1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
|
function set_shocks_param(xparam1)
% function set_shocks_param(xparam1)
% Set the structural and measurement error variances and covariances
% Copyright (C) 2012-2017 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 estim_params_ M_
nvx = estim_params_.nvx;
ncx = estim_params_.ncx;
nvn = estim_params_.nvn;
ncn = estim_params_.ncn;
Sigma_e = M_.Sigma_e;
Correlation_matrix = M_.Correlation_matrix;
H = M_.H;
Correlation_matrix_ME = M_.Correlation_matrix_ME;
% setting shocks variance on the diagonal of Covariance matrix; used later
% for updating covariances
if nvx
var_exo = estim_params_.var_exo;
for i=1:nvx
k =var_exo(i,1);
Sigma_e(k,k) = xparam1(i)^2;
end
end
% update offset
offset = nvx;
% setting measument error variance; on the diagonal of Covariance matrix; used later
% for updating covariances
if nvn
for i=1:nvn
k = estim_params_.nvn_observable_correspondence(i,1);
H(k,k) = xparam1(i+offset)^2;
end
end
% update offset
offset = nvx+nvn;
% setting shocks covariances
if ncx
corrx = estim_params_.corrx;
for i=1:ncx
k1 = corrx(i,1);
k2 = corrx(i,2);
Correlation_matrix(k1,k2) = xparam1(i+offset);
Correlation_matrix(k2,k1) = Correlation_matrix(k1,k2);
end
end
%build covariance matrix from correlation matrix and variances already on
%diagonal
Sigma_e = diag(sqrt(diag(Sigma_e)))*Correlation_matrix*diag(sqrt(diag(Sigma_e)));
%if calibrated covariances, set them now to their stored value
if isfield(estim_params_,'calibrated_covariances')
Sigma_e(estim_params_.calibrated_covariances.position)=estim_params_.calibrated_covariances.cov_value;
end
% update offset
offset = nvx+nvn+ncx;
% setting measurement error covariances
if ncn
corrn_observable_correspondence = estim_params_.corrn_observable_correspondence;
for i=1:ncn
k1 = corrn_observable_correspondence(i,1);
k2 = corrn_observable_correspondence(i,2);
Correlation_matrix_ME(k1,k2) = xparam1(i+offset);
Correlation_matrix_ME(k2,k1) = Correlation_matrix_ME(k1,k2);
end
end
%build covariance matrix from correlation matrix and variances already on
%diagonal
H = diag(sqrt(diag(H)))*Correlation_matrix_ME*diag(sqrt(diag(H)));
%if calibrated covariances, set them now to their stored value
if isfield(estim_params_,'calibrated_covariances_ME')
H(estim_params_.calibrated_covariances_ME.position)=estim_params_.calibrated_covariances_ME.cov_value;
end
% updating matrices in M
if nvx || ncx
M_.Sigma_e = Sigma_e;
M_.Correlation_matrix=Correlation_matrix;
end
if nvn || ncn
M_.H = H;
M_.Correlation_matrix_ME=Correlation_matrix_ME;
end
|
