stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Only test non-zero measurement error covariance entries for positive definiteness 

Otherwise, not having measurement error on one variable is not allowed during estimation
time-shift
Johannes Pfeifer 2015-12-10 15:13:35 +01:00 committed by Stéphane Adjemian (Charybdis)
parent 313ffb5f32
commit f28a7a62bb
3 changed files with 29 additions and 4 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

4
matlab/dsge_likelihood.m
View File

@ -210,7 +210,7 @@ H = Model.H;
% Test if Q is positive definite.
if ~issquare(Q) || EstimatedParameters.ncx || isfield(EstimatedParameters,'calibrated_covariances')
[Q_is_positive_definite, penalty] = ispd(Q);
[Q_is_positive_definite, penalty] = ispd(Q(EstimatedParameters.Sigma_e_entries_to_check_for_positive_definiteness,EstimatedParameters.Sigma_e_entries_to_check_for_positive_definiteness));
if ~Q_is_positive_definite
fval = objective_function_penalty_base+penalty;
exit_flag = 0;
@ -231,7 +231,7 @@ end
% Test if H is positive definite.
if ~issquare(H) || EstimatedParameters.ncn || isfield(EstimatedParameters,'calibrated_covariances_ME')
[H_is_positive_definite, penalty] = ispd(H);
[H_is_positive_definite, penalty] = ispd(H(EstimatedParameters.H_entries_to_check_for_positive_definiteness,EstimatedParameters.H_entries_to_check_for_positive_definiteness));
if ~H_is_positive_definite
fval = objective_function_penalty_base+penalty;
exit_flag = 0;

25
matlab/dynare_estimation_init.m
View File

@ -571,3 +571,28 @@ else
error('The option "prefilter" is inconsistent with the non-zero mean measurement equations in the model.')
end
end
%% get the non-zero rows and columns of Sigma_e and H
H_non_zero_rows=find(~all(M_.H==0,1));
H_non_zero_columns=find(~all(M_.H==0,2));
if ~isequal(H_non_zero_rows,H_non_zero_columns')
error('Measurement error matrix not symmetric')
end
if isfield(estim_params_,'nvn_observable_correspondence')
estim_params_.H_entries_to_check_for_positive_definiteness=union(H_non_zero_rows,estim_params_.nvn_observable_correspondence(:,1));
else
estim_params_.H_entries_to_check_for_positive_definiteness=H_non_zero_rows;
end
Sigma_e_non_zero_rows=find(~all(M_.Sigma_e==0,1));
Sigma_e_non_zero_columns=find(~all(M_.Sigma_e==0,2));
if ~isequal(Sigma_e_non_zero_rows,Sigma_e_non_zero_columns')
error('Structual error matrix not symmetric')
end
if ~isempty(estim_params_.var_exo)
estim_params_.Sigma_e_entries_to_check_for_positive_definiteness=union(Sigma_e_non_zero_rows,estim_params_.var_exo(:,1));
else
estim_params_.Sigma_e_entries_to_check_for_positive_definiteness=Sigma_e_non_zero_rows;
end

4
matlab/non_linear_dsge_likelihood.m
View File

@ -166,7 +166,7 @@ Q = Model.Sigma_e;
H = Model.H;
if ~issquare(Q) || EstimatedParameters.ncx || isfield(EstimatedParameters,'calibrated_covariances')
[Q_is_positive_definite, penalty] = ispd(Q);
[Q_is_positive_definite, penalty] = ispd(Q(EstimatedParameters.Sigma_e_entries_to_check_for_positive_definiteness,EstimatedParameters.Sigma_e_entries_to_check_for_positive_definiteness));
if ~Q_is_positive_definite
fval = objective_function_penalty_base+penalty;
exit_flag = 0;
@ -187,7 +187,7 @@ if ~issquare(Q) || EstimatedParameters.ncx || isfield(EstimatedParameters,'calib
end
if ~issquare(H) || EstimatedParameters.ncn || isfield(EstimatedParameters,'calibrated_covariances_ME')
[H_is_positive_definite, penalty] = ispd(H);
[H_is_positive_definite, penalty] = ispd(H(EstimatedParameters.H_entries_to_check_for_positive_definiteness,EstimatedParameters.H_entries_to_check_for_positive_definiteness));
if ~H_is_positive_definite
fval = objective_function_penalty_base+penalty;
exit_flag = 0;