111 lines
4.4 KiB
Matlab
111 lines
4.4 KiB
Matlab
function initial_estimation_checks(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations)
|
|
% function initial_estimation_checks(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations)
|
|
% Checks data (complex values, ML evaluation, initial values, BK conditions,..)
|
|
%
|
|
% INPUTS
|
|
% xparam1: vector of parameters to be estimated
|
|
% gend: scalar specifying the number of observations
|
|
% data: matrix of data
|
|
%
|
|
% OUTPUTS
|
|
% none
|
|
%
|
|
% SPECIAL REQUIREMENTS
|
|
% none
|
|
|
|
% Copyright (C) 2003-2009 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 <http://www.gnu.org/licenses/>.
|
|
|
|
global dr1_test bayestopt_ estim_params_ options_ oo_ M_
|
|
|
|
nv = size(data,1);
|
|
if nv-size(options_.varobs,1)
|
|
disp(' ')
|
|
disp(['Declared number of observed variables = ' int2str(size(options_.varobs,1))])
|
|
disp(['Number of variables in the database = ' int2str(nv)])
|
|
disp(' ')
|
|
error(['Estimation can''t take place because the declared number of observed' ...
|
|
'variables doesn''t match the number of variables in the database.'])
|
|
end
|
|
if nv > M_.exo_nbr+estim_params_.nvn
|
|
error(['Estimation can''t take place because there are less shocks than' ...
|
|
'observed variables'])
|
|
end
|
|
if (number_of_observations==gend*nv)% No missing observations...
|
|
k = find(all(~isnan(data),2));
|
|
r = rank(data(unique(k),:));
|
|
if r < nv
|
|
error(['Estimation can''t take place because the data are perfectly' ...
|
|
' correlated']);
|
|
end
|
|
end
|
|
|
|
if ~isempty(strmatch('dsge_prior_weight',M_.param_names))
|
|
[fval,cost_flag,info] = DsgeVarLikelihood(xparam1,gend);
|
|
else
|
|
[fval,cost_flag,ys,trend_coeff,info] = DsgeLikelihood(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations);
|
|
end
|
|
|
|
% when their is an analytical steadystate, check that the values
|
|
% returned by *_steadystate match with the static model
|
|
if options_.steadystate_flag
|
|
[ys,check] = feval([M_.fname '_steadystate'],...
|
|
oo_.steady_state,...
|
|
[oo_.exo_steady_state; ...
|
|
oo_.exo_det_steady_state]);
|
|
if size(ys,1) < M_.endo_nbr
|
|
if length(M_.aux_vars) > 0
|
|
ys = add_auxiliary_variables_to_steadystate(ys,M_.aux_vars,...
|
|
M_.fname,...
|
|
oo_.exo_steady_state,...
|
|
oo_.exo_det_steady_state,...
|
|
M_.params);
|
|
else
|
|
error([M_.fname '_steadystate.m doesn''t match the model']);
|
|
end
|
|
end
|
|
oo_.steady_state = ys;
|
|
% Check if the steady state obtained from the _steadystate file is a
|
|
% steady state.
|
|
check1 = 0;
|
|
if isfield(options_,'unit_root_vars') & options_.diffuse_filter == 0
|
|
if isempty(options_.unit_root_vars)
|
|
check1 = max(abs(feval([M_.fname '_static'],...
|
|
oo_.steady_state,...
|
|
[oo_.exo_steady_state; ...
|
|
oo_.exo_det_steady_state], M_.params))) > options_.dynatol ;
|
|
if check1
|
|
error(['The seadystate values returned by ' M_.fname ...
|
|
'_steadystate.m don''t solve the static model!' ])
|
|
end
|
|
end
|
|
end
|
|
end
|
|
|
|
if info(1) > 0
|
|
disp('Error in computing likelihood for initial parameter values')
|
|
print_info(info, options_.noprint)
|
|
end
|
|
|
|
if any(abs(oo_.steady_state(bayestopt_.mfys))>1e-9) & (options_.prefilter==1)
|
|
disp(['You are trying to estimate a model with a non zero steady state for the observed endogenous'])
|
|
disp(['variables using demeaned data!'])
|
|
error('You should change something in your mod file...')
|
|
end
|
|
|
|
disp(['Initial value of the log posterior (or likelihood): ' num2str(-fval)]);
|