Add missing function check_for_calibrated_covariances.m
parent
3c75923e2d
commit
8dc13c12d8
|
@ -0,0 +1,55 @@
|
|||
function estim_params=check_for_calibrated_covariances(xparam1,estim_params,M)
|
||||
% function check_for_calibrated_covariances(xparam1,estim_params,M)
|
||||
% find calibrated covariances to consider during estimation
|
||||
% Inputs
|
||||
% -xparam1 [vector] parameters to be estimated
|
||||
% -estim_params [structure] describing parameters to be estimated
|
||||
% -M [structure] describing the model
|
||||
%
|
||||
% Outputs
|
||||
% -estim_params [structure] describing parameters to be estimated
|
||||
%
|
||||
% Notes: M is local to this function and not updated when calling
|
||||
% set_all_parameters
|
||||
|
||||
% 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/>.
|
||||
Sigma_e_calibrated=M.Sigma_e;
|
||||
H_calibrated=M.H;
|
||||
%check covariance for structural errors
|
||||
covariance_pos=find(tril(Sigma_e_calibrated,-1)); %off-diagonal elements set by covariances before updating correlation matrix to reflect estimated covariances
|
||||
covariance_pos_ME=find(tril(H_calibrated,-1)); %off-diagonal elements set by covariances before updating correlation matrix to reflect estimated covariances
|
||||
|
||||
%locally updated M
|
||||
M = set_all_parameters(xparam1,estim_params,M);
|
||||
|
||||
correlation_pos=find(tril(M.Correlation_matrix,-1)); %off-diagonal elements set by correlations after accounting for estimation
|
||||
calibrated_covariance_pos=covariance_pos(~ismember(covariance_pos,correlation_pos));
|
||||
if any(calibrated_covariance_pos)
|
||||
[rows, columns]=ind2sub(size(M.Sigma_e),calibrated_covariance_pos); %find linear indices of lower triangular covariance entries
|
||||
estim_params.calibrated_covariances.position=[calibrated_covariance_pos;sub2ind(size(M.Sigma_e),columns,rows)]; %get linear entries of upper triangular parts
|
||||
estim_params.calibrated_covariances.cov_value=Sigma_e_calibrated(estim_params.calibrated_covariances.position);
|
||||
end
|
||||
|
||||
correlation_pos_ME=find(tril(M.Correlation_matrix_ME,-1)); %off-diagonal elements set by correlations after accounting for estimation
|
||||
calibrated_covariance_pos_ME=covariance_pos_ME(~ismember(covariance_pos_ME,correlation_pos_ME));
|
||||
if any(calibrated_covariance_pos_ME)
|
||||
[rows, columns]=ind2sub(size(M.H),calibrated_covariance_pos_ME); %find linear indices of lower triangular covariance entries
|
||||
estim_params.calibrated_covariances_ME.position=[calibrated_covariance_pos_ME;sub2ind(size(M.H),columns,rows)]; %get linear entries of upper triangular parts
|
||||
estim_params.calibrated_covariances_ME.cov_value=H_calibrated(estim_params.calibrated_covariances_ME.position);
|
||||
end
|
||||
|
Loading…
Reference in New Issue