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function x0 = stab_map_ ( OutputDirectoryName,opt_gsa)
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%
% function x0 = stab_map_(OutputDirectoryName)
%
% Mapping of stability regions in the prior ranges applying
% Monte Carlo filtering techniques.
%
% INPUTS (from opt_gsa structure)
% Nsam = MC sample size
% fload = 0 to run new MC; 1 to load prevoiusly generated analysis
% alpha2 = significance level for bivariate sensitivity analysis
% [abs(corrcoef) > alpha2]
% prepSA = 1: save transition matrices for mapping reduced form
% = 0: no transition matrix saved (default)
% pprior = 1: sample from prior ranges (default): sample saved in
% _prior.mat file
% = 0: sample from posterior ranges: sample saved in
% _mc.mat file
% OUTPUT:
% x0: one parameter vector for which the model is stable.
%
% GRAPHS
% 1) Pdf's of marginal distributions under the stability (dotted
% lines) and unstability (solid lines) regions
% 2) Cumulative distributions of:
% - stable subset (dotted lines)
% - unacceptable subset (solid lines)
% 3) Bivariate plots of significant correlation patterns
% ( abs(corrcoef) > alpha2) under the stable and unacceptable subsets
%
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% USES qmc_sequence, stab_map_1, stab_map_2
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%
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% Written by Marco Ratto
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% Joint Research Centre, The European Commission,
% (http://eemc.jrc.ec.europa.eu/),
% marco.ratto@jrc.it
%
% Reference:
% M. Ratto, Global Sensitivity Analysis for Macroeconomic models, MIMEO, 2006.
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% Copyright (C) 2012-2016 Dynare Team
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%
% 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.
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%
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% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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%global bayestopt_ estim_params_ dr_ options_ ys_ fname_
global bayestopt_ estim_params_ options_ oo_ M_
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% opt_gsa=options_.opt_gsa;
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Nsam = opt_gsa . Nsam ;
fload = opt_gsa . load_stab ;
ksstat = opt_gsa . ksstat ;
alpha2 = opt_gsa . alpha2_stab ;
pvalue_ks = opt_gsa . pvalue_ks ;
pvalue_corr = opt_gsa . pvalue_corr ;
prepSA = ( opt_gsa . redform | opt_gsa . identification ) ;
pprior = opt_gsa . pprior ;
neighborhood_width = opt_gsa . neighborhood_width ;
ilptau = opt_gsa . ilptau ;
nliv = opt_gsa . morris_nliv ;
ntra = opt_gsa . morris_ntra ;
dr_ = oo_ . dr ;
%if isfield(dr_,'ghx'),
ys_ = oo_ . dr . ys ;
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nspred = M_ . nspred ; %size(dr_.ghx,2);
nboth = M_ . nboth ;
nfwrd = M_ . nfwrd ;
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%end
fname_ = M_ . fname ;
np = estim_params_ . np ;
nshock = estim_params_ . nvx ;
nshock = nshock + estim_params_ . nvn ;
nshock = nshock + estim_params_ . ncx ;
nshock = nshock + estim_params_ . ncn ;
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lpmat0 = zeros ( Nsam , 0 ) ;
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xparam1 = [ ] ;
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pshape = bayestopt_ . pshape ( nshock + 1 : end ) ;
p1 = bayestopt_ . p1 ( nshock + 1 : end ) ;
p2 = bayestopt_ . p2 ( nshock + 1 : end ) ;
p3 = bayestopt_ . p3 ( nshock + 1 : end ) ;
p4 = bayestopt_ . p4 ( nshock + 1 : end ) ;
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[ junk1 , junk2 , junk3 , lb , ub , junk4 ] = set_prior ( estim_params_ , M_ , options_ ) ; %Prepare bounds
if ~ isempty ( bayestopt_ ) && any ( bayestopt_ . pshape > 0 )
% Set prior bounds
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bounds = prior_bounds ( bayestopt_ , options_ . prior_trunc ) ;
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bounds . lb = max ( bounds . lb , lb ) ;
bounds . ub = min ( bounds . ub , ub ) ;
else % estimated parameters but no declared priors
% No priors are declared so Dynare will estimate the model by
% maximum likelihood with inequality constraints for the parameters.
bounds . lb = lb ;
bounds . ub = ub ;
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if opt_gsa . prior_range == 0
warning ( ' GSA:: When using ML, sampling from the prior is not possible. Setting prior_range=1' )
opt_gsa . prior_range = 1 ;
end
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end
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if nargin == 0 ,
OutputDirectoryName = ' ' ;
end
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options_mcf . pvalue_ks = pvalue_ks ;
options_mcf . pvalue_corr = pvalue_corr ;
options_mcf . alpha2 = alpha2 ;
options_mcf . param_names = char ( bayestopt_ . name ( nshock + 1 : end ) ) ;
options_mcf . fname_ = fname_ ;
options_mcf . OutputDirectoryName = OutputDirectoryName ;
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options_mcf . xparam1 = [ ] ;
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opt = options_ ;
options_ . periods = 0 ;
options_ . nomoments = 1 ;
options_ . irf = 0 ;
options_ . noprint = 1 ;
if fload == 0 ,
% if prepSA
% T=zeros(size(dr_.ghx,1),size(dr_.ghx,2)+size(dr_.ghu,2),Nsam/2);
% end
if isfield ( dr_ , ' ghx' ) ,
egg = zeros ( length ( dr_ . eigval ) , Nsam ) ;
end
yys = zeros ( length ( dr_ . ys ) , Nsam ) ;
if opt_gsa . morris == 1
[ lpmat , OutFact ] = Sampling_Function_2 ( nliv , np + nshock , ntra , ones ( np + nshock , 1 ) , zeros ( np + nshock , 1 ) , [ ] ) ;
lpmat = lpmat .* ( nliv - 1 ) / nliv + 1 / nliv / 2 ;
Nsam = size ( lpmat , 1 ) ;
lpmat0 = lpmat ( : , 1 : nshock ) ;
lpmat = lpmat ( : , nshock + 1 : end ) ;
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% elseif opt_gsa.morris==3,
% lpmat = prep_ide(Nsam,np,5);
% Nsam=size(lpmat,1);
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else
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if np < 52 && ilptau > 0 ,
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[ lpmat ] = qmc_sequence ( np , int64 ( 1 ) , 0 , Nsam ) ' ;
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if np > 30 || ilptau == 2 , % scrambled lptau
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for j = 1 : np ,
lpmat ( : , j ) = lpmat ( randperm ( Nsam ) , j ) ;
end
end
else %ilptau==0
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[ lpmat ] = NaN ( Nsam , np ) ;
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for j = 1 : np ,
lpmat ( : , j ) = randperm ( Nsam ) ' ./ ( Nsam + 1 ) ; %latin hypercube
end
end
end
% try
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dummy = prior_draw_gsa ( 1 ) ; %initialize persistent variables
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% catch
% if pprior,
% if opt_gsa.prior_range==0;
% error('Some unknown prior is specified or ML estimation,: use prior_range=1 option!!');
% end
% end
%
% end
if pprior ,
for j = 1 : nshock ,
if opt_gsa . morris ~= 1 ,
lpmat0 ( : , j ) = randperm ( Nsam ) ' ./ ( Nsam + 1 ) ; %latin hypercube
end
if opt_gsa . prior_range
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lpmat0 ( : , j ) = lpmat0 ( : , j ) .* ( bounds . ub ( j ) - bounds . lb ( j ) ) + bounds . lb ( j ) ;
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end
end
if opt_gsa . prior_range
% if opt_gsa.identification,
% deltx=min(0.001, 1/Nsam/2);
% for j=1:np,
% xdelt(:,:,j)=prior_draw_gsa(0,[lpmat0 lpmat]+deltx);
% end
% end
for j = 1 : np ,
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lpmat ( : , j ) = lpmat ( : , j ) .* ( bounds . ub ( j + nshock ) - bounds . lb ( j + nshock ) ) + bounds . lb ( j + nshock ) ;
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end
else
xx = prior_draw_gsa ( 0 , [ lpmat0 lpmat ] ) ;
% if opt_gsa.identification,
% deltx=min(0.001, 1/Nsam/2);
% ldum=[lpmat0 lpmat];
% ldum = prior_draw_gsa(0,ldum+deltx);
% for j=1:nshock+np,
% xdelt(:,:,j)=xx;
% xdelt(:,j,j)=ldum(:,j);
% end
% clear ldum
% end
lpmat0 = xx ( : , 1 : nshock ) ;
lpmat = xx ( : , nshock + 1 : end ) ;
clear xx ;
end
else
% for j=1:nshock,
% xparam1(j) = oo_.posterior_mode.shocks_std.(bayestopt_.name{j});
% sd(j) = oo_.posterior_std.shocks_std.(bayestopt_.name{j});
% lpmat0(:,j) = randperm(Nsam)'./(Nsam+1); %latin hypercube
% lb = max(bayestopt_.lb(j), xparam1(j)-2*sd(j));
% ub1=xparam1(j)+(xparam1(j) - lb); % define symmetric range around the mode!
% ub = min(bayestopt_.ub(j),ub1);
% if ub<ub1,
% lb=xparam1(j)-(ub-xparam1(j)); % define symmetric range around the mode!
% end
% lpmat0(:,j) = lpmat0(:,j).*(ub-lb)+lb;
% end
% %
% for j=1:np,
% xparam1(j+nshock) = oo_.posterior_mode.parameters.(bayestopt_.name{j+nshock});
% sd(j+nshock) = oo_.posterior_std.parameters.(bayestopt_.name{j+nshock});
% lb = max(bayestopt_.lb(j+nshock),xparam1(j+nshock)-2*sd(j+nshock));
% ub1=xparam1(j+nshock)+(xparam1(j+nshock) - lb); % define symmetric range around the mode!
% ub = min(bayestopt_.ub(j+nshock),ub1);
% if ub<ub1,
% lb=xparam1(j+nshock)-(ub-xparam1(j+nshock)); % define symmetric range around the mode!
% end
% %ub = min(bayestopt_.ub(j+nshock),xparam1(j+nshock)+2*sd(j+nshock));
% if np>30 & np<52
% lpmat(:,j) = lpmat(randperm(Nsam),j).*(ub-lb)+lb;
% else
% lpmat(:,j) = lpmat(:,j).*(ub-lb)+lb;
% end
% end
%load([fname_,'_mode'])
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if neighborhood_width > 0 && isempty ( options_ . mode_file ) ,
xparam1 = get_all_parameters ( estim_params_ , M_ ) ;
else
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eval ( [ ' load ' options_ . mode_file ' .mat;' ] ) ;
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end
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if neighborhood_width > 0 ,
for j = 1 : nshock ,
lpmat0 ( : , j ) = randperm ( Nsam ) ' ./ ( Nsam + 1 ) ; %latin hypercube
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ub = min ( [ bounds . ub ( j ) xparam1 ( j ) * ( 1 + neighborhood_width ) ] ) ;
lb = max ( [ bounds . lb ( j ) xparam1 ( j ) * ( 1 - neighborhood_width ) ] ) ;
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lpmat0 ( : , j ) = lpmat0 ( : , j ) .* ( ub - lb ) + lb ;
end
for j = 1 : np ,
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ub = min ( [ bounds . ub ( j + nshock ) xparam1 ( j + nshock ) * ( 1 + neighborhood_width ) ] ) ;
lb = max ( [ bounds . lb ( j + nshock ) xparam1 ( j + nshock ) * ( 1 - neighborhood_width ) ] ) ;
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lpmat ( : , j ) = lpmat ( : , j ) .* ( ub - lb ) + lb ;
end
else
d = chol ( inv ( hh ) ) ;
lp = randn ( Nsam * 2 , nshock + np ) * d + kron ( ones ( Nsam * 2 , 1 ) , xparam1 ' ) ;
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lnprior = zeros ( 1 , Nsam * 2 ) ;
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for j = 1 : Nsam * 2 ,
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lnprior ( j ) = any ( lp ( j , : ) ' < = bounds . lb | lp ( j , : ) ' > = bounds . ub ) ;
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end
ireal = [ 1 : 2 * Nsam ] ;
ireal = ireal ( find ( lnprior == 0 ) ) ;
lp = lp ( ireal , : ) ;
Nsam = min ( Nsam , length ( ireal ) ) ;
lpmat0 = lp ( 1 : Nsam , 1 : nshock ) ;
lpmat = lp ( 1 : Nsam , nshock + 1 : end ) ;
clear lp lnprior ireal ;
end
end
%
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h = dyn_waitbar ( 0 , ' Please wait...' ) ;
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istable = [ 1 : Nsam ] ;
jstab = 0 ;
iunstable = [ 1 : Nsam ] ;
iindeterm = zeros ( 1 , Nsam ) ;
iwrong = zeros ( 1 , Nsam ) ;
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inorestriction = zeros ( 1 , Nsam ) ;
irestriction = zeros ( 1 , Nsam ) ;
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infox = zeros ( Nsam , 1 ) ;
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for j = 1 : Nsam ,
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M_ = set_all_parameters ( [ lpmat0 ( j , : ) lpmat ( j , : ) ] ' , estim_params_ , M_ ) ;
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%try stoch_simul([]);
try
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if ~ isempty ( options_ . endogenous_prior_restrictions . moment )
[ Tt , Rr , SteadyState , info , M_ , options_ , oo_ ] = dynare_resolve ( M_ , options_ , oo_ ) ;
else
[ Tt , Rr , SteadyState , info , M_ , options_ , oo_ ] = dynare_resolve ( M_ , options_ , oo_ , ' restrict' ) ;
end
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infox ( j , 1 ) = info ( 1 ) ;
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if infox ( j , 1 ) == 0 && ~ exist ( ' T' , ' var' ) ,
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dr_ = oo_ . dr ;
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if prepSA ,
try
T = zeros ( size ( dr_ . ghx , 1 ) , size ( dr_ . ghx , 2 ) + size ( dr_ . ghu , 2 ) , Nsam ) ;
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catch
ME = lasterror ( ) ;
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if strcmp ( ' MATLAB:nomem' , ME . identifier ) ,
prepSA = 0 ;
disp ( ' The model is too large for storing state space matrices ...' )
disp ( ' for mapping reduced form or for identification' )
end
T = [ ] ;
end
else
T = [ ] ;
end
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egg = zeros ( length ( dr_ . eigval ) , Nsam ) ;
end
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if infox ( j , 1 ) ,
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% disp('no solution'),
if isfield ( oo_ . dr , ' ghx' ) ,
oo_ . dr = rmfield ( oo_ . dr , ' ghx' ) ;
end
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if ( infox ( j , 1 ) < 3 || infox ( j , 1 ) > 5 ) && isfield ( oo_ . dr , ' eigval' ) ,
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oo_ . dr = rmfield ( oo_ . dr , ' eigval' ) ;
end
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end
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catch ME
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if isfield ( oo_ . dr , ' eigval' ) ,
oo_ . dr = rmfield ( oo_ . dr , ' eigval' ) ;
end
if isfield ( oo_ . dr , ' ghx' ) ,
oo_ . dr = rmfield ( oo_ . dr , ' ghx' ) ;
end
disp ( ' No solution could be found' ) ,
end
dr_ = oo_ . dr ;
if isfield ( dr_ , ' ghx' ) ,
egg ( : , j ) = sort ( dr_ . eigval ) ;
if prepSA
jstab = jstab + 1 ;
T ( : , : , jstab ) = [ dr_ . ghx dr_ . ghu ] ;
% [A,B] = ghx2transition(squeeze(T(:,:,jstab)), ...
% bayestopt_.restrict_var_list, ...
% bayestopt_.restrict_columns, ...
% bayestopt_.restrict_aux);
end
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if ~ exist ( ' nspred' , ' var' ) ,
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nspred = dr_ . nspred ; %size(dr_.ghx,2);
nboth = dr_ . nboth ;
nfwrd = dr_ . nfwrd ;
end
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info = endogenous_prior_restrictions ( Tt , Rr , M_ , options_ , oo_ ) ;
infox ( j , 1 ) = info ( 1 ) ;
if info ( 1 ) ,
inorestriction ( j ) = j ;
else
iunstable ( j ) = 0 ;
irestriction ( j ) = j ;
end
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else
istable ( j ) = 0 ;
if isfield ( dr_ , ' eigval' )
egg ( : , j ) = sort ( dr_ . eigval ) ;
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if exist ( ' nspred' , ' var' )
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if any ( isnan ( egg ( 1 : nspred , j ) ) )
iwrong ( j ) = j ;
else
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if ( nboth || nfwrd ) && abs ( egg ( nspred + 1 , j ) ) < = options_ . qz_criterium ,
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iindeterm ( j ) = j ;
end
end
end
else
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if exist ( ' egg' , ' var' ) ,
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egg ( : , j ) = ones ( size ( egg , 1 ) , 1 ) .* NaN ;
end
iwrong ( j ) = j ;
end
end
ys_ = real ( dr_ . ys ) ;
yys ( : , j ) = ys_ ;
ys_ = yys ( : , 1 ) ;
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dyn_waitbar ( j / Nsam , h , [ ' MC iteration ' , int2str ( j ) , ' /' , int2str ( Nsam ) ] )
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end
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dyn_waitbar_close ( h ) ;
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if prepSA && jstab ,
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T = T ( : , : , 1 : jstab ) ;
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else
T = [ ] ;
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end
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istable = istable ( find ( istable ) ) ; % stable params ignoring restrictions
irestriction = irestriction ( find ( irestriction ) ) ; % stable params & restrictions OK
inorestriction = inorestriction ( find ( inorestriction ) ) ; % stable params violating restrictions
iunstable = iunstable ( find ( iunstable ) ) ; % violation of BK & restrictions & solution could not be found (whatever goes wrong)
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iindeterm = iindeterm ( find ( iindeterm ) ) ; % indeterminacy
iwrong = iwrong ( find ( iwrong ) ) ; % dynare could not find solution
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ixun = iunstable ( find ( ~ ismember ( iunstable , [ iindeterm , iwrong , inorestriction ] ) ) ) ; % explosive roots
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% % map stable samples
% istable=[1:Nsam];
% for j=1:Nsam,
% if any(isnan(egg(1:nspred,j)))
% istable(j)=0;
% else
% if abs(egg(nspred,j))>=options_.qz_criterium; %(1-(options_.qz_criterium-1)); %1-1.e-5;
% istable(j)=0;
% %elseif (dr_.nboth | dr_.nfwrd) & abs(egg(nspred+1,j))<=options_.qz_criterium; %1+1.e-5;
% elseif (nboth | nfwrd) & abs(egg(nspred+1,j))<=options_.qz_criterium; %1+1.e-5;
% istable(j)=0;
% end
% end
% end
% istable=istable(find(istable)); % stable params
%
% % map unstable samples
% iunstable=[1:Nsam];
% for j=1:Nsam,
% %if abs(egg(dr_.npred+1,j))>1+1.e-5 & abs(egg(dr_.npred,j))<1-1.e-5;
% %if (dr_.nboth | dr_.nfwrd),
% if ~any(isnan(egg(1:5,j)))
% if (nboth | nfwrd),
% if abs(egg(nspred+1,j))>options_.qz_criterium & abs(egg(nspred,j))<options_.qz_criterium; %(1-(options_.qz_criterium-1));
% iunstable(j)=0;
% end
% else
% if abs(egg(nspred,j))<options_.qz_criterium; %(1-(options_.qz_criterium-1));
% iunstable(j)=0;
% end
% end
% end
% end
% iunstable=iunstable(find(iunstable)); % unstable params
bkpprior . pshape = bayestopt_ . pshape ;
bkpprior . p1 = bayestopt_ . p1 ;
bkpprior . p2 = bayestopt_ . p2 ;
bkpprior . p3 = bayestopt_ . p3 ;
bkpprior . p4 = bayestopt_ . p4 ;
if pprior ,
if ~ prepSA
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save ( [ OutputDirectoryName filesep fname_ ' _prior.mat' ] , ...
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' bkpprior' , ' lpmat' , ' lpmat0' , ' irestriction' , ' iunstable' , ' istable' , ' iindeterm' , ' iwrong' , ' ixun' , ...
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' egg' , ' yys' , ' nspred' , ' nboth' , ' nfwrd' , ' infox' )
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else
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save ( [ OutputDirectoryName filesep fname_ ' _prior.mat' ] , ...
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' bkpprior' , ' lpmat' , ' lpmat0' , ' irestriction' , ' iunstable' , ' istable' , ' iindeterm' , ' iwrong' , ' ixun' , ...
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' egg' , ' yys' , ' T' , ' nspred' , ' nboth' , ' nfwrd' , ' infox' )
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end
else
if ~ prepSA
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save ( [ OutputDirectoryName filesep fname_ ' _mc.mat' ] , ...
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' lpmat' , ' lpmat0' , ' irestriction' , ' iunstable' , ' istable' , ' iindeterm' , ' iwrong' , ' ixun' , ...
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' egg' , ' yys' , ' nspred' , ' nboth' , ' nfwrd' , ' infox' )
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else
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save ( [ OutputDirectoryName filesep fname_ ' _mc.mat' ] , ...
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' lpmat' , ' lpmat0' , ' irestriction' , ' iunstable' , ' istable' , ' iindeterm' , ' iwrong' , ' ixun' , ...
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' egg' , ' yys' , ' T' , ' nspred' , ' nboth' , ' nfwrd' , ' infox' )
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end
end
else
if pprior ,
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filetoload = [ OutputDirectoryName filesep fname_ ' _prior.mat' ] ;
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else
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filetoload = [ OutputDirectoryName filesep fname_ ' _mc.mat' ] ;
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end
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load ( filetoload , ' lpmat' , ' lpmat0' , ' irestriction' , ' iunstable' , ' istable' , ' iindeterm' , ' iwrong' , ' ixun' , ' egg' , ' yys' , ' nspred' , ' nboth' , ' nfwrd' , ' infox' )
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Nsam = size ( lpmat , 1 ) ;
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if pprior == 0 ,
eval ( [ ' load ' options_ . mode_file ' .mat;' ] ) ;
end
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if prepSA && isempty ( strmatch ( ' T' , who ( ' -file' , filetoload ) , ' exact' ) ) ,
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h = dyn_waitbar ( 0 , ' Please wait...' ) ;
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options_ . periods = 0 ;
options_ . nomoments = 1 ;
options_ . irf = 0 ;
options_ . noprint = 1 ;
stoch_simul ( [ ] ) ;
%T=zeros(size(dr_.ghx,1),size(dr_.ghx,2)+size(dr_.ghu,2),length(istable));
ntrans = length ( istable ) ;
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yys = NaN ( length ( ys_ ) , ntrans ) ;
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for j = 1 : ntrans ,
M_ . params ( estim_params_ . param_vals ( : , 1 ) ) = lpmat ( istable ( j ) , : ) ' ;
%stoch_simul([]);
[ Tt , Rr , SteadyState , info , M_ , options_ , oo_ ] = dynare_resolve ( M_ , options_ , oo_ , ' restrict' ) ;
% This syntax is not compatible with the current version of dynare_resolve [stepan].
%[Tt,Rr,SteadyState,info] = dynare_resolve(bayestopt_.restrict_var_list,...
% bayestopt_.restrict_columns,...
% bayestopt_.restrict_aux);
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if ~ exist ( ' T' , ' var' )
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T = zeros ( size ( dr_ . ghx , 1 ) , size ( dr_ . ghx , 2 ) + size ( dr_ . ghu , 2 ) , ntrans ) ;
end
dr_ = oo_ . dr ;
T ( : , : , j ) = [ dr_ . ghx dr_ . ghu ] ;
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if ~ exist ( ' nspred' , ' var' )
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nspred = dr_ . nspred ; %size(dr_.ghx,2);
nboth = dr_ . nboth ;
nfwrd = dr_ . nfwrd ;
end
ys_ = real ( dr_ . ys ) ;
yys ( : , j ) = ys_ ;
ys_ = yys ( : , 1 ) ;
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dyn_waitbar ( j / ntrans , h , [ ' MC iteration ' , int2str ( j ) , ' /' , int2str ( ntrans ) ] )
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end
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dyn_waitbar_close ( h ) ;
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save ( filetoload , ' T' , ' -append' )
elseif prepSA
load ( filetoload , ' T' )
end
end
if pprior
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aunstname = ' prior_unstable' ; aunsttitle = ' Prior StabMap: explosiveness of solution' ;
aindname = ' prior_indeterm' ; aindtitle = ' Prior StabMap: Indeterminacy' ;
awrongname = ' prior_wrong' ; awrongtitle = ' Prior StabMap: inability to find solution' ;
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acalibname = ' prior_calib' ; acalibtitle = ' Prior StabMap: IRF/moment restrictions' ;
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asname = ' prior_stable' ; atitle = ' Prior StabMap: Parameter driving non-existence of unique stable solution (Unacceptable)' ;
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else
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aunstname = ' mc_unstable' ; aunsttitle = ' MC (around posterior mode) StabMap: explosiveness of solution' ;
aindname = ' mc_indeterm' ; aindtitle = ' MC (around posterior mode) StabMap: Indeterminacy' ;
awrongname = ' mc_wrong' ; awrongtitle = ' MC (around posterior mode) StabMap: inability to find solution' ;
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acalibname = ' mc_calib' ; acalibtitle = ' MC (around posterior mode) StabMap: IRF/moment restrictions' ;
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asname = ' mc_stable' ; atitle = ' MC (around posterior mode) StabMap: Parameter driving non-existence of unique stable solution (Unacceptable)' ;
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end
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delete ( [ OutputDirectoryName , filesep , fname_ , ' _' , asname , ' .*' ] ) ;
delete ( [ OutputDirectoryName , filesep , fname_ , ' _' , acalibname , ' .*' ] ) ;
delete ( [ OutputDirectoryName , filesep , fname_ , ' _' , aindname , ' .*' ] ) ;
delete ( [ OutputDirectoryName , filesep , fname_ , ' _' , aunstname , ' .*' ] ) ;
delete ( [ OutputDirectoryName , filesep , fname_ , ' _' , awrongname , ' .*' ] ) ;
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if length ( iunstable ) > 0 || length ( iwrong ) > 0 ,
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fprintf ( [ ' %4.1f%% of the prior support gives unique saddle-path solution.\n' ] , length ( istable ) / Nsam * 100 )
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fprintf ( [ ' %4.1f%% of the prior support gives explosive dynamics.\n' ] , ( length ( ixun ) ) / Nsam * 100 )
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if ~ isempty ( iindeterm ) ,
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fprintf ( [ ' %4.1f%% of the prior support gives indeterminacy.\n' ] , length ( iindeterm ) / Nsam * 100 )
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end
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inorestriction = istable ( find ( ~ ismember ( istable , irestriction ) ) ) ; % violation of prior restrictions
if ~ isempty ( iwrong ) || ~ isempty ( inorestriction ) ,
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skipline ( )
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if any ( infox == 49 ) ,
fprintf ( [ ' %4.1f%% of the prior support violates prior restrictions.\n' ] , ( length ( inorestriction ) ) / Nsam * 100 )
end
if ~ isempty ( iwrong ) ,
skipline ( )
disp ( [ ' For ' , num2str ( length ( iwrong ) / Nsam * 100 , ' %4.1f' ) , ' % of the prior support dynare could not find a solution.' ] )
skipline ( )
end
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if any ( infox == 1 ) ,
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disp ( [ ' For ' , num2str ( length ( find ( infox == 1 ) ) / Nsam * 100 , ' %4.1f' ) , ' % The model doesn' ' t determine the current variables uniquely.' ] )
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end
if any ( infox == 2 ) ,
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disp ( [ ' For ' , num2str ( length ( find ( infox == 2 ) ) / Nsam * 100 , ' %4.1f' ) , ' % MJDGGES returned an error code.' ] )
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end
if any ( infox == 6 ) ,
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disp ( [ ' For ' , num2str ( length ( find ( infox == 6 ) ) / Nsam * 100 , ' %4.1f' ) , ' % The jacobian evaluated at the deterministic steady state is complex.' ] )
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end
if any ( infox == 19 ) ,
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disp ( [ ' For ' , num2str ( length ( find ( infox == 19 ) ) / Nsam * 100 , ' %4.1f' ) , ' % The steadystate routine thrown an exception (inconsistent deep parameters).' ] )
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end
if any ( infox == 20 ) ,
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disp ( [ ' For ' , num2str ( length ( find ( infox == 20 ) ) / Nsam * 100 , ' %4.1f' ) , ' % Cannot find the steady state.' ] )
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end
if any ( infox == 21 ) ,
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disp ( [ ' For ' , num2str ( length ( find ( infox == 21 ) ) / Nsam * 100 , ' %4.1f' ) , ' % The steady state is complex.' ] )
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end
if any ( infox == 22 ) ,
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disp ( [ ' For ' , num2str ( length ( find ( infox == 22 ) ) / Nsam * 100 , ' %4.1f' ) , ' % The steady has NaNs.' ] )
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end
if any ( infox == 23 ) ,
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disp ( [ ' For ' , num2str ( length ( find ( infox == 23 ) ) / Nsam * 100 , ' %4.1f' ) , ' % M_.params has been updated in the steadystate routine and has complex valued scalars.' ] )
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end
if any ( infox == 24 ) ,
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disp ( [ ' For ' , num2str ( length ( find ( infox == 24 ) ) / Nsam * 100 , ' %4.1f' ) , ' % M_.params has been updated in the steadystate routine and has some NaNs.' ] )
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end
if any ( infox == 30 ) ,
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disp ( [ ' For ' , num2str ( length ( find ( infox == 30 ) ) / Nsam * 100 , ' %4.1f' ) , ' % Ergodic variance can' ' t be computed.' ] )
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end
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end
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skipline ( )
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if length ( iunstable ) < Nsam || length ( istable ) > 1
itot = [ 1 : Nsam ] ;
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isolve = itot ( find ( ~ ismember ( itot , iwrong ) ) ) ; % dynare could find a solution
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% Blanchard Kahn
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if neighborhood_width ,
options_mcf . xparam1 = xparam1 ( nshock + 1 : end ) ;
end
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itmp = itot ( find ( ~ ismember ( itot , istable ) ) ) ;
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options_mcf . amcf_name = asname ;
options_mcf . amcf_title = atitle ;
options_mcf . beha_title = ' unique Stable Saddle-Path' ;
options_mcf . nobeha_title = ' NO unique Stable Saddle-Path' ;
options_mcf . title = ' unique solution' ;
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mcf_analysis ( lpmat , istable , itmp , options_mcf , options_ ) ;
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if ~ isempty ( iindeterm ) ,
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itmp = isolve ( find ( ~ ismember ( isolve , iindeterm ) ) ) ;
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options_mcf . amcf_name = aindname ;
options_mcf . amcf_title = aindtitle ;
options_mcf . beha_title = ' NO indeterminacy' ;
options_mcf . nobeha_title = ' indeterminacy' ;
options_mcf . title = ' indeterminacy' ;
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mcf_analysis ( lpmat , itmp , iindeterm , options_mcf , options_ ) ;
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end
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if ~ isempty ( ixun ) ,
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itmp = isolve ( find ( ~ ismember ( isolve , ixun ) ) ) ;
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options_mcf . amcf_name = aunstname ;
options_mcf . amcf_title = aunsttitle ;
options_mcf . beha_title = ' NO explosive solution' ;
options_mcf . nobeha_title = ' explosive solution' ;
options_mcf . title = ' instability' ;
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mcf_analysis ( lpmat , itmp , ixun , options_mcf , options_ ) ;
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end
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inorestriction = istable ( find ( ~ ismember ( istable , irestriction ) ) ) ; % violation of prior restrictions
iwrong = iwrong ( find ( ~ ismember ( iwrong , inorestriction ) ) ) ; % what went wrong beyond prior restrictions
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if ~ isempty ( iwrong ) ,
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itmp = itot ( find ( ~ ismember ( itot , iwrong ) ) ) ;
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options_mcf . amcf_name = awrongname ;
options_mcf . amcf_title = awrongtitle ;
options_mcf . beha_title = ' NO inability to find a solution' ;
options_mcf . nobeha_title = ' inability to find a solution' ;
options_mcf . title = ' inability to find a solution' ;
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mcf_analysis ( lpmat , itmp , iwrong , options_mcf , options_ ) ;
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end
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if ~ isempty ( irestriction ) ,
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if neighborhood_width ,
options_mcf . xparam1 = xparam1 ;
end
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options_mcf . param_names = char ( bayestopt_ . name ) ;
options_mcf . amcf_name = acalibname ;
options_mcf . amcf_title = acalibtitle ;
options_mcf . beha_title = ' prior IRF/moment calibration' ;
options_mcf . nobeha_title = ' NO prior IRF/moment calibration' ;
options_mcf . title = ' prior restrictions' ;
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mcf_analysis ( [ lpmat0 lpmat ] , irestriction , inorestriction , options_mcf , options_ ) ;
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iok = irestriction ( 1 ) ;
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x0 = [ lpmat0 ( iok , : ) ' ; lpmat ( iok , : ) ' ] ;
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else
iok = istable ( 1 ) ;
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x0 = 0.5 .* ( bounds . ub ( 1 : nshock ) - bounds . lb ( 1 : nshock ) ) + bounds . lb ( 1 : nshock ) ;
x0 = [ x0 ; lpmat ( iok , : ) ' ] ;
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end
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M_ = set_all_parameters ( x0 , estim_params_ , M_ ) ;
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[ oo_ . dr , info , M_ , options_ , oo_ ] = resol ( 0 , M_ , options_ , oo_ ) ;
% stoch_simul([]);
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else
disp ( ' All parameter values in the specified ranges are not acceptable!' )
x0 = [ ] ;
end
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else
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disp ( ' All parameter values in the specified ranges give unique saddle-path solution,' )
disp ( ' and match prior IRF/moment restriction(s) if any!' )
x0 = 0.5 .* ( bounds . ub ( 1 : nshock ) - bounds . lb ( 1 : nshock ) ) + bounds . lb ( 1 : nshock ) ;
x0 = [ x0 ; lpmat ( istable ( 1 ) , : ) ' ] ;
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end
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xparam1 = x0 ;
save prior_ok xparam1 ;
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options_ . periods = opt . periods ;
if isfield ( opt , ' nomoments' ) ,
options_ . nomoments = opt . nomoments ;
end
options_ . irf = opt . irf ;
options_ . noprint = opt . noprint ;
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