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method_of_moments: refactor steady-state check utility functions 

Reuse same functions from full-information estimation command
kalman-mex
Willi Mutschler 2023-09-04 16:47:52 +02:00
parent b737d46d61
commit e170b64713
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1 changed files with 10 additions and 32 deletions
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matlab/+mom/run.m
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@ -475,46 +475,24 @@ end
% -------------------------------------------------------------------------
% Step 5: checks for steady state at initial parameters
% checks for steady state at initial parameters
% -------------------------------------------------------------------------
% setting steadystate_check_flag option
% check if steady state solves static model and if steady-state changes estimated parameters
if options_mom_.steadystate.nocheck
steadystate_check_flag = 0;
steadystate_check_flag_vec = [0 1];
else
steadystate_check_flag = 1;
steadystate_check_flag_vec = [1 1];
end
old_steady_params=M_.params; %save initial parameters for check if steady state changes param values
% Check steady state at initial model parameter values
[oo_.steady_state, new_steady_params, info] = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],M_,options_mom_,steadystate_check_flag);
[oo_.steady_state, info, steady_state_changes_parameters] = check_steady_state_changes_parameters(M_, estim_params_, oo_, options_mom_, steadystate_check_flag_vec);
if info(1)
fprintf('\nmethod_of_moments: The steady state at the initial parameters cannot be computed.\n')
fprintf('\nThe steady state at the initial parameters cannot be computed.\n')
print_info(info, 0, options_mom_);
end
% check whether steady state file changes estimated parameters
if isfield(estim_params_,'param_vals') && ~isempty(estim_params_.param_vals)
Model_par_varied=M_; %store M_ structure
Model_par_varied.params(estim_params_.param_vals(:,1))=Model_par_varied.params(estim_params_.param_vals(:,1))*1.01; %vary parameters
[~, new_steady_params_2] = evaluate_steady_state(oo_.steady_state,[oo_.exo_steady_state; oo_.exo_det_steady_state],Model_par_varied,options_mom_,true);
changed_par_indices=find((old_steady_params(estim_params_.param_vals(:,1))-new_steady_params(estim_params_.param_vals(:,1))) ...
| (Model_par_varied.params(estim_params_.param_vals(:,1))-new_steady_params_2(estim_params_.param_vals(:,1))));
if ~isempty(changed_par_indices)
fprintf('\nThe steady state file internally changed the values of the following estimated parameters:\n')
disp(char(M_.param_names(estim_params_.param_vals(changed_par_indices,1))))
fprintf('This will override parameter values and may lead to wrong results.\n')
fprintf('Check whether this is really intended.\n')
warning('The steady state file internally changes the values of the estimated parameters.')
if strcmp(options_mom_.mom.mom_method,'GMM') && options_mom_.mom.analytic_standard_errors
fprintf('For analytical standard errors, the parameter-Jacobians of the dynamic model and of the steady-state will be computed numerically\n'),
fprintf('(re-set options_mom_.analytic_derivation_mode= -2)'),
options_mom_.analytic_derivation_mode= -2;
end
end
if steady_state_changes_parameters && strcmp(options_mom_.mom.mom_method,'GMM') && options_mom_.mom.analytic_standard_errors
fprintf('For analytical standard errors, the parameter-Jacobians of the dynamic model and of the steady-state will be computed numerically,\n');
fprintf('because the steady-state changes estimated parameters. Option ''analytic_derivation_mode'' reset to -2.');
options_mom_.analytic_derivation_mode = -2;
end
% display warning if some parameters are still NaN