diff --git a/matlab/getH.m b/matlab/getH.m index fdf84c4e9..7af13ea10 100644 --- a/matlab/getH.m +++ b/matlab/getH.m @@ -1,8 +1,38 @@ function [H, dA, dOm, Hss, gp, d2A, d2Om, H2ss] = getH(A, B, M_,oo_,options_,kronflag,indx,indexo,iv) - +% function [H, dA, dOm, Hss, gp, d2A, d2Om, H2ss] = getH(A, B, M_,oo_,options_,kronflag,indx,indexo,iv) % computes derivative of reduced form linear model w.r.t. deep params % -% Copyright (C) 2010-2012 Dynare Team +% Inputs: +% A: Transition matrix of lagged states from Kalman filter +% B: Matrix in state transition equation mapping shocks today to +% states today +% M_: structure storing the model information +% oo_: structure storing the results +% options_: structure storing the options +% kronflag: Indicator whether to rely on Kronecker products (1) or +% not (-1 or -2) +% indx: Index of estimated parameters in M_.params +% indexo: Index of estimated standard deviations in M_.exo_names +% iv: Index of considered variables +% +% Outputs: +% H: dTAU/dTHETA: Jacobian of TAU, vectorized form of +% linearized reduced form state space model, given ys [steady state], +% A [transition matrix], B [matrix of shocks], Sigma [covariance of shocks] +% TAU = [ys; vec(A); dyn_vech(B*Sigma*B')]. +% dA: [endo_nbr by endo_nbr by (indx+indexo)] Jacobian of transition matrix A +% dOm: [endo_nbr by endo_nbr by (indx+indexo)] Jacobian of Omega = (B*Sigma*B') +% Hss: [endo_nbr by (indx)] Jacobian of steady state with respect to estimated +% structural parameters only (indx) +% gp: Jacobian of linear rational expectation matrices [i.e. +% Jacobian of dynamic model] with respect to estimated +% structural parameters only (indx) +% d2A: Hessian of transition matrix A +% d2Om: Hessian of Omega +% H2s: Hessian of steady state with respect to estimated +% structural parameters only (indx) + +% Copyright (C) 2010-2016 Dynare Team % % This file is part of Dynare. % diff --git a/matlab/getJJ.m b/matlab/getJJ.m index 4b8130342..71361def6 100644 --- a/matlab/getJJ.m +++ b/matlab/getJJ.m @@ -1,6 +1,43 @@ function [JJ, H, gam, gp, dA, dOm, dYss] = getJJ(A, B, M_,oo_,options_,kronflag,indx,indexo,mf,nlags,useautocorr) +% function [JJ, H, gam, gp, dA, dOm, dYss] = getJJ(A, B, M_,oo_,options_,kronflag,indx,indexo,mf,nlags,useautocorr) +% computes derivatives of 1st and 2nd order moments of observables with +% respect to estimated parameters +% +% Inputs: +% A: Transition matrix of lagged states from Kalman filter +% B: Matrix in state transition equation mapping shocks today to +% states today +% M_: structure storing the model information +% oo_: structure storing the results +% options_: structure storing the options +% kronflag: Indicator whether to rely on Kronecker products (1) or +% not (-1 or -2) +% indx: Index of estimated parameters in M_.params +% indexo: Index of estimated standard deviations in M_.exo_names +% mf: Index of observed variables +% nlags: Number of lags to consider for covariances and +% correlations +% useautocorr: Indicator on whether to use correlations (1) instead of +% covariances (0) +% +% Outputs: +% JJ: Jacobian of 1st and 2nd order moments of observables, i.e. dgam/dTHETA +% (see below for definition of gam) +% H: dTAU/dTHETA: Jacobian of TAU, vectorized form of +% linearized reduced form state space model, given ys [steady state], +% A [transition matrix], B [matrix of shocks], Sigma [covariance of shocks] +% TAU = [ys; vec(A); dyn_vech(B*Sigma*B')]. +% gam: vector of theoretical moments of observed variables mf [JJ is the Jacobian of gam]. +% gam = [ys(mf); dyn_vech(GAM{1}); vec(GAM{j+1})]; for j=1:ar and where +% GAM is the first output of th_autocovariances +% gp: Jacobian of linear rational expectation matrices [i.e. +% Jacobian of dynamic model] with respect to estimated +% structural parameters only (indx) +% dA: [endo_nbr by endo_nbr by (indx+indexo)] Jacobian of transition matrix A +% dOm: Jacobian of Omega = (B*Sigma*B') +% dYss Jacobian of steady state with respect to estimated structural parameters only (indx) -% Copyright (C) 2010-2012 Dynare Team +% Copyright (C) 2010-2016 Dynare Team % % This file is part of Dynare. % diff --git a/matlab/identification_analysis.m b/matlab/identification_analysis.m index b948d91a1..21a3c1209 100644 --- a/matlab/identification_analysis.m +++ b/matlab/identification_analysis.m @@ -7,11 +7,12 @@ function [ide_hess, ide_moments, ide_model, ide_lre, derivatives_info, info] = i % o indx [array] index of estimated parameters % o indexo [array] index of estimated shocks % o options_ident [structure] identification options -% o data_info [structure] data info for Kalman Filter +% o dataset_ [structure] the dataset after required transformation +% o dataset_info [structure] Various informations about the dataset (descriptive statistics and missing observations) info for Kalman Filter % o prior_exist [integer] % =1 when prior exists and indentification is checked only for estimated params and shocks % =0 when prior is not defined and indentification is checked for all params and shocks -% o nem_tex [char] list of tex names +% o name_tex [char] list of tex names % o init [integer] flag for initialization of persistent vars % % OUTPUTS @@ -25,7 +26,7 @@ function [ide_hess, ide_moments, ide_model, ide_lre, derivatives_info, info] = i % SPECIAL REQUIREMENTS % None -% Copyright (C) 2008-2013 Dynare Team +% Copyright (C) 2008-2016 Dynare Team % % This file is part of Dynare. %