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changed default ar=1 and perform automatic increase of ar if this is not sufficient

time-shift
Marco Ratto 2011-06-15 23:47:27 +02:00
parent 01d19720da
commit 756594fdc4
3 changed files with 15 additions and 4 deletions
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2
doc/dynare.texi
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@ -5101,7 +5101,7 @@ This command triggers identification analysis.
@table @code
@item ar = @var{INTEGER}
Number of lags of computed autocorrelations (theoretical moments). Default: @code{3}
Number of lags of computed autocorrelations (theoretical moments). Default: @code{1}
@item useautocorr = @var{INTEGER}
If equal to @code{1}, compute derivatives of autocorrelation. If equal

2
matlab/dynare_identification.m
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@ -52,7 +52,7 @@ options_ident = set_default_option(options_ident,'gsa_sample_file',0);
options_ident = set_default_option(options_ident,'parameter_set','prior_mean');
options_ident = set_default_option(options_ident,'load_ident_files',0);
options_ident = set_default_option(options_ident,'useautocorr',0);
options_ident = set_default_option(options_ident,'ar',3);
options_ident = set_default_option(options_ident,'ar',1);
options_ident = set_default_option(options_ident,'prior_mc',1);
options_ident = set_default_option(options_ident,'prior_range',0);
options_ident = set_default_option(options_ident,'periods',300);

15
matlab/identification_analysis.m
View File

@ -80,10 +80,21 @@ if info(1)==0,
derivatives_info.DYss=dYss;
if init,
indJJ = (find(max(abs(JJ'))>1.e-8));
while length(indJJ)<nparam && nlags<10,
disp('The number of moments with non-zero derivative is smaller than the number of parameters')
disp(['Try increasing ar = ', int2str(nlags+1)])
nlags=nlags+1;
[JJ, H, gam, gp, dA, dOm, dYss] = getJJ(A, B, M_,oo0,options_,0,indx,indexo,bayestopt_.mf2,nlags,useautocorr);
derivatives_info.DT=dA;
derivatives_info.DOm=dOm;
derivatives_info.DYss=dYss;
evalin('caller',['options_ident.ar=',int2str(nlags),';']);
end
if length(indJJ)<nparam,
disp('The number of moments with non-zero derivative is smaller than the number of parameters')
disp('Either increase ar or reduce the list of estimated parameters')
error ,
disp('up to 10 lags: check your model')
disp('Either further increase ar or reduce the list of estimated parameters')
error('IDETooManyParams',''),
end
indH = (find(max(abs(H'))>1.e-8));
indLRE = (find(max(abs(gp'))>1.e-8));