1function estim_params=check_for_calibrated_covariances(xparam1,estim_params,M) 2% function check_for_calibrated_covariances(xparam1,estim_params,M) 3% find calibrated covariances to consider during estimation 4% Inputs 5% -xparam1 [vector] parameters to be estimated 6% -estim_params [structure] describing parameters to be estimated 7% -M [structure] describing the model 8% 9% Outputs 10% -estim_params [structure] describing parameters to be estimated 11% 12% Notes: M is local to this function and not updated when calling 13% set_all_parameters 14 15% Copyright (C) 2013-2017 Dynare Team 16% 17% This file is part of Dynare. 18% 19% Dynare is free software: you can redistribute it and/or modify 20% it under the terms of the GNU General Public License as published by 21% the Free Software Foundation, either version 3 of the License, or 22% (at your option) any later version. 23% 24% Dynare is distributed in the hope that it will be useful, 25% but WITHOUT ANY WARRANTY; without even the implied warranty of 26% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 27% GNU General Public License for more details. 28% 29% You should have received a copy of the GNU General Public License 30% along with Dynare. If not, see <http://www.gnu.org/licenses/>. 31Sigma_e_calibrated=M.Sigma_e; 32H_calibrated=M.H; 33%check covariance for structural errors 34covariance_pos=find(tril(Sigma_e_calibrated,-1)); %off-diagonal elements set by covariances before updating correlation matrix to reflect estimated covariances 35covariance_pos_ME=find(tril(H_calibrated,-1)); %off-diagonal elements set by covariances before updating correlation matrix to reflect estimated covariances 36 37%locally updated M 38M = set_all_parameters(xparam1,estim_params,M); 39 40correlation_pos=find(tril(M.Correlation_matrix,-1)); %off-diagonal elements set by correlations after accounting for estimation 41calibrated_covariance_pos=covariance_pos(~ismember(covariance_pos,correlation_pos)); 42if any(calibrated_covariance_pos) 43 [rows, columns]=ind2sub(size(M.Sigma_e),calibrated_covariance_pos); %find linear indices of lower triangular covariance entries 44 estim_params.calibrated_covariances.position=[calibrated_covariance_pos;sub2ind(size(M.Sigma_e),columns,rows)]; %get linear entries of upper triangular parts 45 estim_params.calibrated_covariances.cov_value=Sigma_e_calibrated(estim_params.calibrated_covariances.position); 46end 47 48correlation_pos_ME=find(tril(M.Correlation_matrix_ME,-1)); %off-diagonal elements set by correlations after accounting for estimation 49calibrated_covariance_pos_ME=covariance_pos_ME(~ismember(covariance_pos_ME,correlation_pos_ME)); 50if any(calibrated_covariance_pos_ME) 51 [rows, columns]=ind2sub(size(M.H),calibrated_covariance_pos_ME); %find linear indices of lower triangular covariance entries 52 estim_params.calibrated_covariances_ME.position=[calibrated_covariance_pos_ME;sub2ind(size(M.H),columns,rows)]; %get linear entries of upper triangular parts 53 estim_params.calibrated_covariances_ME.cov_value=H_calibrated(estim_params.calibrated_covariances_ME.position); 54end 55