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🐛 Fix issue with endogenous params in steady state 

Identification should switch to analytic_derivation_mode=-2 if steady state block/file changes parameter values. Dynare/dynare!1732 already adresses this when there is a prior specified. This fix also addresses this when there are no priors.

kim2.mod is now not only an integration test but also a unit test for this.
time-shift
Willi Mutschler 2020-06-18 11:28:22 +02:00
parent 347be1f89a
commit 97134cc362
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GPG Key ID: 91E724BF17A73F6D
3 changed files with 14 additions and 3 deletions
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10
matlab/dynare_estimation_init.m
View File

@ -501,11 +501,15 @@ if options_.analytic_derivation
error('analytic derivation is incompatible with diffuse filter')
end
options_.analytic_derivation = 1;
if estim_params_.np
if estim_params_.np || isfield(options_,'identification_check_endogenous_params_with_no_prior')
% check if steady state changes param values
M=M_;
M.params(estim_params_.param_vals(:,1)) = xparam1(estim_params_.nvx+estim_params_.ncx+estim_params_.nvn+estim_params_.ncn+1:end); %set parameters
M.params(estim_params_.param_vals(:,1)) = M.params(estim_params_.param_vals(:,1))*1.01; %vary parameters
if isfield(options_,'identification_check_endogenous_params_with_no_prior')
M.params = M.params*1.01; %vary parameters
else
M.params(estim_params_.param_vals(:,1)) = xparam1(estim_params_.nvx+estim_params_.ncx+estim_params_.nvn+estim_params_.ncn+1:end); %set parameters
M.params(estim_params_.param_vals(:,1)) = M.params(estim_params_.param_vals(:,1))*1.01; %vary parameters
end
if options_.diffuse_filter || options_.steadystate.nocheck
steadystate_check_flag = 0;
else

1
matlab/dynare_identification.m
View File

@ -270,6 +270,7 @@ if isempty(estim_params_)
%reset some options
options_ident.prior_mc = 1;
options_ident.prior_range = 0;
options_.identification_check_endogenous_params_with_no_prior = true; %needed to trigger endogenous steady state parameter check in dynare_estimation_init
else
prior_exist = 1;
parameters = options_ident.parameter_set;

6
tests/identification/kim/kim2.mod
View File

@ -86,6 +86,12 @@ identification(advanced=1,max_dim_cova_group=3);
//identification(ar=1,advanced=1,max_dim_cova_group=3,prior_mc=250);
//identification(prior_mc=100);
% Unit test for analytic_derivation_mode
load('kim2/identification/kim2_prior_mean_identif.mat','store_options_ident')
if store_options_ident.analytic_derivation~=1 && store_options_ident.analytic_derivation_mode~=-2
error('the steady state file changed parameters and we should switch to numerical derivatives for the steady state, i.e. analytic_derivation_mode=-2')
end
% Integration test if identification works without priors
estim_params_=[];
identification(advanced=1,max_dim_cova_group=3);