Fixed bugs, clean-up and some more commenting of identification routines
parent
84d7c97d4e
commit
917b8e5285
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@ -1,4 +1,21 @@
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function [pdraws, TAU, GAM, LRE, gp, H, JJ] = dynare_identification(options_ident, pdraws0)
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function [pdraws, TAU, GAM, LRE, gp, H, JJ] = dynare_identification(options_ident, pdraws0)
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%function [pdraws, TAU, GAM, LRE, gp, H, JJ] = dynare_identification(options_ident, pdraws0)
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%
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% INPUTS
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% o options_ident [structure] identification options
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% o pdraws0 [matrix] optional: matrix of MC sample of model params.
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%
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% OUTPUTS
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% o pdraws [matrix] matrix of MC sample of model params used
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% o TAU, [matrix] MC sample of entries in the model solution (stacked vertically)
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% o GAM, [matrix] MC sample of entries in the moments (stacked vertically)
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% o LRE, [matrix] MC sample of entries in LRE model (stacked vertically)
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% o gp, [matrix] derivatives of the Jacobian (LRE model)
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% o H, [matrix] derivatives of the model solution
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% o JJ [matrix] derivatives of the moments
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%
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% SPECIAL REQUIREMENTS
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% None
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% main
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% main
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%
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%
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@ -27,6 +44,7 @@ else
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warning off MATLAB:dividebyzero
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warning off MATLAB:dividebyzero
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end
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end
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fname_ = M_.fname;
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options_ident = set_default_option(options_ident,'load_ident_files',0);
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options_ident = set_default_option(options_ident,'load_ident_files',0);
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options_ident = set_default_option(options_ident,'useautocorr',0);
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options_ident = set_default_option(options_ident,'useautocorr',0);
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options_ident = set_default_option(options_ident,'ar',3);
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options_ident = set_default_option(options_ident,'ar',3);
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@ -44,7 +62,7 @@ if isempty(estim_params_),
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prior_exist=0;
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prior_exist=0;
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else
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else
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prior_exist=1;
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prior_exist=1;
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end
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end
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iload = options_ident.load_ident_files;
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iload = options_ident.load_ident_files;
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advanced = options_ident.advanced;
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advanced = options_ident.advanced;
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@ -59,8 +77,9 @@ options_.Schur_vec_tol = 1.e-8;
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options_ = set_default_option(options_,'datafile',[]);
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options_ = set_default_option(options_,'datafile',[]);
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options_.mode_compute = 0;
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options_.mode_compute = 0;
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[data,rawdata]=dynare_estimation_init([],1);
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options_.plot_priors = 0;
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% computes a first linear solution to set up various variables
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[data,rawdata]=dynare_estimation_init([],fname_,1);
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@ -68,10 +87,12 @@ SampleSize = options_ident.prior_mc;
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% results = prior_sampler(0,M_,bayestopt_,options_,oo_);
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% results = prior_sampler(0,M_,bayestopt_,options_,oo_);
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if options_ident.prior_range
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if prior_exist
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prior_draw(1,1);
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if options_ident.prior_range
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else
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prior_draw(1,1);
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prior_draw(1);
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else
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prior_draw(1);
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end
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end
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end
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if ~(exist('sylvester3mr','file')==2),
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if ~(exist('sylvester3mr','file')==2),
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@ -112,7 +133,7 @@ disp(' ')
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disp(['==== Identification analysis ====' ]),
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disp(['==== Identification analysis ====' ]),
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disp(' ')
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disp(' ')
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if iload <=0,
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if iload <=0,
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iteration = 0;
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iteration = 0;
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burnin_iteration = 0;
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burnin_iteration = 0;
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@ -133,14 +154,18 @@ if iload <=0,
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while iteration < SampleSize,
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while iteration < SampleSize,
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loop_indx = loop_indx+1;
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loop_indx = loop_indx+1;
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if prior_exist,
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if prior_exist,
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if nargin==2,
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if SampleSize==1,
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if burnin_iteration>=BurninSampleSize,
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params = set_prior(estim_params_,M_,options_)';
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params = pdraws0(iteration+1,:);
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else
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params = pdraws0(burnin_iteration+1,:);
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end
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else
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else
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params = prior_draw();
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if nargin==2,
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if burnin_iteration>=BurninSampleSize,
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params = pdraws0(iteration+1,:);
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else
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params = pdraws0(burnin_iteration+1,:);
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end
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else
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params = prior_draw();
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end
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end
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end
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set_all_parameters(params);
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set_all_parameters(params);
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else
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else
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@ -151,11 +176,6 @@ if iload <=0,
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if info(1)==0,
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if info(1)==0,
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oo0=oo_;
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oo0=oo_;
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% [Aa,Bb] = kalman_transition_matrix(oo0.dr, ...
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% bayestopt_.restrict_var_list, ...
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% bayestopt_.restrict_columns, ...
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% bayestopt_.restrict_aux, M_.exo_nbr);
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% tau=[vec(Aa); dyn_vech(Bb*M_.Sigma_e*Bb')];
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tau=[oo_.dr.ys(oo_.dr.order_var); vec(A); dyn_vech(B*M_.Sigma_e*B')];
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tau=[oo_.dr.ys(oo_.dr.order_var); vec(A); dyn_vech(B*M_.Sigma_e*B')];
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yy0=oo_.dr.ys(I);
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yy0=oo_.dr.ys(I);
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[residual, g1 ] = feval([M_.fname,'_dynamic'],yy0, oo_.exo_steady_state', M_.params,1);
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[residual, g1 ] = feval([M_.fname,'_dynamic'],yy0, oo_.exo_steady_state', M_.params,1);
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@ -164,7 +184,7 @@ if iload <=0,
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burnin_iteration = burnin_iteration + 1;
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burnin_iteration = burnin_iteration + 1;
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pdraws(burnin_iteration,:) = params;
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pdraws(burnin_iteration,:) = params;
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TAU(:,burnin_iteration)=tau;
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TAU(:,burnin_iteration)=tau;
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LRE(:,burnin_iteration)=[oo_.dr.ys(oo_.dr.order_var); vec(g1)];
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LRE(:,burnin_iteration)=[oo_.dr.ys(oo_.dr.order_var); vec(g1)];
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[gam,stationary_vars] = th_autocovariances(oo0.dr,bayestopt_.mfys,M_,options_);
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[gam,stationary_vars] = th_autocovariances(oo0.dr,bayestopt_.mfys,M_,options_);
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if exist('OCTAVE_VERSION')
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if exist('OCTAVE_VERSION')
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warning('off', 'Octave:divide-by-zero')
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warning('off', 'Octave:divide-by-zero')
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@ -206,7 +226,7 @@ if iload <=0,
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end
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end
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if iteration,
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if iteration,
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[JJ, H, gam, gp] = getJJ(A, B, M_,oo0,options_,0,indx,indexo,bayestopt_.mf2,nlags,useautocorr);
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[JJ, H, gam, gp] = getJJ(A, B, M_,oo0,options_,0,indx,indexo,bayestopt_.mf2,nlags,useautocorr);
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if BurninSampleSize == 0,
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if BurninSampleSize == 0,
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indJJ = (find(max(abs(JJ'))>1.e-8));
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indJJ = (find(max(abs(JJ'))>1.e-8));
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indH = (find(max(abs(H'))>1.e-8));
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indH = (find(max(abs(H'))>1.e-8));
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@ -239,24 +259,24 @@ if iload <=0,
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% siH = abs(H(indH,:).*(ones(length(indH),1)*bayestopt_.p2'));
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% siH = abs(H(indH,:).*(ones(length(indH),1)*bayestopt_.p2'));
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% siJ = abs(JJ(indJJ,:).*(1./mGAM'*bayestopt_.p2'));
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% siJ = abs(JJ(indJJ,:).*(1./mGAM'*bayestopt_.p2'));
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% siH = abs(H(indH,:).*(1./mTAU'*bayestopt_.p2'));
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% siH = abs(H(indH,:).*(1./mTAU'*bayestopt_.p2'));
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siJnorm(iteration,:) = vnorm(siJ./repmat(GAM(:,iteration),1,nparam)).*params;
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siJnorm(iteration,:) = vnorm(siJ./repmat(GAM(:,iteration),1,nparam)).*params;
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siHnorm(iteration,:) = vnorm(siH./repmat(TAU(:,iteration),1,nparam)).*params;
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siHnorm(iteration,:) = vnorm(siH./repmat(TAU(:,iteration),1,nparam)).*params;
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siLREnorm(iteration,:) = vnorm(siLRE./repmat(LRE(:,iteration),1,nparam-offset)).*params(offset+1:end);
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siLREnorm(iteration,:) = vnorm(siLRE./repmat(LRE(:,iteration),1,nparam-offset)).*params(offset+1:end);
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if iteration ==1,
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if iteration ==1,
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siJmean = abs(siJ)./SampleSize;
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siJmean = abs(siJ)./SampleSize;
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siHmean = abs(siH)./SampleSize;
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siHmean = abs(siH)./SampleSize;
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siLREmean = abs(siLRE)./SampleSize;
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siLREmean = abs(siLRE)./SampleSize;
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derJmean = (siJ)./SampleSize;
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derJmean = (siJ)./SampleSize;
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derHmean = (siH)./SampleSize;
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derHmean = (siH)./SampleSize;
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derLREmean = (siLRE)./SampleSize;
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derLREmean = (siLRE)./SampleSize;
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else
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else
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siJmean = abs(siJ)./SampleSize+siJmean;
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siJmean = abs(siJ)./SampleSize+siJmean;
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siHmean = abs(siH)./SampleSize+siHmean;
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siHmean = abs(siH)./SampleSize+siHmean;
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siLREmean = abs(siLRE)./SampleSize+siLREmean;
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siLREmean = abs(siLRE)./SampleSize+siLREmean;
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derJmean = (siJ)./SampleSize+derJmean;
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derJmean = (siJ)./SampleSize+derJmean;
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derHmean = (siH)./SampleSize+derHmean;
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derHmean = (siH)./SampleSize+derHmean;
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derLREmean = (siLRE)./SampleSize+derLREmean;
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derLREmean = (siLRE)./SampleSize+derLREmean;
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end
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end
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pdraws(iteration,:) = params;
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pdraws(iteration,:) = params;
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normH = max(abs(stoH(:,:,run_index))')';
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normH = max(abs(stoH(:,:,run_index))')';
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@ -265,74 +285,108 @@ if iload <=0,
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% normH = TAU(:,iteration);
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% normH = TAU(:,iteration);
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% normJ = GAM(:,iteration);
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% normJ = GAM(:,iteration);
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% normLRE = LRE(:,iteration);
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% normLRE = LRE(:,iteration);
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[idemodel.Mco(:,iteration), idemoments.Mco(:,iteration), idelre.Mco(:,iteration), ...
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[idemodel.Mco(:,iteration), idemoments.Mco(:,iteration), idelre.Mco(:,iteration), ...
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idemodel.Pco(:,:,iteration), idemoments.Pco(:,:,iteration), idelre.Pco(:,:,iteration), ...
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idemodel.Pco(:,:,iteration), idemoments.Pco(:,:,iteration), idelre.Pco(:,:,iteration), ...
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idemodel.cond(iteration), idemoments.cond(iteration), idelre.cond(iteration), ...
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idemodel.cond(iteration), idemoments.cond(iteration), idelre.cond(iteration), ...
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idemodel.ee(:,:,iteration), idemoments.ee(:,:,iteration), idelre.ee(:,:,iteration), ...
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idemodel.ee(:,:,iteration), idemoments.ee(:,:,iteration), idelre.ee(:,:,iteration), ...
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idemodel.ind(:,iteration), idemoments.ind(:,iteration), ...
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idemodel.ind(:,iteration), idemoments.ind(:,iteration), ...
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idemodel.indno{iteration}, idemoments.indno{iteration}, ...
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idemodel.indno{iteration}, idemoments.indno{iteration}, ...
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idemodel.ino(iteration), idemoments.ino(iteration)] = ...
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idemodel.ino(iteration), idemoments.ino(iteration)] = ...
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identification_checks(H(indH,:)./normH(:,ones(nparam,1)),JJ(indJJ,:)./normJ(:,ones(nparam,1)), gp(indLRE,:)./normLRE(:,ones(size(gp,2),1)), bayestopt_);
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identification_checks(H(indH,:)./normH(:,ones(nparam,1)),JJ(indJJ,:)./normJ(:,ones(nparam,1)), gp(indLRE,:)./normLRE(:,ones(size(gp,2),1)));
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% identification_checks(H(indH,:),JJ(indJJ,:), gp(indLRE,:), bayestopt_);
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% identification_checks(H(indH,:),JJ(indJJ,:), gp(indLRE,:), bayestopt_);
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indok = find(max(idemoments.indno{iteration},[],1)==0);
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indok = find(max(idemoments.indno{iteration},[],1)==0);
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ide_strength_J(iteration,:)=NaN(1,nparam);
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ide_strength_J(iteration,:)=NaN(1,nparam);
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if iteration ==1,
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if iteration ==1 && ~isempty(indok),
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normaliz = abs(params);
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if prior_exist,
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if ~isempty(estim_params_.var_exo),
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normaliz1 = estim_params_.var_exo(:,7); % normalize with prior standard deviation
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else
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normaliz1=[];
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end
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if ~isempty(estim_params_.param_vals),
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normaliz1 = [normaliz1; estim_params_.param_vals(:,7)]'; % normalize with prior standard deviation
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end
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normaliz = max([normaliz; normaliz1]);
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end
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cmm = simulated_moment_uncertainty(indJJ, periods, replic);
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cmm = simulated_moment_uncertainty(indJJ, periods, replic);
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% Jinv=(siJ(:,indok)'*siJ(:,indok))\siJ(:,indok)';
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% MIM=inv(Jinv*cmm*Jinv');
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MIM=siJ(:,indok)'*inv(cmm)*siJ(:,indok);
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deltaM = sqrt(diag(MIM));
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tildaM = MIM./((deltaM)*(deltaM'));
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rhoM=sqrt(1-1./diag(inv(tildaM)));
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deltaM = deltaM.*normaliz(indok)';
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ide_strength_J(iteration,indok) = (1./(sqrt(diag(inv(MIM)))./normaliz(indok)'));
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% indok = find(max(idemodel.indno{iteration},[],1)==0);
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% ide_strength_H(iteration,:)=zeros(1,nparam);
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% mim=inv(siH(:,indok)'*siH(:,indok))*siH(:,indok)';
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% % mim=mim*diag(GAM(:,iteration))*mim';
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% % MIM=inv(mim);
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% mim=mim.*repmat(TAU(:,iteration),1,length(indok))';
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% MIM=inv(mim*mim');
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% deltaM = sqrt(diag(MIM));
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% tildaM = MIM./((deltaM)*(deltaM'));
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% rhoM=sqrt(1-1./diag(inv(tildaM)));
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% deltaM = deltaM.*params(indok)';
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% ide_strength_H(iteration,indok) = (1./[sqrt(diag(inv(MIM)))./params(indok)']);
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normaliz(indok) = sqrt(diag(inv(MIM)))';
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% inok = find((abs(GAM(:,iteration))==0));
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% isok = find((abs(GAM(:,iteration))));
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% quant(isok,:) = siJ(isok,:)./repmat(GAM(isok,iteration),1,nparam);
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% quant(inok,:) = siJ(inok,:)./repmat(mean(abs(GAM(:,iteration))),length(inok),nparam);
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quant = siJ./repmat(sqrt(diag(cmm)),1,nparam);
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siJnorm(iteration,:) = vnorm(quant).*normaliz;
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% siJnorm(iteration,:) = vnorm(siJ(inok,:)).*normaliz;
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quant=[];
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inok = find((abs(TAU(:,iteration))==0));
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isok = find((abs(TAU(:,iteration))));
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quant(isok,:) = siH(isok,:)./repmat(TAU(isok,iteration),1,nparam);
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quant(inok,:) = siH(inok,:)./repmat(mean(abs(TAU(:,iteration))),length(inok),nparam);
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siHnorm(iteration,:) = vnorm(quant).*normaliz;
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% siHnorm(iteration,:) = vnorm(siH./repmat(TAU(:,iteration),1,nparam)).*normaliz;
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quant=[];
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inok = find((abs(LRE(:,iteration))==0));
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isok = find((abs(LRE(:,iteration))));
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quant(isok,:) = siLRE(isok,:)./repmat(LRE(isok,iteration),1,np);
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quant(inok,:) = siLRE(inok,:)./repmat(mean(abs(LRE(:,iteration))),length(inok),np);
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siLREnorm(iteration,:) = vnorm(quant).*normaliz(offset+1:end);
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% siLREnorm(iteration,:) = vnorm(siLRE./repmat(LRE(:,iteration),1,nparam-offset)).*normaliz(offset+1:end);
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end,
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end,
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% Jinv=(siJ(:,indok)'*siJ(:,indok))\siJ(:,indok)';
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% MIM=inv(Jinv*cmm*Jinv');
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MIM=siJ(:,indok)'*inv(cmm)*siJ(:,indok);
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deltaM = sqrt(diag(MIM));
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tildaM = MIM./((deltaM)*(deltaM'));
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rhoM=sqrt(1-1./diag(inv(tildaM)));
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deltaM = deltaM.*params(indok)';
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ide_strength_J(iteration,indok) = (1./[sqrt(diag(inv(MIM)))./params(indok)']);
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% indok = find(max(idemodel.indno{iteration},[],1)==0);
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% ide_strength_H(iteration,:)=zeros(1,nparam);
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% mim=inv(siH(:,indok)'*siH(:,indok))*siH(:,indok)';
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% % mim=mim*diag(GAM(:,iteration))*mim';
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% % MIM=inv(mim);
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% mim=mim.*repmat(TAU(:,iteration),1,length(indok))';
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% MIM=inv(mim*mim');
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% deltaM = sqrt(diag(MIM));
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% tildaM = MIM./((deltaM)*(deltaM'));
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|
||||||
% rhoM=sqrt(1-1./diag(inv(tildaM)));
|
|
||||||
% deltaM = deltaM.*params(indok)';
|
|
||||||
% ide_strength_H(iteration,indok) = (1./[sqrt(diag(inv(MIM)))./params(indok)']);
|
|
||||||
if run_index==MAX_tau || iteration==SampleSize,
|
if run_index==MAX_tau || iteration==SampleSize,
|
||||||
file_index = file_index + 1;
|
file_index = file_index + 1;
|
||||||
if run_index<MAX_tau,
|
if run_index<MAX_tau,
|
||||||
stoH = stoH(:,:,1:run_index);
|
stoH = stoH(:,:,1:run_index);
|
||||||
stoJJ = stoJJ(:,:,1:run_index);
|
stoJJ = stoJJ(:,:,1:run_index);
|
||||||
stoLRE = stoLRE(:,:,1:run_index);
|
stoLRE = stoLRE(:,:,1:run_index);
|
||||||
end
|
end
|
||||||
save([IdentifDirectoryName '/' M_.fname '_identif_' int2str(file_index)], 'stoH', 'stoJJ', 'stoLRE')
|
save([IdentifDirectoryName '/' M_.fname '_identif_' int2str(file_index) '.mat'], 'stoH', 'stoJJ', 'stoLRE')
|
||||||
run_index = 0;
|
run_index = 0;
|
||||||
|
|
||||||
end
|
end
|
||||||
|
|
||||||
if SampleSize > 1,
|
if SampleSize > 1,
|
||||||
waitbar(iteration/SampleSize,h,['MC Identification checks ',int2str(iteration),'/',int2str(SampleSize)])
|
waitbar(iteration/SampleSize,h,['MC Identification checks ',int2str(iteration),'/',int2str(SampleSize)])
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
|
|
||||||
|
|
||||||
if SampleSize > 1,
|
if SampleSize > 1,
|
||||||
close(h)
|
close(h)
|
||||||
end
|
end
|
||||||
|
|
||||||
|
|
||||||
save([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments', 'idelre', 'indJJ', 'indH', 'indLRE', ...
|
save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'pdraws', 'idemodel', 'idemoments', 'idelre', 'indJJ', 'indH', 'indLRE', ...
|
||||||
'siHmean', 'siJmean', 'siLREmean', 'derHmean', 'derJmean', 'derLREmean', 'TAU', 'GAM', 'LRE')
|
'siHmean', 'siJmean', 'siLREmean', 'derHmean', 'derJmean', 'derLREmean', 'TAU', 'GAM', 'LRE')
|
||||||
else
|
else
|
||||||
load([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments', 'idelre', 'indJJ', 'indH', 'indLRE', ...
|
load([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments', 'idelre', 'indJJ', 'indH', 'indLRE', ...
|
||||||
'siHmean', 'siJmean', 'siLREmean', 'derHmean', 'derJmean', 'derLREmean', 'TAU', 'GAM', 'LRE')
|
'siHmean', 'siJmean', 'siLREmean', 'derHmean', 'derJmean', 'derLREmean', 'TAU', 'GAM', 'LRE')
|
||||||
identFiles = dir([IdentifDirectoryName '/' M_.fname '_identif_*']);
|
identFiles = dir([IdentifDirectoryName '/' M_.fname '_identif_*']);
|
||||||
options_ident.prior_mc=size(pdraws,1);
|
options_ident.prior_mc=size(pdraws,1);
|
||||||
SampleSize = options_ident.prior_mc;
|
SampleSize = options_ident.prior_mc;
|
||||||
options_.options_ident = options_ident;
|
options_.options_ident = options_ident;
|
||||||
if iload>1,
|
if iload>1,
|
||||||
idemodel0=idemodel;
|
idemodel0=idemodel;
|
||||||
|
@ -341,7 +395,7 @@ else
|
||||||
iteration = 0;
|
iteration = 0;
|
||||||
h = waitbar(0,'Monte Carlo identification checks ...');
|
h = waitbar(0,'Monte Carlo identification checks ...');
|
||||||
for file_index=1:length(identFiles)
|
for file_index=1:length(identFiles)
|
||||||
load([IdentifDirectoryName '/' M_.fname '_identif_' int2str(file_index)], 'stoH', 'stoJJ', 'stoLRE')
|
load([IdentifDirectoryName '/' M_.fname '_identif_' int2str(file_index)], 'stoH', 'stoJJ', 'stoLRE')
|
||||||
for index=1:size(stoH,3),
|
for index=1:size(stoH,3),
|
||||||
iteration = iteration+1;
|
iteration = iteration+1;
|
||||||
normH = max(abs(stoH(:,:,index))')';
|
normH = max(abs(stoH(:,:,index))')';
|
||||||
|
@ -350,26 +404,26 @@ else
|
||||||
% normH = TAU(:,iteration);
|
% normH = TAU(:,iteration);
|
||||||
% normJ = GAM(:,iteration);
|
% normJ = GAM(:,iteration);
|
||||||
% normLRE = LRE(:,iteration);
|
% normLRE = LRE(:,iteration);
|
||||||
[idemodel.Mco(:,iteration), idemoments.Mco(:,iteration), idelre.Mco(:,iteration), ...
|
[idemodel.Mco(:,iteration), idemoments.Mco(:,iteration), idelre.Mco(:,iteration), ...
|
||||||
idemodel.Pco(:,:,iteration), idemoments.Pco(:,:,iteration), idelre.Pco(:,:,iteration), ...
|
idemodel.Pco(:,:,iteration), idemoments.Pco(:,:,iteration), idelre.Pco(:,:,iteration), ...
|
||||||
idemodel.cond(iteration), idemoments.cond(iteration), idelre.cond(iteration), ...
|
idemodel.cond(iteration), idemoments.cond(iteration), idelre.cond(iteration), ...
|
||||||
idemodel.ee(:,:,iteration), idemoments.ee(:,:,iteration), idelre.ee(:,:,iteration), ...
|
idemodel.ee(:,:,iteration), idemoments.ee(:,:,iteration), idelre.ee(:,:,iteration), ...
|
||||||
idemodel.ind(:,iteration), idemoments.ind(:,iteration), ...
|
idemodel.ind(:,iteration), idemoments.ind(:,iteration), ...
|
||||||
idemodel.indno{iteration}, idemoments.indno{iteration}, ...
|
idemodel.indno{iteration}, idemoments.indno{iteration}, ...
|
||||||
idemodel.ino(iteration), idemoments.ino(iteration)] = ...
|
idemodel.ino(iteration), idemoments.ino(iteration)] = ...
|
||||||
identification_checks(stoH(:,:,index)./normH(:,ones(nparam,1)), ...
|
identification_checks(stoH(:,:,index)./normH(:,ones(nparam,1)), ...
|
||||||
stoJJ(:,:,index)./normJ(:,ones(nparam,1)), ...
|
stoJJ(:,:,index)./normJ(:,ones(nparam,1)), ...
|
||||||
stoLRE(:,:,index)./normLRE(:,ones(size(stoLRE,2),1)), bayestopt_);
|
stoLRE(:,:,index)./normLRE(:,ones(size(stoLRE,2),1)));
|
||||||
waitbar(iteration/SampleSize,h,['MC Identification checks ',int2str(iteration),'/',int2str(SampleSize)])
|
waitbar(iteration/SampleSize,h,['MC Identification checks ',int2str(iteration),'/',int2str(SampleSize)])
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
close(h);
|
close(h);
|
||||||
save([IdentifDirectoryName '/' M_.fname '_identif'], 'idemodel', 'idemoments', 'idelre', '-append')
|
save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'idemodel', 'idemoments', 'idelre', '-append')
|
||||||
end
|
end
|
||||||
iteration = 0;
|
iteration = 0;
|
||||||
h = waitbar(0,'Monte Carlo identification checks ...');
|
h = waitbar(0,'Monte Carlo identification checks ...');
|
||||||
for file_index=1:length(identFiles)
|
for file_index=1:length(identFiles)
|
||||||
load([IdentifDirectoryName '/' M_.fname '_identif_' int2str(file_index)], 'stoH', 'stoJJ', 'stoLRE')
|
load([IdentifDirectoryName '/' M_.fname '_identif_' int2str(file_index)], 'stoH', 'stoJJ', 'stoLRE')
|
||||||
for index=1:size(stoH,3),
|
for index=1:size(stoH,3),
|
||||||
iteration = iteration+1;
|
iteration = iteration+1;
|
||||||
fobj(iteration)=sum(((GAM(:,iteration)-GAM(:,1))).^2);
|
fobj(iteration)=sum(((GAM(:,iteration)-GAM(:,1))).^2);
|
||||||
|
@ -380,7 +434,7 @@ else
|
||||||
FOCH(iteration,:) = (TAU(:,iteration)-TAU(:,1))'*stoH(:,:,index);
|
FOCH(iteration,:) = (TAU(:,iteration)-TAU(:,1))'*stoH(:,:,index);
|
||||||
FOCR(iteration,:) = ((GAM(:,iteration)./GAM(:,1)-1)./GAM(:,1))'*stoJJ(:,:,index);
|
FOCR(iteration,:) = ((GAM(:,iteration)./GAM(:,1)-1)./GAM(:,1))'*stoJJ(:,:,index);
|
||||||
FOCHR(iteration,:) = ((TAU(:,iteration)./TAU(:,1)-1)./TAU(:,1))'*stoH(:,:,index);
|
FOCHR(iteration,:) = ((TAU(:,iteration)./TAU(:,1)-1)./TAU(:,1))'*stoH(:,:,index);
|
||||||
|
|
||||||
waitbar(iteration/SampleSize,h,['MC Identification checks ',int2str(iteration),'/',int2str(SampleSize)])
|
waitbar(iteration/SampleSize,h,['MC Identification checks ',int2str(iteration),'/',int2str(SampleSize)])
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
|
@ -422,7 +476,7 @@ if SampleSize>1,
|
||||||
if j>offset
|
if j>offset
|
||||||
indd = 1:length(siLREmean(:,j-offset));
|
indd = 1:length(siLREmean(:,j-offset));
|
||||||
tstLREmean(indd,j-offset) = abs(derLREmean(indd,j-offset))./siLREmean(indd,j-offset);
|
tstLREmean(indd,j-offset) = abs(derLREmean(indd,j-offset))./siLREmean(indd,j-offset);
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
|
|
||||||
|
@ -431,114 +485,18 @@ if nargout>3 && iload,
|
||||||
filnam = dir([IdentifDirectoryName '/' M_.fname '_identif_*.mat']);
|
filnam = dir([IdentifDirectoryName '/' M_.fname '_identif_*.mat']);
|
||||||
H=[];
|
H=[];
|
||||||
JJ = [];
|
JJ = [];
|
||||||
gp = [];
|
gp = [];
|
||||||
for j=1:length(filnam),
|
for j=1:length(filnam),
|
||||||
load([IdentifDirectoryName '/' M_.fname '_identif_',int2str(j),'.mat']);
|
load([IdentifDirectoryName '/' M_.fname '_identif_',int2str(j),'.mat']);
|
||||||
H = cat(3,H, stoH(:,abs(iload),:));
|
H = cat(3,H, stoH(:,abs(iload),:));
|
||||||
JJ = cat(3,JJ, stoJJ(:,abs(iload),:));
|
JJ = cat(3,JJ, stoJJ(:,abs(iload),:));
|
||||||
gp = cat(3,gp, stoLRE(:,abs(iload),:));
|
gp = cat(3,gp, stoLRE(:,abs(iload),:));
|
||||||
|
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
|
|
||||||
% mTAU = mean(TAU');
|
|
||||||
% mGAM = mean(GAM');
|
|
||||||
% sTAU = std(TAU');
|
|
||||||
% sGAM = std(GAM');
|
|
||||||
% if nargout>=3,
|
|
||||||
% GAM0=GAM;
|
|
||||||
% end
|
|
||||||
% if useautocorr,
|
|
||||||
% idiag = find(dyn_vech(eye(size(options_.varobs,1))));
|
|
||||||
% GAM(idiag,:) = GAM(idiag,:)./(sGAM(idiag)'*ones(1,SampleSize));
|
|
||||||
% % siJmean(idiag,:) = siJmean(idiag,:)./(sGAM(idiag)'*ones(1,nparam));
|
|
||||||
% % siJmean = siJmean./(max(siJmean')'*ones(size(params)));
|
|
||||||
% end
|
|
||||||
%
|
|
||||||
% [pcc, dd] = eig(cov(GAM'));
|
|
||||||
% [latent, isort] = sort(-diag(dd));
|
|
||||||
% latent = -latent;
|
|
||||||
% pcc=pcc(:,isort);
|
|
||||||
% siPCA = (siJmean'*abs(pcc')).^2';
|
|
||||||
% siPCA = siPCA./(max(siPCA')'*ones(1,nparam)).*(latent*ones(1,nparam));
|
|
||||||
% siPCA = sum(siPCA,1);
|
|
||||||
% siPCA = siPCA./max(siPCA);
|
|
||||||
%
|
|
||||||
% [pcc, dd] = eig(corrcoef(GAM'));
|
|
||||||
% [latent, isort] = sort(-diag(dd));
|
|
||||||
% latent = -latent;
|
|
||||||
% pcc=pcc(:,isort);
|
|
||||||
% siPCA2 = (siJmean'*abs(pcc')).^2';
|
|
||||||
% siPCA2 = siPCA2./(max(siPCA2')'*ones(1,nparam)).*(latent*ones(1,nparam));
|
|
||||||
% siPCA2 = sum(siPCA2,1);
|
|
||||||
% siPCA2 = siPCA2./max(siPCA2);
|
|
||||||
%
|
|
||||||
% [pcc, dd] = eig(cov(TAU'));
|
|
||||||
% [latent, isort] = sort(-diag(dd));
|
|
||||||
% latent = -latent;
|
|
||||||
% pcc=pcc(:,isort);
|
|
||||||
% siHPCA = (siHmean'*abs(pcc')).^2';
|
|
||||||
% siHPCA = siHPCA./(max(siHPCA')'*ones(1,nparam)).*(latent*ones(1,nparam));
|
|
||||||
% siHPCA = sum(siHPCA,1);
|
|
||||||
% siHPCA = siHPCA./max(siHPCA);
|
|
||||||
%
|
|
||||||
% [pcc, dd] = eig(corrcoef(TAU'));
|
|
||||||
% [latent, isort] = sort(-diag(dd));
|
|
||||||
% latent = -latent;
|
|
||||||
% pcc=pcc(:,isort);
|
|
||||||
% siHPCA2 = (siHmean'*abs(pcc')).^2';
|
|
||||||
% siHPCA2 = siHPCA2./(max(siHPCA2')'*ones(1,nparam)).*(latent*ones(1,nparam));
|
|
||||||
% siHPCA2 = sum(siHPCA2,1);
|
|
||||||
% siHPCA2 = siHPCA2./max(siHPCA2);
|
|
||||||
|
|
||||||
|
|
||||||
disp_identification(pdraws, idemodel, idemoments, name, advanced)
|
disp_identification(pdraws, idemodel, idemoments, name, advanced)
|
||||||
|
|
||||||
% figure,
|
|
||||||
% % myboxplot(siPCA(1:(max(find(cumsum(latent)./length(indJJ)<0.99))+1),:))
|
|
||||||
% subplot(221)
|
|
||||||
% bar(siHPCA)
|
|
||||||
% % set(gca,'ylim',[0 1])
|
|
||||||
% set(gca,'xticklabel','')
|
|
||||||
% set(gca,'xlim',[0.5 nparam+0.5])
|
|
||||||
% for ip=1:nparam,
|
|
||||||
% text(ip,-0.02,name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
|
||||||
% end
|
|
||||||
% title('Sensitivity in TAU''s PCA')
|
|
||||||
%
|
|
||||||
% subplot(222)
|
|
||||||
% % myboxplot(siPCA(1:(max(find(cumsum(latent)./length(indJJ)<0.99))+1),:))
|
|
||||||
% bar(siHPCA2)
|
|
||||||
% % set(gca,'ylim',[0 1])
|
|
||||||
% set(gca,'xticklabel','')
|
|
||||||
% set(gca,'xlim',[0.5 nparam+0.5])
|
|
||||||
% for ip=1:nparam,
|
|
||||||
% text(ip,-0.02,name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
|
||||||
% end
|
|
||||||
% title('Sensitivity in standardized TAU''s PCA')
|
|
||||||
%
|
|
||||||
%
|
|
||||||
% subplot(223)
|
|
||||||
% % myboxplot(siPCA(1:(max(find(cumsum(latent)./length(indJJ)<0.99))+1),:))
|
|
||||||
% bar(siPCA)
|
|
||||||
% % set(gca,'ylim',[0 1])
|
|
||||||
% set(gca,'xticklabel','')
|
|
||||||
% set(gca,'xlim',[0.5 nparam+0.5])
|
|
||||||
% for ip=1:nparam,
|
|
||||||
% text(ip,-0.02,name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
|
||||||
% end
|
|
||||||
% title('Sensitivity in moments'' PCA')
|
|
||||||
%
|
|
||||||
% subplot(224)
|
|
||||||
% % myboxplot(siPCA(1:(max(find(cumsum(latent)./length(indJJ)<0.99))+1),:))
|
|
||||||
% bar(siPCA2)
|
|
||||||
% % set(gca,'ylim',[0 1])
|
|
||||||
% set(gca,'xticklabel','')
|
|
||||||
% set(gca,'xlim',[0.5 nparam+0.5])
|
|
||||||
% for ip=1:nparam,
|
|
||||||
% text(ip,-0.02,name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
|
||||||
% end
|
|
||||||
% title('Sensitivity in standardized moments'' PCA')
|
|
||||||
|
|
||||||
if advanced,
|
if advanced,
|
||||||
figure('Name','Identification LRE model form'),
|
figure('Name','Identification LRE model form'),
|
||||||
|
@ -563,7 +521,7 @@ if advanced,
|
||||||
text(ip,-0.02,deblank(M_.param_names(indx(is(ip)),:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
text(ip,-0.02,deblank(M_.param_names(indx(is(ip)),:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||||
end
|
end
|
||||||
title('Sensitivity in the LRE model')
|
title('Sensitivity in the LRE model')
|
||||||
|
|
||||||
subplot(212)
|
subplot(212)
|
||||||
if SampleSize>1,
|
if SampleSize>1,
|
||||||
mmm = mean(-idelre.Mco');
|
mmm = mean(-idelre.Mco');
|
||||||
|
@ -586,10 +544,10 @@ if advanced,
|
||||||
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_LRE']);
|
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_LRE']);
|
||||||
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_LRE']);
|
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_LRE']);
|
||||||
if options_.nograph, close(gcf); end
|
if options_.nograph, close(gcf); end
|
||||||
|
|
||||||
figure('Name','Identification in the model'),
|
figure('Name','Identification in the model'),
|
||||||
% subplot(311)
|
% subplot(311)
|
||||||
%
|
%
|
||||||
% if SampleSize>1,
|
% if SampleSize>1,
|
||||||
% mmm = mean(ide_strength_H);
|
% mmm = mean(ide_strength_H);
|
||||||
% else
|
% else
|
||||||
|
@ -609,7 +567,7 @@ if advanced,
|
||||||
% text(ip,dy(1),name{is(ip)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
% text(ip,dy(1),name{is(ip)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||||
% end
|
% end
|
||||||
% title('Identification strength in the model')
|
% title('Identification strength in the model')
|
||||||
|
|
||||||
subplot(211)
|
subplot(211)
|
||||||
% mmm = mean(siHmean);
|
% mmm = mean(siHmean);
|
||||||
% [ss, is] = sort(mmm);
|
% [ss, is] = sort(mmm);
|
||||||
|
@ -624,7 +582,7 @@ if advanced,
|
||||||
myboxplot(log(siHnorm(:,is)))
|
myboxplot(log(siHnorm(:,is)))
|
||||||
else
|
else
|
||||||
bar(siHnorm(:,is))
|
bar(siHnorm(:,is))
|
||||||
end
|
end
|
||||||
% set(gca,'ylim',[0 1.05])
|
% set(gca,'ylim',[0 1.05])
|
||||||
set(gca,'xticklabel','')
|
set(gca,'xticklabel','')
|
||||||
dy = get(gca,'ylim');
|
dy = get(gca,'ylim');
|
||||||
|
@ -633,7 +591,7 @@ if advanced,
|
||||||
text(ip,dy(1),name{is(ip)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
text(ip,dy(1),name{is(ip)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||||
end
|
end
|
||||||
title('Sensitivity in the model')
|
title('Sensitivity in the model')
|
||||||
|
|
||||||
subplot(212)
|
subplot(212)
|
||||||
if SampleSize>1,
|
if SampleSize>1,
|
||||||
mmm = mean(-idemodel.Mco');
|
mmm = mean(-idemodel.Mco');
|
||||||
|
@ -672,15 +630,16 @@ end
|
||||||
if SampleSize>1,
|
if SampleSize>1,
|
||||||
myboxplot(log(ide_strength_J(:,is)))
|
myboxplot(log(ide_strength_J(:,is)))
|
||||||
else
|
else
|
||||||
bar(ide_strength_J(:,is))
|
bar(log(ide_strength_J(:,is)))
|
||||||
end
|
end
|
||||||
% set(gca,'ylim',[0 1.05])
|
% set(gca,'ylim',[0 1.05])
|
||||||
|
set(gca,'xlim',[0 nparam+1])
|
||||||
set(gca,'xticklabel','')
|
set(gca,'xticklabel','')
|
||||||
dy = get(gca,'ylim');
|
dy = get(gca,'ylim');
|
||||||
% dy=dy(2)-dy(1);
|
% dy=dy(2)-dy(1);
|
||||||
for ip=1:nparam,
|
% for ip=1:nparam,
|
||||||
text(ip,dy(1),name{is(ip)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
% text(ip,dy(1),name{is(ip)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||||
end
|
% end
|
||||||
title('Identification strength in the moments')
|
title('Identification strength in the moments')
|
||||||
|
|
||||||
subplot(212)
|
subplot(212)
|
||||||
|
@ -699,6 +658,7 @@ else
|
||||||
bar(siJnorm(:,is))
|
bar(siJnorm(:,is))
|
||||||
end
|
end
|
||||||
% set(gca,'ylim',[0 1.05])
|
% set(gca,'ylim',[0 1.05])
|
||||||
|
set(gca,'xlim',[0 nparam+1])
|
||||||
set(gca,'xticklabel','')
|
set(gca,'xticklabel','')
|
||||||
dy = get(gca,'ylim');
|
dy = get(gca,'ylim');
|
||||||
% dy=dy(2)-dy(1);
|
% dy=dy(2)-dy(1);
|
||||||
|
@ -730,30 +690,55 @@ title('Sensitivity in the moments')
|
||||||
% eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_moments']);
|
% eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_moments']);
|
||||||
% if options_.nograph, close(gcf); end
|
% if options_.nograph, close(gcf); end
|
||||||
|
|
||||||
if SampleSize==1,
|
if SampleSize==1 && advanced,
|
||||||
% identificaton patterns
|
% identificaton patterns
|
||||||
[U,S,V]=svd(siJ./normJ(:,ones(nparam,1)),0);
|
[U,S,V]=svd(siJ./normJ(:,ones(nparam,1)),0);
|
||||||
figure('name','Identification patterns (moments)'),
|
if nparam<5,
|
||||||
|
f1 = figure('name','Identification patterns (moments)');
|
||||||
|
else
|
||||||
|
f1 = figure('name','Identification patterns (moments): SMALLEST SV');
|
||||||
|
f2 = figure('name','Identification patterns (moments): HIGHEST SV');
|
||||||
|
end
|
||||||
for j=1:min(nparam,8),
|
for j=1:min(nparam,8),
|
||||||
subplot(2,4,j),
|
if j<5,
|
||||||
|
figure(f1),
|
||||||
|
jj=j;
|
||||||
|
else
|
||||||
|
figure(f2),
|
||||||
|
jj=j-4;
|
||||||
|
end
|
||||||
|
subplot(4,1,jj),
|
||||||
if j<5
|
if j<5
|
||||||
bar(abs(V(:,end-j+1))),
|
bar(abs(V(:,end-j+1))),
|
||||||
Stit = S(end-j+1,end-j+1);
|
Stit = S(end-j+1,end-j+1);
|
||||||
if j==1, ylabel('SMALLEST singular values'), end,
|
% if j==4 || j==nparam,
|
||||||
|
% xlabel('SMALLEST singular values'),
|
||||||
|
% end,
|
||||||
else
|
else
|
||||||
bar(abs(V(:,j))),
|
bar(abs(V(:,j))),
|
||||||
Stit = S(j,j);
|
Stit = S(j,j);
|
||||||
if j==5, ylabel('LARGEST singular values'), end,
|
% if j==8 || j==nparam,
|
||||||
|
% xlabel('LARGEST singular values'),
|
||||||
|
% end,
|
||||||
end
|
end
|
||||||
set(gca,'xticklabel','')
|
set(gca,'xticklabel','')
|
||||||
|
if j==4 || j==nparam || j==8,
|
||||||
for ip=1:nparam,
|
for ip=1:nparam,
|
||||||
text(ip,-0.02,name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
text(ip,-0.02,name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||||
end
|
end
|
||||||
|
end
|
||||||
title(['Singular value ',num2str(Stit)])
|
title(['Singular value ',num2str(Stit)])
|
||||||
end
|
end
|
||||||
saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident_pattern'])
|
figure(f1);
|
||||||
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_pattern']);
|
saveas(f1,[IdentifDirectoryName,'/',M_.fname,'_ident_pattern_1'])
|
||||||
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_pattern']);
|
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_pattern_1']);
|
||||||
|
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_pattern_1']);
|
||||||
|
if nparam>4,
|
||||||
|
figure(f2),
|
||||||
|
saveas(f2,[IdentifDirectoryName,'/',M_.fname,'_ident_pattern_2'])
|
||||||
|
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_pattern_2']);
|
||||||
|
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_pattern_2']);
|
||||||
|
end
|
||||||
end
|
end
|
||||||
|
|
||||||
if advanced,
|
if advanced,
|
||||||
|
@ -773,17 +758,17 @@ if advanced,
|
||||||
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_COND']);
|
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_COND']);
|
||||||
if options_.nograph, close(gcf); end
|
if options_.nograph, close(gcf); end
|
||||||
end
|
end
|
||||||
|
|
||||||
|
|
||||||
pco = NaN(np,np);
|
pco = NaN(np,np);
|
||||||
for j=1:np,
|
for j=1:np,
|
||||||
if SampleSize>1
|
if SampleSize>1
|
||||||
pco(j+1:end,j) = mean(abs(squeeze(idelre.Pco(j+1:end,j,:))'));
|
pco(j+1:end,j) = mean(abs(squeeze(idelre.Pco(j+1:end,j,:))'));
|
||||||
else
|
else
|
||||||
pco(j+1:end,j) = abs(idelre.Pco(j+1:end,j))';
|
pco(j+1:end,j) = abs(idelre.Pco(j+1:end,j))';
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
figure('name','Pairwise correlations in the LRE model'),
|
figure('name','Pairwise correlations in the LRE model'),
|
||||||
imagesc(pco',[0 1]);
|
imagesc(pco',[0 1]);
|
||||||
set(gca,'xticklabel','')
|
set(gca,'xticklabel','')
|
||||||
set(gca,'yticklabel','')
|
set(gca,'yticklabel','')
|
||||||
|
@ -796,16 +781,16 @@ if advanced,
|
||||||
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_LRE']);
|
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_LRE']);
|
||||||
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_LRE']);
|
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_LRE']);
|
||||||
if options_.nograph, close(gcf); end
|
if options_.nograph, close(gcf); end
|
||||||
|
|
||||||
pco = NaN(nparam,nparam);
|
pco = NaN(nparam,nparam);
|
||||||
for j=1:nparam,
|
for j=1:nparam,
|
||||||
if SampleSize>1
|
if SampleSize>1
|
||||||
pco(j+1:end,j) = mean(abs(squeeze(idemodel.Pco(j+1:end,j,:))'));
|
pco(j+1:end,j) = mean(abs(squeeze(idemodel.Pco(j+1:end,j,:))'));
|
||||||
else
|
else
|
||||||
pco(j+1:end,j) = abs(idemodel.Pco(j+1:end,j))';
|
pco(j+1:end,j) = abs(idemodel.Pco(j+1:end,j))';
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
figure('name','Pairwise correlations in the model'),
|
figure('name','Pairwise correlations in the model'),
|
||||||
imagesc(pco',[0 1]);
|
imagesc(pco',[0 1]);
|
||||||
set(gca,'xticklabel','')
|
set(gca,'xticklabel','')
|
||||||
set(gca,'yticklabel','')
|
set(gca,'yticklabel','')
|
||||||
|
@ -818,15 +803,15 @@ if advanced,
|
||||||
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_model']);
|
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_model']);
|
||||||
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_model']);
|
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_model']);
|
||||||
if options_.nograph, close(gcf); end
|
if options_.nograph, close(gcf); end
|
||||||
|
|
||||||
for j=1:nparam,
|
for j=1:nparam,
|
||||||
if SampleSize>1
|
if SampleSize>1
|
||||||
pco(j+1:end,j) = mean(abs(squeeze(idemoments.Pco(j+1:end,j,:))'));
|
pco(j+1:end,j) = mean(abs(squeeze(idemoments.Pco(j+1:end,j,:))'));
|
||||||
else
|
else
|
||||||
pco(j+1:end,j) = abs(idemoments.Pco(j+1:end,j))';
|
pco(j+1:end,j) = abs(idemoments.Pco(j+1:end,j))';
|
||||||
end
|
end
|
||||||
end
|
end
|
||||||
figure('name','Pairwise correlations in the moments'),
|
figure('name','Pairwise correlations in the moments'),
|
||||||
imagesc(pco',[0 1]);
|
imagesc(pco',[0 1]);
|
||||||
set(gca,'xticklabel','')
|
set(gca,'xticklabel','')
|
||||||
set(gca,'yticklabel','')
|
set(gca,'yticklabel','')
|
||||||
|
@ -840,110 +825,6 @@ if advanced,
|
||||||
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_moments']);
|
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_moments']);
|
||||||
if options_.nograph, close(gcf); end
|
if options_.nograph, close(gcf); end
|
||||||
end
|
end
|
||||||
% ifig=0;
|
|
||||||
% nbox = min(np-1,12);
|
|
||||||
% for j=1:np,
|
|
||||||
% if mod(j,12)==1,
|
|
||||||
% ifig = ifig+1;
|
|
||||||
% figure('name','Pairwise correlations in the LRE model'),
|
|
||||||
% iplo=0;
|
|
||||||
% end
|
|
||||||
% iplo=iplo+1;
|
|
||||||
% if SampleSize>1
|
|
||||||
% mmm = mean(abs(squeeze(idelre.Pco(:,j,:))'));
|
|
||||||
% else
|
|
||||||
% mmm = abs(idelre.Pco(:,j))';
|
|
||||||
% end
|
|
||||||
% [sss, immm] = sort(-mmm);
|
|
||||||
% subplot(3,4,iplo),
|
|
||||||
% if nbox==1,
|
|
||||||
% myboxplot(squeeze(idelre.Pco(immm(2:nbox+1),j,:))),
|
|
||||||
% else
|
|
||||||
% myboxplot(squeeze(idelre.Pco(immm(2:nbox+1),j,:))'),
|
|
||||||
% end
|
|
||||||
% set(gca,'ylim',[-1 1],'ygrid','on')
|
|
||||||
% set(gca,'xticklabel','')
|
|
||||||
% for ip=1:nbox, %np,
|
|
||||||
% text(ip,-1.02,deblank(M_.param_names(indx(immm(ip+1)),:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
|
||||||
% end
|
|
||||||
% title(deblank(M_.param_names(indx(j),:))),
|
|
||||||
% if j==np || mod(j,12)==0
|
|
||||||
% saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident_PCORR_LRE',int2str(ifig)])
|
|
||||||
% eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_LRE',int2str(ifig)]);
|
|
||||||
% eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_LRE',int2str(ifig)]);
|
|
||||||
% if options_.nograph, close(gcf); end
|
|
||||||
% end
|
|
||||||
% end
|
|
||||||
%
|
|
||||||
% ifig=0;
|
|
||||||
% nbox = min(nparam-1,12);
|
|
||||||
% for j=1:nparam,
|
|
||||||
% if mod(j,12)==1,
|
|
||||||
% ifig = ifig+1;
|
|
||||||
% figure('name','Pairwise correlations in the model'),
|
|
||||||
% iplo=0;
|
|
||||||
% end
|
|
||||||
% iplo=iplo+1;
|
|
||||||
% if SampleSize>1,
|
|
||||||
% mmm = mean(abs(squeeze(idemodel.Pco(:,j,:))'));
|
|
||||||
% else
|
|
||||||
% mmm = abs(idemodel.Pco(:,j)');
|
|
||||||
% end
|
|
||||||
% [sss, immm] = sort(-mmm);
|
|
||||||
% subplot(3,4,iplo),
|
|
||||||
% if nbox==1,
|
|
||||||
% myboxplot(squeeze(idemodel.Pco(immm(2:nbox+1),j,:))),
|
|
||||||
% else
|
|
||||||
% myboxplot(squeeze(idemodel.Pco(immm(2:nbox+1),j,:))'),
|
|
||||||
% end
|
|
||||||
% set(gca,'ylim',[-1 1],'ygrid','on')
|
|
||||||
% set(gca,'xticklabel','')
|
|
||||||
% for ip=1:nbox, %np,
|
|
||||||
% text(ip,-1.02,name{immm(ip+1)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
|
||||||
% end
|
|
||||||
% title(name{j}),
|
|
||||||
% if j==nparam || mod(j,12)==0
|
|
||||||
% saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident_PCORR_model',int2str(ifig)])
|
|
||||||
% eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_model',int2str(ifig)]);
|
|
||||||
% eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_model',int2str(ifig)]);
|
|
||||||
% if options_.nograph, close(gcf); end
|
|
||||||
% end
|
|
||||||
% end
|
|
||||||
%
|
|
||||||
% ifig=0;
|
|
||||||
% nbox = min(nparam-1,12);
|
|
||||||
% for j=1:nparam,
|
|
||||||
% if mod(j,12)==1,
|
|
||||||
% ifig = ifig+1;
|
|
||||||
% figure('name','Pairwise correlations in the 1st and 2nd moments'),
|
|
||||||
% iplo=0;
|
|
||||||
% end
|
|
||||||
% iplo=iplo+1;
|
|
||||||
% if SampleSize>1
|
|
||||||
% mmm = mean(abs(squeeze(idemoments.Pco(:,j,:))'));
|
|
||||||
% else
|
|
||||||
% mmm = abs(idemoments.Pco(:,j)');
|
|
||||||
% end
|
|
||||||
% [sss, immm] = sort(-mmm);
|
|
||||||
% subplot(3,4,iplo),
|
|
||||||
% if nbox==1,
|
|
||||||
% myboxplot(squeeze(idemoments.Pco(immm(2:nbox+1),j,:))),
|
|
||||||
% else
|
|
||||||
% myboxplot(squeeze(idemoments.Pco(immm(2:nbox+1),j,:))'),
|
|
||||||
% end
|
|
||||||
% set(gca,'ylim',[-1 1],'ygrid','on')
|
|
||||||
% set(gca,'xticklabel','')
|
|
||||||
% for ip=1:nbox, %np,
|
|
||||||
% text(ip,-1.02,name{immm(ip+1)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
|
||||||
% end
|
|
||||||
% title(name{j}),
|
|
||||||
% if j==nparam || mod(j,12)==0
|
|
||||||
% saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident_PCORR_moments',int2str(ifig)])
|
|
||||||
% eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_moments',int2str(ifig)]);
|
|
||||||
% eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_moments',int2str(ifig)]);
|
|
||||||
% if options_.nograph, close(gcf); end
|
|
||||||
% end
|
|
||||||
% end
|
|
||||||
|
|
||||||
|
|
||||||
if exist('OCTAVE_VERSION')
|
if exist('OCTAVE_VERSION')
|
||||||
|
|
|
@ -1,4 +1,38 @@
|
||||||
function [McoH, McoJ, McoGP, PcoH, PcoJ, PcoGP, condH, condJ, condGP, eH, eJ, eGP, ind01, ind02, indnoH, indnoJ, ixnoH, ixnoJ] = identification_checks(H,JJ, gp, bayestopt_)
|
function [McoH, McoJ, McoGP, PcoH, PcoJ, PcoGP, condH, condJ, condGP, eH, eJ, eGP, ind01, ind02, indnoH, indnoJ, ixnoH, ixnoJ] = identification_checks(H, JJ, gp)
|
||||||
|
% function [McoH, McoJ, McoGP, PcoH, PcoJ, PcoGP, condH, condJ, condGP, eH,
|
||||||
|
% eJ, eGP, ind01, ind02, indnoH, indnoJ, ixnoH, ixnoJ] = identification_checks(H, JJ, gp)
|
||||||
|
% checks for identification
|
||||||
|
%
|
||||||
|
% INPUTS
|
||||||
|
% o H [matrix] [(entries in st.sp. model solutio) x nparams]
|
||||||
|
% derivatives of model solution w.r.t. parameters and shocks
|
||||||
|
% o JJ [matrix] [moments x nparams]
|
||||||
|
% derivatives of moments w.r.t. parameters and shocks
|
||||||
|
% o gp [matrix] [jacobian_entries x nparams]
|
||||||
|
% derivatives of jacobian (i.e. LRE model) w.r.t. parameters and shocks
|
||||||
|
%
|
||||||
|
% OUTPUTS
|
||||||
|
% o McoH [array] multicollinearity coefficients in the model solution
|
||||||
|
% o McoJ [array] multicollinearity coefficients in the moments
|
||||||
|
% o McoGP [array] multicollinearity coefficients in the LRE model
|
||||||
|
% o PcoH [matrix] pairwise correlations in the model solution
|
||||||
|
% o PcoJ [matrix] pairwise correlations in the moments
|
||||||
|
% o PcoGP [matrix] pairwise correlations in the LRE model
|
||||||
|
% o condH condition number of H
|
||||||
|
% o condJ condition number of JJ
|
||||||
|
% o condGP condition number of gp
|
||||||
|
% o eH eigevectors of H
|
||||||
|
% o eJ eigevectors of JJ
|
||||||
|
% o eGP eigevectors of gp
|
||||||
|
% o ind01 [array] binary indicator for zero columns of H
|
||||||
|
% o ind02 [array] binary indicator for zero columns of JJ
|
||||||
|
% o indnoH [matrix] index of non-identified params in H
|
||||||
|
% o indnoJ [matrix] index of non-identified params in JJ
|
||||||
|
% o ixnoH number of rows in ind01
|
||||||
|
% o ixnoJ number of rows in ind02
|
||||||
|
%
|
||||||
|
% SPECIAL REQUIREMENTS
|
||||||
|
% None
|
||||||
|
|
||||||
% Copyright (C) 2008-2011 Dynare Team
|
% Copyright (C) 2008-2011 Dynare Team
|
||||||
%
|
%
|
||||||
|
@ -20,54 +54,44 @@ function [McoH, McoJ, McoGP, PcoH, PcoJ, PcoGP, condH, condJ, condGP, eH, eJ, eG
|
||||||
% My suggestion is to have the following steps for identification check in
|
% My suggestion is to have the following steps for identification check in
|
||||||
% dynare:
|
% dynare:
|
||||||
|
|
||||||
% 1. check rank of H at theta
|
% 1. check rank of H, JJ, gp at theta
|
||||||
npar = size(H,2);
|
npar = size(H,2);
|
||||||
npar0 = size(gp,2);
|
npar0 = size(gp,2); % shocks do not enter jacobian
|
||||||
indnoH = zeros(1,npar);
|
indnoH = zeros(1,npar);
|
||||||
indnoJ = zeros(1,npar);
|
indnoJ = zeros(1,npar);
|
||||||
indnoLRE = zeros(1,npar0);
|
indnoLRE = zeros(1,npar0);
|
||||||
ind1 = find(vnorm(H)>=eps);
|
|
||||||
|
% H matrix
|
||||||
|
ind1 = find(vnorm(H)>=eps); % take non-zero columns
|
||||||
H1 = H(:,ind1);
|
H1 = H(:,ind1);
|
||||||
covH = H1'*H1;
|
|
||||||
sdH = sqrt(diag(covH));
|
|
||||||
sdH = sdH*sdH';
|
|
||||||
% [e1,e2] = eig( (H1'*H1)./sdH );
|
|
||||||
[eu,e2,e1] = svd( H1, 0 );
|
[eu,e2,e1] = svd( H1, 0 );
|
||||||
eH = zeros(npar,npar);
|
eH = zeros(npar,npar);
|
||||||
% eH(ind1,:) = e1;
|
% eH(ind1,:) = e1;
|
||||||
eH(ind1,length(find(vnorm(H)==0))+1:end) = e1;
|
eH(ind1,length(find(vnorm(H)<eps))+1:end) = e1; % non-zero eigenvectors
|
||||||
eH(find(vnorm(H)==0),1:length(find(vnorm(H)==0)))=eye(length(find(vnorm(H)==0)));
|
eH(find(vnorm(H)<eps),1:length(find(vnorm(H)<eps)))=eye(length(find(vnorm(H)<eps)));
|
||||||
condH = cond(H1);
|
condH = cond(H1);
|
||||||
condHH = cond(H1'*H1);
|
|
||||||
rankH = rank(H);
|
rankH = rank(H);
|
||||||
rankHH = rank(H'*H);
|
rankHH = rank(H'*H);
|
||||||
|
|
||||||
ind2 = find(vnorm(JJ)>=eps);
|
ind2 = find(vnorm(JJ)>=eps); % take non-zero columns
|
||||||
JJ1 = JJ(:,ind2);
|
JJ1 = JJ(:,ind2);
|
||||||
covJJ = JJ1'*JJ1;
|
|
||||||
sdJJ = sqrt(diag(covJJ));
|
|
||||||
sdJJ = sdJJ*sdJJ';
|
|
||||||
% [ee1,ee2] = eig( (JJ1'*JJ1)./sdJJ );
|
|
||||||
[eu,ee2,ee1] = svd( JJ1, 0 );
|
[eu,ee2,ee1] = svd( JJ1, 0 );
|
||||||
% eJ = NaN(npar,length(ind2));
|
|
||||||
eJ = zeros(npar,npar);
|
eJ = zeros(npar,npar);
|
||||||
eJ(ind2,length(find(vnorm(JJ)==0))+1:end) = ee1;
|
eJ(ind2,length(find(vnorm(JJ)<eps))+1:end) = ee1; % non-zero eigenvectors
|
||||||
eJ(find(vnorm(JJ)==0),1:length(find(vnorm(JJ)==0)))=eye(length(find(vnorm(JJ)==0)));
|
eJ(find(vnorm(JJ)<eps),1:length(find(vnorm(JJ)<eps)))=eye(length(find(vnorm(JJ)<eps)));
|
||||||
condJJ = cond(JJ1'*JJ1);
|
|
||||||
condJ = cond(JJ1);
|
condJ = cond(JJ1);
|
||||||
rankJJ = rank(JJ'*JJ);
|
rankJJ = rank(JJ'*JJ);
|
||||||
rankJ = rank(JJ);
|
rankJ = rank(JJ);
|
||||||
|
|
||||||
ind3 = find(vnorm(gp)>=eps);
|
ind3 = find(vnorm(gp)>=eps); % take non-zero columns
|
||||||
gp1 = gp(:,ind3);
|
gp1 = gp(:,ind3);
|
||||||
covgp = gp1'*gp1;
|
covgp = gp1'*gp1;
|
||||||
sdgp = sqrt(diag(covgp));
|
sdgp = sqrt(diag(covgp));
|
||||||
sdgp = sdgp*sdgp';
|
sdgp = sdgp*sdgp';
|
||||||
[ex1,ex2] = eig( (gp1'*gp1)./sdgp );
|
[eu,ex2,ex1] = svd(gp1, 0 );
|
||||||
% eJ = NaN(npar,length(ind2));
|
|
||||||
eGP = zeros(npar0,npar0);
|
eGP = zeros(npar0,npar0);
|
||||||
eGP(ind3,length(find(vnorm(gp)==0))+1:end) = ex1;
|
eGP(ind3,length(find(vnorm(gp)<eps))+1:end) = ex1; % non-zero eigenvectors
|
||||||
eGP(find(vnorm(gp)==0),1:length(find(vnorm(gp)==0)))=eye(length(find(vnorm(gp)==0)));
|
eGP(find(vnorm(gp)<eps),1:length(find(vnorm(gp)<eps)))=eye(length(find(vnorm(gp)<eps)));
|
||||||
% condJ = cond(JJ1'*JJ1);
|
% condJ = cond(JJ1'*JJ1);
|
||||||
condGP = cond(gp1);
|
condGP = cond(gp1);
|
||||||
|
|
||||||
|
@ -77,11 +101,7 @@ ind02 = zeros(npar,1);
|
||||||
ind01(ind1) = 1;
|
ind01(ind1) = 1;
|
||||||
ind02(ind2) = 1;
|
ind02(ind2) = 1;
|
||||||
|
|
||||||
% rank(H1)==size(H1,2)
|
% find near linear dependence problems:
|
||||||
% rank(JJ1)==size(JJ1,2)
|
|
||||||
|
|
||||||
% to find near linear dependence problems I use
|
|
||||||
|
|
||||||
McoH = NaN(npar,1);
|
McoH = NaN(npar,1);
|
||||||
McoJ = NaN(npar,1);
|
McoJ = NaN(npar,1);
|
||||||
McoGP = NaN(npar0,1);
|
McoGP = NaN(npar0,1);
|
||||||
|
@ -95,32 +115,23 @@ for ii = 1:size(gp1,2);
|
||||||
McoGP(ind3(ii),:) = [cosn([gp1(:,ii),gp1(:,find([1:1:size(gp1,2)]~=ii))])];
|
McoGP(ind3(ii),:) = [cosn([gp1(:,ii),gp1(:,find([1:1:size(gp1,2)]~=ii))])];
|
||||||
end
|
end
|
||||||
|
|
||||||
% format long % some are nearly 1
|
|
||||||
% McoJ
|
|
||||||
|
|
||||||
ixno = 0;
|
ixno = 0;
|
||||||
if rankH<npar || rankHH<npar || min(1-McoH)<1.e-10
|
if rankH<npar || rankHH<npar || min(1-McoH)<1.e-10
|
||||||
% - find out which parameters are involved,
|
% - find out which parameters are involved,
|
||||||
% using something like the vnorm and the eigenvalue decomposition of H;
|
% using the vnorm and the svd of H computed before;
|
||||||
% disp('Some parameters are NOT identified in the model: H rank deficient')
|
% disp('Some parameters are NOT identified in the model: H rank deficient')
|
||||||
% disp(' ')
|
% disp(' ')
|
||||||
if length(ind1)<npar,
|
if length(ind1)<npar,
|
||||||
|
% parameters with zero column in H
|
||||||
ixno = ixno + 1;
|
ixno = ixno + 1;
|
||||||
% indnoH(ixno) = {find(~ismember([1:npar],ind1))};
|
|
||||||
indnoH(ixno,:) = (~ismember([1:npar],ind1));
|
indnoH(ixno,:) = (~ismember([1:npar],ind1));
|
||||||
% disp('Not identified params')
|
|
||||||
% disp(bayestopt_.name(indnoH{1}))
|
|
||||||
% disp(' ')
|
|
||||||
end
|
end
|
||||||
e0 = [rankHH+1:length(ind1)];
|
e0 = [rankHH+1:length(ind1)];
|
||||||
for j=1:length(e0),
|
for j=1:length(e0),
|
||||||
|
% linearely dependent parameters in H
|
||||||
ixno = ixno + 1;
|
ixno = ixno + 1;
|
||||||
% indnoH(ixno) = {ind1(find(abs(e1(:,e0(j)))) > 1.e-6 )};
|
indnoH(ixno,ind1) = (abs(e1(:,e0(j))) > 1.e-6 )';
|
||||||
indnoH(ixno,:) = (abs(e1(:,e0(j))) > 1.e-6 )';
|
|
||||||
% disp('Perfectly collinear parameters')
|
|
||||||
% disp(bayestopt_.name(indnoH{ixno}))
|
|
||||||
% disp(' ')
|
|
||||||
% ind01(indnoH{ixno})=0;
|
|
||||||
end
|
end
|
||||||
else % rank(H)==length(theta), go to 2
|
else % rank(H)==length(theta), go to 2
|
||||||
% 2. check rank of J
|
% 2. check rank of J
|
||||||
|
@ -135,22 +146,15 @@ if rankJ<npar || rankJJ<npar || min(1-McoJ)<1.e-10
|
||||||
% disp('Some parameters are NOT identified by the moments included in J')
|
% disp('Some parameters are NOT identified by the moments included in J')
|
||||||
% disp(' ')
|
% disp(' ')
|
||||||
if length(ind2)<npar,
|
if length(ind2)<npar,
|
||||||
|
% parameters with zero column in JJ
|
||||||
ixno = ixno + 1;
|
ixno = ixno + 1;
|
||||||
% indnoJ(ixno) = {find(~ismember([1:npar],ind2))};
|
|
||||||
indnoJ(ixno,:) = (~ismember([1:npar],ind2));
|
indnoJ(ixno,:) = (~ismember([1:npar],ind2));
|
||||||
end
|
end
|
||||||
ee0 = [rankJJ+1:length(ind2)];
|
ee0 = [rankJJ+1:length(ind2)];
|
||||||
if isempty(ee0),
|
|
||||||
cccc=0';
|
|
||||||
end
|
|
||||||
for j=1:length(ee0),
|
for j=1:length(ee0),
|
||||||
|
% linearely dependent parameters in JJ
|
||||||
ixno = ixno + 1;
|
ixno = ixno + 1;
|
||||||
% indnoJ(ixno) = {ind2( find(abs(ee1(:,ee0(j))) > 1.e-6) )};
|
indnoJ(ixno,ind2) = (abs(ee1(:,ee0(j))) > 1.e-6)';
|
||||||
indnoJ(ixno,:) = (abs(ee1(:,ee0(j))) > 1.e-6)';
|
|
||||||
% disp('Perfectly collinear parameters in moments J')
|
|
||||||
% disp(bayestopt_.name(indnoJ{ixno}))
|
|
||||||
% disp(' ')
|
|
||||||
% ind02(indnoJ{ixno})=0;
|
|
||||||
end
|
end
|
||||||
else %rank(J)==length(theta) =>
|
else %rank(J)==length(theta) =>
|
||||||
% disp('All parameters are identified at theta by the moments included in J')
|
% disp('All parameters are identified at theta by the moments included in J')
|
||||||
|
@ -189,11 +193,6 @@ for ii = 1:size(gp1,2);
|
||||||
end
|
end
|
||||||
|
|
||||||
|
|
||||||
% ind01 = zeros(npar,1);
|
|
||||||
% ind02 = zeros(npar,1);
|
|
||||||
% ind01(ind1) = 1;
|
|
||||||
% ind02(ind2) = 1;
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
|
Loading…
Reference in New Issue