304 lines
11 KiB
Matlab
304 lines
11 KiB
Matlab
function model_diagnostics(M,options,oo)
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% function model_diagnostics(M,options,oo)
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% computes various diagnostics on the model
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% INPUTS
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% M [matlab structure] Definition of the model.
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% options [matlab structure] Global options.
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% oo [matlab structure] Results
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%
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% OUTPUTS
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% none
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%
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% ALGORITHM
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% ...
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%
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% SPECIAL REQUIREMENTS
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% none.
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%
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% Copyright © 1996-2023 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 <https://www.gnu.org/licenses/>.
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endo_nbr = M.endo_nbr;
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endo_names = M.endo_names;
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lead_lag_incidence = M.lead_lag_incidence;
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maximum_endo_lag = M.maximum_endo_lag;
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if options.ramsey_policy
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%test whether specification matches
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inst_nbr = size(options.instruments,1);
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if inst_nbr~=0
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orig_endo_aux_nbr = M.orig_endo_nbr + min(find([M.aux_vars.type] == 6)) - 1;
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implied_inst_nbr = orig_endo_aux_nbr - M.orig_eq_nbr;
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if inst_nbr>implied_inst_nbr
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error('You have specified more instruments than there are omitted equations')
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elseif inst_nbr<implied_inst_nbr
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error('You have specified fewer instruments than there are omitted equations')
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end
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else
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if options.steadystate_flag
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error('You have specified a steady state file, but not provided an instrument. Either delete the steady state file or provide an instrument')
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end
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end
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end
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problem_dummy=0;
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%naming conflict in steady state file
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if options.steadystate_flag == 1
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if strmatch('ys',M.endo_names,'exact')
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disp(['MODEL_DIAGNOSTICS: using the name ys for an endogenous variable will typically conflict with the internal naming in user-defined steady state files.'])
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problem_dummy=1;
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end
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if strmatch('ys',M.param_names,'exact')
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disp(['MODEL_DIAGNOSTICS: using the name ys for a parameter will typically conflict with the internal naming in user-defined steady state files.'])
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problem_dummy=1;
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end
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if strmatch('M_',M.endo_names,'exact')
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disp(['MODEL_DIAGNOSTICS: using the name M_ for an endogenous variable will typically conflict with the internal naming in user-defined steady state files.'])
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problem_dummy=1;
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end
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if strmatch('M_',M.param_names,'exact')
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disp(['MODEL_DIAGNOSTICS: using the name M_ for a parameter will typically conflict with the internal naming in user-defined steady state files.'])
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problem_dummy=1;
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end
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end
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%
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% missing variables at the current period
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%
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k = find(lead_lag_incidence(maximum_endo_lag+1,:)==0);
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if ~isempty(k)
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problem_dummy=1;
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disp(['MODEL_DIAGNOSTICS: The following endogenous variables aren''t present at ' ...
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'the current period in the model:'])
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for i=1:length(k)
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disp(endo_names{k(i)})
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end
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end
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%
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% check steady state
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%
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info = 0;
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if M.exo_nbr == 0
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oo.exo_steady_state = [] ;
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end
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info=test_for_deep_parameters_calibration(M);
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if info
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problem_dummy=1;
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end
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% check if ys is steady state
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options.debug=true; %locally set debug option to true
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if options.logged_steady_state %if steady state was previously logged, undo this
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oo.dr.ys=exp(oo.dr.ys);
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oo.steady_state=exp(oo.steady_state);
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options.logged_steady_state=0;
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end
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[dr.ys,M.params,check1]=evaluate_steady_state(oo.steady_state,M,options,oo,options.steadystate.nocheck);
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% testing for problem
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if check1(1)
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problem_dummy=1;
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disp('MODEL_DIAGNOSTICS: The steady state cannot be computed')
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if any(isnan(dr.ys))
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disp(['MODEL_DIAGNOSTICS: Steady state contains NaNs'])
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end
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if any(isinf(dr.ys))
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disp(['MODEL_DIAGNOSTICS: Steady state contains Inf'])
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end
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return
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end
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if ~isreal(dr.ys)
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problem_dummy=1;
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disp(['MODEL_DIAGNOSTICS: Steady state contains complex ' ...
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'numbers'])
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return
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end
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%
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% singular Jacobian of static model
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%
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singularity_problem = 0;
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if ~isfield(M,'block_structure_stat')
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nb = 1;
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else
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nb = length(M.block_structure_stat.block);
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end
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exo = [oo.exo_steady_state; oo.exo_det_steady_state];
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for b=1:nb
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if options.bytecode
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if nb == 1
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[res, jacob] = bytecode(dr.ys, exo, M.params, dr.ys, 1, exo, ...
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'evaluate', 'static');
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else
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[res, jacob] = bytecode(dr.ys, exo, M.params, dr.ys, 1, exo, ...
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'evaluate', 'static', 'block_decomposed', ['block=' ...
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int2str(b)]);
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end
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else
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[res, T_order, T] = feval([M.fname '.sparse.static_resid'], dr.ys, exo, M.params);
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jacob = feval([M.fname '.sparse.static_g1'], dr.ys, exo, M.params, M.static_g1_sparse_rowval, M.static_g1_sparse_colval, M.static_g1_sparse_colptr, T_order, T);
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end
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if any(any(isinf(jacob) | isnan(jacob)))
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problem_dummy=1;
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[infrow,infcol]=find(isinf(jacob) | isnan(jacob));
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fprintf('\nMODEL_DIAGNOSTICS: The Jacobian of the static model contains Inf or NaN. The problem arises from: \n\n')
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display_problematic_vars_Jacobian(infrow,infcol,M,dr.ys,'static','MODEL_DIAGNOSTICS: ')
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end
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if any(any(~isreal(jacob)))
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problem_dummy=1;
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[imagrow,imagcol]=find(abs(imag(jacob))>1e-15);
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fprintf('\nMODEL_DIAGNOSTICS: The Jacobian of the static model contains imaginary parts. The problem arises from: \n\n')
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display_problematic_vars_Jacobian(imagrow,imagcol,M,dr.ys,'static','MODEL_DIAGNOSTICS: ')
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end
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try
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if isoctave || matlab_ver_less_than('9.12') || isempty(options.jacobian_tolerance)
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rank_jacob = rank(jacob); %can sometimes fail
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else
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rank_jacob = rank(jacob,options.jacobian_tolerance); %can sometimes fail
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end
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catch
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rank_jacob=size(jacob,1);
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end
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if rank_jacob < size(jacob,1)
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problem_dummy=1;
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singularity_problem = 1;
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disp(['MODEL_DIAGNOSTICS: The Jacobian of the static model is ' ...
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'singular'])
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disp(['MODEL_DIAGNOSTICS: there is ' num2str(endo_nbr-rank_jacob) ...
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' colinear relationships between the variables and the equations'])
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if isoctave || matlab_ver_less_than('9.12') || isempty(options.jacobian_tolerance)
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ncol = null(jacob);
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else
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ncol = null(jacob,options.jacobian_tolerance); %can sometimes fail
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end
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n_rel = size(ncol,2);
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for i = 1:n_rel
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if n_rel > 1
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disp(['Relation ' int2str(i)])
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end
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disp('Colinear variables:')
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for j=1:10
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k = find(abs(ncol(:,i)) > 10^-j);
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if max(abs(jacob(:,k)*ncol(k,i))) < 1e-6
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break
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end
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end
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fprintf('%s\n',endo_names{k})
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end
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if isoctave || matlab_ver_less_than('9.12') || isempty(options.jacobian_tolerance)
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neq = null(jacob'); %can sometimes fail
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else
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neq = null(jacob',options.jacobian_tolerance); %can sometimes fail
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end
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n_rel = size(neq,2);
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for i = 1:n_rel
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if n_rel > 1
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disp(['Relation ' int2str(i)])
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end
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disp('Colinear equations')
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for j=1:10
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k = find(abs(neq(:,i)) > 10^-j);
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if max(abs(jacob(k,:)'*neq(k,i))) < 1e-6
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break
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end
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end
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disp(k')
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end
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end
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end
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if singularity_problem
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try
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options_check=options;
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options_check.noprint=1;
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[eigenvalues_] = check(M, options_check, oo);
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if any(abs(abs(eigenvalues_)-1)<1e-6)
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fprintf('MODEL_DIAGNOSTICS: The singularity seems to be (partly) caused by the presence of a unit root\n')
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fprintf('MODEL_DIAGNOSTICS: as the absolute value of one eigenvalue is in the range of +-1e-6 to 1.\n')
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fprintf('MODEL_DIAGNOSTICS: If the model is actually supposed to feature unit root behavior, such a warning is expected,\n')
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fprintf('MODEL_DIAGNOSTICS: but you should nevertheless check whether there is an additional singularity problem.\n')
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end
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catch
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end
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fprintf('MODEL_DIAGNOSTICS: The presence of a singularity problem typically indicates that there is one\n')
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fprintf('MODEL_DIAGNOSTICS: redundant equation entered in the model block, while another non-redundant equation\n')
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fprintf('MODEL_DIAGNOSTICS: is missing. The problem often derives from Walras Law.\n')
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end
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%%check dynamic Jacobian
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klen = M.maximum_lag + M.maximum_lead + 1;
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exo_simul = [repmat(oo.exo_steady_state',klen,1) repmat(oo.exo_det_steady_state',klen,1)];
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iyv = M.lead_lag_incidence';
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iyv = iyv(:);
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iyr0 = find(iyv) ;
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it_ = M.maximum_lag + 1;
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z = repmat(dr.ys,1,klen);
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if options.order == 1
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if (options.bytecode)
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[~, loc_dr] = bytecode('dynamic','evaluate', z,exo_simul, ...
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M.params, dr.ys, 1);
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jacobia_ = [loc_dr.g1 loc_dr.g1_x loc_dr.g1_xd];
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else
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[~,jacobia_] = feval([M.fname '.dynamic'],z(iyr0),exo_simul, ...
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M.params, dr.ys, it_);
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end
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elseif options.order >= 2
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if (options.bytecode)
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[~, loc_dr] = bytecode('dynamic','evaluate', z,exo_simul, ...
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M.params, dr.ys, 1);
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jacobia_ = [loc_dr.g1 loc_dr.g1_x];
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else
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[~,jacobia_,hessian1] = feval([M.fname '.dynamic'],z(iyr0),...
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exo_simul, ...
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M.params, dr.ys, it_);
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end
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end
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if any(any(isinf(jacobia_) | isnan(jacobia_)))
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problem_dummy=1;
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[infrow,infcol]=find(isinf(jacobia_) | isnan(jacobia_));
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fprintf('\nMODEL_DIAGNOSTICS: The Jacobian of the dynamic model contains Inf or NaN. The problem arises from: \n\n')
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display_problematic_vars_Jacobian(infrow,infcol,M,dr.ys,'dynamic','MODEL_DIAGNOSTICS: ')
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end
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if any(any(~isreal(jacobia_)))
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[imagrow,imagcol]=find(abs(imag(jacobia_))>1e-15);
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if ~isempty(imagrow)
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problem_dummy=1;
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fprintf('\nMODEL_DIAGNOSTICS: The Jacobian of the dynamic model contains imaginary parts. The problem arises from: \n\n')
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display_problematic_vars_Jacobian(imagrow,imagcol,M,dr.ys,'dynamic','MODEL_DIAGNOSTICS: ')
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end
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end
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if exist('hessian1','var')
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if any(any(isinf(hessian1) | isnan(hessian1)))
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problem_dummy=1;
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fprintf('\nMODEL_DIAGNOSTICS: The Hessian of the dynamic model contains Inf or NaN.\n')
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end
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end
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if problem_dummy==0
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fprintf('MODEL_DIAGNOSTICS: No obvious problems with this mod-file were detected.\n')
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end
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