osr1

 Copyright (C) 2005-2011 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/>.

0001 function osr1(i_params,i_var,weights)
0002 
0003 % Copyright (C) 2005-2011 Dynare Team
0004 %
0005 % This file is part of Dynare.
0006 %
0007 % Dynare is free software: you can redistribute it and/or modify
0008 % it under the terms of the GNU General Public License as published by
0009 % the Free Software Foundation, either version 3 of the License, or
0010 % (at your option) any later version.
0011 %
0012 % Dynare is distributed in the hope that it will be useful,
0013 % but WITHOUT ANY WARRANTY; without even the implied warranty of
0014 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
0015 % GNU General Public License for more details.
0016 %
0017 % You should have received a copy of the GNU General Public License
0018 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
0019 
0020 global M_ oo_ options_ it_
0021 
0022 klen = M_.maximum_lag + M_.maximum_lead + 1;
0023 iyv = M_.lead_lag_incidence';
0024 iyv = iyv(:);
0025 iyr0 = find(iyv) ;
0026 it_ = M_.maximum_lag + 1 ;
0027 
0028 
0029 if M_.exo_nbr == 0
0030     oo_.exo_steady_state = [] ;
0031 end
0032 
0033 if ~ M_.lead_lag_incidence(M_.maximum_lag+1,:) > 0
0034     error ('OSR: Error in model specification: some variables don''t appear as current') ;
0035 end
0036 
0037 if M_.maximum_lead == 0
0038     error ('Backward or static model: no point in using OSR') ;
0039 end
0040 
0041 exe =zeros(M_.exo_nbr,1);
0042 
0043 oo_.dr = set_state_space(oo_.dr,M_);
0044 
0045 
0046 np = size(i_params,1);
0047 t0 = M_.params(i_params);
0048 inv_order_var = oo_.dr.inv_order_var;
0049 
0050 H0 = 1e-4*eye(np);
0051 crit = 1e-7;
0052 nit = 1000;
0053 verbose = 2;
0054 
0055 [f,p]=csminwel1('osr_obj',t0,H0,[],crit,nit,options_.gradient_method,options_.gradient_epsilon,i_params,...
0056                 inv_order_var(i_var),weights(i_var,i_var));
0057 oo_.osr.objective_function = f;
0058 
0059 %  options = optimset('fminunc');
0060 %  options = optimset('display','iter');
0061 %  [p,f]=fminunc(@osr_obj,t0,options,i_params,...
0062 %               inv_order_var(i_var),weights(i_var,i_var));
0063 
0064 
0065 
0066 disp('')
0067 disp('OPTIMAL VALUE OF THE PARAMETERS:')
0068 disp('')
0069 for i=1:np
0070     disp(sprintf('%16s %16.6g\n',M_.param_names(i_params(i),:),p(i)))
0071 end
0072 disp(sprintf('Objective function : %16.6g\n',f));
0073 disp(' ')
0074 [oo_.dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
0075 
0076 % 05/10/03 MJ modified to work with osr.m and give full report