55 lines
3.0 KiB
Matlab
55 lines
3.0 KiB
Matlab
function estim_params=check_for_calibrated_covariances(xparam1,estim_params,M)
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% function check_for_calibrated_covariances(xparam1,estim_params,M)
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% find calibrated covariances to consider during estimation
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% Inputs
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% -xparam1 [vector] parameters to be estimated
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% -estim_params [structure] describing parameters to be estimated
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% -M [structure] describing the model
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%
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% Outputs
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% -estim_params [structure] describing parameters to be estimated
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%
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% Notes: M is local to this function and not updated when calling
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% set_all_parameters
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% Copyright (C) 2013-2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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Sigma_e_calibrated=M.Sigma_e;
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H_calibrated=M.H;
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%check covariance for structural errors
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covariance_pos=find(tril(Sigma_e_calibrated,-1)); %off-diagonal elements set by covariances before updating correlation matrix to reflect estimated covariances
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covariance_pos_ME=find(tril(H_calibrated,-1)); %off-diagonal elements set by covariances before updating correlation matrix to reflect estimated covariances
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%locally updated M
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M = set_all_parameters(xparam1,estim_params,M);
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correlation_pos=find(tril(M.Correlation_matrix,-1)); %off-diagonal elements set by correlations after accounting for estimation
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calibrated_covariance_pos=covariance_pos(~ismember(covariance_pos,correlation_pos));
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if any(calibrated_covariance_pos)
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[rows, columns]=ind2sub(size(M.Sigma_e),calibrated_covariance_pos); %find linear indices of lower triangular covariance entries
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estim_params.calibrated_covariances.position=[calibrated_covariance_pos;sub2ind(size(M.Sigma_e),columns,rows)]; %get linear entries of upper triangular parts
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estim_params.calibrated_covariances.cov_value=Sigma_e_calibrated(estim_params.calibrated_covariances.position);
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end
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correlation_pos_ME=find(tril(M.Correlation_matrix_ME,-1)); %off-diagonal elements set by correlations after accounting for estimation
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calibrated_covariance_pos_ME=covariance_pos_ME(~ismember(covariance_pos_ME,correlation_pos_ME));
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if any(calibrated_covariance_pos_ME)
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[rows, columns]=ind2sub(size(M.H),calibrated_covariance_pos_ME); %find linear indices of lower triangular covariance entries
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estim_params.calibrated_covariances_ME.position=[calibrated_covariance_pos_ME;sub2ind(size(M.H),columns,rows)]; %get linear entries of upper triangular parts
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estim_params.calibrated_covariances_ME.cov_value=H_calibrated(estim_params.calibrated_covariances_ME.position);
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end
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