143 lines
9.1 KiB
Matlab
143 lines
9.1 KiB
Matlab
function [xparam1,estim_params_,xparam1_explicitly_initialized,xparam1_properly_calibrated]=do_parameter_initialization(estim_params_,xparam1_calib,xparam1_NaN_set_to_prior_mean)
|
|
% function [xparam1,estim_params_]=get_initialized_parameters(estim_params_,xparam1_calib)
|
|
% gets explicitly initialized variables and properly calibrated parameters
|
|
%
|
|
% INPUTS
|
|
% o estim_params_ [structure] characterizing parameters to be estimated.
|
|
% o xparam1_calib [double] vector of parameters to be estimated, with parameters
|
|
% initialized from calibration using get_all_parameters
|
|
%
|
|
% o xparam1_NaN_set_to_prior_mean [double] vector of parameters to be estimated, with parameters
|
|
% initialized using dynare_estimation_init; not explicitly initialized
|
|
% parameters are at prior mean
|
|
% OUTPUTS
|
|
% o xparam1 [double] vector of initialized parameters; uses the hierarchy: 1) explicitly initialized parameters,
|
|
% 2) calibrated parameters, 3) prior mean
|
|
% o estim_params_ [structure] characterizing parameters to be estimated; it is
|
|
% updated here to reflect calibrated parameters
|
|
% o xparam1_explicitly_initialized [double] vector of parameters to be estimated that
|
|
% were explicitly initialized
|
|
% o xparam1_properly_calibrated [double] vector of parameters to be estimated that
|
|
% were properly calibrated
|
|
%
|
|
% SPECIAL REQUIREMENTS
|
|
% None
|
|
|
|
% Copyright © 2013-2017 Dynare Team
|
|
%
|
|
% This file is part of Dynare.
|
|
%
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
% it under the terms of the GNU General Public License as published by
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
% (at your option) any later version.
|
|
%
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
% GNU General Public License for more details.
|
|
%
|
|
% You should have received a copy of the GNU General Public License
|
|
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
|
|
|
nvx = size(estim_params_.var_exo,1);
|
|
nvn = size(estim_params_.var_endo,1);
|
|
ncx = size(estim_params_.corrx,1);
|
|
ncn = size(estim_params_.corrn,1);
|
|
np = size(estim_params_.param_vals,1);
|
|
|
|
estim_params_.nvx = nvx; %exogenous shock variances
|
|
estim_params_.nvn = nvn; %endogenous variances, i.e. measurement error
|
|
estim_params_.ncx = ncx; %exogenous shock correlations
|
|
estim_params_.ncn = ncn; % correlation between endogenous variables, i.e. measurement error.
|
|
estim_params_.np = np; % other parameters of the model
|
|
|
|
xparam1_explicitly_initialized = NaN(nvx+nvn+ncx+ncn+np,1);
|
|
xparam1_properly_calibrated = NaN(nvx+nvn+ncx+ncn+np,1);
|
|
|
|
offset=0;
|
|
if nvx
|
|
initialized_par_index=find(~isnan(estim_params_.var_exo(:,2)));
|
|
calibrated_par_index=find(isnan(estim_params_.var_exo(:,2)) & ~isnan(xparam1_calib(offset+1:offset+nvx,1)));
|
|
uninitialized_par_index=find(isnan(estim_params_.var_exo(:,2)) & isnan(xparam1_calib(offset+1:offset+nvx,1)));
|
|
xparam1_explicitly_initialized(offset+initialized_par_index,1) = estim_params_.var_exo(initialized_par_index,2);
|
|
%update estim_params_ with calibrated starting values
|
|
estim_params_.var_exo(calibrated_par_index,2)=xparam1_calib(offset+calibrated_par_index,1);
|
|
%find parameters that are calibrated and do not violate inverse gamma prior
|
|
xparam1_properly_calibrated(offset+calibrated_par_index,1) = xparam1_calib(offset+calibrated_par_index,1);
|
|
inv_gamma_violation=find(estim_params_.var_exo(calibrated_par_index,2)==0 & estim_params_.var_exo(calibrated_par_index,5)==4);
|
|
if inv_gamma_violation
|
|
estim_params_.var_exo(calibrated_par_index(inv_gamma_violation),2)=NaN;
|
|
xparam1_properly_calibrated(offset+calibrated_par_index(inv_gamma_violation),1)=NaN;
|
|
fprintf('PARAMETER INITIALIZATION: Some standard deviations of shocks of the calibrated model are 0 and\n')
|
|
fprintf('PARAMETER INITIALIZATION: violate the inverse gamma prior. They will instead be initialized with the prior mean.\n')
|
|
end
|
|
if uninitialized_par_index
|
|
fprintf('PARAMETER INITIALIZATION: Warning, some estimated standard deviations of shocks are not\n')
|
|
fprintf('PARAMETER INITIALIZATION: initialized. They will be initialized with the prior mean.\n')
|
|
end
|
|
end
|
|
offset=offset+nvx;
|
|
if nvn
|
|
initialized_par_index=find(~isnan(estim_params_.var_endo(:,2)));
|
|
calibrated_par_index=find(isnan(estim_params_.var_endo(:,2)) & ~isnan(xparam1_calib(offset+1:offset+nvn,1)));
|
|
uninitialized_par_index=find(isnan(estim_params_.var_endo(:,2)) & isnan(xparam1_calib(offset+1:offset+nvn,1)));
|
|
xparam1_explicitly_initialized(offset+initialized_par_index,1) = estim_params_.var_endo(initialized_par_index,2);
|
|
estim_params_.var_endo(calibrated_par_index,2)=xparam1_calib(offset+calibrated_par_index,1);
|
|
%find parameters that are calibrated and do not violate inverse gamma prior
|
|
xparam1_properly_calibrated(offset+calibrated_par_index,1) = xparam1_calib(offset+calibrated_par_index,1);
|
|
inv_gamma_violation=find(estim_params_.var_endo(calibrated_par_index,2)==0 & estim_params_.var_endo(calibrated_par_index,5)==4);
|
|
if inv_gamma_violation
|
|
estim_params_.var_endo(calibrated_par_index(inv_gamma_violation),2)=NaN;
|
|
xparam1_properly_calibrated(offset+calibrated_par_index(inv_gamma_violation),1)=NaN;
|
|
fprintf('PARAMETER INITIALIZATION: Some measurement errors of the calibrated model are 0 and violate the\n')
|
|
fprintf('PARAMETER INITIALIZATION: inverse gamma prior. They will instead be initialized with the prior mean.\n')
|
|
end
|
|
if uninitialized_par_index
|
|
fprintf('PARAMETER INITIALIZATION: Warning, some measurement errors are not initialized. They will be initialized\n')
|
|
fprintf('PARAMETER INITIALIZATION: with the prior mean.\n')
|
|
end
|
|
end
|
|
offset=offset+nvn;
|
|
if ncx
|
|
initialized_par_index=find(~isnan(estim_params_.corrx(:,3)));
|
|
calibrated_par_index=find(isnan(estim_params_.corrx(:,3)) & ~isnan(xparam1_calib(offset+1:offset+ncx,1)));
|
|
uninitialized_par_index=find(isnan(estim_params_.corrx(:,3)) & isnan(xparam1_calib(offset+1:offset+ncx,1)));
|
|
xparam1_explicitly_initialized(offset+initialized_par_index,1) = estim_params_.corrx(initialized_par_index,3);
|
|
estim_params_.corrx(calibrated_par_index,3)=xparam1_calib(offset+calibrated_par_index,1);
|
|
xparam1_properly_calibrated(offset+calibrated_par_index,1) = xparam1_calib(offset+calibrated_par_index,1);
|
|
if uninitialized_par_index
|
|
fprintf('PARAMETER INITIALIZATION: Warning, some correlations between structural shocks are not initialized.\n')
|
|
fprintf('PARAMETER INITIALIZATION: They will be initialized with the prior mean.\n')
|
|
end
|
|
end
|
|
offset=offset+ncx;
|
|
if ncn
|
|
initialized_par_index=find(~isnan(estim_params_.corrn(:,3)));
|
|
calibrated_par_index=find(isnan(estim_params_.corrn(:,3)) & ~isnan(xparam1_calib(offset+1:offset+ncn,1)));
|
|
uninitialized_par_index=find(isnan(estim_params_.corrn(:,3)) & isnan(xparam1_calib(offset+1:offset+ncn,1)));
|
|
xparam1_explicitly_initialized(offset+initialized_par_index,1) = estim_params_.corrn(initialized_par_index,3);
|
|
estim_params_.corrn(calibrated_par_index,3)=xparam1_calib(offset+calibrated_par_index,1);
|
|
xparam1_properly_calibrated(offset+calibrated_par_index,1) = xparam1_calib(offset+calibrated_par_index,1);
|
|
if uninitialized_par_index
|
|
fprintf('PARAMETER INITIALIZATION: Warning, some correlations between measurement errors are not initialized.\n')
|
|
fprintf('PARAMETER INITIALIZATION: They will be initialized with the prior mean.\n')
|
|
end
|
|
end
|
|
offset=offset+ncn;
|
|
if np
|
|
initialized_par_index=find(~isnan(estim_params_.param_vals(:,2)));
|
|
calibrated_par_index=find(isnan(estim_params_.param_vals(:,2)) & ~isnan(xparam1_calib(offset+1:offset+np,1)));
|
|
uninitialized_par_index=find(isnan(estim_params_.param_vals(:,2)) & isnan(xparam1_calib(offset+1:offset+np,1)));
|
|
xparam1_explicitly_initialized(offset+initialized_par_index,1) = estim_params_.param_vals(initialized_par_index,2);
|
|
estim_params_.param_vals(calibrated_par_index,2)=xparam1_calib(offset+calibrated_par_index,1);
|
|
xparam1_properly_calibrated(offset+calibrated_par_index,1) = xparam1_calib(offset+calibrated_par_index,1);
|
|
if uninitialized_par_index
|
|
fprintf('PARAMETER INITIALIZATION: Warning, some deep parameters are not initialized. They will be\n')
|
|
fprintf('PARAMETER INITIALIZATION: initialized with the prior mean.\n')
|
|
end
|
|
end
|
|
xparam1=xparam1_explicitly_initialized;
|
|
xparam1(isnan(xparam1))=xparam1_properly_calibrated(isnan(xparam1)); %set not explicitly initialized parameters that do not obviously violate prior distribution to calibrated parameter values
|
|
xparam1(isnan(xparam1))=xparam1_NaN_set_to_prior_mean(isnan(xparam1)); %set not yet initialized parameters to prior mean coming from dynare_estimation_init
|