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Added iload option; 

A and B computed here
compute sensitivities

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2981 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
ratto 2009-09-24 17:18:39 +00:00
parent b66a47c128
commit 290ea0d24e
1 changed files with 61 additions and 6 deletions
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67
matlab/dynare_identification.m
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@ -1,4 +1,4 @@
function [pdraws, idemodel, idemoments] = dynare_identification()
function [pdraws, idemodel, idemoments] = dynare_identification(iload)
% main
%
@ -21,6 +21,9 @@ function [pdraws, idemodel, idemoments] = dynare_identification()
global M_ options_ oo_ bayestopt_ estim_params_
if nargin==0 | isempty(iload),
iload=0;
end
options_ = set_default_option(options_,'datafile',[]);
options_.mode_compute = 0;
@ -42,9 +45,11 @@ indexo=[];
if ~isempty(estim_params_.var_exo)
indexo = estim_params_.var_exo(:,1);
end
useautocorr = 0;
useautocorr = 1;
nlags = 3;
if iload ==0,
iteration = 0;
loop_indx = 0;
@ -54,11 +59,22 @@ while iteration < SampleSize,
loop_indx = loop_indx+1;
params = prior_draw();
set_all_parameters(params);
[A,B,ys,info]=dynare_resolve;
[JJ, H] = getJJ(M_,oo_,options_,0,indx,indexo,bayestopt_.mf2,nlags,useautocorr);
if ~isempty(JJ),
if info(1)==0,
iteration = iteration + 1;
tau=[vec(A); vech(B*M_.Sigma_e*B')];
[JJ, H, GAM] = getJJ(A, B, M_,oo_,options_,0,indx,indexo,bayestopt_.mf2,nlags,useautocorr);
siJ = abs(JJ(find(GAM),:).*(1./GAM(find(GAM))*params));
siH = abs(H(find(abs(tau)>1.e-10),:).*(1./tau(find(abs(tau)>1.e-10))*params));
if iteration ==1,
siJmean = siJ./SampleSize;
siHmean = siH./SampleSize;
else
siJmean = siJ./SampleSize+siJmean;
siHmean = siH./SampleSize+siHmean;
end
pdraws(iteration,:) = params';
[idemodel.Mco(:,iteration), idemoments.Mco(:,iteration), ...
idemodel.Pco(:,:,iteration), idemoments.Pco(:,:,iteration), ...
@ -71,12 +87,51 @@ while iteration < SampleSize,
waitbar(iteration/SampleSize,h)
end
end
siHmean = siHmean./(max(siHmean')'*ones(size(params)));
siJmean = siJmean./(max(siJmean')'*ones(size(params)));
close(h)
save([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments')
save([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments', 'siHmean', 'siJmean')
else
load([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments', 'siHmean', 'siJmean')
end
disp_identification(pdraws, idemodel, idemoments)
figure,
myboxplot(siHmean)
set(gca,'ylim',[0 1])
set(gca,'xticklabel','')
for ip=1:length(params),
text(ip,-0.02,bayestopt_.name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
end
title('Sensitivity in the model')
figure,
myboxplot(siJmean)
set(gca,'ylim',[0 1])
set(gca,'xticklabel','')
for ip=1:length(params),
text(ip,-0.02,bayestopt_.name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
end
title('Sensitivity in the moments')
figure,
myboxplot(idemodel.Mco')
set(gca,'ylim',[0 1])
set(gca,'xticklabel','')
for ip=1:length(params),
text(ip,-0.02,bayestopt_.name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
end
title('Multicollinearity in the model')
figure,
myboxplot(idemoments.Mco')
set(gca,'ylim',[0 1])
set(gca,'xticklabel','')
for ip=1:length(params),
text(ip,-0.02,bayestopt_.name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
end
title('Multicollinearity in the moments')