info, 'joint_parameter_tmp');" << endl;
}
void
@ -2183,10 +2177,14 @@ JointPriorStatement::writeOutputHelper(ostream &output, const string &field, con
{
OptionsList::num_options_t::const_iterator itn = options_list.num_options.find(field);
output << lhs_field << "." << field << " = {";
if (field=="variance")
output << "{";
if (itn != options_list.num_options.end())
output << itn->second;
else
output << "{}";
if (field=="variance")
output << "}";
output << "};" << endl;
}

2
preprocessor/ModFile.cc
View File

@ -290,7 +290,7 @@ ModFile::checkPass()
// Check if some exogenous is not used in the model block
set<int> unusedExo = dynamic_model.findUnusedExogenous();
if (unusedExo.size() > 1)
if (unusedExo.size() > 0)
{
warnings << "WARNING: some exogenous (";
for (set<int>::const_iterator it = unusedExo.begin();

16
tests/ms-sbvar/test_global_identification_FAILURE.mod Normal file
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@ -0,0 +1,16 @@
// 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);

15
tests/ms-sbvar/test_global_identification_OK.mod Normal file
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@ -0,0 +1,15 @@
// 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);