67 lines
3.5 KiB
Matlab
67 lines
3.5 KiB
Matlab
function oo_ = Jtest(xparam, objective_function, Woptflag, oo_, options_mom_, bayestopt_, Bounds, estim_params_, M_, nobs)
|
|
% function oo_ = Jtest(xparam, objective_function, Woptflag, oo_, options_mom_, bayestopt_, Bounds, estim_params_, M_, nobs)
|
|
% -------------------------------------------------------------------------
|
|
% Computes the J-test statistic and p-value for a GMM/SMM estimation
|
|
% =========================================================================
|
|
% INPUTS
|
|
% xparam: [vector] estimated parameter vector
|
|
% objective_function: [function handle] objective function
|
|
% Woptflag: [logical] flag if optimal weighting matrix has already been computed
|
|
% oo_: [struct] results
|
|
% options_mom_: [struct] options
|
|
% bayestopt_: [struct] information on priors
|
|
% Bounds: [struct] bounds on parameters
|
|
% estim_params_: [struct] information on estimated parameters
|
|
% M_: [struct] information on the model
|
|
% nobs: [scalar] number of observations
|
|
% -------------------------------------------------------------------------
|
|
% OUTPUT
|
|
% oo_: [struct] updated results
|
|
% -------------------------------------------------------------------------
|
|
% This function is called by
|
|
% o mom.run
|
|
% -------------------------------------------------------------------------
|
|
% This function calls
|
|
% o mom.objective_function
|
|
% o mom.optimal_weighting_matrix
|
|
% =========================================================================
|
|
% Copyright © 2023 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/>.
|
|
% =========================================================================
|
|
|
|
if options_mom_.mom.mom_nbr > length(xparam)
|
|
% Get optimal weighting matrix for J test, if necessary
|
|
if ~Woptflag
|
|
W_opt = mom.optimal_weighting_matrix(oo_.mom.m_data, oo_.mom.model_moments, options_mom_.mom.bartlett_kernel_lag);
|
|
oo_J = oo_;
|
|
oo_J.mom.Sw = chol(W_opt);
|
|
fval = feval(objective_function, xparam, Bounds, oo_J, estim_params_, M_, options_mom_);
|
|
else
|
|
fval = oo_.mom.Q;
|
|
end
|
|
% Compute J statistic
|
|
if strcmp(options_mom_.mom.mom_method,'SMM')
|
|
Variance_correction_factor = options_mom_.mom.variance_correction_factor;
|
|
elseif strcmp(options_mom_.mom.mom_method,'GMM')
|
|
Variance_correction_factor = 1;
|
|
end
|
|
oo_.mom.J_test.j_stat = nobs*Variance_correction_factor*fval/options_mom_.mom.weighting_matrix_scaling_factor;
|
|
oo_.mom.J_test.degrees_freedom = length(oo_.mom.model_moments)-length(xparam);
|
|
oo_.mom.J_test.p_val = 1-chi2cdf(oo_.mom.J_test.j_stat, oo_.mom.J_test.degrees_freedom);
|
|
fprintf('\nValue of J-test statistic: %f\n',oo_.mom.J_test.j_stat);
|
|
fprintf('p-value of J-test statistic: %f\n',oo_.mom.J_test.p_val);
|
|
end |