81 lines
3.8 KiB
Matlab
81 lines
3.8 KiB
Matlab
function matched_moments = matched_moments_block(matched_moments, mom_method)
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% matched_moments = matched_moments_block(matched_moments, mom_method)
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% -------------------------------------------------------------------------
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% Checks and transforms matched_moments block for further use in the estimation
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% -------------------------------------------------------------------------
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% INPUTS
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% matched_moments: [cell array] original matched_moments block
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% mom_method: [string] method of moments method (GMM or SMM)
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% -------------------------------------------------------------------------
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% OUTPUT
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% matched_moments: [cell array] transformed matched_moments block
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% -------------------------------------------------------------------------
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% This function is called by
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% o mom.run
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% -------------------------------------------------------------------------
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% Copyright © 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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matched_moments_orig = matched_moments;
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% higher-order product moments not supported yet for GMM
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if strcmp(mom_method, 'GMM') && any(cellfun(@sum,matched_moments(:,3))> 2)
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error('method_of_moments: GMM does not yet support product moments higher than 2. Change your ''matched_moments'' block!');
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end
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% check for duplicate moment conditions
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for jm = 1:size(matched_moments,1)
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% expand powers to vector of ones
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if any(matched_moments{jm,3}>1)
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tmp1=[]; tmp2=[]; tmp3=[];
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for jjm=1:length(matched_moments{jm,3})
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tmp1 = [tmp1 repmat(matched_moments{jm,1}(jjm),[1 matched_moments{jm,3}(jjm)]) ];
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tmp2 = [tmp2 repmat(matched_moments{jm,2}(jjm),[1 matched_moments{jm,3}(jjm)]) ];
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tmp3 = [tmp3 repmat(1,[1 matched_moments{jm,3}(jjm)]) ];
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end
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matched_moments{jm,1} = tmp1;
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matched_moments{jm,2} = tmp2;
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matched_moments{jm,3} = tmp3;
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end
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% shift time structure to focus only on lags
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matched_moments{jm,2} = matched_moments{jm,2} - max(matched_moments{jm,2});
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% sort such that t=0 variable comes first
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[matched_moments{jm,2},idx_sort] = sort(matched_moments{jm,2},'descend');
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matched_moments{jm,1} = matched_moments{jm,1}(idx_sort);
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matched_moments{jm,3} = matched_moments{jm,3}(idx_sort);
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end
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% find duplicate rows in cell array by making groups according to powers as we can then use cell2mat for the unique function
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powers = cellfun(@sum,matched_moments(:,3))';
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unique_mom_idx = [];
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for jpow = unique(powers)
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idx1 = find(powers==jpow);
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[~,idx2] = unique(cell2mat(matched_moments(idx1,:)),'rows');
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unique_mom_idx = [unique_mom_idx idx1(idx2)];
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end
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% remove duplicate elements
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duplicate_moms = setdiff(1:size(matched_moments_orig,1),unique_mom_idx);
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if ~isempty(duplicate_moms)
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fprintf('Duplicate declared moments found and removed in ''matched_moments'' block in rows:\n %s.\n',num2str(duplicate_moms));
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fprintf('Dynare will continue with remaining moment conditions\n');
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end
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if strcmp(mom_method, 'SMM')
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% for SMM: keep the original structure, but get rid of duplicate moments
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matched_moments = matched_moments_orig(sort(unique_mom_idx),:);
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elseif strcmp(mom_method, 'GMM')
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% for GMM we use the transformed matched_moments structure
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matched_moments = matched_moments(sort(unique_mom_idx),:);
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end |