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method_of_moments: refactor data moments computation 

Also rename function to not confuse this with the variable stored in oo_.mom.datamoments.
kalman-mex
Willi Mutschler 2023-09-04 16:39:22 +02:00
parent c0cae0ebaa
commit 9914d764c2
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GPG Key ID: 91E724BF17A73F6D
3 changed files with 30 additions and 33 deletions
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15
matlab/+mom/data_moments.m → matlab/+mom/get_data_moments.m
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@ -1,5 +1,5 @@
function [dataMoments, m_data] = data_moments(data, oo_, matched_moments_, options_mom_)
% [dataMoments, m_data] = data_moments(data, oo_, matched_moments_, options_mom_)
function [dataMoments, m_data] = get_data_moments(data, oo_, matched_moments_, options_mom_)
% [dataMoments, m_data] = get_data_moments(data, oo_, matched_moments_, options_mom_)
% This function computes the user-selected empirical moments from data
% =========================================================================
% INPUTS
@ -13,10 +13,10 @@ function [dataMoments, m_data] = data_moments(data, oo_, matched_moments_, optio
% o m_data [T x numMom] selected empirical moments at each point in time
% -------------------------------------------------------------------------
% This function is called by
% o mom.run.m
% o mom.objective_function.m
% o mom.run
% o mom.objective_function
% =========================================================================
% Copyright © 2020-2021 Dynare Team
% Copyright © 2020-2023 Dynare Team
%
% This file is part of Dynare.
%
@ -66,7 +66,4 @@ for jm = 1:options_mom_.mom.mom_nbr
end
m_data_tmp(isnan(m_data_tmp)) = dataMoments(jm,1);
m_data(:,jm) = m_data_tmp;
end
end %function end
end

2
matlab/+mom/objective_function.m
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@ -247,7 +247,7 @@ if strcmp(options_mom_.mom.mom_method,'SMM')
if options_mom_.prefilter
y_sim = bsxfun(@minus, y_sim, mean(y_sim,1));
end
oo_.mom.model_moments = mom.data_moments(y_sim, oo_, M_.matched_moments, options_mom_);
oo_.mom.model_moments = mom.get_data_moments(y_sim, oo_, M_.matched_moments, options_mom_);
end

46
matlab/+mom/run.m
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@ -414,33 +414,33 @@ end
% -------------------------------------------------------------------------
% Step 4: Checks and transformations for data
% datafile: checks and transformations
% -------------------------------------------------------------------------
% Check if datafile has same name as mod file
[~,name,~] = fileparts(options_mom_.datafile);
if strcmp(name,M_.fname)
error('method_of_moments: Data-file and mod-file are not allowed to have the same name. Please change the name of the data file.')
end
% Build dataset
dataset_ = makedataset(options_mom_);
% set options for old interface from the ones for new interface
if ~isempty(dataset_)
options_mom_.nobs = dataset_.nobs;
if strcmp(options_mom_.mom.mom_method,'GMM') || strcmp(options_mom_.mom.mom_method,'SMM')
% Check if datafile has same name as mod file
[~,name,~] = fileparts(options_mom_.datafile);
if strcmp(name,M_.fname)
error('method_of_moments: ''datafile'' and mod file are not allowed to have the same name; change the name of the ''datafile''!')
end
dataset_ = makedataset(options_mom_);
% set options for old interface from the ones for new interface
if ~isempty(dataset_)
options_mom_.nobs = dataset_.nobs;
end
% Check length of data for estimation of second moments
if options_mom_.ar > options_mom_.nobs+1
error('method_of_moments: Dataset is too short to compute higher than first moments!');
end
% Provide info on data moments handling
fprintf('Computing data moments. Note that NaN values in the moments (due to leads and lags or missing data) are replaced by the mean of the corresponding moment.\n');
% Get data moments for the method of moments
[oo_.mom.data_moments, oo_.mom.m_data] = mom.get_data_moments(dataset_.data, oo_, M_.matched_moments, options_mom_);
if ~isreal(dataset_.data)
error('method_of_moments: The data moments contain complex values!')
end
end
% Check length of data for estimation of second moments
if options_mom_.ar > options_mom_.nobs+1
error('method_of_moments: Data set is too short to compute second moments');
end
% Provide info on data moments handling
fprintf('Computing data moments. Note that NaN values in the moments (due to leads and lags or missing data) are replaced by the mean of the corresponding moment\n');
% Get data moments for the method of moments
[oo_.mom.data_moments, oo_.mom.m_data] = mom.data_moments(dataset_.data, oo_, M_.matched_moments, options_mom_);
% Get shock series for SMM and set variance correction factor
if strcmp(options_mom_.mom.mom_method,'SMM')