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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297
|
function model_diagnostics(M,options,oo)
% function model_diagnostics(M,options,oo)
% computes various diagnostics on the model
% INPUTS
% M [matlab structure] Definition of the model.
% options [matlab structure] Global options.
% oo [matlab structure] Results
%
% OUTPUTS
% none
%
% ALGORITHM
% ...
%
% SPECIAL REQUIREMENTS
% none.
%
% Copyright (C) 1996-2020 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 <https://www.gnu.org/licenses/>.
global jacob
endo_nbr = M.endo_nbr;
endo_names = M.endo_names;
lead_lag_incidence = M.lead_lag_incidence;
maximum_endo_lag = M.maximum_endo_lag;
if options.ramsey_policy
%test whether specification matches
inst_nbr = size(options.instruments,1);
if inst_nbr~=0
orig_endo_aux_nbr = M.orig_endo_nbr + min(find([M.aux_vars.type] == 6)) - 1;
implied_inst_nbr = orig_endo_aux_nbr - M.orig_eq_nbr;
if inst_nbr>implied_inst_nbr
error('You have specified more instruments than there are omitted equations')
elseif inst_nbr<implied_inst_nbr
error('You have specified fewer instruments than there are omitted equations')
end
else
if options.steadystate_flag
error('You have specified a steady state file, but not provided an instrument. Either delete the steady state file or provide an instrument')
end
end
end
problem_dummy=0;
%naming conflict in steady state file
if options.steadystate_flag == 1
if strmatch('ys',M.endo_names,'exact')
disp(['MODEL_DIAGNOSTICS: using the name ys for an endogenous variable will typically conflict with the internal naming in user-defined steady state files.'])
problem_dummy=1;
end
if strmatch('ys',M.param_names,'exact')
disp(['MODEL_DIAGNOSTICS: using the name ys for a parameter will typically conflict with the internal naming in user-defined steady state files.'])
problem_dummy=1;
end
if strmatch('M_',M.endo_names,'exact')
disp(['MODEL_DIAGNOSTICS: using the name M_ for an endogenous variable will typically conflict with the internal naming in user-defined steady state files.'])
problem_dummy=1;
end
if strmatch('M_',M.param_names,'exact')
disp(['MODEL_DIAGNOSTICS: using the name M_ for a parameter will typically conflict with the internal naming in user-defined steady state files.'])
problem_dummy=1;
end
end
%
% missing variables at the current period
%
k = find(lead_lag_incidence(maximum_endo_lag+1,:)==0);
if ~isempty(k)
problem_dummy=1;
disp(['MODEL_DIAGNOSTICS: The following endogenous variables aren''t present at ' ...
'the current period in the model:'])
for i=1:length(k)
disp(endo_names{k(i)})
end
end
%
% check steady state
%
info = 0;
if M.exo_nbr == 0
oo.exo_steady_state = [] ;
end
info=test_for_deep_parameters_calibration(M);
if info
problem_dummy=1;
end
% check if ys is steady state
options.debug=true; %locally set debug option to true
if options.logged_steady_state %if steady state was previously logged, undo this
oo.dr.ys=exp(oo.dr.ys);
oo.steady_state=exp(oo.steady_state);
options.logged_steady_state=0;
end
[dr.ys,M.params,check1]=evaluate_steady_state(oo.steady_state,M,options,oo,options.steadystate.nocheck);
% testing for problem
if check1(1)
problem_dummy=1;
disp('MODEL_DIAGNOSTICS: The steady state cannot be computed')
if any(isnan(dr.ys))
disp(['MODEL_DIAGNOSTICS: Steady state contains NaNs'])
end
if any(isinf(dr.ys))
disp(['MODEL_DIAGNOSTICS: Steady state contains Inf'])
end
return
end
if ~isreal(dr.ys)
problem_dummy=1;
disp(['MODEL_DIAGNOSTICS: Steady state contains complex ' ...
'numbers'])
return
end
%
% singular Jacobian of static model
%
singularity_problem = 0;
if ~isfield(M,'block_structure_stat')
nb = 1;
else
nb = length(M.block_structure_stat.block);
end
exo = [oo.exo_steady_state; oo.exo_det_steady_state];
for b=1:nb
if options.bytecode
if nb == 1
[res, jacob] = bytecode(dr.ys, exo, M.params, dr.ys, 1, exo, ...
'evaluate', 'static');
else
[res, jacob] = bytecode(dr.ys, exo, M.params, dr.ys, 1, exo, ...
'evaluate', 'static',['block=' ...
int2str(b)]);
end
else
[res,jacob]=feval([M.fname '.static'],dr.ys,exo,M.params);
end
if any(any(isinf(jacob) | isnan(jacob)))
problem_dummy=1;
[infrow,infcol]=find(isinf(jacob) | isnan(jacob));
fprintf('\nMODEL_DIAGNOSTICS: The Jacobian of the static model contains Inf or NaN. The problem arises from: \n\n')
display_problematic_vars_Jacobian(infrow,infcol,M,dr.ys,'static','MODEL_DIAGNOSTICS: ')
end
if any(any(~isreal(jacob)))
problem_dummy=1;
[imagrow,imagcol]=find(abs(imag(jacob))>1e-15);
fprintf('\nMODEL_DIAGNOSTICS: The Jacobian of the static model contains imaginary parts. The problem arises from: \n\n')
display_problematic_vars_Jacobian(imagrow,imagcol,M,dr.ys,'static','MODEL_DIAGNOSTICS: ')
end
try
rank_jacob = rank(jacob); %can sometimes fail
catch
rank_jacob=size(jacob,1);
end
if rank_jacob < size(jacob,1)
problem_dummy=1;
singularity_problem = 1;
disp(['MODEL_DIAGNOSTICS: The Jacobian of the static model is ' ...
'singular'])
disp(['MODEL_DIAGNOSTICS: there is ' num2str(endo_nbr-rank_jacob) ...
' colinear relationships between the variables and the equations'])
ncol = null(jacob);
n_rel = size(ncol,2);
for i = 1:n_rel
if n_rel > 1
disp(['Relation ' int2str(i)])
end
disp('Colinear variables:')
for j=1:10
k = find(abs(ncol(:,i)) > 10^-j);
if max(abs(jacob(:,k)*ncol(k,i))) < 1e-6
break
end
end
fprintf('%s\n',endo_names{k})
end
neq = null(jacob');
n_rel = size(neq,2);
for i = 1:n_rel
if n_rel > 1
disp(['Relation ' int2str(i)])
end
disp('Colinear equations')
for j=1:10
k = find(abs(neq(:,i)) > 10^-j);
if max(abs(jacob(k,:)'*neq(k,i))) < 1e-6
break
end
end
disp(k')
end
end
end
if singularity_problem
try
options_check=options;
options_check.noprint=1;
[eigenvalues_] = check(M, options_check, oo);
if any(abs(abs(eigenvalues_)-1)<1e-6)
fprintf('MODEL_DIAGNOSTICS: The singularity seems to be (partly) caused by the presence of a unit root\n')
fprintf('MODEL_DIAGNOSTICS: as the absolute value of one eigenvalue is in the range of +-1e-6 to 1.\n')
fprintf('MODEL_DIAGNOSTICS: If the model is actually supposed to feature unit root behavior, such a warning is expected,\n')
fprintf('MODEL_DIAGNOSTICS: but you should nevertheless check whether there is an additional singularity problem.\n')
end
catch
end
fprintf('MODEL_DIAGNOSTICS: The presence of a singularity problem typically indicates that there is one\n')
fprintf('MODEL_DIAGNOSTICS: redundant equation entered in the model block, while another non-redundant equation\n')
fprintf('MODEL_DIAGNOSTICS: is missing. The problem often derives from Walras Law.\n')
end
%%check dynamic Jacobian
klen = M.maximum_lag + M.maximum_lead + 1;
exo_simul = [repmat(oo.exo_steady_state',klen,1) repmat(oo.exo_det_steady_state',klen,1)];
iyv = M.lead_lag_incidence';
iyv = iyv(:);
iyr0 = find(iyv) ;
it_ = M.maximum_lag + 1;
z = repmat(dr.ys,1,klen);
if ~options.block
if options.order == 1
if (options.bytecode)
[~, loc_dr] = bytecode('dynamic','evaluate', z,exo_simul, ...
M.params, dr.ys, 1);
jacobia_ = [loc_dr.g1 loc_dr.g1_x loc_dr.g1_xd];
else
[~,jacobia_] = feval([M.fname '.dynamic'],z(iyr0),exo_simul, ...
M.params, dr.ys, it_);
end
elseif options.order >= 2
if (options.bytecode)
[~, loc_dr] = bytecode('dynamic','evaluate', z,exo_simul, ...
M.params, dr.ys, 1);
jacobia_ = [loc_dr.g1 loc_dr.g1_x];
else
[~,jacobia_,hessian1] = feval([M.fname '.dynamic'],z(iyr0),...
exo_simul, ...
M.params, dr.ys, it_);
end
end
if any(any(isinf(jacobia_) | isnan(jacobia_)))
problem_dummy=1;
[infrow,infcol]=find(isinf(jacobia_) | isnan(jacobia_));
fprintf('\nMODEL_DIAGNOSTICS: The Jacobian of the dynamic model contains Inf or NaN. The problem arises from: \n\n')
display_problematic_vars_Jacobian(infrow,infcol,M,dr.ys,'dynamic','MODEL_DIAGNOSTICS: ')
end
if any(any(~isreal(jacobia_)))
[imagrow,imagcol]=find(abs(imag(jacobia_))>1e-15);
if ~isempty(imagrow)
problem_dummy=1;
fprintf('\nMODEL_DIAGNOSTICS: The Jacobian of the dynamic model contains imaginary parts. The problem arises from: \n\n')
display_problematic_vars_Jacobian(imagrow,imagcol,M,dr.ys,'dynamic','MODEL_DIAGNOSTICS: ')
end
end
if exist('hessian1','var')
if any(any(isinf(hessian1) | isnan(hessian1)))
problem_dummy=1;
fprintf('\nMODEL_DIAGNOSTICS: The Hessian of the dynamic model contains Inf or NaN.\n')
end
end
else
fprintf('\nMODEL_DIAGNOSTICS: This command currently does not support the block option for checking.\n')
fprintf('\nMODEL_DIAGNOSTICS: the dynamic model. You may want to disable it for doing model_diagnostics. Skipping this part.\n')
end
if problem_dummy==0
fprintf('MODEL_DIAGNOSTICS: No obvious problems with this mod-file were detected.\n')
end
|