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Merge branch 'octave_ispd' into 'master' 

ispd.m: filter out Octave incompatibility https://savannah.gnu.org/bugs/?63082

See merge request Dynare/dynare!2082
bgp-dev
Sébastien Villemot 2022-09-20 15:32:54 +00:00
parent e732f9e4a3 563035d070
commit a8054c16ba
2 changed files with 14 additions and 10 deletions
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16
matlab/utilities/general/ispd.m
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@ -24,7 +24,7 @@ function [test, penalty] = ispd(A)
%! @end deftypefn %! @end deftypefn
%@eod: %@eod:
% Copyright © 2007-2017 Dynare Team % Copyright © 2007-2022 Dynare Team
% %
% This file is part of Dynare. % This file is part of Dynare.
% %
@ -45,16 +45,20 @@ if ~isquare(A)
error(['ispd:: Input argument ' inputname(1) ' has to be a square matrix!']) error(['ispd:: Input argument ' inputname(1) ' has to be a square matrix!'])
end end
[cholA, info] = chol(A); [~, info] = chol(A);
test = ~info; test = ~info;
if nargout>1 if nargout>1
penalty = 0; penalty = 0;
if info if info
a = diag(eig(A)); if isoctave && any(any(~isfinite(A))) % workaround for https://savannah.gnu.org/bugs/index.php?63082
k = find(a<0); penalty = 1;
if k > 0 else
penalty = sum(-a(k)); a = diag(eig(A));
k = find(a<0);
if k > 0
penalty = sum(-a(k));
end
end end
end end
end end

8
tests/estimation/method_of_moments/AnScho/AnScho_MoM_common.inc
View File

@ -210,10 +210,10 @@ method_of_moments(
, se_tolx=1e-6 % step size for numerical computation of standard errors , se_tolx=1e-6 % step size for numerical computation of standard errors
% Options for SMM % Options for SMM
% , burnin=500 % number of periods dropped at beginning of simulation , burnin=50 % number of periods dropped at beginning of simulation
, bounded_shock_support % trim shocks in simulation to +- 2 stdev , bounded_shock_support % trim shocks in simulation to +- 2 stdev
% , seed = 24051986 % seed used in simulations % , seed = 24051986 % seed used in simulations
% , simulation_multiple = 5 % multiple of the data length used for simulation , simulation_multiple = 5 % multiple of the data length used for simulation
% Options for GMM % Options for GMM
@#if MoM_Method == "GMM" @#if MoM_Method == "GMM"
@ -244,7 +244,7 @@ method_of_moments(
, mode_compute = 0 , mode_compute = 0
@#else @#else
, mode_compute = 13 % specifies the optimizer for minimization of moments distance , mode_compute = 13 % specifies the optimizer for minimization of moments distance
, additional_optimizer_steps = [1] % vector of additional mode-finders run after mode_compute , additional_optimizer_steps = [4] % vector of additional mode-finders run after mode_compute
, mode_check % plot the target function for values around the computed minimum for each estimated parameter in turn , mode_check % plot the target function for values around the computed minimum for each estimated parameter in turn
@#endif @#endif
% optim: a list of NAME and VALUE pairs to set options for the optimization routines. Available options depend on mode_compute, some exemplary common options: % optim: a list of NAME and VALUE pairs to set options for the optimization routines. Available options depend on mode_compute, some exemplary common options:
@ -272,7 +272,7 @@ method_of_moments(
% , sylvester_fixed_point_tol = 1e-12 % convergence criterion used in the fixed point Sylvester solver % , sylvester_fixed_point_tol = 1e-12 % convergence criterion used in the fixed point Sylvester solver
% , qz_criterium = 0.999999 % value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving first order problems % , qz_criterium = 0.999999 % value used to split stable from unstable eigenvalues in reordering the Generalized Schur decomposition used for solving first order problems
% , qz_zero_threshold = 1e-6 % value used to test if a generalized eigenvalue is 0/0 in the generalized Schur decomposition % , qz_zero_threshold = 1e-6 % value used to test if a generalized eigenvalue is 0/0 in the generalized Schur decomposition
% , schur_vec_tol=1e-11 % tolerance level used to find nonstationary variables in Schur decomposition of the transition matrix % , schur_vec_tol=1e-11 % tolerance level used to find nonstationary variables in Schur decomposition of the transition matrix
% , mode_check_neighbourhood_size = 5 % width of the window (expressed in percentage deviation) around the computed minimum to be displayed on the diagnostic plots % , mode_check_neighbourhood_size = 5 % width of the window (expressed in percentage deviation) around the computed minimum to be displayed on the diagnostic plots
% , mode_check_symmetric_plots=1 % ensure that the check plots are symmetric around the minimum % , mode_check_symmetric_plots=1 % ensure that the check plots are symmetric around the minimum
% , mode_check_number_of_points = 20 % number of points around the minimum where the target function is evaluated (for each parameter) % , mode_check_number_of_points = 20 % number of points around the minimum where the target function is evaluated (for each parameter)