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Add check whether steady state file during estimation overwrittes parameters to be estimated. 

This might lead to wrong results and should be checked for.
time-shift
Johannes Pfeifer 2015-02-11 12:58:36 +01:00
parent bdb6a2602e
commit 8320a39e61
1 changed files with 20 additions and 2 deletions
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22
matlab/initial_estimation_checks.m
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@ -44,8 +44,26 @@ if DynareDataset.vobs>length(find(diag(Model.Sigma_e)))+EstimatedParameters.nvn
error(['initial_estimation_checks:: Estimation can''t take place because too many shocks have been calibrated with a zero variance!'])
end
% check if steady state solves static model (except if diffuse_filter == 1)
[DynareResults.steady_state] = evaluate_steady_state(DynareResults.steady_state,Model,DynareOptions,DynareResults,DynareOptions.diffuse_filter==0);
old_steady_params=Model.params; %save initial parameters for check if steady state changes param values
% % check if steady state solves static model (except if diffuse_filter == 1)
[DynareResults.steady_state, new_steady_params] = evaluate_steady_state(DynareResults.steady_state,Model,DynareOptions,DynareResults,DynareOptions.diffuse_filter==0);
%check whether steady state file changes estimated parameters
Model_par_varied=Model; %store Model structure
Model_par_varied.params(EstimatedParameters.param_vals(:,1))=Model_par_varied.params(EstimatedParameters.param_vals(:,1))*1.01; %vary parameters
[junk, new_steady_params_2] = evaluate_steady_state(DynareResults.steady_state,Model_par_varied,DynareOptions,DynareResults,DynareOptions.diffuse_filter==0);
changed_par_indices=find((old_steady_params(EstimatedParameters.param_vals(:,1))-new_steady_params(EstimatedParameters.param_vals(:,1))) ...
| (Model_par_varied.params(EstimatedParameters.param_vals(:,1))-new_steady_params_2(EstimatedParameters.param_vals(:,1))));
if ~isempty(changed_par_indices)
fprintf('\nThe steady state file internally changed the values of the following estimated parameters:\n')
disp(Model.param_names(changed_par_indices,:));
fprintf('This will override the parameter values drawn from the proposal density and may lead to wrong results.\n')
fprintf('Check whether this is really intended.\n')
warning('The steady state file internally changes the values of the estimated parameters.')
end
if any(BayesInfo.pshape) % if Bayesian estimation
nvx=EstimatedParameters.nvx;