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function [ide_moments, ide_spectrum, ide_minimal, ide_hess, ide_reducedform, ide_dynamic, derivatives_info, info, options_ident] = identification_analysis(params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, init)
% [ide_moments, ide_spectrum, ide_minimal, ide_hess, ide_reducedform, ide_dynamic, derivatives_info, info, options_ident] = identification_analysis(params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, init)
% -------------------------------------------------------------------------
% This function wraps all identification analysis, i.e. it
% (1) wraps functions for the theoretical identification analysis based on moments (Iskrev, 2010),
% spectrum (Qu and Tkachenko, 2012), minimal system (Komunjer and Ng, 2011), information matrix,
% reduced-form solution and dynamic model derivatives (Ratto and Iskrev, 2011).
% (2) computes the identification strength based on moments (Ratto and Iskrev, 2011)
% (3) checks which parameters are involved.
% If options_ident.order>1, then the identification analysis is based on
% Mutschler (2015), i.e. the pruned state space system and the corresponding
% moments, spectrum, reduced-form solution and dynamic model derivatives
% =========================================================================
% INPUTS
% * params [mc_sample_nbr by totparam_nbr]
% parameter values for identification checks
% * indpmodel [modparam_nbr by 1]
% index of model parameters for which identification is checked
% * indpstderr [stderrparam_nbr by 1]
% index of stderr parameters for which identification is checked
% * indpcorr [corrparam_nbr by 2]
% matrix of corr parmeters for which identification is checked
% * options_ident [structure]
% identification options
% * dataset_info [structure]
% various information about the dataset (descriptive statistics and missing observations) for Kalman Filter
% * prior_exist [integer]
% 1: prior exists. Identification is checked for stderr, corr and model parameters as declared in estimated_params block
% 0: prior does not exist. Identification is checked for all stderr and model parameters, but no corr parameters
% * init [integer]
% flag for initialization of persistent vars. This is needed if one may want to make more calls to identification in the same mod file
% -------------------------------------------------------------------------
% OUTPUTS
% * ide_moments [structure]
% identification results using theoretical moments (Iskrev, 2010; Mutschler, 2015)
% * ide_spectrum [structure]
% identification results using spectrum (Qu and Tkachenko, 2012; Mutschler, 2015)
% * ide_minimal [structure]
% identification results using theoretical mean and minimal system (Komunjer and Ng, 2011)
% * ide_hess [structure]
% identification results using asymptotic Hessian (Ratto and Iskrev, 2011)
% * ide_reducedform [structure]
% identification results using steady state and reduced form solution (Ratto and Iskrev, 2011)
% * ide_dynamic [structure]
% identification results using steady state and dynamic model derivatives (Ratto and Iskrev, 2011)
% * derivatives_info [structure]
% info about first-order perturbation derivatives, used in dsge_likelihood.m
% * info [integer]
% output from dynare_resolve
% * options_ident [structure]
% updated identification options
% -------------------------------------------------------------------------
% This function is called by
% * dynare_identification.m
% -------------------------------------------------------------------------
% This function calls
% * [M_.fname,'.dynamic']
% * dseries
% * dsge_likelihood.m
% * dyn_vech
% * ident_bruteforce
% * identification_checks
% * identification_checks_via_subsets
% * isoctave
% * get_identification_jacobians (previously getJJ)
% * matlab_ver_less_than
% * prior_bounds
% * resol
% * set_all_parameters
% * simulated_moment_uncertainty
% * stoch_simul
% * vec
% =========================================================================
% Copyright (C) 2008-2020 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 oo_ M_ options_ bayestopt_ estim_params_
persistent ind_dMOMENTS ind_dREDUCEDFORM ind_dDYNAMIC
% persistent indices are necessary, because in a MC loop the numerical threshold
% used may provide vectors of different length, leading to crashes in MC loops
%initialize output structures
ide_hess = struct(); %Identification structure based on asymptotic/simulated information matrix
ide_reducedform = struct(); %Identification structure based on steady state and reduced form solution
ide_dynamic = struct(); %Identification structure based on steady state and dynamic model derivatives
ide_moments = struct(); %Identification structure based on first two moments (Iskrev, 2010; Mutschler, 2015)
ide_spectrum = struct(); %Identification structure based on Gram matrix of Jacobian of spectral density plus Gram matrix of Jacobian of steady state (Qu and Tkachenko, 2012; Mutschler, 2015)
ide_minimal = struct(); %Identification structure based on mean and minimal system (Komunjer and Ng, 2011)
derivatives_info = struct(); %storage for first-order perturbation Jacobians used in dsge_likelihood.m
totparam_nbr = length(params); %number of all parameters to be checked
modparam_nbr = length(indpmodel); %number of model parameters to be checked
stderrparam_nbr = length(indpstderr); %number of stderr parameters to be checked
corrparam_nbr = size(indpcorr,1); %number of stderr parameters to be checked
indvobs = bayestopt_.mf2; %index of observable variables
if ~isempty(estim_params_)
%estimated_params block is available, so we are able to use set_all_parameters.m
M_ = set_all_parameters(params,estim_params_,M_);
end
%get options (see dynare_identification.m for description of options)
order = options_ident.order;
nlags = options_ident.ar;
advanced = options_ident.advanced;
replic = options_ident.replic;
periods = options_ident.periods;
max_dim_cova_group = options_ident.max_dim_cova_group;
normalize_jacobians = options_ident.normalize_jacobians;
checks_via_subsets = options_ident.checks_via_subsets;
tol_deriv = options_ident.tol_deriv;
tol_rank = options_ident.tol_rank;
tol_sv = options_ident.tol_sv;
no_identification_strength = options_ident.no_identification_strength;
no_identification_reducedform = options_ident.no_identification_reducedform;
no_identification_moments = options_ident.no_identification_moments;
no_identification_minimal = options_ident.no_identification_minimal;
no_identification_spectrum = options_ident.no_identification_spectrum;
%Compute linear approximation and fill dr structure
[oo_.dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
if info(1) == 0 %no errors in solution
% Compute parameter Jacobians for identification analysis
[MEAN, dMEAN, REDUCEDFORM, dREDUCEDFORM, DYNAMIC, dDYNAMIC, MOMENTS, dMOMENTS, dSPECTRUM, dSPECTRUM_NO_MEAN, dMINIMAL, derivatives_info] = get_identification_jacobians(estim_params_, M_, oo_, options_, options_ident, indpmodel, indpstderr, indpcorr, indvobs);
if isempty(dMINIMAL)
% Komunjer and Ng is not computed if (1) minimality conditions are not fullfilled or (2) there are more shocks and measurement errors than observables, so we need to reset options
no_identification_minimal = 1;
options_ident.no_identification_minimal = 1;
end
if init
%check stationarity
if ~no_identification_moments
ind_dMOMENTS = (find(max(abs(dMOMENTS'),[],1) > tol_deriv)); %index for non-zero rows
if isempty(ind_dMOMENTS) && any(any(isnan(dMOMENTS)))
error('There are NaN in the dMOMENTS matrix. Please check whether your model has units roots and you forgot to set diffuse_filter=1.' )
end
if any(any(isnan(MOMENTS)))
error('There are NaN''s in the theoretical moments: make sure that for non-stationary models stationary transformations of non-stationary observables are used for checking identification. [TIP: use first differences].')
end
end
if ~no_identification_spectrum
ind_dSPECTRUM = (find(max(abs(dSPECTRUM'),[],1) > tol_deriv)); %index for non-zero rows
if isempty(ind_dSPECTRUM) && any(any(isnan(dSPECTRUM)))
warning_SPECTRUM = 'WARNING: There are NaN in the dSPECTRUM matrix. Please check whether your model has units roots and your forgot to set diffuse_filter=1.\n';
warning_SPECTRUM = [warning_SPECTRUM ' Skip identification analysis based on spectrum.\n'];
fprintf(warning_SPECTRUM);
%reset options to neither display nor plot dSPECTRUM anymore
no_identification_spectrum = 1;
options_ident.no_identification_spectrum = 1;
end
end
if ~no_identification_minimal
ind_dMINIMAL = (find(max(abs(dMINIMAL'),[],1) > tol_deriv)); %index for non-zero rows
if isempty(ind_dMINIMAL) && any(any(isnan(dMINIMAL)))
warning_MINIMAL = 'WARNING: There are NaN in the dMINIMAL matrix. Please check whether your model has units roots and you forgot to set diffuse_filter=1.\n';
warning_MINIMAL = [warning_MINIMAL ' Skip identification analysis based on minimal system.\n'];
fprintf(warning_MINIMAL);
%reset options to neither display nor plot dMINIMAL anymore
no_identification_minimal = 1;
options_ident.no_identification_minimal = 1;
end
end
if no_identification_moments && no_identification_minimal && no_identification_spectrum
%display error if all three criteria fail
error('identification_analyis: Stationarity condition(s) failed and/or diffuse_filter option missing');
end
% Check order conditions
if ~no_identification_moments
%check order condition of Iskrev (2010)
while length(ind_dMOMENTS) < totparam_nbr && nlags < 10
%Try to add lags to autocovariogram if order condition fails
disp('The number of moments with non-zero derivative is smaller than the number of parameters')
disp(['Try increasing ar = ', int2str(nlags+1)])
nlags = nlags + 1;
options_ident.no_identification_minimal = 1; %do not recompute dMINIMAL
options_ident.no_identification_spectrum = 1; %do not recompute dSPECTRUM
options_ident.ar = nlags; %store new lag number
options_.ar = nlags; %store new lag number
[~, ~, ~, ~, ~, ~, MOMENTS, dMOMENTS, ~, ~, ~, ~] = get_identification_jacobians(estim_params_, M_, oo_, options_, options_ident, indpmodel, indpstderr, indpcorr, indvobs);
ind_dMOMENTS = (find(max(abs(dMOMENTS'),[],1) > tol_deriv)); %new index with non-zero rows
end
options_ident.no_identification_minimal = no_identification_minimal; % reset option to original setting
options_ident.no_identification_spectrum = no_identification_spectrum; % reset option to original setting
if length(ind_dMOMENTS) < totparam_nbr
warning_MOMENTS = 'WARNING: Order condition for dMOMENTS failed: There are not enough moments and too many parameters.\n';
warning_MOMENTS = [warning_MOMENTS ' The number of moments with non-zero derivative is smaller than the number of parameters up to 10 lags.\n'];
warning_MOMENTS = [warning_MOMENTS ' Either reduce the list of parameters, or further increase ar, or increase number of observables.\n'];
warning_MOMENTS = [warning_MOMENTS ' Skip identification analysis based on moments.\n'];
warning_MOMENTS = [warning_MOMENTS ' Skip identification strenght analysis.\n'];
fprintf(warning_MOMENTS);
%reset options to neither display nor plot dMOMENTS anymore
no_identification_moments = 1;
options_ident.no_identification_moments = 1;
no_identification_strength = 1;
options_ident.no_identification_strength = 1;
end
end
if ~no_identification_minimal
if length(ind_dMINIMAL) < size(dMINIMAL,2)
warning_MINIMAL = 'WARNING: Order condition for dMINIMAL failed: There are too many parameters or too few observable variables.\n';
warning_MINIMAL = [warning_MINIMAL ' The number of minimal system elements with non-zero derivative is smaller than the number of parameters.\n'];
warning_MINIMAL = [warning_MINIMAL ' Either reduce the list of parameters, or increase number of observables.\n'];
warning_MINIMAL = [warning_MINIMAL ' Skip identification analysis based on minimal state space system.\n'];
fprintf(warning_MINIMAL);
%resest options to neither display nor plot dMINIMAL anymore
no_identification_minimal = 1;
options_ident.no_identification_minimal = 1;
end
end
%Note that there is no order condition for dSPECTRUM, as the matrix is always of dimension totparam_nbr by totparam_nbr
if no_identification_moments && no_identification_minimal && no_identification_spectrum
%error if all three criteria fail
error('identification_analyis: Order condition(s) failed');
end
if ~no_identification_reducedform
ind_dREDUCEDFORM = (find(max(abs(dREDUCEDFORM'),[],1) > tol_deriv)); %index with non-zero rows
end
ind_dDYNAMIC = (find(max(abs(dDYNAMIC'),[],1) > tol_deriv)); %index with non-zero rows
end
DYNAMIC = DYNAMIC(ind_dDYNAMIC); %focus only on non-zero entries
si_dDYNAMIC = (dDYNAMIC(ind_dDYNAMIC,:)); %focus only on non-zero rows
if ~no_identification_reducedform
REDUCEDFORM = REDUCEDFORM(ind_dREDUCEDFORM); %focus only on non-zero entries
si_dREDUCEDFORM = (dREDUCEDFORM(ind_dREDUCEDFORM,:)); %focus only on non-zero rows
end
if ~no_identification_moments
MOMENTS = MOMENTS(ind_dMOMENTS); %focus only on non-zero entries
si_dMOMENTS = (dMOMENTS(ind_dMOMENTS,:)); %focus only on non-zero derivatives
%% MOMENTS IDENTIFICATION STRENGTH ANALYSIS
if ~no_identification_strength && init %only for initialization of persistent vars
ide_strength_dMOMENTS = NaN(1,totparam_nbr); %initialize
ide_strength_dMOMENTS_prior = NaN(1,totparam_nbr); %initialize
ide_uncert_unnormaliz = NaN(1,totparam_nbr); %initialize
if prior_exist
offset_prior = 0;
if ~isempty(estim_params_.var_exo) %stderr parameters come first
normaliz_prior_std = bayestopt_.p2(1:estim_params_.nvx)'; % normalize with prior standard deviation
offset_prior = offset_prior+estim_params_.nvx+estim_params_.nvn;
else
normaliz_prior_std=[]; %initialize
end
if ~isempty(estim_params_.corrx) %corr parameters come second
normaliz_prior_std = [normaliz_prior_std bayestopt_.p2(offset_prior+1:offset_prior+estim_params_.ncx)']; % normalize with prior standard deviation
offset_prior = offset_prior+estim_params_.ncx+estim_params_.ncn;
end
if ~isempty(estim_params_.param_vals) %model parameters come third
normaliz_prior_std = [normaliz_prior_std bayestopt_.p2(offset_prior+1:offset_prior+estim_params_.np)']; % normalize with prior standard deviation
end
else
normaliz_prior_std = NaN(1,totparam_nbr); %no prior information available, do not normalize
end
try
%try to compute asymptotic Hessian for identification strength analysis based on moments
if options_.order > 1
error('IDENTIFICATION STRENGTH: Analytic computation of Hessian is not available for ''order>1''. Identification strength is based on simulated moment uncertainty');
end
% reset some options for faster computations
options_.irf = 0;
options_.noprint = 1;
options_.SpectralDensity.trigger = 0;
options_.periods = periods+100;
if options_.kalman_algo > 2
options_.kalman_algo = 1;
end
analytic_derivation = options_.analytic_derivation;
options_.analytic_derivation = -2; %this sets asy_Hess=1 in dsge_likelihood.m
[info, oo_, options_, M_] = stoch_simul(M_, options_, oo_, options_.varobs);
dataset_ = dseries(oo_.endo_simul(options_.varobs_id,100+1:end)',dates('1Q1'), options_.varobs); %get information on moments
derivatives_info.no_DLIK = 1;
bounds = prior_bounds(bayestopt_, options_.prior_trunc); %reset bounds as lb and ub must only be operational during mode-finding
%note that for order>1 we do not provide any information on DT,DYss,DOM in derivatives_info, such that dsge_likelihood creates an error. Therefore the computation will be based on simulated_moment_uncertainty for order>1.
[fval, info, cost_flag, DLIK, AHess, ys, trend_coeff, M_, options_, bayestopt_, oo_] = dsge_likelihood(params', dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds, oo_, derivatives_info); %non-used output variables need to be set for octave for some reason
%note that for the order of parameters in AHess we have: stderr parameters come first, corr parameters second, model parameters third. the order within these blocks corresponds to the order specified in the estimated_params block
options_.analytic_derivation = analytic_derivation; %reset option
AHess = -AHess; %take negative of hessian
if min(eig(AHess))<-tol_rank
error('identification_analysis: Analytic Hessian is not positive semi-definite!')
end
ide_hess.AHess = AHess; %store asymptotic Hessian
%normalize asymptotic hessian
deltaM = sqrt(diag(AHess));
iflag = any((deltaM.*deltaM)==0); %check if all second-order derivatives wrt to a single parameter are nonzero
tildaM = AHess./((deltaM)*(deltaM')); %this normalization is for numerical purposes
if iflag || rank(AHess)>rank(tildaM)
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification_checks(AHess, 0, tol_rank, tol_sv, totparam_nbr);
else %use normalized version if possible
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification_checks(tildaM, 0, tol_rank, tol_sv, totparam_nbr);
end
indok = find(max(ide_hess.indno,[],1)==0);
ide_uncert_unnormaliz(indok) = sqrt(diag(inv(AHess(indok,indok))))';
ind1 = find(ide_hess.ind0);
cmm = si_dMOMENTS(:,ind1)*((AHess(ind1,ind1))\si_dMOMENTS(:,ind1)'); %covariance matrix of moments
temp1 = ((AHess(ind1,ind1))\si_dREDUCEDFORM(:,ind1)');
diag_chh = sum(si_dREDUCEDFORM(:,ind1)'.*temp1)';
ind1 = ind1(ind1>stderrparam_nbr+corrparam_nbr);
cdynamic = si_dDYNAMIC(:,ind1-stderrparam_nbr-corrparam_nbr)*((AHess(ind1,ind1))\si_dDYNAMIC(:,ind1-stderrparam_nbr-corrparam_nbr)');
flag_score = 1; %this is used for the title in plot_identification.m
catch
%Asymptotic Hessian via simulation
if options_.order > 1
% reset some options for faster computations
options_.irf = 0;
options_.noprint = 1;
options_.SpectralDensity.trigger = 0;
options_.periods = periods+100;
end
replic = max([replic, length(ind_dMOMENTS)*3]);
cmm = simulated_moment_uncertainty(ind_dMOMENTS, periods, replic,options_,M_,oo_); %covariance matrix of moments
sd = sqrt(diag(cmm));
cc = cmm./(sd*sd');
if isoctave || matlab_ver_less_than('8.3')
[VV,DD] = eig(cc);
%fix for older Matlab versions that do not support computing left eigenvalues, see http://mathworks.com/help/releases/R2012b/matlab/ref/eig.html
[WW,~] = eig(cc.');
WW = conj(WW);
else
[VV,DD,WW] = eig(cc);
end
id = find(diag(DD)>tol_deriv);
siTMP = si_dMOMENTS./repmat(sd,[1 totparam_nbr]);
MIM = (siTMP'*VV(:,id))*(DD(id,id)\(WW(:,id)'*siTMP));
clear siTMP;
ide_hess.AHess = MIM; %store asymptotic hessian
%normalize asymptotic hessian
deltaM = sqrt(diag(MIM));
iflag = any((deltaM.*deltaM)==0);
tildaM = MIM./((deltaM)*(deltaM'));
if iflag || rank(MIM)>rank(tildaM)
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification_checks(MIM, 0, tol_rank, tol_sv, totparam_nbr);
else %use normalized version if possible
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification_checks(tildaM, 0, tol_rank, tol_sv, totparam_nbr);
end
indok = find(max(ide_hess.indno,[],1)==0);
ind1 = find(ide_hess.ind0);
temp1 = ((MIM(ind1,ind1))\si_dREDUCEDFORM(:,ind1)');
diag_chh = sum(si_dREDUCEDFORM(:,ind1)'.*temp1)';
ind1 = ind1(ind1>stderrparam_nbr+corrparam_nbr);
cdynamic = si_dDYNAMIC(:,ind1-stderrparam_nbr-corrparam_nbr)*((MIM(ind1,ind1))\si_dDYNAMIC(:,ind1-stderrparam_nbr-corrparam_nbr)');
if ~isempty(indok)
ide_uncert_unnormaliz(indok) = (sqrt(diag(inv(tildaM(indok,indok))))./deltaM(indok))'; %sqrt(diag(inv(MIM(indok,indok))))';
end
flag_score = 0; %this is used for the title in plot_identification.m
end % end of computing sample information matrix for identification strength measure
ide_strength_dMOMENTS(indok) = (1./(ide_uncert_unnormaliz(indok)'./abs(params(indok)'))); %this is s_i in Ratto and Iskrev (2011, p.13)
ide_strength_dMOMENTS_prior(indok) = (1./(ide_uncert_unnormaliz(indok)'./normaliz_prior_std(indok)')); %this is s_i^{prior} in Ratto and Iskrev (2011, p.14)
sensitivity_zero_pos = find(isinf(deltaM));
deltaM_prior = deltaM.*abs(normaliz_prior_std'); %this is \Delta_i^{prior} in Ratto and Iskrev (2011, p.14)
deltaM = deltaM.*abs(params'); %this is \Delta_i in Ratto and Iskrev (2011, p.14)
quant = si_dMOMENTS./repmat(sqrt(diag(cmm)),1,totparam_nbr);
if size(quant,1)==1
si_dMOMENTSnorm = abs(quant).*normaliz_prior_std;
else
si_dMOMENTSnorm = vnorm(quant).*normaliz_prior_std;
end
iy = find(diag_chh);
ind_dREDUCEDFORM = ind_dREDUCEDFORM(iy);
si_dREDUCEDFORM = si_dREDUCEDFORM(iy,:);
if ~isempty(iy)
quant = si_dREDUCEDFORM./repmat(sqrt(diag_chh(iy)),1,totparam_nbr);
if size(quant,1)==1
si_dREDUCEDFORMnorm = abs(quant).*normaliz_prior_std;
else
si_dREDUCEDFORMnorm = vnorm(quant).*normaliz_prior_std;
end
else
si_dREDUCEDFORMnorm = [];
end
diag_cdynamic = diag(cdynamic);
iy = find(diag_cdynamic);
ind_dDYNAMIC = ind_dDYNAMIC(iy);
si_dDYNAMIC = si_dDYNAMIC(iy,:);
if ~isempty(iy)
quant = si_dDYNAMIC./repmat(sqrt(diag_cdynamic(iy)),1,modparam_nbr);
if size(quant,1)==1
si_dDYNAMICnorm = abs(quant).*normaliz_prior_std(stderrparam_nbr+corrparam_nbr+1:end);
else
si_dDYNAMICnorm = vnorm(quant).*normaliz_prior_std(stderrparam_nbr+corrparam_nbr+1:end);
end
else
si_dDYNAMICnorm=[];
end
%store results of identification strength
ide_hess.ide_strength_dMOMENTS = ide_strength_dMOMENTS;
ide_hess.ide_strength_dMOMENTS_prior = ide_strength_dMOMENTS_prior;
ide_hess.deltaM = deltaM;
ide_hess.deltaM_prior = deltaM_prior;
ide_hess.sensitivity_zero_pos = sensitivity_zero_pos;
ide_hess.identified_parameter_indices = indok;
ide_hess.flag_score = flag_score;
ide_dynamic.si_dDYNAMICnorm = si_dDYNAMICnorm;
ide_moments.si_dMOMENTSnorm = si_dMOMENTSnorm;
ide_reducedform.si_dREDUCEDFORMnorm = si_dREDUCEDFORMnorm;
end %end of identification strength analysis
end
%% Normalization of Jacobians
% For Dynamic, ReducedForm, Moment and Minimal Jacobian: rescale each row by its largest element in absolute value
% For Spectrum: transform into correlation-type matrices (as above with AHess)
if normalize_jacobians
norm_dDYNAMIC = max(abs(si_dDYNAMIC),[],2);
norm_dDYNAMIC = norm_dDYNAMIC(:,ones(size(dDYNAMIC,2),1));
else
norm_dDYNAMIC = 1;
end
% store into structure (not everything is used later on)
ide_dynamic.ind_dDYNAMIC = ind_dDYNAMIC;
ide_dynamic.norm_dDYNAMIC = norm_dDYNAMIC;
ide_dynamic.si_dDYNAMIC = si_dDYNAMIC;
ide_dynamic.dDYNAMIC = dDYNAMIC;
ide_dynamic.DYNAMIC = DYNAMIC;
if ~no_identification_reducedform
if normalize_jacobians
norm_dREDUCEDFORM = max(abs(si_dREDUCEDFORM),[],2);
norm_dREDUCEDFORM = norm_dREDUCEDFORM(:,ones(totparam_nbr,1));
else
norm_dREDUCEDFORM = 1;
end
% store into structure (not everything is used later on)
ide_reducedform.ind_dREDUCEDFORM = ind_dREDUCEDFORM;
ide_reducedform.norm_dREDUCEDFORM = norm_dREDUCEDFORM;
ide_reducedform.si_dREDUCEDFORM = si_dREDUCEDFORM;
ide_reducedform.dREDUCEDFORM = dREDUCEDFORM;
ide_reducedform.REDUCEDFORM = REDUCEDFORM;
end
if ~no_identification_moments
if normalize_jacobians
norm_dMOMENTS = max(abs(si_dMOMENTS),[],2);
norm_dMOMENTS = norm_dMOMENTS(:,ones(totparam_nbr,1));
else
norm_dMOMENTS = 1;
end
% store into structure (not everything is used later on)
ide_moments.ind_dMOMENTS = ind_dMOMENTS;
ide_moments.norm_dMOMENTS = norm_dMOMENTS;
ide_moments.si_dMOMENTS = si_dMOMENTS;
ide_moments.dMOMENTS = dMOMENTS;
ide_moments.MOMENTS = MOMENTS;
if advanced
% here we do not normalize (i.e. we set norm_dMOMENTS=1) as the OLS in ident_bruteforce is very sensitive to norm_dMOMENTS
[ide_moments.pars, ide_moments.cosndMOMENTS] = ident_bruteforce(dMOMENTS(ind_dMOMENTS,:), max_dim_cova_group, options_.TeX, options_ident.name_tex, options_ident.tittxt, options_ident.tol_deriv);
end
%here we focus on the unnormalized S and V, which is then used in plot_identification.m and for prior_mc > 1
[~, S, V] = svd(dMOMENTS(ind_dMOMENTS,:),0);
S = diag(S);
S = [S;zeros(size(dMOMENTS,2)-length(ind_dMOMENTS),1)];
if totparam_nbr > 8
ide_moments.S = S([1:4, end-3:end]);
ide_moments.V = V(:,[1:4, end-3:end]);
else
ide_moments.S = S;
ide_moments.V = V;
end
end
if ~no_identification_minimal
if normalize_jacobians
ind_dMINIMAL = (find(max(abs(dMINIMAL'),[],1) > tol_deriv)); %index for non-zero rows
norm_dMINIMAL = max(abs(dMINIMAL(ind_dMINIMAL,:)),[],2);
norm_dMINIMAL = norm_dMINIMAL(:,ones(size(dMINIMAL,2),1));
else
norm_dMINIMAL = 1;
end
% store into structure (not everything is used later on)
ide_minimal.ind_dMINIMAL = ind_dMINIMAL;
ide_minimal.norm_dMINIMAL = norm_dMINIMAL;
ide_minimal.dMINIMAL = dMINIMAL;
end
if ~no_identification_spectrum
if normalize_jacobians
ind_dSPECTRUM = (find(max(abs(dSPECTRUM'),[],1) > tol_deriv)); %index for non-zero rows
tilda_dSPECTRUM = zeros(size(dSPECTRUM));
delta_dSPECTRUM = sqrt(diag(dSPECTRUM(ind_dSPECTRUM,ind_dSPECTRUM)));
tilda_dSPECTRUM(ind_dSPECTRUM,ind_dSPECTRUM) = dSPECTRUM(ind_dSPECTRUM,ind_dSPECTRUM)./((delta_dSPECTRUM)*(delta_dSPECTRUM'));
norm_dSPECTRUM = max(abs(dSPECTRUM(ind_dSPECTRUM,:)),[],2);
norm_dSPECTRUM = norm_dSPECTRUM(:,ones(size(dSPECTRUM,2),1));
else
tilda_dSPECTRUM = dSPECTRUM;
norm_dSPECTRUM = 1;
end
% store into structure (not everything is used later on)
ide_spectrum.ind_dSPECTRUM = ind_dSPECTRUM;
ide_spectrum.norm_dSPECTRUM = norm_dSPECTRUM;
ide_spectrum.tilda_dSPECTRUM = tilda_dSPECTRUM;
ide_spectrum.dSPECTRUM = dSPECTRUM;
ide_spectrum.dSPECTRUM_NO_MEAN = dSPECTRUM_NO_MEAN;
end
%% Perform identification checks, i.e. find out which parameters are involved
if checks_via_subsets
% identification_checks_via_subsets is only for debugging
[ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal] = ...
identification_checks_via_subsets(ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, totparam_nbr, modparam_nbr, options_ident);
else
[ide_dynamic.cond, ide_dynamic.rank, ide_dynamic.ind0, ide_dynamic.indno, ide_dynamic.ino, ide_dynamic.Mco, ide_dynamic.Pco, ide_dynamic.jweak, ide_dynamic.jweak_pair] = ...
identification_checks(dDYNAMIC(ind_dDYNAMIC,:)./norm_dDYNAMIC, 1, tol_rank, tol_sv, modparam_nbr);
if ~no_identification_reducedform
[ide_reducedform.cond, ide_reducedform.rank, ide_reducedform.ind0, ide_reducedform.indno, ide_reducedform.ino, ide_reducedform.Mco, ide_reducedform.Pco, ide_reducedform.jweak, ide_reducedform.jweak_pair] = ...
identification_checks(dREDUCEDFORM(ind_dREDUCEDFORM,:)./norm_dREDUCEDFORM, 1, tol_rank, tol_sv, totparam_nbr);
end
if ~no_identification_moments
[ide_moments.cond, ide_moments.rank, ide_moments.ind0, ide_moments.indno, ide_moments.ino, ide_moments.Mco, ide_moments.Pco, ide_moments.jweak, ide_moments.jweak_pair] = ...
identification_checks(dMOMENTS(ind_dMOMENTS,:)./norm_dMOMENTS, 1, tol_rank, tol_sv, totparam_nbr);
end
if ~no_identification_minimal
[ide_minimal.cond, ide_minimal.rank, ide_minimal.ind0, ide_minimal.indno, ide_minimal.ino, ide_minimal.Mco, ide_minimal.Pco, ide_minimal.jweak, ide_minimal.jweak_pair] = ...
identification_checks(dMINIMAL(ind_dMINIMAL,:)./norm_dMINIMAL, 2, tol_rank, tol_sv, totparam_nbr);
end
if ~no_identification_spectrum
[ide_spectrum.cond, ide_spectrum.rank, ide_spectrum.ind0, ide_spectrum.indno, ide_spectrum.ino, ide_spectrum.Mco, ide_spectrum.Pco, ide_spectrum.jweak, ide_spectrum.jweak_pair] = ...
identification_checks(tilda_dSPECTRUM, 3, tol_rank, tol_sv, totparam_nbr);
end
end
end
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