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📖 Added @Johannes review of MoM documentation

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Willi Mutschler 2021-08-12 06:04:27 +02:00 committed by Stéphane Adjemian (Charybdis)
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@ -7645,71 +7645,68 @@ method of moments approach. Both the Simulated Method of Moments (SMM)
and the Generalized Method of Moments (GMM) are available. The general
idea is to minimize the distance between unconditional model moments
and corresponding data moments (so called orthogonality or moment
conditions). For SMM Dynare computes model moments via stochastic
conditions). For SMM, Dynare computes model moments via stochastic
simulations based on the perturbation approximation up to any order,
whereas for GMM model moments are computed in closed-form based on the
pruned state-space representation of the perturbation solution up to third
order. The implementation of SMM is inspired by *Born and Pfeifer (2014)*
and *Ruge-Murcia (2012)*, whereas the one for GMM is adapted from
*Andreasen, Fernández-Villaverde and Rubio-Ramírez (2018)* and *Mutschler
(2018)*. The estimation heavily relies on the accuracy and efficiency of
(2018)*. Successful estimation heavily relies on the accuracy and efficiency of
the perturbation approximation, so it is advised to tune this as much as
possible (see :ref:`stoch-sol-simul`). The estimator is consistent and
asymptotically normally distributed given certain regularity conditions
possible (see :ref:`stoch-sol-simul`). The method of moments estimator is consistent
and asymptotically normally distributed given certain regularity conditions
(see *Duffie and Singleton (1993)* for SMM and *Hansen (1982)* for GMM).
For instance, it is required to have at least as many moment conditions as
estimated parameters. Moreover, the Jacobian of the moments with respect to
the estimated parameters needs to be full rank. :ref:`identification-analysis`
helps evaluating this regularity condition.
estimated parameters (over-identified or just identified). Moreover, the
Jacobian of the moments with respect to the estimated parameters needs to
have full rank. :ref:`identification-analysis` helps to check this regularity condition.
In case you declare more moment conditions than estimated parameters, the
In the over-identified case of declaring more moment conditions than estimated parameters, the
choice of :opt:`weighting_matrix <weighting_matrix = ['WM1','WM2',...,'WMn']>`
matters for the efficiency of the estimation, because the estimated
orthogonality conditions are random variables with unequal variances and
usually non-zero cross-moment covariances. Using a weighting matrix you can
re-weigh moments to pay more attention to orthogonality conditions that are
usually non-zero cross-moment covariances. A weighting matrix allows to
re-weight moments to put more emphasis on moment conditions that are
more informative or better measured (in the sense of having a smaller
variance). To achieve asymptotic efficiency, the weighting matrix needs to
be chosen such that, after appropriate scaling, it has probability limit
be chosen such that, after appropriate scaling, it has a probability limit
proportional to the inverse of the covariance matrix of the limiting
distribution of the vector of orthogonality conditions. Dynare uses a
Newey-West estimator with a Bartlett kernel to compute an estimate of this
so-called optimal weighting matrix. Moreover, in this over-identified case,
Newey-West-type estimator with a Bartlett kernel to compute an estimate of this
so-called optimal weighting matrix. Note that in this over-identified case,
it is advised to perform the estimation in at least two stages by setting
e.g. :opt:`weighting_matrix=['DIAGONAL','DIAGONAL'] <weighting_matrix = ['WM1','WM2',...,'WMn']>`
so that the computation of the optimal weighting matrix benefits from the
consistent estimation of the previous stages. The optimal weighting matrix
is used to compute standard errors and the J-test of overidentifying
restrictions which tests whether the model and selection of moment
restrictions, which tests whether the model and selection of moment
conditions fits the data sufficiently well. If the null hypothesis of a
"valid" model is rejected, then something is wrong with either your model
"valid" model is rejected, then something is (most likely) wrong with either your model
or selection of orthogonality conditions.
In case the global minimum is found in a region of the parameter space that
In case the (presumed) global minimum of the moment distance function is
located in a region of the parameter space that
is typically considered unlikely (`dilemma of absurd parameters`), you may
opt to choose the :opt:`penalized_estimator <penalized_estimator>` option.
Similar to adding priors to the likelihood, this option includes prior
Similar to adding priors to the likelihood, this option incorporates prior
knowledge (i.e. the prior mean) as additional moment restrictions and
weighs them by their prior precision to guide the minimization algorithm
in more plausible regions of the parameter space. Ideally, these are
characterized by slightly worse values of the objective function. Note that
this comes at the cost of a loss in efficiency of the estimator.
|br|
weights them by their prior precision to guide the minimization algorithm
to more plausible regions of the parameter space. Ideally, these regions are
characterized by only slightly worse values of the objective function. Note that
adding prior information comes at the cost of a loss in efficiency of the estimator.
.. command:: varobs VARIABLE_NAME...;
Required. All variables used in the :bck:`matched_moments` block
|br| Required. All variables used in the :bck:`matched_moments` block
need to be observable. See :ref:`varobs <varobs>` for more details.
|br|
.. block:: matched_moments ;
This block specifies the product moments which are used in estimation.
|br| This block specifies the product moments which are used in estimation.
Currently, only linear product moments (e.g.
:math:`E[y_t], E[y_t^2], E[x_t y_t], E[y_t y_{t-1}], E[y_t^3 x^2_{t-4}]`)
are supported. For other functions like :math:`E[log(y_t)e^{x_t}]` you
are supported. For other functions like :math:`E[\log(y_t)e^{x_t}]` you
need to declare auxiliary endogenous variables.
Each line inside of the block should be of the form::
@ -7741,10 +7738,10 @@ this comes at the cost of a loss in efficiency of the estimator.
*Limitations*
1. For GMM Dynare can only compute the theoretical mean, covariance and
autocovariances. Higher-order moments are only supported for SMM.
1. For GMM, Dynare can only compute the theoretical mean, covariance, and
autocovariances (i.e. first and second moments). Higher-order moments are only supported for SMM.
2. The product moments are not demeaned by default, unless the
2. By default, the product moments are not demeaned, unless the
:opt:`prefilter <prefilter = INTEGER>` option is set to 1. That is, by default,
`c*c` corresponds to :math:`E[c_t^2]` and not to :math:`Var[c_t]=E[c_t^2]-E[c_t]^2`.
@ -7757,40 +7754,33 @@ this comes at the cost of a loss in efficiency of the estimator.
* the second column contains the corresponding vector of leads and lags
* the third column contains the corresponding vector of powers
During the estimation phase Dynare gets rid of redundant or duplicate
orthogonality conditions in ``M_.matched_moments`` and tells you which
conditions are removed. In the example above it would get grid of the
last row. The original block stays available in ``M_.matched_moments_orig``.
|br|
During the estimation phase, Dynare will eliminate all redundant or duplicate
orthogonality conditions in ``M_.matched_moments`` and display which
conditions were removed. In the example above, this would be the case for the
last row, which is the same as the second-to-last one. The original block is
saved in ``M_.matched_moments_orig``.
.. block:: estimated_params ;
Required. See :bck:`estimated_params` for the meaning and syntax.
|br|
|br| Required. See :bck:`estimated_params` for the meaning and syntax.
.. block:: estimated_params_init ;
See :bck:`estimated_params_init` for the meaning and syntax.
|br|
|br| See :bck:`estimated_params_init` for the meaning and syntax.
.. block:: estimated_params_bounds ;
See :bck:`estimated_params_bounds` for the meaning and syntax.
|br|
|br| See :bck:`estimated_params_bounds` for the meaning and syntax.
.. command:: method_of_moments (OPTIONS...);
This command runs the method of moments estimation. The following
|br| This command runs the method of moments estimation. The following
information will be displayed in the command window:
* Overview of options chosen by the user
* Estimation results for each stage and iteration
* Value of minimized moment distance objective function
* Result of J-test
* Result of the J-test
* Table of data moments and estimated model moments
*Necessary options*
@ -7805,13 +7795,13 @@ this comes at the cost of a loss in efficiency of the estimator.
The name of the file containing the data. See
:opt:`datafile <datafile = FILENAME>` for the meaning and syntax.
*Common options for SMM and GMM*
*Options common for SMM and GMM*
.. option:: order = INTEGER
Order of perturbation approximation. For GMM only orders 1|2|3 are
supported. For SMM you can choose an arbitrary order. Note that the
order set in other functions does not overwrite the default.
supported. For SMM, you can choose an arbitrary order. Note that the
order set in other functions will not overwrite the default.
Default: ``1``.
.. option:: pruning
@ -7823,14 +7813,14 @@ this comes at the cost of a loss in efficiency of the estimator.
.. option:: penalized_estimator
This option includes deviations of the estimated parameters from the
prior mean as additional moment restrictions and weighs them by
prior mean as additional moment restrictions and weights them by
their prior precision.
Default: not set.
.. option:: weighting_matrix = ['WM1','WM2',...,'WMn']
Determines the weighting matrix used at each estimation stage. Note
that this defines the number of stages, i.e. ``weighting_matrix = ['DIAGONAL','DIAGONAL','OPTIMAL']``
Determines the weighting matrix used at each estimation stage. The number of elements
will define the number of stages, i.e. ``weighting_matrix = ['DIAGONAL','DIAGONAL','OPTIMAL']``
performs a three-stage estimation. Possible values for ``WM`` are:
``IDENTITY_MATRIX``
@ -7839,21 +7829,22 @@ this comes at the cost of a loss in efficiency of the estimator.
``OPTIMAL``
Uses the optimal weighting matrix that is computed by a
Newey-West estimate with a Bartlett kernel. At the first
stage the data-moments are used as initial estimate of the
model moments, whereas at subsequent stages the previous
state estimate of model moments is used when computing
Uses the optimal weighting matrix computed by a Newey-West-type
estimate with a Bartlett kernel. At the first
stage, the data-moments are used as initial estimate of the
model moments, whereas at subsequent stages the previous estimate
of model moments will be used when computing
the optimal weighting matrix.
``DIAGONAL``
Uses the diagonal of the ``OPTIMAL`` weighting matrix.
Uses the diagonal of the ``OPTIMAL`` weighting matrix. This choice
puts weights on the specified moments instead of on their linear combinations.
``FILENAME``
The name of the M-file (extension ``.m``) containing a
user-specified weighting matrix. The file must include a
The name of the mat-file (extension ``.mat``) containing a
user-specified weighting matrix. The file must include a positive definite
square matrix called `weighting_matrix` with both dimensions
equal to the number of orthogonality conditions.
@ -7861,7 +7852,9 @@ this comes at the cost of a loss in efficiency of the estimator.
.. option:: weighting_matrix_scaling_factor = DOUBLE
Scaling of weighting matrix in objective function.
Scaling of weighting matrix in objective function. This value should be chosen to
obtain values of the objective function in a reasonable numerical range to prevent
over- and underflows.
Default: ``1``.
.. option:: bartlett_kernel_lag = INTEGER
@ -7871,8 +7864,8 @@ this comes at the cost of a loss in efficiency of the estimator.
.. option:: se_tolx = DOUBLE
Step size of numerical differentiation when computing standard
errors numerically.
Step size for numerical differentiation when computing standard
errors with a two-sided finite difference method.
Default: ``1e-5``.
.. option:: verbose
@ -7913,7 +7906,7 @@ this comes at the cost of a loss in efficiency of the estimator.
*General options*
.. option:: dirname
.. option:: dirname = FILENAME
Directory in which to store ``estimation`` output.
See :opt:`dirname <dirname = FILENAME>` for more details.
@ -8090,8 +8083,8 @@ this comes at the cost of a loss in efficiency of the estimator.
.. option:: mode_check
Plot the moments distance objective function for values around the
computed minimum for each estimated parameter in turn. This is
Plots univariate slices through the moments distance objective function around the
computed minimum for each estimated parameter. This is
helpful to diagnose problems with the optimizer.
Default: not set.
@ -8169,10 +8162,10 @@ this comes at the cost of a loss in efficiency of the estimator.
times number of estimated parameters.
.. matvar:: oo_.mom.gmm_stage_1_mode, oo_.mom.gmm_stage_2_mode,...
.. matvar:: oo_.mom.smm_stage_1_mode, oo_.mom.smm_stage_2_mode,...
.. matvar:: oo_.mom.verbose_gmm_stage_1_mode, oo_.mom.verbose_gmm_stage_2_mode,...
.. matvar:: oo_.mom.verbose_smm_stage_1_mode, oo_.mom.verbose_smm_stage_2_mode,...
.. matvar:: oo_.mom.gmm_stage_*_mode
.. matvar:: oo_.mom.smm_stage_*_mode
.. matvar:: oo_.mom.verbose_gmm_stage_*_mode
.. matvar:: oo_.mom.verbose_smm_stage_*_mode
Variables set by the ``method_of_moments`` command when estimating
with GMM or SMM. Stores the estimated values at stages 1, 2,....
@ -8187,10 +8180,10 @@ this comes at the cost of a loss in efficiency of the estimator.
If the :opt:`verbose` option is set, additional fields prefixed with
``verbose_`` are saved for all :opt:`additional_optimizer_steps<additional_optimizer_steps = [INTEGER|FUNCTION_NAME,INTEGER|FUNCTION_NAME,...]>`.
.. matvar:: oo_.mom.gmm_stage_1_std_at_mode, oo_.mom.gmm_stage_2_std_at_mode,...
.. matvar:: oo_.mom.smm_stage_1_std_at_mode, oo_.mom.smm_stage_2_std_at_mode,...
.. matvar:: oo_.mom.verbose_gmm_stage_1_std_at_mode, oo_.mom.verbose_gmm_stage_2_std_at_mode,...
.. matvar:: oo_.mom.verbose_smm_stage_1_std_at_mode, oo_.mom.verbose_smm_stage_2_std_at_mode,...
.. matvar:: oo_.mom.gmm_stage_*_std_at_mode
.. matvar:: oo_.mom.smm_stage_*_std_at_mode
.. matvar:: oo_.mom.verbose_gmm_stage_*_std_at_mode
.. matvar:: oo_.mom.verbose_smm_stage_*_std_at_mode
Variables set by the ``method_of_moments`` command when estimating
with GMM or SMM. Stores the estimated standard errors at stages 1, 2,....
@ -8210,8 +8203,8 @@ this comes at the cost of a loss in efficiency of the estimator.
Variable set by the ``method_of_moments`` command. Structure where the
value of the test statistic is saved into a field called ``j_stat``, the
degress of freedom in a field called ``degrees_freedom`` and the p-value
of the test statistic in a field called ``p_val``.
degress of freedom into a field called ``degrees_freedom`` and the p-value
of the test statistic into a field called ``p_val``.