89 lines
2.5 KiB
Matlab
89 lines
2.5 KiB
Matlab
function indent = svar_global_identification_check(options_)
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% function svar_global_identification_check(options_.ms) checks
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% identification of s structural VAR
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%
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% INPUTS
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% options_ms: (struct) options
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%
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% OUTPUTS
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% ident: (boolean) false = not identified; true = identified
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%
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% SPECIAL REQUIREMENTS
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% none
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%
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% REFERENCES
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% J. Rubio Ramirez, D. Waggoner, T. Zha (2010) "Structural Vector
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% Autoregressions: Theory of Identification and Algorithms for
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% Inference" in Review of Economic Studies, 77, 665-696.
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% Copyright © 2015-2017 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 <https://www.gnu.org/licenses/>.
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ident = false;
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if isequal(options_.ms.restriction_fname, 'upper_cholesky') || ...
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isequal(options_.ms.restriction_fname, 'lower_cholesky')
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ident = true;
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if ~options_.noprint
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disp(' ')
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disp('SBVAR: Cholesky identification is always identified')
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disp(' ')
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end
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return
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end
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nvar = length(options_.varobs); % number of endogenous variables
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nexo = 1;
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[Uiconst,Viconst,n0,np,ixmC0Pres,Qi,Ri] = exclusions(nvar,nexo,options_.ms );
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% order column constraints by rank
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QQranks = zeros(nvar,2);
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for j=1:nvar
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n = nvar*(options_.ms.nlags+1);
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QQi{j} = zeros(n,n);
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QQi{j}(1:nvar,1:nvar) = Qi{j};
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QQi{j}(nvar+1:end,nvar+1:end) = Ri{j}(1:end-1,1:end-1);
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QQranks(j,:) = [j,rank(QQi{j})];
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end
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QQranks = sortrows(QQranks,-2);
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ident = true;
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for j=1:nvar
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i = QQranks(j,1);
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for k=1:1
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M = [QQi{i}*rand(size(QQi{i},1),nvar);[eye(j) ...
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zeros(j,nvar-j)]];
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if rank(M) < nvar
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ident = false;
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break
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end
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end
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if ~ident
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break
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end
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end
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if ~options_.noprint
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disp(' ')
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if ident
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disp('The sufficient condition for SBVAR identification is met')
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else
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disp('WARNGING: The sufficient condition for SBVAR identification is not met')
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end
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disp(' ')
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end |