GSA and identification: move files to namespace
parent
565667c6b7
commit
2e73856f5a
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license.txt
44
license.txt
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@ -161,33 +161,33 @@ Comment: The author gave authorization to redistribute
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Journal of Multivariate Analysis, 2008, vol. 99, issue 3,
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pages 542-554.
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Files: matlab/gsa/Morris_Measure_Groups.m
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matlab/gsa/Sampling_Function_2.m
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Files: matlab/+gsa/Morris_Measure_Groups.m
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matlab/+gsa/Sampling_Function_2.m
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Copyright: 2005 European Commission
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2012-2017 Dynare Team
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2012-2013 Dynare Team
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License: GPL-3+
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Comment: Written by Jessica Cariboni and Francesca Campolongo
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Joint Research Centre, The European Commission,
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Files: matlab/gsa/cumplot.m
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matlab/gsa/filt_mc_.m
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matlab/gsa/gsa_skewness.m
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matlab/gsa/log_trans_.m
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matlab/gsa/map_calibration.m
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matlab/gsa/map_ident_.m
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matlab/gsa/mcf_analysis.m
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matlab/gsa/myboxplot.m
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matlab/gsa/prior_draw_gsa.m
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matlab/gsa/redform_map.m
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matlab/gsa/redform_screen.m
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matlab/gsa/scatter_mcf.m
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matlab/gsa/smirnov.m
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matlab/gsa/stab_map_.m
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matlab/gsa/stab_map_1.m
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matlab/gsa/stab_map_2.m
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matlab/gsa/stand_.m
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matlab/gsa/tcrit.m
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matlab/gsa/teff.m
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Files: matlab/+gsa/cumplot.m
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matlab/+gsa/monte_carlo_filtering.m
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matlab/+gsa/skewness.m
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matlab/+gsa/log_trans_.m
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matlab/+gsa/map_calibration.m
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matlab/+gsa/map_identification.m
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matlab/+gsa/monte_carlo_filtering_analysis.m
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matlab/+gsa/boxplot.m
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matlab/+gsa/prior_draw.m
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matlab/+gsa/reduced_form_mapping.m
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matlab/+gsa/reduced_form_screening.m
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matlab/+gsa/scatter_mcf.m
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matlab/+gsa/smirnov_test.m
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matlab/+gsa/stability_mapping.m
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matlab/+gsa/stability_mapping_univariate.m
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matlab/+gsa/stability_mapping_bivariate.m
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matlab/+gsa/standardize_columns.m
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matlab/+gsa/tcrit.m
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matlab/+gsa/teff.m
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Copyright: 2011-2018 European Commission
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2011-2023 Dynare Team
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License: GPL-3+
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@ -1,5 +1,5 @@
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function sout = myboxplot (data,notched,symbol,vertical,maxwhisker)
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% sout = myboxplot (data,notched,symbol,vertical,maxwhisker)
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function sout = boxplot (data,notched,symbol,vertical,maxwhisker)
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% sout = boxplot (data,notched,symbol,vertical,maxwhisker)
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% Creates a box plot
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% Copyright © 2010-2023 Dynare Team
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@ -1,5 +1,5 @@
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function [yy, xdir, isig, lam]=log_trans_(y0,xdir0,isig,lam)
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% [yy, xdir, isig, lam]=log_trans_(y0,xdir0,isig,lam)
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function [yy, xdir, isig, lam]=log_transform(y0,xdir0,isig,lam)
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% [yy, xdir, isig, lam]=log_transform(y0,xdir0,isig,lam)
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% Conduct automatic log transformation lam(yy/isig+lam)
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% Inputs:
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% - y0 [double] series to transform
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@ -56,10 +56,10 @@ end
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if nargin==1
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xdir0='';
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end
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f=@(lam,y)gsa_skewness(log(y+lam));
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f=@(lam,y)gsa.skewness(log(y+lam));
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isig=1;
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if ~(max(y0)<0 || min(y0)>0)
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if gsa_skewness(y0)<0
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if gsa.skewness(y0)<0
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isig=-1;
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y0=-y0;
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end
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@ -229,7 +229,7 @@ if ~isempty(indx_irf)
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if ~options_.nograph && length(time_matrix{plot_indx(ij)})==1
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set(0,'currentfigure',h1),
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subplot(nrow,ncol, plot_indx(ij)),
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hc = cumplot(mat_irf{ij}(:,ik));
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hc = gsa.cumplot(mat_irf{ij}(:,ik));
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a=axis;
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delete(hc);
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x1val=max(endo_prior_restrictions.irf{ij,4}(1),a(1));
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@ -237,7 +237,7 @@ if ~isempty(indx_irf)
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hp = patch([x1val x2val x2val x1val],a([3 3 4 4]),'b');
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hold all,
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set(hp,'FaceColor', [0.7 0.8 1])
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hc = cumplot(mat_irf{ij}(:,ik));
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hc = gsa.cumplot(mat_irf{ij}(:,ik));
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set(hc,'color','k','linewidth',2)
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hold off,
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% hold off,
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@ -259,7 +259,7 @@ if ~isempty(indx_irf)
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end
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options_mcf.title = atitle0;
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if ~isempty(indx1) && ~isempty(indx2)
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mcf_analysis(xmat(:,nshock+1:end), indx1, indx2, options_mcf, M_, options_, bayestopt_, estim_params_);
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gsa.monte_carlo_filtering_analysis(xmat(:,nshock+1:end), indx1, indx2, options_mcf, M_, options_, bayestopt_, estim_params_);
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end
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end
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for ij=1:nbr_irf_couples
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@ -316,7 +316,7 @@ if ~isempty(indx_irf)
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options_mcf.title = atitle0;
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if ~isempty(indx1) && ~isempty(indx2)
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mcf_analysis(xmat(:,nshock+1:end), indx1, indx2, options_mcf, M_, options_, bayestopt_, estim_params_);
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gsa.monte_carlo_filtering_analysis(xmat(:,nshock+1:end), indx1, indx2, options_mcf, M_, options_, bayestopt_, estim_params_);
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end
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end
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end
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@ -434,7 +434,7 @@ if ~isempty(indx_moment)
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if ~options_.nograph && length(time_matrix{plot_indx(ij)})==1
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set(0,'currentfigure',h2);
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subplot(nrow,ncol,plot_indx(ij)),
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hc = cumplot(mat_moment{ij}(:,ik));
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hc = gsa.cumplot(mat_moment{ij}(:,ik));
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a=axis; delete(hc),
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% hist(mat_moment{ij}),
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x1val=max(endo_prior_restrictions.moment{ij,4}(1),a(1));
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@ -442,7 +442,7 @@ if ~isempty(indx_moment)
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hp = patch([x1val x2val x2val x1val],a([3 3 4 4]),'b');
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set(hp,'FaceColor', [0.7 0.8 1])
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hold all
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hc = cumplot(mat_moment{ij}(:,ik));
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hc = gsa.cumplot(mat_moment{ij}(:,ik));
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set(hc,'color','k','linewidth',2)
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hold off
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title([endo_prior_restrictions.moment{ij,1},' vs ',endo_prior_restrictions.moment{ij,2},'(',leg,')'],'interpreter','none'),
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@ -463,7 +463,7 @@ if ~isempty(indx_moment)
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end
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options_mcf.title = atitle0;
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if ~isempty(indx1) && ~isempty(indx2)
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mcf_analysis(xmat, indx1, indx2, options_mcf, M_, options_, bayestopt_, estim_params_);
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gsa.monte_carlo_filtering_analysis(xmat, indx1, indx2, options_mcf, M_, options_, bayestopt_, estim_params_);
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end
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end
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for ij=1:nbr_moment_couples
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@ -520,7 +520,7 @@ if ~isempty(indx_moment)
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end
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options_mcf.title = atitle0;
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if ~isempty(indx1) && ~isempty(indx2)
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mcf_analysis(xmat, indx1, indx2, options_mcf, M_, options_, bayestopt_, estim_params_);
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gsa.monte_carlo_filtering_analysis(xmat, indx1, indx2, options_mcf, M_, options_, bayestopt_, estim_params_);
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end
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end
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end
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@ -1,5 +1,5 @@
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function map_ident_(OutputDirectoryName,opt_gsa,M_,oo_,options_,estim_params_,bayestopt_)
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% map_ident_(OutputDirectoryName,opt_gsa,M_,oo_,options_,estim_params_,bayestopt_)
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function map_identification(OutputDirectoryName,opt_gsa,M_,oo_,options_,estim_params_,bayestopt_)
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% map_identification(OutputDirectoryName,opt_gsa,M_,oo_,options_,estim_params_,bayestopt_)
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% Inputs
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% - OutputDirectoryName [string] name of the output directory
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% - opt_gsa [structure] GSA options structure
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@ -58,16 +58,16 @@ fname_ = M_.fname;
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if opt_gsa.load_ident_files==0
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mss = yys(bayestopt_.mfys,:);
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mss = teff(mss(:,istable),Nsam,istable);
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yys = teff(yys(dr.order_var,istable),Nsam,istable);
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mss = gsa.teff(mss(:,istable),Nsam,istable);
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yys = gsa.teff(yys(dr.order_var,istable),Nsam,istable);
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if exist('T','var')
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[vdec, cc, ac] = mc_moments(T, lpmatx, dr, M_, options_, estim_params_);
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[vdec, cc, ac] = gsa.monte_carlo_moments(T, lpmatx, dr, M_, options_, estim_params_);
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else
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return
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end
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if opt_gsa.morris==2
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pdraws = dynare_identification(M_,oo_,options_,bayestopt_,estim_params_,options_.options_ident,[lpmatx lpmat(istable,:)]);
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pdraws = identification.run(M_,oo_,options_,bayestopt_,estim_params_,options_.options_ident,[lpmatx lpmat(istable,:)]);
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if ~isempty(pdraws) && max(max(abs(pdraws-[lpmatx lpmat(istable,:)])))==0
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disp(['Sample check OK. Largest difference: ', num2str(max(max(abs(pdraws-[lpmatx lpmat(istable,:)]))))]),
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clear pdraws;
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@ -84,7 +84,7 @@ if opt_gsa.load_ident_files==0
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end
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iplo=iplo+1;
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subplot(2,3,iplo)
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myboxplot(squeeze(vdec(:,j,:))',[],'.',[],10)
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gsa.boxplot(squeeze(vdec(:,j,:))',[],'.',[],10)
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set(gca,'xticklabel',' ','fontsize',10,'xtick',1:size(options_.varobs,1))
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set(gca,'xlim',[0.5 size(options_.varobs,1)+0.5])
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set(gca,'ylim',[-2 102])
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@ -105,11 +105,11 @@ if opt_gsa.load_ident_files==0
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end
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end
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for j=1:size(cc,1)
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cc(j,j,:)=stand_(squeeze(log(cc(j,j,:))))./2;
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cc(j,j,:)=gsa.standardize_columns(squeeze(log(cc(j,j,:))))./2;
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end
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[vdec, ~, ir_vdec, ic_vdec] = teff(vdec,Nsam,istable);
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[cc, ~, ir_cc, ic_cc] = teff(cc,Nsam,istable);
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[ac, ~, ir_ac, ic_ac] = teff(ac,Nsam,istable);
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[vdec, ~, ir_vdec, ic_vdec] = gsa.teff(vdec,Nsam,istable);
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[cc, ~, ir_cc, ic_cc] = gsa.teff(cc,Nsam,istable);
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[ac, ~, ir_ac, ic_ac] = gsa.teff(ac,Nsam,istable);
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nc1= size(T,2);
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endo_nbr = M_.endo_nbr;
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@ -123,7 +123,7 @@ if opt_gsa.load_ident_files==0
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[Aa,Bb] = kalman_transition_matrix(dr,iv,ic);
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A = zeros(size(Aa,1),size(Aa,2)+size(Aa,1),length(istable));
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if ~isempty(lpmatx)
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M_=set_shocks_param(M_,estim_params_,lpmatx(1,:));
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M_=gsa.set_shocks_param(M_,estim_params_,lpmatx(1,:));
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end
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A(:,:,1)=[Aa, triu(Bb*M_.Sigma_e*Bb')];
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for j=2:length(istable)
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@ -131,14 +131,14 @@ if opt_gsa.load_ident_files==0
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dr.ghu = T(:, (nc1-M_.exo_nbr+1):end, j);
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[Aa,Bb] = kalman_transition_matrix(dr, iv, ic);
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if ~isempty(lpmatx)
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M_=set_shocks_param(M_,estim_params_,lpmatx(j,:));
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M_=gsa.set_shocks_param(M_,estim_params_,lpmatx(j,:));
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end
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A(:,:,j)=[Aa, triu(Bb*M_.Sigma_e*Bb')];
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end
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clear T
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clear lpmatx
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[yt, j0]=teff(A,Nsam,istable);
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[yt, j0]=gsa.teff(A,Nsam,istable);
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yt = [yys yt];
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if opt_gsa.morris==2
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clear TAU A
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@ -155,7 +155,7 @@ if opt_gsa.morris==1
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if opt_gsa.load_ident_files==0
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SAMorris=NaN(npT,3,size(vdec,2));
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for i=1:size(vdec,2)
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[~, SAMorris(:,:,i)] = Morris_Measure_Groups(npT, [lpmat0 lpmat], vdec(:,i),nliv);
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[~, SAMorris(:,:,i)] = gsa.Morris_Measure_Groups(npT, [lpmat0 lpmat], vdec(:,i),nliv);
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end
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SAvdec = squeeze(SAMorris(:,1,:))';
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save([OutputDirectoryName,'/',fname_,'_morris_IDE.mat'],'SAvdec','vdec','ir_vdec','ic_vdec')
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@ -164,7 +164,7 @@ if opt_gsa.morris==1
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end
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hh_fig = dyn_figure(options_.nodisplay,'name','Screening identification: variance decomposition');
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myboxplot(SAvdec,[],'.',[],10)
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gsa.boxplot(SAvdec,[],'.',[],10)
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set(gca,'xticklabel',' ','fontsize',10,'xtick',1:npT)
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set(gca,'xlim',[0.5 npT+0.5])
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ydum = get(gca,'ylim');
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@ -190,7 +190,7 @@ if opt_gsa.morris==1
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ccac = [mss cc ac];
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SAMorris=NaN(npT,3,size(ccac,2));
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for i=1:size(ccac,2)
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[~, SAMorris(:,:,i)] = Morris_Measure_Groups(npT, [lpmat0 lpmat], [ccac(:,i)],nliv);
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[~, SAMorris(:,:,i)] = gsa.Morris_Measure_Groups(npT, [lpmat0 lpmat], [ccac(:,i)],nliv);
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end
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SAcc = squeeze(SAMorris(:,1,:))';
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SAcc = SAcc./(max(SAcc,[],2)*ones(1,npT));
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end
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hh_fig=dyn_figure(options_.nodisplay,'name','Screening identification: theoretical moments');
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myboxplot(SAcc,[],'.',[],10)
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gsa.boxplot(SAcc,[],'.',[],10)
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set(gca,'xticklabel',' ','fontsize',10,'xtick',1:npT)
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set(gca,'xlim',[0.5 npT+0.5])
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set(gca,'ylim',[0 1])
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@ -223,7 +223,7 @@ if opt_gsa.morris==1
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if opt_gsa.load_ident_files==0
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SAMorris=NaN(npT,3,j0);
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for j=1:j0
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[~, SAMorris(:,:,j)] = Morris_Measure_Groups(npT, [lpmat0 lpmat], yt(:,j),nliv);
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[~, SAMorris(:,:,j)] = gsa.Morris_Measure_Groups(npT, [lpmat0 lpmat], yt(:,j),nliv);
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end
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SAM = squeeze(SAMorris(1:end,1,:));
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@ -249,7 +249,7 @@ if opt_gsa.morris==1
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load([OutputDirectoryName,'/',fname_,'_morris_IDE'],'SAnorm')
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end
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hh_fig=dyn_figure(options_.nodisplay,'name','Screening identification: model');
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myboxplot(SAnorm',[],'.',[],10)
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gsa.boxplot(SAnorm',[],'.',[],10)
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set(gca,'xticklabel',' ','fontsize',10,'xtick',1:npT)
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set(gca,'xlim',[0.5 npT+0.5])
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set(gca,'ylim',[0 1])
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@ -297,7 +297,7 @@ else % main effects analysis
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catch
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EET=[];
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end
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ccac = stand_([mss cc ac]);
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ccac = gsa.standardize_columns([mss cc ac]);
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[pcc, dd] = eig(cov(ccac(istable,:)));
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[latent, isort] = sort(-diag(dd));
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latent = -latent;
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@ -314,7 +314,7 @@ else % main effects analysis
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if itrans==0
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y0 = ccac(istable,j);
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elseif itrans==1
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y0 = log_trans_(ccac(istable,j));
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y0 = gsa.log_transform(ccac(istable,j));
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else
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y0 = trank(ccac(istable,j));
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end
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@ -1,5 +1,5 @@
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function [rmse_MC, ixx] = filt_mc_(OutDir,options_gsa_,dataset_,dataset_info,M_,oo_,options_,bayestopt_,estim_params_)
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% [rmse_MC, ixx] = filt_mc_(OutDir,options_gsa_,dataset_,dataset_info,M_,oo_,options_,bayestopt_,estim_params_
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function [rmse_MC, ixx] = monte_carlo_filtering(OutDir,options_gsa_,dataset_,dataset_info,M_,oo_,options_,bayestopt_,estim_params_)
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% [rmse_MC, ixx] = monte_carlo_filtering(OutDir,options_gsa_,dataset_,dataset_info,M_,oo_,options_,bayestopt_,estim_params_
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% Inputs:
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% - OutputDirectoryName [string] name of the output directory
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% - options_gsa_ [structure] GSA options
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@ -288,7 +288,7 @@ options_scatter.OutputDirectoryName = OutDir;
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options_scatter.amcf_name = asname;
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options_scatter.amcf_title = atitle;
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options_scatter.title = tmp_title;
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scatter_analysis(r2_MC, x,options_scatter, options_);
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gsa.scatter_analysis(r2_MC, x,options_scatter, options_);
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% end of visual scatter analysis
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if ~options_.opt_gsa.ppost && options_.opt_gsa.lik_only
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@ -320,7 +320,7 @@ if ~options_.opt_gsa.ppost && options_.opt_gsa.lik_only
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options_mcf.nobeha_title_latex = 'worse posterior kernel';
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end
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mcf_analysis(x, ipost(1:nfilt), ipost(nfilt+1:end), options_mcf, M_, options_, bayestopt_, estim_params_);
|
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gsa.monte_carlo_filtering_analysis(x, ipost(1:nfilt), ipost(nfilt+1:end), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
if options_.opt_gsa.pprior
|
||||
anam = 'rmse_prior_lik';
|
||||
atitle = 'RMSE prior: Log Likelihood Kernel';
|
||||
|
@ -338,7 +338,7 @@ if ~options_.opt_gsa.ppost && options_.opt_gsa.lik_only
|
|||
options_mcf.nobeha_title_latex = 'worse likelihood';
|
||||
end
|
||||
|
||||
mcf_analysis(x, ilik(1:nfilt), ilik(nfilt+1:end), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
gsa.monte_carlo_filtering_analysis(x, ilik(1:nfilt), ilik(nfilt+1:end), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
|
||||
else
|
||||
if options_.opt_gsa.ppost
|
||||
|
@ -367,9 +367,9 @@ else
|
|||
SS = zeros(npar+nshock, length(vvarvecm));
|
||||
for j = 1:npar+nshock
|
||||
for i = 1:length(vvarvecm)
|
||||
[~, P] = smirnov(x(ixx(nfilt0(i)+1:end,i),j),x(ixx(1:nfilt0(i),i),j), alpha);
|
||||
[H1] = smirnov(x(ixx(nfilt0(i)+1:end,i),j),x(ixx(1:nfilt0(i),i),j),alpha,1);
|
||||
[H2] = smirnov(x(ixx(nfilt0(i)+1:end,i),j),x(ixx(1:nfilt0(i),i),j),alpha,-1);
|
||||
[~, P] = gsa.smirnov_test(x(ixx(nfilt0(i)+1:end,i),j),x(ixx(1:nfilt0(i),i),j), alpha);
|
||||
[H1] = gsa.smirnov_test(x(ixx(nfilt0(i)+1:end,i),j),x(ixx(1:nfilt0(i),i),j),alpha,1);
|
||||
[H2] = gsa.smirnov_test(x(ixx(nfilt0(i)+1:end,i),j),x(ixx(1:nfilt0(i),i),j),alpha,-1);
|
||||
if H1==0 && H2==0
|
||||
SS(j,i)=1;
|
||||
elseif H1==0
|
||||
|
@ -382,7 +382,7 @@ else
|
|||
for i = 1:length(vvarvecm)
|
||||
for l = 1:length(vvarvecm)
|
||||
if l~=i && PP(j,i)<alpha && PP(j,l)<alpha
|
||||
[~,P] = smirnov(x(ixx(1:nfilt0(i),i),j),x(ixx(1:nfilt0(l),l),j), alpha);
|
||||
[~,P] = gsa.smirnov_test(x(ixx(1:nfilt0(i),i),j),x(ixx(1:nfilt0(l),l),j), alpha);
|
||||
PPV(i,l,j) = P;
|
||||
elseif l==i
|
||||
PPV(i,l,j) = PP(j,i);
|
||||
|
@ -407,11 +407,11 @@ else
|
|||
hh_fig=dyn_figure(options_.nodisplay,'name',[temp_name,' ',int2str(ifig)]);
|
||||
end
|
||||
subplot(3,3,i-9*(ifig-1))
|
||||
h=cumplot(lnprior(ixx(1:nfilt0(i),i)));
|
||||
h=gsa.cumplot(lnprior(ixx(1:nfilt0(i),i)));
|
||||
set(h,'color','blue','linewidth',2)
|
||||
hold on, h=cumplot(lnprior);
|
||||
hold on, h=gsa.cumplot(lnprior);
|
||||
set(h,'color','k','linewidth',1)
|
||||
h=cumplot(lnprior(ixx(nfilt0(i)+1:end,i)));
|
||||
h=gsa.cumplot(lnprior(ixx(nfilt0(i)+1:end,i)));
|
||||
set(h,'color','red','linewidth',2)
|
||||
if options_.TeX
|
||||
title(vvarvecm_tex{i},'interpreter','latex')
|
||||
|
@ -459,11 +459,11 @@ else
|
|||
hh_fig = dyn_figure(options_.nodisplay,'Name',[temp_name,' ',int2str(ifig)]);
|
||||
end
|
||||
subplot(3,3,i-9*(ifig-1))
|
||||
h=cumplot(likelihood(ixx(1:nfilt0(i),i)));
|
||||
h=gsa.cumplot(likelihood(ixx(1:nfilt0(i),i)));
|
||||
set(h,'color','blue','linewidth',2)
|
||||
hold on, h=cumplot(likelihood);
|
||||
hold on, h=gsa.cumplot(likelihood);
|
||||
set(h,'color','k','linewidth',1)
|
||||
h=cumplot(likelihood(ixx(nfilt0(i)+1:end,i)));
|
||||
h=gsa.cumplot(likelihood(ixx(nfilt0(i)+1:end,i)));
|
||||
set(h,'color','red','linewidth',2)
|
||||
if options_.TeX
|
||||
title(vvarvecm_tex{i},'interpreter','latex')
|
||||
|
@ -514,11 +514,11 @@ else
|
|||
hh_fig = dyn_figure(options_.nodisplay,'Name',[temp_name,' ',int2str(ifig)]);
|
||||
end
|
||||
subplot(3,3,i-9*(ifig-1))
|
||||
h=cumplot(logpo2(ixx(1:nfilt0(i),i)));
|
||||
h=gsa.cumplot(logpo2(ixx(1:nfilt0(i),i)));
|
||||
set(h,'color','blue','linewidth',2)
|
||||
hold on, h=cumplot(logpo2);
|
||||
hold on, h=gsa.cumplot(logpo2);
|
||||
set(h,'color','k','linewidth',1)
|
||||
h=cumplot(logpo2(ixx(nfilt0(i)+1:end,i)));
|
||||
h=gsa.cumplot(logpo2(ixx(nfilt0(i)+1:end,i)));
|
||||
set(h,'color','red','linewidth',2)
|
||||
if options_.TeX
|
||||
title(vvarvecm_tex{i},'interpreter','latex')
|
||||
|
@ -756,7 +756,7 @@ else
|
|||
options_mcf.nobeha_title_latex = ['worse fit of ' vvarvecm_tex{iy}];
|
||||
end
|
||||
options_mcf.title = ['the fit of ' vvarvecm{iy}];
|
||||
mcf_analysis(x, ixx(1:nfilt0(iy),iy), ixx(nfilt0(iy)+1:end,iy), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
gsa.monte_carlo_filtering_analysis(x, ixx(1:nfilt0(iy),iy), ixx(nfilt0(iy)+1:end,iy), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
end
|
||||
for iy = 1:length(vvarvecm)
|
||||
ipar = find(any(squeeze(PPV(iy,:,:))<alpha));
|
||||
|
@ -764,20 +764,20 @@ else
|
|||
hh_fig = dyn_figure(options_.nodisplay,'name',[temp_name,' observed variable ', vvarvecm{iy}]);
|
||||
for j=1+5*(ix-1):min(length(ipar),5*ix)
|
||||
subplot(2,3,j-5*(ix-1))
|
||||
h0=cumplot(x(:,ipar(j)));
|
||||
h0=gsa.cumplot(x(:,ipar(j)));
|
||||
set(h0,'color',[0 0 0])
|
||||
hold on,
|
||||
iobs=find(squeeze(PPV(iy,:,ipar(j)))<alpha);
|
||||
for i = 1:length(vvarvecm)
|
||||
if any(iobs==i) || i==iy
|
||||
h0=cumplot(x(ixx(1:nfilt0(i),i),ipar(j)));
|
||||
h0=gsa.cumplot(x(ixx(1:nfilt0(i),i),ipar(j)));
|
||||
if ~isoctave
|
||||
hcmenu = uicontextmenu;
|
||||
uimenu(hcmenu,'Label',vvarvecm{i});
|
||||
set(h0,'uicontextmenu',hcmenu)
|
||||
end
|
||||
else
|
||||
h0=cumplot(x(ixx(1:nfilt0(i),i),ipar(j))*NaN);
|
||||
h0=gsa.cumplot(x(ixx(1:nfilt0(i),i),ipar(j))*NaN);
|
||||
end
|
||||
set(h0,'color',a00(i,:),'linewidth',2)
|
||||
end
|
||||
|
@ -829,15 +829,15 @@ else
|
|||
hh_fig = dyn_figure(options_.nodisplay,'name',[temp_name,' estimated params and shocks ',int2str(ix)]);
|
||||
for j=1+5*(ix-1):min(size(snam2,1),5*ix)
|
||||
subplot(2,3,j-5*(ix-1))
|
||||
h0=cumplot(x(:,nsnam(j)));
|
||||
h0=gsa.cumplot(x(:,nsnam(j)));
|
||||
set(h0,'color',[0 0 0])
|
||||
hold on,
|
||||
npx=find(SP(nsnam(j),:)==0);
|
||||
for i = 1:length(vvarvecm)
|
||||
if any(npx==i)
|
||||
h0=cumplot(x(ixx(1:nfilt0(i),i),nsnam(j))*NaN);
|
||||
h0=gsa.cumplot(x(ixx(1:nfilt0(i),i),nsnam(j))*NaN);
|
||||
else
|
||||
h0=cumplot(x(ixx(1:nfilt0(i),i),nsnam(j)));
|
||||
h0=gsa.cumplot(x(ixx(1:nfilt0(i),i),nsnam(j)));
|
||||
if ~isoctave
|
||||
hcmenu = uicontextmenu;
|
||||
uimenu(hcmenu,'Label', vvarvecm{i});
|
|
@ -1,5 +1,5 @@
|
|||
function indmcf = mcf_analysis(lpmat, ibeha, inobeha, options_mcf, M_, options_, bayestopt_, estim_params_)
|
||||
% indmcf = mcf_analysis(lpmat, ibeha, inobeha, options_mcf, M_, options_, bayestopt_, estim_params_)
|
||||
function indmcf = monte_carlo_filtering_analysis(lpmat, ibeha, inobeha, options_mcf, M_, options_, bayestopt_, estim_params_)
|
||||
% indmcf = monte_carlo_filtering_analysis(lpmat, ibeha, inobeha, options_mcf, M_, options_, bayestopt_, estim_params_)
|
||||
% Inputs:
|
||||
% - lpmat [double] Monte Carlo matrix
|
||||
% - ibeha [integer] index of behavioural runs
|
||||
|
@ -66,7 +66,7 @@ if isfield(options_mcf,'xparam1')
|
|||
end
|
||||
OutputDirectoryName = options_mcf.OutputDirectoryName;
|
||||
|
||||
[proba, dproba] = stab_map_1(lpmat, ibeha, inobeha, [],fname_, options_, bayestopt_.name, estim_params_,0);
|
||||
[proba, dproba] = gsa.stability_mapping_univariate(lpmat, ibeha, inobeha, [],fname_, options_, bayestopt_.name, estim_params_,0);
|
||||
indmcf=find(proba<pvalue_ks);
|
||||
[~,jtmp] = sort(proba(indmcf),1,'ascend');
|
||||
indmcf = indmcf(jtmp);
|
||||
|
@ -87,11 +87,11 @@ end
|
|||
|
||||
if length(ibeha)>10 && length(inobeha)>10
|
||||
if options_.TeX
|
||||
indcorr1 = stab_map_2(lpmat(ibeha,:),alpha2, pvalue_corr, M_, options_, bayestopt_, estim_params_, beha_title, beha_title_latex);
|
||||
indcorr2 = stab_map_2(lpmat(inobeha,:),alpha2, pvalue_corr, M_, options_, bayestopt_, estim_params_, nobeha_title, nobeha_title_latex);
|
||||
indcorr1 = gsa.stability_mapping_bivariate(lpmat(ibeha,:),alpha2, pvalue_corr, M_, options_, bayestopt_, estim_params_, beha_title, beha_title_latex);
|
||||
indcorr2 = gsa.stability_mapping_bivariate(lpmat(inobeha,:),alpha2, pvalue_corr, M_, options_, bayestopt_, estim_params_, nobeha_title, nobeha_title_latex);
|
||||
else
|
||||
indcorr1 = stab_map_2(lpmat(ibeha,:),alpha2, pvalue_corr, M_, options_, bayestopt_, estim_params_, beha_title);
|
||||
indcorr2 = stab_map_2(lpmat(inobeha,:),alpha2, pvalue_corr, M_, options_, bayestopt_, estim_params_, nobeha_title);
|
||||
indcorr1 = gsa.stability_mapping_bivariate(lpmat(ibeha,:),alpha2, pvalue_corr, M_, options_, bayestopt_, estim_params_, beha_title);
|
||||
indcorr2 = gsa.stability_mapping_bivariate(lpmat(inobeha,:),alpha2, pvalue_corr, M_, options_, bayestopt_, estim_params_, nobeha_title);
|
||||
end
|
||||
indcorr = union(indcorr1(:), indcorr2(:));
|
||||
indcorr = indcorr(~ismember(indcorr(:),indmcf));
|
||||
|
@ -104,11 +104,11 @@ if ~isempty(indmcf) && ~options_.nograph
|
|||
xx=xparam1(indmcf);
|
||||
end
|
||||
if options_.TeX
|
||||
scatter_mcf(lpmat(ibeha,indmcf),lpmat(inobeha,indmcf), param_names_tex(indmcf), ...
|
||||
gsa.scatter_mcf(lpmat(ibeha,indmcf),lpmat(inobeha,indmcf), param_names_tex(indmcf), ...
|
||||
'.', [fname_,'_',amcf_name], OutputDirectoryName, amcf_title,xx, options_, ...
|
||||
beha_title, nobeha_title, beha_title_latex, nobeha_title_latex)
|
||||
else
|
||||
scatter_mcf(lpmat(ibeha,indmcf),lpmat(inobeha,indmcf), param_names_tex(indmcf), ...
|
||||
gsa.scatter_mcf(lpmat(ibeha,indmcf),lpmat(inobeha,indmcf), param_names_tex(indmcf), ...
|
||||
'.', [fname_,'_',amcf_name], OutputDirectoryName, amcf_title,xx, options_, ...
|
||||
beha_title, nobeha_title)
|
||||
end
|
|
@ -1,5 +1,5 @@
|
|||
function [vdec, cc, ac] = mc_moments(mm, ss, dr, M_, options_, estim_params_)
|
||||
% [vdec, cc, ac] = mc_moments(mm, ss, dr, M_, options_,estim_params_)
|
||||
function [vdec, cc, ac] = monte_carlo_moments(mm, ss, dr, M_, options_, estim_params_)
|
||||
% [vdec, cc, ac] = monte_carlo_moments(mm, ss, dr, M_, options_,estim_params_)
|
||||
% Conduct Monte Carlo simulation of second moments for GSA
|
||||
% Inputs:
|
||||
% - dr [structure] decision rules
|
||||
|
@ -32,7 +32,7 @@ function [vdec, cc, ac] = mc_moments(mm, ss, dr, M_, options_, estim_params_)
|
|||
|
||||
[~, nc1, nsam] = size(mm);
|
||||
nobs=length(options_.varobs);
|
||||
disp('mc_moments: Computing theoretical moments ...')
|
||||
disp('monte_carlo_moments: Computing theoretical moments ...')
|
||||
h = dyn_waitbar(0,'Theoretical moments ...');
|
||||
vdec = zeros(nobs,M_.exo_nbr,nsam);
|
||||
cc = zeros(nobs,nobs,nsam);
|
||||
|
@ -42,9 +42,9 @@ for j=1:nsam
|
|||
dr.ghx = mm(:, 1:(nc1-M_.exo_nbr),j);
|
||||
dr.ghu = mm(:, (nc1-M_.exo_nbr+1):end, j);
|
||||
if ~isempty(ss)
|
||||
M_=set_shocks_param(M_,estim_params_,ss(j,:));
|
||||
M_=gsa.set_shocks_param(M_,estim_params_,ss(j,:));
|
||||
end
|
||||
[vdec(:,:,j), corr, autocorr] = th_moments(dr,options_,M_);
|
||||
[vdec(:,:,j), corr, autocorr] = gsa.th_moments(dr,options_,M_);
|
||||
cc(:,:,j)=triu(corr);
|
||||
dum=NaN(nobs,nobs*options_.ar);
|
||||
for i=1:options_.ar
|
|
@ -1,4 +1,5 @@
|
|||
function pdraw = prior_draw_gsa(M_,bayestopt_,options_,estim_params_,init,rdraw)
|
||||
function pdraw = prior_draw(M_,bayestopt_,options_,estim_params_,init,rdraw)
|
||||
% pdraw = prior_draw(M_,bayestopt_,options_,estim_params_,init,rdraw)
|
||||
% Draws from the prior distributions for use with Sensitivity Toolbox for DYNARE
|
||||
%
|
||||
% INPUTS
|
|
@ -1,5 +1,5 @@
|
|||
function redform_map(dirname,options_gsa_,M_,estim_params_,options_,bayestopt_,oo_)
|
||||
% redform_map(dirname,options_gsa_,M_,estim_params_,options_,bayestopt_,oo_)
|
||||
function reduced_form_mapping(dirname,options_gsa_,M_,estim_params_,options_,bayestopt_,oo_)
|
||||
% reduced_form_mapping(dirname,options_gsa_,M_,estim_params_,options_,bayestopt_,oo_)
|
||||
% Inputs:
|
||||
% - dirname [string] name of the output directory
|
||||
% - options_gsa_ [structure] GSA options_
|
||||
|
@ -85,7 +85,7 @@ options_mcf.fname_ = M_.fname;
|
|||
options_mcf.OutputDirectoryName = adir;
|
||||
|
||||
if ~exist('T','var')
|
||||
stab_map_(dirname,options_gsa_,M_,oo_,options_,bayestopt_,estim_params_);
|
||||
gsa.stability_mapping(dirname,options_gsa_,M_,oo_,options_,bayestopt_,estim_params_);
|
||||
if pprior
|
||||
load([dirname,filesep,M_.fname,'_prior'],'T');
|
||||
else
|
||||
|
@ -182,14 +182,14 @@ for j = 1:length(anamendo)
|
|||
end
|
||||
if ~options_.nograph
|
||||
hf=dyn_figure(options_.nodisplay,'name',['Reduced Form Mapping (Monte Carlo Filtering): ',namendo,' vs ', namexo]);
|
||||
hc = cumplot(y0);
|
||||
hc = gsa.cumplot(y0);
|
||||
a=axis; delete(hc);
|
||||
x1val=max(threshold(1),a(1));
|
||||
x2val=min(threshold(2),a(2));
|
||||
hp = patch([x1val x2val x2val x1val],a([3 3 4 4]),'b');
|
||||
set(hp,'FaceColor', [0.7 0.8 1])
|
||||
hold all,
|
||||
hc = cumplot(y0);
|
||||
hc = gsa.cumplot(y0);
|
||||
set(hc,'color','k','linewidth',2)
|
||||
hold off,
|
||||
if options_.TeX
|
||||
|
@ -218,7 +218,7 @@ for j = 1:length(anamendo)
|
|||
options_mcf.OutputDirectoryName = xdir;
|
||||
if ~isempty(iy) && ~isempty(iyc)
|
||||
fprintf(['%4.1f%% of the ',type,' support matches ',atitle0,'\n'],length(iy)/length(y0)*100)
|
||||
icheck = mcf_analysis(x0, iy, iyc, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
icheck = gsa.monte_carlo_filtering_analysis(x0, iy, iyc, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
|
||||
lpmat=x0(iy,:);
|
||||
if nshocks
|
||||
|
@ -349,14 +349,14 @@ for j = 1:length(anamendo)
|
|||
end
|
||||
if ~options_.nograph
|
||||
hf=dyn_figure(options_.nodisplay,'name',['Reduced Form Mapping (Monte Carlo Filtering): ',namendo,' vs lagged ', namlagendo]);
|
||||
hc = cumplot(y0);
|
||||
hc = gsa.cumplot(y0);
|
||||
a=axis; delete(hc);
|
||||
x1val=max(threshold(1),a(1));
|
||||
x2val=min(threshold(2),a(2));
|
||||
hp = patch([x1val x2val x2val x1val],a([3 3 4 4]),'b');
|
||||
set(hp,'FaceColor', [0.7 0.8 1])
|
||||
hold all,
|
||||
hc = cumplot(y0);
|
||||
hc = gsa.cumplot(y0);
|
||||
set(hc,'color','k','linewidth',2)
|
||||
hold off
|
||||
if options_.TeX
|
||||
|
@ -387,7 +387,7 @@ for j = 1:length(anamendo)
|
|||
if ~isempty(iy) && ~isempty(iyc)
|
||||
|
||||
fprintf(['%4.1f%% of the ',type,' support matches ',atitle0,'\n'],length(iy)/length(y0)*100)
|
||||
icheck = mcf_analysis(x0, iy, iyc, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
icheck = gsa.monte_carlo_filtering_analysis(x0, iy, iyc, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
|
||||
lpmat=x0(iy,:);
|
||||
if nshocks
|
||||
|
@ -476,9 +476,9 @@ end
|
|||
if isempty(threshold) && ~options_.nograph
|
||||
hh_fig=dyn_figure(options_.nodisplay,'name','Reduced Form GSA');
|
||||
if ilog==0
|
||||
myboxplot(si',[],'.',[],10)
|
||||
gsa.boxplot(si',[],'.',[],10)
|
||||
else
|
||||
myboxplot(silog',[],'.',[],10)
|
||||
gsa.boxplot(silog',[],'.',[],10)
|
||||
end
|
||||
xlabel(' ')
|
||||
set(gca,'xticklabel',' ','fontsize',10,'xtick',1:np)
|
||||
|
@ -513,7 +513,7 @@ if options_map.prior_range
|
|||
x0(:,j)=(x0(:,j)-pd(j,3))./(pd(j,4)-pd(j,3));
|
||||
end
|
||||
else
|
||||
x0=priorcdf(x0,pshape, pd(:,1), pd(:,2), pd(:,3), pd(:,4));
|
||||
x0=gsa.priorcdf(x0,pshape, pd(:,1), pd(:,2), pd(:,3), pd(:,4));
|
||||
end
|
||||
|
||||
if ilog
|
||||
|
@ -549,7 +549,7 @@ if iload==0
|
|||
ipred = setdiff(1:nrun,ifit);
|
||||
|
||||
if ilog
|
||||
[~, ~, isig, lam] = log_trans_(y0(iest));
|
||||
[~, ~, isig, lam] = gsa.log_transform(y0(iest));
|
||||
y1 = log(y0*isig+lam);
|
||||
end
|
||||
if ~options_.nograph
|
||||
|
@ -571,9 +571,9 @@ if iload==0
|
|||
title(options_map.title,'interpreter','none')
|
||||
subplot(222)
|
||||
if ilog
|
||||
hc = cumplot(y1);
|
||||
hc = gsa.cumplot(y1);
|
||||
else
|
||||
hc = cumplot(y0);
|
||||
hc = gsa.cumplot(y0);
|
||||
end
|
||||
set(hc,'color','k','linewidth',2)
|
||||
title([options_map.title ' CDF'],'interpreter','none')
|
||||
|
@ -620,7 +620,7 @@ if iload==0
|
|||
if nfit<nrun
|
||||
if ilog
|
||||
yf = ss_anova_fcast(x0(ipred,:), gsa1);
|
||||
yf = log_trans_(yf,'',isig,lam)+ss_anova_fcast(x0(ipred,:), gsax);
|
||||
yf = gsa.log_transform(yf,'',isig,lam)+ss_anova_fcast(x0(ipred,:), gsax);
|
||||
else
|
||||
yf = ss_anova_fcast(x0(ipred,:), gsa_);
|
||||
end
|
||||
|
@ -657,7 +657,7 @@ function gsa2 = log2level_map(gsa1, isig, lam)
|
|||
nest=length(gsa1.y);
|
||||
np = size(gsa1.x0,2);
|
||||
gsa2=gsa1;
|
||||
gsa2.y = log_trans_(gsa1.y,'',isig,lam);
|
||||
gsa2.y = gsa.log_transform(gsa1.y,'',isig,lam);
|
||||
gsa2.fit = (exp(gsa1.fit)-lam)*isig;
|
||||
gsa2.f0 = mean(gsa2.fit);
|
||||
gsa2.out.SSE = sum((gsa2.fit-gsa2.y).^2);
|
||||
|
@ -727,7 +727,7 @@ for jt=1:10
|
|||
indy{jt}=find( (y0>post_deciles(jt)) & (y0<=post_deciles(jt+1)));
|
||||
leg{jt}=[int2str(jt) '-dec'];
|
||||
end
|
||||
[proba] = stab_map_1(x0, indy{1}, indy{end}, [], fname, options_, parnames, estim_params_,0);
|
||||
[proba] = gsa.stability_mapping_univariate(x0, indy{1}, indy{end}, [], fname, options_, parnames, estim_params_,0);
|
||||
indmcf=find(proba<options_mcf.pvalue_ks);
|
||||
if isempty(indmcf)
|
||||
[~,jtmp] = sort(proba,1,'ascend');
|
||||
|
@ -747,7 +747,7 @@ for jx=1:nbr_par
|
|||
subplot(nrow,ncol,jx)
|
||||
hold off
|
||||
for jt=1:10
|
||||
h=cumplot(x0(indy{jt},indmcf(jx)));
|
||||
h=gsa.cumplot(x0(indy{jt},indmcf(jx)));
|
||||
set(h,'color', cmap(jt,:), 'linewidth', 2)
|
||||
hold all
|
||||
end
|
||||
|
@ -782,7 +782,7 @@ if nargin<5
|
|||
end
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([figpath '.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by redform_map.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by reduced_form_mapping.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
|
@ -1,5 +1,5 @@
|
|||
function redform_screen(dirname, options_gsa_, estim_params_, M_, dr, options_, bayestopt_)
|
||||
% redform_screen(dirname, options_gsa_, estim_params_, M_, dr, options_, bayestopt_)
|
||||
function reduced_form_screening(dirname, options_gsa_, estim_params_, M_, dr, options_, bayestopt_)
|
||||
% reduced_form_screening(dirname, options_gsa_, estim_params_, M_, dr, options_, bayestopt_)
|
||||
% Conduct reduced form screening
|
||||
% Inputs:
|
||||
% - dirname [string] name of the output directory
|
||||
|
@ -72,7 +72,7 @@ for j=1:size(anamendo,1)
|
|||
namexo_tex = anamexo_tex{jx};
|
||||
iexo = strmatch(namexo, M_.exo_names, 'exact');
|
||||
if ~isempty(iexo)
|
||||
y0=teff(T(iendo,iexo+nspred,:), kn, istable);
|
||||
y0=gsa.teff(T(iendo,iexo+nspred,:), kn, istable);
|
||||
if ~isempty(y0)
|
||||
if mod(iplo,9)==0
|
||||
ifig = ifig+1;
|
||||
|
@ -82,7 +82,7 @@ for j=1:size(anamendo,1)
|
|||
iplo = iplo+1;
|
||||
js = js+1;
|
||||
subplot(3, 3, iplo)
|
||||
[~, SAMorris] = Morris_Measure_Groups(np+nshock, [lpmat0 lpmat], y0, nliv);
|
||||
[~, SAMorris] = gsa.Morris_Measure_Groups(np+nshock, [lpmat0 lpmat], y0, nliv);
|
||||
SAM = squeeze(SAMorris(nshock+1:end,1));
|
||||
SA(:,js) = SAM./(max(SAM)+eps);
|
||||
[~, iso] = sort(-SA(:,js));
|
||||
|
@ -122,7 +122,7 @@ for j=1:size(anamendo,1)
|
|||
ilagendo=strmatch(namlagendo, M_.endo_names(dr.order_var(M_.nstatic+1:M_.nstatic+nsok)), 'exact');
|
||||
|
||||
if ~isempty(ilagendo)
|
||||
y0=teff(T(iendo,ilagendo,:),kn,istable);
|
||||
y0=gsa.teff(T(iendo,ilagendo,:),kn,istable);
|
||||
if ~isempty(y0)
|
||||
if mod(iplo,9)==0
|
||||
ifig=ifig+1;
|
||||
|
@ -132,7 +132,7 @@ for j=1:size(anamendo,1)
|
|||
iplo=iplo+1;
|
||||
js=js+1;
|
||||
subplot(3,3,iplo),
|
||||
[~, SAMorris] = Morris_Measure_Groups(np+nshock, [lpmat0 lpmat], y0,nliv);
|
||||
[~, SAMorris] = gsa.Morris_Measure_Groups(np+nshock, [lpmat0 lpmat], y0,nliv);
|
||||
SAM = squeeze(SAMorris(nshock+1:end,1));
|
||||
SA(:,js)=SAM./(max(SAM)+eps);
|
||||
[~, iso] = sort(-SA(:,js));
|
||||
|
@ -166,7 +166,7 @@ for j=1:size(anamendo,1)
|
|||
end
|
||||
|
||||
hh_fig=dyn_figure(options_.nodisplay,'Name','Reduced form screening');
|
||||
myboxplot(SA',[],'.',[],10)
|
||||
gsa.boxplot(SA',[],'.',[],10)
|
||||
set(gca,'xticklabel',' ','fontsize',10,'xtick',1:np)
|
||||
set(gca,'xlim',[0.5 np+0.5])
|
||||
set(gca,'ylim',[0 1])
|
||||
|
@ -191,7 +191,7 @@ if nargin<6
|
|||
end
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([figpath '.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by redform_screen.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by reduced_form_screening.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
|
@ -1,5 +1,5 @@
|
|||
function x0=dynare_sensitivity(M_,oo_,options_,bayestopt_,estim_params_,options_gsa)
|
||||
% x0=dynare_sensitivity(M_,oo_,options_,bayestopt_,estim_params_,options_gsa)
|
||||
function x0=run(M_,oo_,options_,bayestopt_,estim_params_,options_gsa)
|
||||
% x0=run(M_,oo_,options_,bayestopt_,estim_params_,options_gsa)
|
||||
% Frontend to the Sensitivity Analysis Toolbox for DYNARE
|
||||
% Inputs:
|
||||
% - M_ [structure] Matlab's structure describing the model
|
||||
|
@ -306,7 +306,7 @@ if (options_gsa.load_stab || options_gsa.load_rmse || options_gsa.load_redform)
|
|||
end
|
||||
|
||||
if options_gsa.stab && ~options_gsa.ppost
|
||||
x0 = stab_map_(OutputDirectoryName,options_gsa,M_,oo_,options_,bayestopt_,estim_params_);
|
||||
x0 = gsa.stability_mapping(OutputDirectoryName,options_gsa,M_,oo_,options_,bayestopt_,estim_params_);
|
||||
if isempty(x0)
|
||||
skipline()
|
||||
disp('Sensitivity computations stopped: no parameter set provided a unique solution')
|
||||
|
@ -316,11 +316,11 @@ end
|
|||
|
||||
options_.opt_gsa = options_gsa;
|
||||
if ~isempty(options_gsa.moment_calibration) || ~isempty(options_gsa.irf_calibration)
|
||||
map_calibration(OutputDirectoryName, M_, options_, oo_, estim_params_,bayestopt_);
|
||||
gsa.map_calibration(OutputDirectoryName, M_, options_, oo_, estim_params_,bayestopt_);
|
||||
end
|
||||
|
||||
if options_gsa.identification
|
||||
map_ident_(OutputDirectoryName,options_gsa,M_,oo_,options_,estim_params_,bayestopt_);
|
||||
gsa.map_identification(OutputDirectoryName,options_gsa,M_,oo_,options_,estim_params_,bayestopt_);
|
||||
end
|
||||
|
||||
if options_gsa.redform && ~isempty(options_gsa.namendo)
|
||||
|
@ -346,10 +346,10 @@ if options_gsa.redform && ~isempty(options_gsa.namendo)
|
|||
save([OutputDirectoryName filesep M_.fname '_mc.mat'],'lpmat','lpmat0','istable','iunstable','iwrong','iindeterm')
|
||||
options_gsa.load_stab=1;
|
||||
|
||||
x0 = stab_map_(OutputDirectoryName,options_gsa,M_,oo_,options_,bayestopt_,estim_params_);
|
||||
x0 = gsa.stability_mapping(OutputDirectoryName,options_gsa,M_,oo_,options_,bayestopt_,estim_params_);
|
||||
end
|
||||
if options_gsa.morris==1
|
||||
redform_screen(OutputDirectoryName,options_gsa, estim_params_, M_, oo_.dr, options_, bayestopt_);
|
||||
gsa.reduced_form_screening(OutputDirectoryName,options_gsa, estim_params_, M_, oo_.dr, options_, bayestopt_);
|
||||
else
|
||||
% check existence of the SS_ANOVA toolbox
|
||||
if isempty(options_gsa.threshold_redform) && ~(exist('gsa_sdp','file')==6 || exist('gsa_sdp','file')==2)
|
||||
|
@ -360,7 +360,7 @@ if options_gsa.redform && ~isempty(options_gsa.namendo)
|
|||
fprintf('After obtaining the files, you need to unpack them and set a Matlab Path to those files.\n')
|
||||
error('SS-ANOVA-R Toolbox missing!')
|
||||
end
|
||||
redform_map(OutputDirectoryName,options_gsa,M_,estim_params_,options_,bayestopt_,oo_);
|
||||
gsa.reduced_form_mapping(OutputDirectoryName,options_gsa,M_,estim_params_,options_,bayestopt_,oo_);
|
||||
end
|
||||
end
|
||||
% RMSE mapping
|
||||
|
@ -415,7 +415,7 @@ if options_gsa.rmse
|
|||
end
|
||||
end
|
||||
clear a;
|
||||
filt_mc_(OutputDirectoryName,options_gsa,dataset_,dataset_info,M_,oo_,options_,bayestopt_,estim_params_);
|
||||
gsa.monte_carlo_filtering(OutputDirectoryName,options_gsa,dataset_,dataset_info,M_,oo_,options_,bayestopt_,estim_params_);
|
||||
end
|
||||
options_.opt_gsa = options_gsa;
|
||||
|
|
@ -50,8 +50,8 @@ if ~options_.nograph
|
|||
xx=xparam1;
|
||||
end
|
||||
if options_.TeX
|
||||
scatter_plots(lpmat, xdata, param_names_tex, '.', [fname_, '_', amcf_name], OutputDirectoryName, amcf_title, xx, options_)
|
||||
gsa.scatter_plots(lpmat, xdata, param_names_tex, '.', [fname_, '_', amcf_name], OutputDirectoryName, amcf_title, xx, options_)
|
||||
else
|
||||
scatter_plots(lpmat, xdata, param_names, '.', [fname_, '_', amcf_name], OutputDirectoryName, amcf_title, xx, options_)
|
||||
gsa.scatter_plots(lpmat, xdata, param_names, '.', [fname_, '_', amcf_name], OutputDirectoryName, amcf_title, xx, options_)
|
||||
end
|
||||
end
|
|
@ -96,10 +96,10 @@ for i = 1:p
|
|||
for j = 1:p
|
||||
h = axes('position',[fL(i),fL(p+1-j),ffl,ffl]);
|
||||
if i==j
|
||||
h1=cumplot(X(:,j));
|
||||
h1=gsa.cumplot(X(:,j));
|
||||
set(h1,'color',[0 0 1],'LineWidth',1.5)
|
||||
hold on,
|
||||
h2=cumplot(Y(:,j));
|
||||
h2=gsa.cumplot(Y(:,j));
|
||||
set(h2,'color',[1 0 0],'LineWidth',1.5)
|
||||
if ~isempty(xparam1)
|
||||
hold on, plot(xparam1([j j]),[0 1],'k--')
|
|
@ -86,7 +86,7 @@ for i = 1:p
|
|||
for j = 1:p
|
||||
h = axes('position',[fL(i),fL(p+1-j),ffl,ffl]);
|
||||
if i==j
|
||||
h1=cumplot(X(:,j));
|
||||
h1=gsa.cumplot(X(:,j));
|
||||
set(h,'Tag','cumplot')
|
||||
set(h1,'color',[0 0 1],'LineWidth',1.5)
|
||||
if ~isempty(xparam1)
|
|
@ -1,5 +1,5 @@
|
|||
function s=gsa_skewness(y)
|
||||
% s=gsa_skewness(y)
|
||||
function s=skewness(y)
|
||||
% s=skewness(y)
|
||||
% Compute normalized skewness of y
|
||||
% Inputs:
|
||||
% - y [double] input vector
|
|
@ -1,7 +1,7 @@
|
|||
function [H,prob,d] = smirnov(x1 , x2 , alpha, iflag )
|
||||
function [H,prob,d] = smirnov_test(x1 , x2 , alpha, iflag )
|
||||
% [H,prob,d] = smirnov_test(x1 , x2 , alpha, iflag )
|
||||
% Smirnov test for 2 distributions
|
||||
% [H,prob,d] = smirnov(x1 , x2 , alpha, iflag )
|
||||
%
|
||||
|
||||
% Written by Marco Ratto
|
||||
% Joint Research Centre, The European Commission,
|
||||
% marco.ratto@ec.europa.eu
|
|
@ -1,5 +1,5 @@
|
|||
function x0 = stab_map_(OutputDirectoryName,opt_gsa,M_,oo_,options_,bayestopt_,estim_params_)
|
||||
% x0 = stab_map_(OutputDirectoryName,opt_gsa,M_,oo_,options_,bayestopt_,estim_params_)
|
||||
function x0 = stability_mapping(OutputDirectoryName,opt_gsa,M_,oo_,options_,bayestopt_,estim_params_)
|
||||
% x0 = stability_mapping(OutputDirectoryName,opt_gsa,M_,oo_,options_,bayestopt_,estim_params_)
|
||||
% Mapping of stability regions in the prior ranges applying
|
||||
% Monte Carlo filtering techniques.
|
||||
%
|
||||
|
@ -37,7 +37,7 @@ function x0 = stab_map_(OutputDirectoryName,opt_gsa,M_,oo_,options_,bayestopt_,e
|
|||
% 3) Bivariate plots of significant correlation patterns
|
||||
% ( abs(corrcoef) > alpha2) under the stable and unacceptable subsets
|
||||
%
|
||||
% USES qmc_sequence, stab_map_1, stab_map_2
|
||||
% USES qmc_sequence, gsa.stability_mapping_univariate, gsa.stability_mapping_bivariate
|
||||
%
|
||||
% Written by Marco Ratto
|
||||
% Joint Research Centre, The European Commission,
|
||||
|
@ -147,7 +147,7 @@ if fload==0 %run new MC
|
|||
yys=zeros(length(dr_.ys),Nsam);
|
||||
|
||||
if opt_gsa.morris == 1
|
||||
[lpmat] = Sampling_Function_2(nliv, np+nshock, ntra, ones(np+nshock, 1), zeros(np+nshock,1), []);
|
||||
[lpmat] = gsa.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);
|
||||
|
@ -167,7 +167,7 @@ if fload==0 %run new MC
|
|||
end
|
||||
end
|
||||
end
|
||||
prior_draw_gsa(M_,bayestopt_,options_,estim_params_,1); %initialize
|
||||
gsa.prior_draw(M_,bayestopt_,options_,estim_params_,1); %initialize
|
||||
if pprior
|
||||
for j=1:nshock
|
||||
if opt_gsa.morris~=1
|
||||
|
@ -184,7 +184,7 @@ if fload==0 %run new MC
|
|||
lpmat(:,j)=lpmat(:,j).*(upper_bound-lower_bound)+lower_bound;
|
||||
end
|
||||
else
|
||||
xx=prior_draw_gsa(M_,bayestopt_,options_,estim_params_,0,[lpmat0 lpmat]);
|
||||
xx=gsa.prior_draw(M_,bayestopt_,options_,estim_params_,0,[lpmat0 lpmat]);
|
||||
lpmat0=xx(:,1:nshock);
|
||||
lpmat=xx(:,nshock+1:end);
|
||||
clear xx;
|
||||
|
@ -500,7 +500,7 @@ if ~isempty(iunstable) || ~isempty(iwrong)
|
|||
options_mcf.nobeha_title_latex = 'NO unique Stable Saddle-Path';
|
||||
end
|
||||
options_mcf.title = 'unique solution';
|
||||
mcf_analysis(lpmat, istable, itmp, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
gsa.monte_carlo_filtering_analysis(lpmat, istable, itmp, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
|
||||
if ~isempty(iindeterm)
|
||||
itmp = isolve(~ismember(isolve,iindeterm));
|
||||
|
@ -513,7 +513,7 @@ if ~isempty(iunstable) || ~isempty(iwrong)
|
|||
options_mcf.nobeha_title_latex = 'indeterminacy';
|
||||
end
|
||||
options_mcf.title = 'indeterminacy';
|
||||
mcf_analysis(lpmat, itmp, iindeterm, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
gsa.monte_carlo_filtering_analysis(lpmat, itmp, iindeterm, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
end
|
||||
|
||||
if ~isempty(ixun)
|
||||
|
@ -527,7 +527,7 @@ if ~isempty(iunstable) || ~isempty(iwrong)
|
|||
options_mcf.nobeha_title_latex = 'explosive solution';
|
||||
end
|
||||
options_mcf.title = 'instability';
|
||||
mcf_analysis(lpmat, itmp, ixun, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
gsa.monte_carlo_filtering_analysis(lpmat, itmp, ixun, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
end
|
||||
|
||||
inorestriction = istable(~ismember(istable,irestriction)); % violation of prior restrictions
|
||||
|
@ -543,7 +543,7 @@ if ~isempty(iunstable) || ~isempty(iwrong)
|
|||
options_mcf.nobeha_title_latex = 'inability to find a solution';
|
||||
end
|
||||
options_mcf.title = 'inability to find a solution';
|
||||
mcf_analysis(lpmat, itmp, iwrong, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
gsa.monte_carlo_filtering_analysis(lpmat, itmp, iwrong, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
end
|
||||
|
||||
if ~isempty(irestriction)
|
||||
|
@ -576,7 +576,7 @@ if ~isempty(iunstable) || ~isempty(iwrong)
|
|||
options_mcf.nobeha_title_latex = 'NO prior IRF/moment calibration';
|
||||
end
|
||||
options_mcf.title = 'prior restrictions';
|
||||
mcf_analysis([lpmat0 lpmat], irestriction, inorestriction, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
gsa.monte_carlo_filtering_analysis([lpmat0 lpmat], irestriction, inorestriction, options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
iok = irestriction(1);
|
||||
x0 = [lpmat0(iok,:)'; lpmat(iok,:)'];
|
||||
else
|
|
@ -1,5 +1,5 @@
|
|||
function indcorr = stab_map_2(x,alpha2, pvalue_crit, M_,options_,bayestopt_,estim_params_, case_name_plain, case_name_latex, dirname,xparam1,figtitle,fig_caption_latex)
|
||||
% indcorr = stab_map_2(x,alpha2, pvalue_crit, M_,options_,bayestopt_,estim_params_, fnam, fnam_latex, dirname,xparam1,figtitle,fig_caption_latex)
|
||||
function indcorr = stability_mapping_bivariate(x,alpha2, pvalue_crit, M_,options_,bayestopt_,estim_params_, case_name_plain, case_name_latex, dirname,xparam1,figtitle,fig_caption_latex)
|
||||
% indcorr = stability_mapping_bivariate(x,alpha2, pvalue_crit, M_,options_,bayestopt_,estim_params_, fnam, fnam_latex, dirname,xparam1,figtitle,fig_caption_latex)
|
||||
% Inputs:
|
||||
% - x
|
||||
% - alpha2
|
|
@ -1,5 +1,5 @@
|
|||
function [proba, dproba] = stab_map_1(lpmat, ibehaviour, inonbehaviour, aname, fname_, options_, parnames, estim_params_, iplot, ipar, dirname, pcrit, atitle)
|
||||
% [proba, dproba] = stab_map_1(lpmat, ibehaviour, inonbehaviour, aname, fname_, options_, parnames, estim_params_, iplot, ipar, dirname, pcrit, atitle)
|
||||
function [proba, dproba] = stability_mapping_univariate(lpmat, ibehaviour, inonbehaviour, aname, fname_, options_, parnames, estim_params_, iplot, ipar, dirname, pcrit, atitle)
|
||||
% [proba, dproba] = stability_mapping_univariate(lpmat, ibehaviour, inonbehaviour, aname, fname_, options_, parnames, estim_params_, iplot, ipar, dirname, pcrit, atitle)
|
||||
% Inputs:
|
||||
% - lpmat [double] Monte Carlo matrix
|
||||
% - ibehaviour [integer] index of behavioural runs
|
||||
|
@ -18,7 +18,7 @@ function [proba, dproba] = stab_map_1(lpmat, ibehaviour, inonbehaviour, aname, f
|
|||
%
|
||||
% Plots: dotted lines for BEHAVIOURAL
|
||||
% solid lines for NON BEHAVIOURAL
|
||||
% USES smirnov
|
||||
% USES gsa.smirnov_test.m
|
||||
%
|
||||
% Written by Marco Ratto
|
||||
% Joint Research Centre, The European Commission,
|
||||
|
@ -71,7 +71,7 @@ end
|
|||
proba=NaN(npar,1);
|
||||
dproba=NaN(npar,1);
|
||||
for j=1:npar
|
||||
[~,P,KSSTAT] = smirnov(lpmat(ibehaviour,j),lpmat(inonbehaviour,j));
|
||||
[~,P,KSSTAT] = gsa.smirnov_test(lpmat(ibehaviour,j),lpmat(inonbehaviour,j));
|
||||
proba(j)=P;
|
||||
dproba(j)=KSSTAT;
|
||||
end
|
||||
|
@ -88,12 +88,12 @@ if iplot && ~options_.nograph
|
|||
for j=1+12*(i-1):min(nparplot,12*i)
|
||||
subplot(3,4,j-12*(i-1))
|
||||
if ~isempty(ibehaviour)
|
||||
h=cumplot(lpmat(ibehaviour,j));
|
||||
h=gsa.cumplot(lpmat(ibehaviour,j));
|
||||
set(h,'color',[0 0 1], 'linestyle',':','LineWidth',1.5)
|
||||
end
|
||||
hold on
|
||||
if ~isempty(inonbehaviour)
|
||||
h=cumplot(lpmat(inonbehaviour,j));
|
||||
h=gsa.cumplot(lpmat(inonbehaviour,j));
|
||||
set(h,'color',[0 0 0],'LineWidth',1.5)
|
||||
end
|
||||
title([ftit{j},'. p-value ', num2str(proba(ipar(j)),2)],'interpreter','none')
|
||||
|
@ -102,7 +102,7 @@ if iplot && ~options_.nograph
|
|||
dyn_saveas(hh_fig,[dirname,filesep,fname_,'_',aname,'_SA_',int2str(i)],options_.nodisplay,options_.graph_format);
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([dirname,filesep,fname_,'_',aname,'_SA_',int2str(i) '.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by stab_map_1.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by gsa.stability_mapping_univariate.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
|
@ -117,7 +117,7 @@ if iplot && ~options_.nograph
|
|||
dyn_saveas(hh_fig,[dirname,filesep,fname_,'_',aname,'_SA'],options_.nodisplay,options_.graph_format);
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([dirname,filesep,fname_,'_',aname,'_SA.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by stab_map_1.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by gsa.stability_mapping_univariate.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
|
@ -1,5 +1,5 @@
|
|||
function [y, meany, stdy] = stand_(x)
|
||||
% [y, meany, stdy] = stand_(x)
|
||||
function [y, meany, stdy] = standardize_columns(x)
|
||||
% [y, meany, stdy] = standardize_columns(x)
|
||||
% Standardise a matrix by columns
|
||||
%
|
||||
% [x,my,sy]=stand(y)
|
|
@ -1,5 +1,5 @@
|
|||
function [ide_moments, ide_spectrum, ide_minimal, ide_hess, ide_reducedform, ide_dynamic, derivatives_info, info, error_indicator] = identification_analysis(M_,options_,oo_,bayestopt_,estim_params_,params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, init)
|
||||
% [ide_moments, ide_spectrum, ide_minimal, ide_hess, ide_reducedform, ide_dynamic, derivatives_info, info, error_indicator] = identification_analysis(M_,options_,oo_,bayestopt_,estim_params_,params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, init)
|
||||
function [ide_moments, ide_spectrum, ide_minimal, ide_hess, ide_reducedform, ide_dynamic, derivatives_info, info, error_indicator] = analysis(M_,options_,oo_,bayestopt_,estim_params_,params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, init)
|
||||
% [ide_moments, ide_spectrum, ide_minimal, ide_hess, ide_reducedform, ide_dynamic, derivatives_info, info, error_indicator] = analysis(M_,options_,oo_,bayestopt_,estim_params_,params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, init)
|
||||
% -------------------------------------------------------------------------
|
||||
% This function wraps all identification analysis, i.e. it
|
||||
% (1) wraps functions for the theoretical identification analysis based on moments (Iskrev, 2010),
|
||||
|
@ -58,18 +58,18 @@ function [ide_moments, ide_spectrum, ide_minimal, ide_hess, ide_reducedform, ide
|
|||
% indicator on problems
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * dynare_identification.m
|
||||
% * identification.run
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% * [M_.fname,'.dynamic']
|
||||
% * dseries
|
||||
% * dsge_likelihood.m
|
||||
% * dyn_vech
|
||||
% * ident_bruteforce
|
||||
% * identification_checks
|
||||
% * identification_checks_via_subsets
|
||||
% * identification.bruteforce
|
||||
% * identification.checks
|
||||
% * identification.checks_via_subsets
|
||||
% * isoctave
|
||||
% * get_identification_jacobians (previously getJJ)
|
||||
% * identification.get_jacobians (previously getJJ)
|
||||
% * matlab_ver_less_than
|
||||
% * prior_bounds
|
||||
% * resol
|
||||
|
@ -120,7 +120,7 @@ if ~isempty(estim_params_)
|
|||
M_ = set_all_parameters(params,estim_params_,M_);
|
||||
end
|
||||
|
||||
%get options (see dynare_identification.m for description of options)
|
||||
%get options (see identification.run.m for description of options)
|
||||
nlags = options_ident.ar;
|
||||
advanced = options_ident.advanced;
|
||||
replic = options_ident.replic;
|
||||
|
@ -142,7 +142,7 @@ error_indicator.identification_spectrum=0;
|
|||
|
||||
if info(1) == 0 %no errors in solution
|
||||
% Compute parameter Jacobians for identification analysis
|
||||
[~, ~, REDUCEDFORM, dREDUCEDFORM, DYNAMIC, dDYNAMIC, MOMENTS, dMOMENTS, dSPECTRUM, dSPECTRUM_NO_MEAN, dMINIMAL, derivatives_info] = get_identification_jacobians(estim_params_, M_, options_, options_ident, indpmodel, indpstderr, indpcorr, indvobs, oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
|
||||
[~, ~, REDUCEDFORM, dREDUCEDFORM, DYNAMIC, dDYNAMIC, MOMENTS, dMOMENTS, dSPECTRUM, dSPECTRUM_NO_MEAN, dMINIMAL, derivatives_info] = identification.get_jacobians(estim_params_, M_, options_, options_ident, indpmodel, indpstderr, indpcorr, indvobs, oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
|
||||
if isempty(dMINIMAL)
|
||||
% Komunjer and Ng is not computed if (1) minimality conditions are not fullfilled or (2) there are more shocks and measurement errors than observables, so we need to reset options
|
||||
error_indicator.identification_minimal = 1;
|
||||
|
@ -206,7 +206,7 @@ if info(1) == 0 %no errors in solution
|
|||
options_ident_local.no_identification_spectrum = 1; %do not recompute dSPECTRUM
|
||||
options_ident_local.ar = nlags; %store new lag number
|
||||
options_.ar = nlags; %store new lag number
|
||||
[~, ~, ~, ~, ~, ~, MOMENTS, dMOMENTS, ~, ~, ~, ~] = get_identification_jacobians(estim_params_, M_, options_, options_ident_local, indpmodel, indpstderr, indpcorr, indvobs, oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
|
||||
[~, ~, ~, ~, ~, ~, MOMENTS, dMOMENTS, ~, ~, ~, ~] = identification.get_jacobians(estim_params_, M_, options_, options_ident_local, indpmodel, indpstderr, indpcorr, indvobs, oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
|
||||
|
||||
ind_dMOMENTS = (find(max(abs(dMOMENTS'),[],1) > tol_deriv)); %new index with non-zero rows
|
||||
end
|
||||
|
@ -305,7 +305,7 @@ if info(1) == 0 %no errors in solution
|
|||
options_.analytic_derivation = analytic_derivation; %reset option
|
||||
AHess = -AHess; %take negative of hessian
|
||||
if min(eig(AHess))<-tol_rank
|
||||
error('identification_analysis: Analytic Hessian is not positive semi-definite!')
|
||||
error('identification.analysis: Analytic Hessian is not positive semi-definite!')
|
||||
end
|
||||
ide_hess.AHess = AHess; %store asymptotic Hessian
|
||||
%normalize asymptotic hessian
|
||||
|
@ -313,9 +313,9 @@ if info(1) == 0 %no errors in solution
|
|||
iflag = any((deltaM.*deltaM)==0); %check if all second-order derivatives wrt to a single parameter are nonzero
|
||||
tildaM = AHess./((deltaM)*(deltaM')); %this normalization is for numerical purposes
|
||||
if iflag || rank(AHess)>rank(tildaM)
|
||||
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification_checks(AHess, 0, tol_rank, tol_sv, totparam_nbr);
|
||||
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification.checks(AHess, 0, tol_rank, tol_sv, totparam_nbr);
|
||||
else %use normalized version if possible
|
||||
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification_checks(tildaM, 0, tol_rank, tol_sv, totparam_nbr);
|
||||
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification.checks(tildaM, 0, tol_rank, tol_sv, totparam_nbr);
|
||||
end
|
||||
indok = find(max(ide_hess.indno,[],1)==0);
|
||||
ide_uncert_unnormaliz(indok) = sqrt(diag(inv(AHess(indok,indok))))';
|
||||
|
@ -325,7 +325,7 @@ if info(1) == 0 %no errors in solution
|
|||
diag_chh = sum(si_dREDUCEDFORM(:,ind1)'.*temp1)';
|
||||
ind1 = ind1(ind1>stderrparam_nbr+corrparam_nbr);
|
||||
cdynamic = si_dDYNAMIC(:,ind1-stderrparam_nbr-corrparam_nbr)*((AHess(ind1,ind1))\si_dDYNAMIC(:,ind1-stderrparam_nbr-corrparam_nbr)');
|
||||
flag_score = 1; %this is used for the title in plot_identification.m
|
||||
flag_score = 1; %this is used for the title in identification.plot.m
|
||||
catch
|
||||
%Asymptotic Hessian via simulation
|
||||
if options_.order > 1
|
||||
|
@ -336,7 +336,7 @@ if info(1) == 0 %no errors in solution
|
|||
options_.periods = periods+100;
|
||||
end
|
||||
replic = max([replic, length(ind_dMOMENTS)*3]);
|
||||
cmm = simulated_moment_uncertainty(ind_dMOMENTS, periods, replic,options_,M_,oo_); %covariance matrix of moments
|
||||
cmm = identification.simulated_moment_uncertainty(ind_dMOMENTS, periods, replic,options_,M_,oo_); %covariance matrix of moments
|
||||
sd = sqrt(diag(cmm));
|
||||
cc = cmm./(sd*sd');
|
||||
[VV,DD,WW] = eig(cc);
|
||||
|
@ -350,9 +350,9 @@ if info(1) == 0 %no errors in solution
|
|||
iflag = any((deltaM.*deltaM)==0);
|
||||
tildaM = MIM./((deltaM)*(deltaM'));
|
||||
if iflag || rank(MIM)>rank(tildaM)
|
||||
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification_checks(MIM, 0, tol_rank, tol_sv, totparam_nbr);
|
||||
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification.checks(MIM, 0, tol_rank, tol_sv, totparam_nbr);
|
||||
else %use normalized version if possible
|
||||
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification_checks(tildaM, 0, tol_rank, tol_sv, totparam_nbr);
|
||||
[ide_hess.cond, ide_hess.rank, ide_hess.ind0, ide_hess.indno, ide_hess.ino, ide_hess.Mco, ide_hess.Pco] = identification.checks(tildaM, 0, tol_rank, tol_sv, totparam_nbr);
|
||||
end
|
||||
indok = find(max(ide_hess.indno,[],1)==0);
|
||||
ind1 = find(ide_hess.ind0);
|
||||
|
@ -363,7 +363,7 @@ if info(1) == 0 %no errors in solution
|
|||
if ~isempty(indok)
|
||||
ide_uncert_unnormaliz(indok) = (sqrt(diag(inv(tildaM(indok,indok))))./deltaM(indok))'; %sqrt(diag(inv(MIM(indok,indok))))';
|
||||
end
|
||||
flag_score = 0; %this is used for the title in plot_identification.m
|
||||
flag_score = 0; %this is used for the title in identification.plot.m
|
||||
end % end of computing sample information matrix for identification strength measure
|
||||
|
||||
ide_strength_dMOMENTS(indok) = (1./(ide_uncert_unnormaliz(indok)'./abs(params(indok)'))); %this is s_i in Ratto and Iskrev (2011, p.13)
|
||||
|
@ -465,11 +465,11 @@ if info(1) == 0 %no errors in solution
|
|||
ide_moments.MOMENTS = MOMENTS;
|
||||
|
||||
if advanced
|
||||
% here we do not normalize (i.e. we set norm_dMOMENTS=1) as the OLS in ident_bruteforce is very sensitive to norm_dMOMENTS
|
||||
[ide_moments.pars, ide_moments.cosndMOMENTS] = ident_bruteforce(M_.dname,M_.fname,dMOMENTS(ind_dMOMENTS,:), max_dim_cova_group, options_.TeX, options_ident.name_tex, options_ident.tittxt, tol_deriv);
|
||||
% here we do not normalize (i.e. we set norm_dMOMENTS=1) as the OLS in identification.bruteforce is very sensitive to norm_dMOMENTS
|
||||
[ide_moments.pars, ide_moments.cosndMOMENTS] = identification.bruteforce(M_.dname,M_.fname,dMOMENTS(ind_dMOMENTS,:), max_dim_cova_group, options_.TeX, options_ident.name_tex, options_ident.tittxt, tol_deriv);
|
||||
end
|
||||
|
||||
%here we focus on the unnormalized S and V, which is then used in plot_identification.m and for prior_mc > 1
|
||||
%here we focus on the unnormalized S and V, which is then used in identification.plot.m and for prior_mc > 1
|
||||
[~, S, V] = svd(dMOMENTS(ind_dMOMENTS,:),0);
|
||||
if size(S,1) == 1
|
||||
S = S(1); % edge case that S is not a matrix but a row vector
|
||||
|
@ -522,9 +522,9 @@ if info(1) == 0 %no errors in solution
|
|||
|
||||
%% Perform identification checks, i.e. find out which parameters are involved
|
||||
if checks_via_subsets
|
||||
% identification_checks_via_subsets is only for debugging
|
||||
% identification.checks_via_subsets is only for debugging
|
||||
[ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal] = ...
|
||||
identification_checks_via_subsets(ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, totparam_nbr, modparam_nbr, options_ident, error_indicator);
|
||||
identification.checks_via_subsets(ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, totparam_nbr, modparam_nbr, options_ident, error_indicator);
|
||||
if ~error_indicator.identification_minimal
|
||||
ide_minimal.minimal_state_space=1;
|
||||
else
|
||||
|
@ -532,19 +532,19 @@ if info(1) == 0 %no errors in solution
|
|||
end
|
||||
else
|
||||
[ide_dynamic.cond, ide_dynamic.rank, ide_dynamic.ind0, ide_dynamic.indno, ide_dynamic.ino, ide_dynamic.Mco, ide_dynamic.Pco, ide_dynamic.jweak, ide_dynamic.jweak_pair] = ...
|
||||
identification_checks(dDYNAMIC(ind_dDYNAMIC,:)./norm_dDYNAMIC, 1, tol_rank, tol_sv, modparam_nbr);
|
||||
identification.checks(dDYNAMIC(ind_dDYNAMIC,:)./norm_dDYNAMIC, 1, tol_rank, tol_sv, modparam_nbr);
|
||||
if ~options_ident.no_identification_reducedform && ~error_indicator.identification_reducedform
|
||||
[ide_reducedform.cond, ide_reducedform.rank, ide_reducedform.ind0, ide_reducedform.indno, ide_reducedform.ino, ide_reducedform.Mco, ide_reducedform.Pco, ide_reducedform.jweak, ide_reducedform.jweak_pair] = ...
|
||||
identification_checks(dREDUCEDFORM(ind_dREDUCEDFORM,:)./norm_dREDUCEDFORM, 1, tol_rank, tol_sv, totparam_nbr);
|
||||
identification.checks(dREDUCEDFORM(ind_dREDUCEDFORM,:)./norm_dREDUCEDFORM, 1, tol_rank, tol_sv, totparam_nbr);
|
||||
end
|
||||
if ~options_ident.no_identification_moments && ~error_indicator.identification_moments
|
||||
[ide_moments.cond, ide_moments.rank, ide_moments.ind0, ide_moments.indno, ide_moments.ino, ide_moments.Mco, ide_moments.Pco, ide_moments.jweak, ide_moments.jweak_pair] = ...
|
||||
identification_checks(dMOMENTS(ind_dMOMENTS,:)./norm_dMOMENTS, 1, tol_rank, tol_sv, totparam_nbr);
|
||||
identification.checks(dMOMENTS(ind_dMOMENTS,:)./norm_dMOMENTS, 1, tol_rank, tol_sv, totparam_nbr);
|
||||
end
|
||||
if ~options_ident.no_identification_minimal
|
||||
if ~error_indicator.identification_minimal
|
||||
[ide_minimal.cond, ide_minimal.rank, ide_minimal.ind0, ide_minimal.indno, ide_minimal.ino, ide_minimal.Mco, ide_minimal.Pco, ide_minimal.jweak, ide_minimal.jweak_pair] = ...
|
||||
identification_checks(dMINIMAL(ind_dMINIMAL,:)./norm_dMINIMAL, 2, tol_rank, tol_sv, totparam_nbr);
|
||||
identification.checks(dMINIMAL(ind_dMINIMAL,:)./norm_dMINIMAL, 2, tol_rank, tol_sv, totparam_nbr);
|
||||
ide_minimal.minimal_state_space=1;
|
||||
else
|
||||
ide_minimal.minimal_state_space=0;
|
||||
|
@ -552,7 +552,7 @@ if info(1) == 0 %no errors in solution
|
|||
end
|
||||
if ~options_ident.no_identification_spectrum && ~error_indicator.identification_spectrum
|
||||
[ide_spectrum.cond, ide_spectrum.rank, ide_spectrum.ind0, ide_spectrum.indno, ide_spectrum.ino, ide_spectrum.Mco, ide_spectrum.Pco, ide_spectrum.jweak, ide_spectrum.jweak_pair] = ...
|
||||
identification_checks(tilda_dSPECTRUM, 3, tol_rank, tol_sv, totparam_nbr);
|
||||
identification.checks(tilda_dSPECTRUM, 3, tol_rank, tol_sv, totparam_nbr);
|
||||
end
|
||||
end
|
||||
end
|
|
@ -18,7 +18,7 @@ function [pars, cosnJ] = ident_bruteforce(dname,fname,J, max_dim_cova_group, TeX
|
|||
% cosnJ : cosn of each column with the selected group of columns
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * identification_analysis.m
|
||||
% * identification.analysis.m
|
||||
% =========================================================================
|
||||
% Copyright © 2009-2023 Dynare Team
|
||||
%
|
||||
|
@ -67,7 +67,7 @@ for ll = 1:max_dim_cova_group
|
|||
cosnJ2=zeros(size(tmp2,1),1);
|
||||
b=[];
|
||||
for jj = 1:size(tmp2,1)
|
||||
[cosnJ2(jj,1), b(:,jj)] = cosn([J(:,ii),J(:,tmp2(jj,:))]);
|
||||
[cosnJ2(jj,1), b(:,jj)] = identification.cosn([J(:,ii),J(:,tmp2(jj,:))]);
|
||||
end
|
||||
cosnJ(ii,ll) = max(cosnJ2(:,1));
|
||||
if cosnJ(ii,ll)>tol_deriv
|
|
@ -1,5 +1,5 @@
|
|||
function [condX, rankX, ind0, indno, ixno, Mco, Pco, jweak, jweak_pair] = identification_checks(X, test_flag, tol_rank, tol_sv, param_nbr)
|
||||
% function [condX, rankX, ind0, indno, ixno, Mco, Pco, jweak, jweak_pair] = identification_checks(X, test_flag, tol_rank, tol_sv, param_nbr)
|
||||
function [condX, rankX, ind0, indno, ixno, Mco, Pco, jweak, jweak_pair] = checks(X, test_flag, tol_rank, tol_sv, param_nbr)
|
||||
% function [condX, rankX, ind0, indno, ixno, Mco, Pco, jweak, jweak_pair] = checks(X, test_flag, tol_rank, tol_sv, param_nbr)
|
||||
% -------------------------------------------------------------------------
|
||||
% Checks rank criteria of identification tests and finds out parameter sets
|
||||
% that are not identifiable via the nullspace, pairwise correlation
|
||||
|
@ -24,10 +24,10 @@ function [condX, rankX, ind0, indno, ixno, Mco, Pco, jweak, jweak_pair] = identi
|
|||
% * jweak_pair [(vech) matrix] gives 1 if a couple parameters has Pco=1 (with tolerance tol_rank)
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * identification_analysis.m
|
||||
% * identification.analysis.m
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% * cosn
|
||||
% * identification.cosn
|
||||
% * dyn_vech
|
||||
% * vnorm
|
||||
% =========================================================================
|
||||
|
@ -141,7 +141,7 @@ if test_flag == 0 || test_flag == 3 % G is a Gram matrix and hence should be a c
|
|||
else
|
||||
Mco = NaN(param_nbr,1);
|
||||
for ii = 1:size(Xparnonzero,2)
|
||||
Mco(ind1(ii),:) = cosn([Xparnonzero(:,ii) , Xparnonzero(:,find([1:1:size(Xparnonzero,2)]~=ii)), Xrest]);
|
||||
Mco(ind1(ii),:) = identification.cosn([Xparnonzero(:,ii) , Xparnonzero(:,find([1:1:size(Xparnonzero,2)]~=ii)), Xrest]);
|
||||
end
|
||||
end
|
||||
|
||||
|
@ -176,7 +176,7 @@ if test_flag ~= 0
|
|||
for ii = 1:size(Xparnonzero,2)
|
||||
Pco(ind1(ii),ind1(ii)) = 1;
|
||||
for jj = ii+1:size(Xparnonzero,2)
|
||||
Pco(ind1(ii),ind1(jj)) = cosn([Xparnonzero(:,ii),Xparnonzero(:,jj),Xrest]);
|
||||
Pco(ind1(ii),ind1(jj)) = identification.cosn([Xparnonzero(:,ii),Xparnonzero(:,jj),Xrest]);
|
||||
Pco(ind1(jj),ind1(ii)) = Pco(ind1(ii),ind1(jj));
|
||||
end
|
||||
end
|
|
@ -1,5 +1,5 @@
|
|||
function [ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal] = identification_checks_via_subsets(ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, totparam_nbr, modparam_nbr, options_ident,error_indicator)
|
||||
%[ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal] = identification_checks_via_subsets(ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, totparam_nbr, modparam_nbr, options_ident,error_indicator)
|
||||
function [ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal] = checks_via_subsets(ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, totparam_nbr, modparam_nbr, options_ident,error_indicator)
|
||||
%[ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal] = checks_via_subsets(ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, totparam_nbr, modparam_nbr, options_ident,error_indicator)
|
||||
% -------------------------------------------------------------------------
|
||||
% Finds problematic sets of paramters via checking the necessary rank condition
|
||||
% of the Jacobians for all possible combinations of parameters. The rank is
|
||||
|
@ -50,7 +50,7 @@ function [ide_dynamic, ide_reducedform, ide_moments, ide_spectrum, ide_minimal]
|
|||
% * rank: [integer] rank of Jacobian
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * identification_analysis.m
|
||||
% * identification.analysis.m
|
||||
% =========================================================================
|
||||
% Copyright © 2019-2021 Dynare Team
|
||||
%
|
||||
|
@ -161,7 +161,7 @@ end
|
|||
|
||||
% initialize for spectrum criteria
|
||||
if ~no_identification_spectrum && ~error_indicator.identification_spectrum
|
||||
dSPECTRUM = ide_spectrum.tilda_dSPECTRUM; %tilda dSPECTRUM is normalized dSPECTRUM matrix in identification_analysis.m
|
||||
dSPECTRUM = ide_spectrum.tilda_dSPECTRUM; %tilda dSPECTRUM is normalized dSPECTRUM matrix in identification.analysis.m
|
||||
%alternative normalization
|
||||
%dSPECTRUM = ide_spectrum.dSPECTRUM;
|
||||
%dSPECTRUM(ide_spectrum.ind_dSPECTRUM,:) = dSPECTRUM(ide_spectrum.ind_dSPECTRUM,:)./ide_spectrum.norm_dSPECTRUM; %normalize
|
|
@ -17,7 +17,7 @@ function [co, b, yhat] = cosn(H)
|
|||
% * y [n by 1] predicted endogenous values given ols estimation
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * identification_checks.m
|
||||
% * identification.checks.m
|
||||
% * ident_bruteforce.m
|
||||
% =========================================================================
|
||||
% Copyright © 2008-2019 Dynare Team
|
|
@ -1,5 +1,5 @@
|
|||
function disp_identification(pdraws, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, name, options_ident)
|
||||
% disp_identification(pdraws, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, name, options_ident)
|
||||
function display(pdraws, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, name, options_ident)
|
||||
% display(pdraws, ide_reducedform, ide_moments, ide_spectrum, ide_minimal, name, options_ident)
|
||||
% -------------------------------------------------------------------------
|
||||
% This function displays all identification analysis to the command line
|
||||
% =========================================================================
|
||||
|
@ -26,7 +26,7 @@ function disp_identification(pdraws, ide_reducedform, ide_moments, ide_spectrum,
|
|||
% * all output is printed on the command line
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * dynare_identification.m
|
||||
% * identification.run
|
||||
% =========================================================================
|
||||
% Copyright © 2010-2021 Dynare Team
|
||||
%
|
||||
|
@ -207,7 +207,7 @@ for jide = 1:4
|
|||
end
|
||||
end
|
||||
|
||||
%% display problematic parameters computed by identification_checks_via_subsets
|
||||
%% display problematic parameters computed by identification.checks_via_subsets
|
||||
elseif checks_via_subsets
|
||||
if ide.rank < size(Jacob,2)
|
||||
no_warning_message_display = 0;
|
|
@ -1,5 +1,5 @@
|
|||
function [MEAN, dMEAN, REDUCEDFORM, dREDUCEDFORM, DYNAMIC, dDYNAMIC, MOMENTS, dMOMENTS, dSPECTRUM, dSPECTRUM_NO_MEAN, dMINIMAL, derivatives_info] = get_identification_jacobians(estim_params, M_, options_, options_ident, indpmodel, indpstderr, indpcorr, indvobs, dr, endo_steady_state, exo_steady_state, exo_det_steady_state)
|
||||
% [MEAN, dMEAN, REDUCEDFORM, dREDUCEDFORM, DYNAMIC, dDYNAMIC, MOMENTS, dMOMENTS, dSPECTRUM, dSPECTRUM_NO_MEAN, dMINIMAL, derivatives_info] = get_identification_jacobians(estim_params, M_, options_, options_ident, indpmodel, indpstderr, indpcorr, indvobs, dr, endo_steady_state, exo_steady_state, exo_det_steady_state)
|
||||
function [MEAN, dMEAN, REDUCEDFORM, dREDUCEDFORM, DYNAMIC, dDYNAMIC, MOMENTS, dMOMENTS, dSPECTRUM, dSPECTRUM_NO_MEAN, dMINIMAL, derivatives_info] = get_jacobians(estim_params, M_, options_, options_ident, indpmodel, indpstderr, indpcorr, indvobs, dr, endo_steady_state, exo_steady_state, exo_det_steady_state)
|
||||
% [MEAN, dMEAN, REDUCEDFORM, dREDUCEDFORM, DYNAMIC, dDYNAMIC, MOMENTS, dMOMENTS, dSPECTRUM, dSPECTRUM_NO_MEAN, dMINIMAL, derivatives_info] = get_jacobians(estim_params, M_, options_, options_ident, indpmodel, indpstderr, indpcorr, indvobs, dr, endo_steady_state, exo_steady_state, exo_det_steady_state)
|
||||
% previously getJJ.m in Dynare 4.5
|
||||
% Sets up the Jacobians needed for identification analysis
|
||||
% =========================================================================
|
||||
|
@ -84,7 +84,7 @@ function [MEAN, dMEAN, REDUCEDFORM, dREDUCEDFORM, DYNAMIC, dDYNAMIC, MOMENTS, dM
|
|||
%
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * identification_analysis.m
|
||||
% * identification.analysis.m
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% * commutation
|
||||
|
@ -94,7 +94,7 @@ function [MEAN, dMEAN, REDUCEDFORM, dREDUCEDFORM, DYNAMIC, dDYNAMIC, MOMENTS, dM
|
|||
% * fjaco
|
||||
% * get_perturbation_params_derivs (previously getH)
|
||||
% * get_all_parameters
|
||||
% * identification_numerical_objective (previously thet2tau)
|
||||
% * identification.numerical_objective (previously thet2tau)
|
||||
% * pruned_state_space_system
|
||||
% * vec
|
||||
% =========================================================================
|
||||
|
@ -258,7 +258,7 @@ if ~no_identification_moments
|
|||
|
||||
if kronflag == -1
|
||||
%numerical derivative of autocovariogram
|
||||
dMOMENTS = fjaco(str2func('identification_numerical_objective'), xparam1, 1, estim_params, M_, options_, indpmodel, indpstderr, indvobs, useautocorr, nlags, grid_nbr, dr, endo_steady_state, exo_steady_state, exo_det_steady_state); %[outputflag=1]
|
||||
dMOMENTS = fjaco(str2func('identification.numerical_objective'), xparam1, 1, estim_params, M_, options_, indpmodel, indpstderr, indvobs, useautocorr, nlags, grid_nbr, dr, endo_steady_state, exo_steady_state, exo_det_steady_state); %[outputflag=1]
|
||||
dMOMENTS = [dMEAN; dMOMENTS]; %add Jacobian of steady state of VAROBS variables
|
||||
else
|
||||
dMOMENTS = zeros(obs_nbr + obs_nbr*(obs_nbr+1)/2 + nlags*obs_nbr^2 , totparam_nbr);
|
||||
|
@ -315,7 +315,7 @@ if ~no_identification_spectrum
|
|||
IA = eye(size(pruned.A,1));
|
||||
if kronflag == -1
|
||||
%numerical derivative of spectral density
|
||||
dOmega_tmp = fjaco(str2func('identification_numerical_objective'), xparam1, 2, estim_params, M_, options_, indpmodel, indpstderr, indvobs, useautocorr, nlags, grid_nbr, dr, endo_steady_state, exo_steady_state, exo_det_steady_state); %[outputflag=2]
|
||||
dOmega_tmp = fjaco(str2func('identification.numerical_objective'), xparam1, 2, estim_params, M_, options_, indpmodel, indpstderr, indvobs, useautocorr, nlags, grid_nbr, dr, endo_steady_state, exo_steady_state, exo_det_steady_state); %[outputflag=2]
|
||||
kk = 0;
|
||||
for ig = 1:length(freqs)
|
||||
kk = kk+1;
|
|
@ -22,7 +22,7 @@ function out = identification_numerical_objective(params, outputflag, estim_para
|
|||
% OUTPUTS
|
||||
% out: dependent on outputflag
|
||||
% * 0: out = [Yss; vec(A); vec(B); dyn_vech(Sig_e)]; of indvar variables only, in DR order. This is needed to compute dTAU and Komunjer and Ng's D.
|
||||
% Note that Jacobian of Om is computed in get_identification_Jacobians.m (previously getJJ.m) or get_first_order_solution_params_deriv.m (previously getH.m) from Jacobian of B and Sigma_e, because this is more efficient due to some testing with analytical derivatives from An and Schorfheide model
|
||||
% Note that Jacobian of Om is computed in identification.get_jacobians.m (previously getJJ.m) or get_first_order_solution_params_deriv.m (previously getH.m) from Jacobian of B and Sigma_e, because this is more efficient due to some testing with analytical derivatives from An and Schorfheide model
|
||||
% * 1: out = [vech(cov(Y_t,Y_t)); vec(cov(Y_t,Y_{t-1}); ...; vec(cov(Y_t,Y_{t-nlags})] of indvar variables, in DR order. This is needed to compute Iskrev's J.
|
||||
% * 2: out = vec(spectral density) with dimension [var_nbr^2*grid_nbr,1] Spectral density of indvar variables evaluated at (grid_nbr/2+1) discretized points in the interval [0;pi]. This is needed for Qu and Tkachenko's G.
|
||||
% * -1: out = g1(:); of all variables, in DR order. This is needed to compute dLRE.
|
||||
|
@ -32,7 +32,7 @@ function out = identification_numerical_objective(params, outputflag, estim_para
|
|||
% Jacobian of the dynamic model equations, and Y_t selected variables
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * get_identification_jacobians.m (previously getJJ.m)
|
||||
% * identification.get_jacobians.m (previously getJJ.m)
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% * [M_.fname,'.dynamic']
|
|
@ -1,5 +1,5 @@
|
|||
function plot_identification(M_, params, idemoments, idehess, idemodel, idelre, advanced, tittxt, name, IdentifDirectoryName, fname, options_, estim_params_, bayestopt_, tit_TeX, name_tex)
|
||||
% plot_identification(M_, params,idemoments,idehess,idemodel, idelre, advanced, tittxt, name, IdentifDirectoryName, fname, options_, estim_params_, bayestopt_, tit_TeX, name_tex)
|
||||
function plot(M_, params, idemoments, idehess, idemodel, idelre, advanced, tittxt, name, IdentifDirectoryName, fname, options_, estim_params_, bayestopt_, tit_TeX, name_tex)
|
||||
% plot(M_, params,idemoments,idehess,idemodel, idelre, advanced, tittxt, name, IdentifDirectoryName, fname, options_, estim_params_, bayestopt_, tit_TeX, name_tex)
|
||||
%
|
||||
% INPUTS
|
||||
% o M_ [structure] model
|
||||
|
@ -156,7 +156,7 @@ if SampleSize == 1
|
|||
end
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([IdentifDirectoryName '/' fname '_ident_strength_' tittxt1,'.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by plot_identification.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by identification.plot.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
|
@ -203,7 +203,7 @@ if SampleSize == 1
|
|||
dyn_saveas(hh_fig,[IdentifDirectoryName '/' fname '_sensitivity_' tittxt1 ],options_.nodisplay,options_.graph_format);
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([IdentifDirectoryName '/' fname '_sensitivity_' tittxt1,'.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by plot_identification.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by identification.plot.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
|
@ -262,7 +262,7 @@ if SampleSize == 1
|
|||
dyn_saveas(hh_fig,[ IdentifDirectoryName '/' fname '_ident_collinearity_' tittxt1 '_' int2str(j) ],options_.nodisplay,options_.graph_format);
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([ IdentifDirectoryName '/' fname '_ident_collinearity_' tittxt1 '_' int2str(j),'.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by plot_identification.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by identification.plot.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
|
@ -329,7 +329,7 @@ if SampleSize == 1
|
|||
dyn_saveas(f1,[ IdentifDirectoryName '/' fname '_ident_pattern_' tittxt1 '_1' ],options_.nodisplay,options_.graph_format);
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([ IdentifDirectoryName '/' fname '_ident_pattern_' tittxt1 '_1','.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by plot_identification.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by identification.plot.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
|
@ -344,7 +344,7 @@ if SampleSize == 1
|
|||
dyn_saveas(f2,[ IdentifDirectoryName '/' fname '_ident_pattern_' tittxt1 '_2' ],options_.nodisplay,options_.graph_format);
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([ IdentifDirectoryName '/' fname '_ident_pattern_' tittxt1 '_2.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by plot_identification.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by identification.plot.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
|
@ -392,7 +392,7 @@ else
|
|||
dyn_saveas(hh_fig,[ IdentifDirectoryName '/' fname '_MC_sensitivity' ],options_.nodisplay,options_.graph_format);
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([ IdentifDirectoryName '/' fname '_MC_sensitivity.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by plot_identification.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by identification.plot.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
|
@ -450,17 +450,17 @@ else
|
|||
options_mcf.title = 'MC Highest Condition Number LRE Model';
|
||||
ncut=floor(SampleSize/10*9);
|
||||
[~,is]=sort(idelre.cond);
|
||||
mcf_analysis(params, is(1:ncut), is(ncut+1:end), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
gsa.monte_carlo_filtering_analysis(params, is(1:ncut), is(ncut+1:end), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
options_mcf.amcf_name = 'MC_HighestCondNumberModel';
|
||||
options_mcf.amcf_title = 'MC Highest Condition Number Model Solution';
|
||||
options_mcf.title = 'MC Highest Condition Number Model Solution';
|
||||
[~,is]=sort(idemodel.cond);
|
||||
mcf_analysis(params, is(1:ncut), is(ncut+1:end), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
gsa.monte_carlo_filtering_analysis(params, is(1:ncut), is(ncut+1:end), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
options_mcf.amcf_name = 'MC_HighestCondNumberMoments';
|
||||
options_mcf.amcf_title = 'MC Highest Condition Number Model Moments';
|
||||
options_mcf.title = 'MC Highest Condition Number Model Moments';
|
||||
[~,is]=sort(idemoments.cond);
|
||||
mcf_analysis(params, is(1:ncut), is(ncut+1:end), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
gsa.monte_carlo_filtering_analysis(params, is(1:ncut), is(ncut+1:end), options_mcf, M_, options_, bayestopt_, estim_params_);
|
||||
|
||||
if nparam<5
|
||||
f1 = dyn_figure(options_.nodisplay,'Name',[tittxt,' - MC Identification patterns (moments): HIGHEST SV']);
|
||||
|
@ -514,7 +514,7 @@ else
|
|||
dyn_saveas(f1,[IdentifDirectoryName '/' fname '_MC_ident_pattern_1' ],options_.nodisplay,options_.graph_format);
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([IdentifDirectoryName '/' fname '_MC_ident_pattern_1.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by plot_identification.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by identification.plot.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
|
@ -529,7 +529,7 @@ else
|
|||
dyn_saveas(f2,[ IdentifDirectoryName '/' fname '_MC_ident_pattern_2' ],options_.nodisplay,options_.graph_format);
|
||||
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
||||
fidTeX = fopen([ IdentifDirectoryName '/' fname '_MC_ident_pattern_2.tex'],'w');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by plot_identification.m (Dynare).\n');
|
||||
fprintf(fidTeX,'%% TeX eps-loader file generated by identification.plot.m (Dynare).\n');
|
||||
fprintf(fidTeX,['%% ' datestr(now,0) '\n\n']);
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
fprintf(fidTeX,'\\centering \n');
|
|
@ -1,5 +1,5 @@
|
|||
function [pdraws, STO_REDUCEDFORM, STO_MOMENTS, STO_DYNAMIC, STO_si_dDYNAMIC, STO_si_dREDUCEDFORM, STO_si_dMOMENTS, STO_dSPECTRUM, STO_dMINIMAL] = dynare_identification(M_,oo_,options_,bayestopt_,estim_params_,options_ident, pdraws0)
|
||||
% [pdraws, STO_REDUCEDFORM, STO_MOMENTS, STO_DYNAMIC, STO_si_dDYNAMIC, STO_si_dREDUCEDFORM, STO_si_dMOMENTS, STO_dSPECTRUM, STO_dMINIMAL] = dynare_identification(options_ident, pdraws0)
|
||||
function [pdraws, STO_REDUCEDFORM, STO_MOMENTS, STO_DYNAMIC, STO_si_dDYNAMIC, STO_si_dREDUCEDFORM, STO_si_dMOMENTS, STO_dSPECTRUM, STO_dMINIMAL] = run(M_,oo_,options_,bayestopt_,estim_params_,options_ident, pdraws0)
|
||||
% [pdraws, STO_REDUCEDFORM, STO_MOMENTS, STO_DYNAMIC, STO_si_dDYNAMIC, STO_si_dREDUCEDFORM, STO_si_dMOMENTS, STO_dSPECTRUM, STO_dMINIMAL] = run(options_ident, pdraws0)
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called, when the user specifies identification(...); in the mod file. It prepares all identification analysis:
|
||||
% (1) set options, local and persistent variables for a new identification
|
||||
|
@ -32,19 +32,19 @@ function [pdraws, STO_REDUCEDFORM, STO_MOMENTS, STO_DYNAMIC, STO_si_dDYNAMIC, ST
|
|||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * driver.m
|
||||
% * map_ident_.m
|
||||
% * gsa.map_identification.m
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% * checkpath
|
||||
% * disp_identification
|
||||
% * identification.display
|
||||
% * dyn_waitbar
|
||||
% * dyn_waitbar_close
|
||||
% * get_all_parameters
|
||||
% * get_posterior_parameters
|
||||
% * get_the_name
|
||||
% * identification_analysis
|
||||
% * identification.analysis
|
||||
% * isoctave
|
||||
% * plot_identification
|
||||
% * identification.plot
|
||||
% * dprior.draw
|
||||
% * set_default_option
|
||||
% * set_prior
|
||||
|
@ -95,7 +95,7 @@ end
|
|||
options_ident = set_default_option(options_ident,'gsa_sample_file',0);
|
||||
% 0: do not use sample file
|
||||
% 1: triggers gsa prior sample
|
||||
% 2: triggers gsa Monte-Carlo sample (i.e. loads a sample corresponding to pprior=0 and ppost=0 in dynare_sensitivity options)
|
||||
% 2: triggers gsa Monte-Carlo sample (i.e. loads a sample corresponding to pprior=0 and ppost=0 in sensitivity.run options)
|
||||
% FILENAME: use sample file in provided path
|
||||
options_ident = set_default_option(options_ident,'parameter_set','prior_mean');
|
||||
% 'calibration': use values in M_.params and M_.Sigma_e to update estimated stderr, corr and model parameters (get_all_parameters)
|
||||
|
@ -140,7 +140,7 @@ options_ident = set_default_option(options_ident,'tol_rank','robust');
|
|||
options_ident = set_default_option(options_ident,'tol_deriv',1.e-8);
|
||||
% tolerance level for selecting columns of non-zero derivatives
|
||||
options_ident = set_default_option(options_ident,'tol_sv',1.e-3);
|
||||
% tolerance level for selecting non-zero singular values in identification_checks.m
|
||||
% tolerance level for selecting non-zero singular values in identification.checks.m
|
||||
options_ident = set_default_option(options_ident,'schur_vec_tol',1e-11);
|
||||
% tolerance level used to find nonstationary variables in Schur decomposition of the transition matrix.
|
||||
|
||||
|
@ -181,7 +181,7 @@ if (isfield(options_ident,'no_identification_strength') && options_ident.no_ide
|
|||
options_ident.no_identification_moments = 0;
|
||||
end
|
||||
|
||||
%overwrite setting, as dynare_sensitivity does not make use of spectrum and minimal system
|
||||
%overwrite setting, as sensitivity.run does not make use of spectrum and minimal system
|
||||
if isfield(options_,'opt_gsa') && isfield(options_.opt_gsa,'identification') && options_.opt_gsa.identification == 1
|
||||
options_ident.no_identification_minimal = 1;
|
||||
options_ident.no_identification_spectrum = 1;
|
||||
|
@ -308,12 +308,12 @@ options_.options_ident = [];
|
|||
options_ident = set_default_option(options_ident,'analytic_derivation_mode', options_.analytic_derivation_mode); % if not set by user, inherit default global one
|
||||
% 0: efficient sylvester equation method to compute analytical derivatives as in Ratto & Iskrev (2012)
|
||||
% 1: kronecker products method to compute analytical derivatives as in Iskrev (2010) (only for order=1)
|
||||
% -1: numerical two-sided finite difference method to compute numerical derivatives of all identification Jacobians using function identification_numerical_objective.m (previously thet2tau.m)
|
||||
% -1: numerical two-sided finite difference method to compute numerical derivatives of all identification Jacobians using function identification.numerical_objective.m (previously thet2tau.m)
|
||||
% -2: numerical two-sided finite difference method to compute numerically dYss, dg1, dg2, dg3, d2Yss and d2g1, the identification Jacobians are then computed analytically as with 0
|
||||
|
||||
if options_.discretionary_policy || options_.ramsey_policy
|
||||
if options_ident.analytic_derivation_mode~=-1
|
||||
fprintf('dynare_identification: discretionary_policy and ramsey_policy require analytic_derivation_mode=-1. Resetting the option.')
|
||||
fprintf('identification.run: discretionary_policy and ramsey_policy require analytic_derivation_mode=-1. Resetting the option.')
|
||||
options_ident.analytic_derivation_mode=-1;
|
||||
end
|
||||
end
|
||||
|
@ -384,7 +384,7 @@ else % no estimated_params block, choose all model parameters and all stderr par
|
|||
name_tex = cellfun(@(x) horzcat('$ SE_{', x, '} $'), M_.exo_names_tex, 'UniformOutput', false);
|
||||
name_tex = vertcat(name_tex, cellfun(@(x) horzcat('$ ', x, ' $'), M_.param_names_tex, 'UniformOutput', false));
|
||||
if ~isequal(M_.H,0)
|
||||
fprintf('\ndynare_identification:: Identification does not support measurement errors (yet) and will ignore them in the following. To test their identifiability, instead define them explicitly as varexo and provide measurement equations in the model definition.\n')
|
||||
fprintf('\nidentification.run:: Identification does not support measurement errors (yet) and will ignore them in the following. To test their identifiability, instead define them explicitly as varexo and provide measurement equations in the model definition.\n')
|
||||
end
|
||||
end
|
||||
options_ident.name_tex = name_tex;
|
||||
|
@ -402,13 +402,13 @@ end
|
|||
% settings dependent on number of parameters
|
||||
options_ident = set_default_option(options_ident,'max_dim_cova_group',min([2,totparam_nbr-1]));
|
||||
options_ident.max_dim_cova_group = min([options_ident.max_dim_cova_group,totparam_nbr-1]);
|
||||
% In brute force search (ident_bruteforce.m) when advanced=1 this option sets the maximum dimension of groups of parameters that best reproduce the behavior of each single model parameter
|
||||
% In brute force search (identification.bruteforce.m) when advanced=1 this option sets the maximum dimension of groups of parameters that best reproduce the behavior of each single model parameter
|
||||
|
||||
options_ident = set_default_option(options_ident,'checks_via_subsets',0);
|
||||
% 1: uses identification_checks_via_subsets.m to compute problematic parameter combinations
|
||||
% 0: uses identification_checks.m to compute problematic parameter combinations [default]
|
||||
% 1: uses identification.checks_via_subsets.m to compute problematic parameter combinations
|
||||
% 0: uses identification.checks.m to compute problematic parameter combinations [default]
|
||||
options_ident = set_default_option(options_ident,'max_dim_subsets_groups',min([4,totparam_nbr-1]));
|
||||
% In identification_checks_via_subsets.m, when checks_via_subsets=1, this option sets the maximum dimension of groups of parameters for which the corresponding rank criteria is checked
|
||||
% In identification.checks_via_subsets.m, when checks_via_subsets=1, this option sets the maximum dimension of groups of parameters for which the corresponding rank criteria is checked
|
||||
|
||||
|
||||
% store identification options
|
||||
|
@ -471,7 +471,7 @@ if iload <=0
|
|||
options_ident.tittxt = parameters; %title text for graphs and figures
|
||||
% perform identification analysis for single point
|
||||
[ide_moments_point, ide_spectrum_point, ide_minimal_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, derivatives_info_point, info, error_indicator_point] = ...
|
||||
identification_analysis(M_,options_,oo_,bayestopt_,estim_params_,params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1); %the 1 at the end implies initialization of persistent variables
|
||||
identification.analysis(M_,options_,oo_,bayestopt_,estim_params_,params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1); %the 1 at the end implies initialization of persistent variables
|
||||
if info(1)~=0
|
||||
% there are errors in the solution algorithm
|
||||
message = get_error_message(info,options_);
|
||||
|
@ -488,7 +488,7 @@ if iload <=0
|
|||
options_ident.tittxt = 'Random_prior_params'; %title text for graphs and figures
|
||||
% perform identification analysis
|
||||
[ide_moments_point, ide_spectrum_point, ide_minimal_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, derivatives_info_point, info, error_indicator_point] = ...
|
||||
identification_analysis(M_,options_,oo_,bayestopt_,estim_params_,params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1);
|
||||
identification.analysis(M_,options_,oo_,bayestopt_,estim_params_,params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1);
|
||||
end
|
||||
end
|
||||
if info(1)
|
||||
|
@ -513,10 +513,10 @@ if iload <=0
|
|||
save([IdentifDirectoryName '/' fname '_identif.mat'], 'ide_moments_point', 'ide_spectrum_point', 'ide_minimal_point', 'ide_hess_point', 'ide_reducedform_point', 'ide_dynamic_point', 'store_options_ident');
|
||||
save([IdentifDirectoryName '/' fname '_' parameters '_identif.mat'], 'ide_moments_point', 'ide_spectrum_point', 'ide_minimal_point', 'ide_hess_point', 'ide_reducedform_point', 'ide_dynamic_point', 'store_options_ident');
|
||||
% display results of identification analysis
|
||||
disp_identification(params, ide_reducedform_point, ide_moments_point, ide_spectrum_point, ide_minimal_point, name, options_ident);
|
||||
identification.display(params, ide_reducedform_point, ide_moments_point, ide_spectrum_point, ide_minimal_point, name, options_ident);
|
||||
if ~options_ident.no_identification_strength && ~options_.nograph && ~error_indicator_point.identification_strength && ~error_indicator_point.identification_moments
|
||||
% plot (i) identification strength and sensitivity measure based on the moment information matrix and (ii) plot advanced analysis graphs
|
||||
plot_identification(M_,params, ide_moments_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, options_ident.advanced, parameters, name, ...
|
||||
identification.plot(M_,params, ide_moments_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, options_ident.advanced, parameters, name, ...
|
||||
IdentifDirectoryName, M_.fname, options_, estim_params_, bayestopt_, parameters_TeX, name_tex);
|
||||
end
|
||||
|
||||
|
@ -529,7 +529,7 @@ if iload <=0
|
|||
file_index = 0; % initialize counter for files (if options_.MaxNumberOfBytes is reached, we store results in files)
|
||||
options_MC = options_ident; %store options structure for Monte Carlo analysis
|
||||
options_MC.advanced = 0; %do not run advanced checking in a Monte Carlo analysis
|
||||
options_ident.checks_via_subsets = 0; % for Monte Carlo analysis currently only identification_checks and not identification_checks_via_subsets is supported
|
||||
options_ident.checks_via_subsets = 0; % for Monte Carlo analysis currently only identification.checks and not identification.checks_via_subsets is supported
|
||||
else
|
||||
iteration = 1; % iteration equals SampleSize and we are finished
|
||||
pdraws = []; % to have output object otherwise map_ident.m may crash
|
||||
|
@ -543,7 +543,7 @@ if iload <=0
|
|||
options_ident.tittxt = []; % clear title text for graphs and figures
|
||||
% run identification analysis
|
||||
[ide_moments, ide_spectrum, ide_minimal, ide_hess, ide_reducedform, ide_dynamic, ide_derivatives_info, info, error_indicator] = ...
|
||||
identification_analysis(M_,options_,oo_,bayestopt_,estim_params_,params, indpmodel, indpstderr, indpcorr, options_MC, dataset_info, prior_exist, 0); % the 0 implies that we do not initialize persistent variables anymore
|
||||
identification.analysis(M_,options_,oo_,bayestopt_,estim_params_,params, indpmodel, indpstderr, indpcorr, options_MC, dataset_info, prior_exist, 0); % the 0 implies that we do not initialize persistent variables anymore
|
||||
|
||||
if iteration==0 && info(1)==0 % preallocate storage in the first admissable run
|
||||
delete([IdentifDirectoryName '/' fname '_identif_*.mat']) % delete previously saved results
|
||||
|
@ -801,25 +801,25 @@ if iload <=0
|
|||
end
|
||||
for irun=1:max([maxrun_dDYNAMIC, maxrun_dREDUCEDFORM, maxrun_dMOMENTS, maxrun_dSPECTRUM, maxrun_dMINIMAL])
|
||||
iter=iter+1;
|
||||
% note that this is not the same si_dDYNAMICnorm as computed in identification_analysis
|
||||
% note that this is not the same si_dDYNAMICnorm as computed in identification.analysis
|
||||
% given that we have the MC sample of the Jacobians, we also normalize by the std of the sample of Jacobian entries, to get a fully standardized sensitivity measure
|
||||
si_dDYNAMICnorm(iter,:) = vnorm(STO_si_dDYNAMIC(:,:,irun)./repmat(normalize_STO_DYNAMIC,1,totparam_nbr-(stderrparam_nbr+corrparam_nbr))).*normaliz1((stderrparam_nbr+corrparam_nbr)+1:end);
|
||||
if ~options_MC.no_identification_reducedform && ~isempty(STO_si_dREDUCEDFORM)
|
||||
% note that this is not the same si_dREDUCEDFORMnorm as computed in identification_analysis
|
||||
% note that this is not the same si_dREDUCEDFORMnorm as computed in identification.analysis
|
||||
% given that we have the MC sample of the Jacobians, we also normalize by the std of the sample of Jacobian entries, to get a fully standardized sensitivity measure
|
||||
si_dREDUCEDFORMnorm(iter,:) = vnorm(STO_si_dREDUCEDFORM(:,:,irun)./repmat(normalize_STO_REDUCEDFORM,1,totparam_nbr)).*normaliz1;
|
||||
end
|
||||
if ~options_MC.no_identification_moments && ~isempty(STO_si_dMOMENTS)
|
||||
% note that this is not the same si_dMOMENTSnorm as computed in identification_analysis
|
||||
% note that this is not the same si_dMOMENTSnorm as computed in identification.analysis
|
||||
% given that we have the MC sample of the Jacobians, we also normalize by the std of the sample of Jacobian entries, to get a fully standardized sensitivity measure
|
||||
si_dMOMENTSnorm(iter,:) = vnorm(STO_si_dMOMENTS(:,:,irun)./repmat(normalize_STO_MOMENTS,1,totparam_nbr)).*normaliz1;
|
||||
end
|
||||
if ~options_MC.no_identification_spectrum && ~isempty(STO_dSPECTRUM)
|
||||
% note that this is not the same dSPECTRUMnorm as computed in identification_analysis
|
||||
% note that this is not the same dSPECTRUMnorm as computed in identification.analysis
|
||||
dSPECTRUMnorm(iter,:) = vnorm(STO_dSPECTRUM(:,:,irun)); %not yet used
|
||||
end
|
||||
if ~options_MC.no_identification_minimal && ~isempty(STO_dMINIMAL)
|
||||
% note that this is not the same dMINIMALnorm as computed in identification_analysis
|
||||
% note that this is not the same dMINIMALnorm as computed in identification.analysis
|
||||
dMINIMALnorm(iter,:) = vnorm(STO_dMINIMAL(:,:,irun)); %not yet used
|
||||
end
|
||||
end
|
||||
|
@ -847,7 +847,7 @@ else
|
|||
options_.options_ident = options_ident;
|
||||
end
|
||||
|
||||
%% if dynare_identification is called as it own function (not through identification command) and if we load files
|
||||
%% if identification.run is called as it own function (not through identification command) and if we load files
|
||||
if nargout>3 && iload
|
||||
filnam = dir([IdentifDirectoryName '/' fname '_identif_*.mat']);
|
||||
STO_si_dDYNAMIC = [];
|
||||
|
@ -876,10 +876,10 @@ end
|
|||
if iload
|
||||
%if previous analysis is loaded
|
||||
fprintf(['Testing %s\n',parameters]);
|
||||
disp_identification(ide_hess_point.params, ide_reducedform_point, ide_moments_point, ide_spectrum_point, ide_minimal_point, name, options_ident);
|
||||
identification.display(ide_hess_point.params, ide_reducedform_point, ide_moments_point, ide_spectrum_point, ide_minimal_point, name, options_ident);
|
||||
if ~options_.nograph && ~error_indicator_point.identification_strength && ~error_indicator_point.identification_moments
|
||||
% plot (i) identification strength and sensitivity measure based on the sample information matrix and (ii) advanced analysis graphs
|
||||
plot_identification(M_,ide_hess_point.params, ide_moments_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, options_ident.advanced, parameters, name, ...
|
||||
identification.plot(M_,ide_hess_point.params, ide_moments_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, options_ident.advanced, parameters, name, ...
|
||||
IdentifDirectoryName, M_.fname, options_, estim_params_, bayestopt_, [], name_tex);
|
||||
end
|
||||
end
|
||||
|
@ -890,11 +890,11 @@ if SampleSize > 1
|
|||
%print results to console but make sure advanced=0
|
||||
advanced0 = options_ident.advanced;
|
||||
options_ident.advanced = 0;
|
||||
disp_identification(pdraws, IDE_REDUCEDFORM, IDE_MOMENTS, IDE_SPECTRUM, IDE_MINIMAL, name, options_ident);
|
||||
identification.display(pdraws, IDE_REDUCEDFORM, IDE_MOMENTS, IDE_SPECTRUM, IDE_MINIMAL, name, options_ident);
|
||||
options_ident.advanced = advanced0; % reset advanced setting
|
||||
if ~options_.nograph && isfield(ide_hess_point,'ide_strength_dMOMENTS')
|
||||
% plot (i) identification strength and sensitivity measure based on the sample information matrix and (ii) advanced analysis graphs
|
||||
plot_identification(M_, pdraws, IDE_MOMENTS, ide_hess_point, IDE_REDUCEDFORM, IDE_DYNAMIC, options_ident.advanced, 'MC sample ', name, ...
|
||||
identification.plot(M_, pdraws, IDE_MOMENTS, ide_hess_point, IDE_REDUCEDFORM, IDE_DYNAMIC, options_ident.advanced, 'MC sample ', name, ...
|
||||
IdentifDirectoryName, M_.fname, options_, estim_params_, bayestopt_, [], name_tex);
|
||||
end
|
||||
%advanced display and plots for MC Sample, i.e. look at draws with highest/lowest condition number
|
||||
|
@ -912,15 +912,15 @@ if SampleSize > 1
|
|||
if ~iload
|
||||
options_ident.tittxt = tittxt; %title text for graphs and figures
|
||||
[ide_moments_max, ide_spectrum_max, ide_minimal_max, ide_hess_max, ide_reducedform_max, ide_dynamic_max, derivatives_info_max, info_max, error_indicator_max] = ...
|
||||
identification_analysis(M_,options_,oo_,bayestopt_,estim_params_,pdraws(jmax,:), indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1); %the 1 at the end initializes some persistent variables
|
||||
identification.analysis(M_,options_,oo_,bayestopt_,estim_params_,pdraws(jmax,:), indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1); %the 1 at the end initializes some persistent variables
|
||||
save([IdentifDirectoryName '/' fname '_identif.mat'], 'ide_hess_max', 'ide_moments_max', 'ide_spectrum_max', 'ide_minimal_max','ide_reducedform_max', 'ide_dynamic_max', 'jmax', '-append');
|
||||
end
|
||||
advanced0 = options_ident.advanced; options_ident.advanced = 1; % make sure advanced setting is on
|
||||
disp_identification(pdraws(jmax,:), ide_reducedform_max, ide_moments_max, ide_spectrum_max, ide_minimal_max, name, options_ident);
|
||||
identification.display(pdraws(jmax,:), ide_reducedform_max, ide_moments_max, ide_spectrum_max, ide_minimal_max, name, options_ident);
|
||||
options_ident.advanced = advanced0; %reset advanced setting
|
||||
if ~options_.nograph && ~error_indicator_max.identification_strength && ~error_indicator_max.identification_moments
|
||||
% plot (i) identification strength and sensitivity measure based on the sample information matrix and (ii) advanced analysis graphs
|
||||
plot_identification(M_, pdraws(jmax,:), ide_moments_max, ide_hess_max, ide_reducedform_max, ide_dynamic_max, 1, tittxt, name, ...
|
||||
identification.plot(M_, pdraws(jmax,:), ide_moments_max, ide_hess_max, ide_reducedform_max, ide_dynamic_max, 1, tittxt, name, ...
|
||||
IdentifDirectoryName, M_.fname, options_, estim_params_, bayestopt_, tittxt, name_tex);
|
||||
end
|
||||
|
||||
|
@ -931,15 +931,15 @@ if SampleSize > 1
|
|||
if ~iload
|
||||
options_ident.tittxt = tittxt; %title text for graphs and figures
|
||||
[ide_moments_min, ide_spectrum_min, ide_minimal_min, ide_hess_min, ide_reducedform_min, ide_dynamic_min, ~, ~, error_indicator_min] = ...
|
||||
identification_analysis(M_,options_,oo_,bayestopt_,estim_params_,pdraws(jmin,:), indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1); %the 1 at the end initializes persistent variables
|
||||
identification.analysis(M_,options_,oo_,bayestopt_,estim_params_,pdraws(jmin,:), indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1); %the 1 at the end initializes persistent variables
|
||||
save([IdentifDirectoryName '/' fname '_identif.mat'], 'ide_hess_min', 'ide_moments_min','ide_spectrum_min','ide_minimal_min','ide_reducedform_min', 'ide_dynamic_min', 'jmin', '-append');
|
||||
end
|
||||
advanced0 = options_ident.advanced; options_ident.advanced = 1; % make sure advanced setting is on
|
||||
disp_identification(pdraws(jmin,:), ide_reducedform_min, ide_moments_min, ide_spectrum_min, ide_minimal_min, name, options_ident);
|
||||
identification.display(pdraws(jmin,:), ide_reducedform_min, ide_moments_min, ide_spectrum_min, ide_minimal_min, name, options_ident);
|
||||
options_ident.advanced = advanced0; %reset advanced setting
|
||||
if ~options_.nograph && ~error_indicator_min.identification_strength && ~error_indicator_min.identification_moments
|
||||
% plot (i) identification strength and sensitivity measure based on the sample information matrix and (ii) advanced analysis graphs
|
||||
plot_identification(M_, pdraws(jmin,:),ide_moments_min,ide_hess_min,ide_reducedform_min,ide_dynamic_min,1,tittxt,name,...
|
||||
identification.plot(M_, pdraws(jmin,:),ide_moments_min,ide_hess_min,ide_reducedform_min,ide_dynamic_min,1,tittxt,name,...
|
||||
IdentifDirectoryName, M_.fname, options_, estim_params_, bayestopt_, tittxt,name_tex);
|
||||
end
|
||||
% reset nodisplay option
|
||||
|
@ -954,14 +954,14 @@ if SampleSize > 1
|
|||
if ~iload
|
||||
options_ident.tittxt = tittxt; %title text for graphs and figures
|
||||
[ide_moments_(j), ide_spectrum_(j), ide_minimal_(j), ide_hess_(j), ide_reducedform_(j), ide_dynamic_(j), derivatives_info_(j), info_resolve, error_indicator_j] = ...
|
||||
identification_analysis(M_,options_,oo_,bayestopt_,estim_params_,pdraws(jcrit(j),:), indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1);
|
||||
identification.analysis(M_,options_,oo_,bayestopt_,estim_params_,pdraws(jcrit(j),:), indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1);
|
||||
end
|
||||
advanced0 = options_ident.advanced; options_ident.advanced = 1; %make sure advanced setting is on
|
||||
disp_identification(pdraws(jcrit(j),:), ide_reducedform_(j), ide_moments_(j), ide_spectrum_(j), ide_minimal_(j), name, options_ident);
|
||||
identification.display(pdraws(jcrit(j),:), ide_reducedform_(j), ide_moments_(j), ide_spectrum_(j), ide_minimal_(j), name, options_ident);
|
||||
options_ident.advanced = advanced0; % reset advanced
|
||||
if ~options_.nograph && ~error_indicator_j.identification_strength && ~error_indicator_j.identification_moments
|
||||
% plot (i) identification strength and sensitivity measure based on the sample information matrix and (ii) advanced analysis graphs
|
||||
plot_identification(M_, pdraws(jcrit(j),:), ide_moments_(j), ide_hess_(j), ide_reducedform_(j), ide_dynamic_(j), 1, tittxt, name, ...
|
||||
identification.plot(M_, pdraws(jcrit(j),:), ide_moments_(j), ide_hess_(j), ide_reducedform_(j), ide_dynamic_(j), 1, tittxt, name, ...
|
||||
IdentifDirectoryName, M_.fname, options_, estim_params_, bayestopt_, tittxt, name_tex);
|
||||
end
|
||||
end
|
|
@ -14,7 +14,7 @@ function k = commutation(n, m, sparseflag)
|
|||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * get_perturbation_params_derivs.m (previously getH.m)
|
||||
% * get_identification_jacobians.m (previously getJJ.m)
|
||||
% * identification.get_jacobians.m (previously getJJ.m)
|
||||
% * pruned_state_space_system.m
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
|
|
|
@ -11,7 +11,7 @@ function [Dp,DpMPinv] = duplication(p)
|
|||
% DpMPinv: Moore-Penroze inverse of Dp
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * get_identification_jacobians.m (previously getJJ.m)
|
||||
% * identification.get_jacobians.m (previously getJJ.m)
|
||||
% =========================================================================
|
||||
% Copyright © 1997 Tom Minka <minka@microsoft.com>
|
||||
% Copyright © 2019 Dynare Team
|
||||
|
|
|
@ -30,7 +30,7 @@ function fjac = fjaco(f,x,varargin)
|
|||
ff=feval(f,x,varargin{:});
|
||||
|
||||
tol = eps.^(1/3); %some default value
|
||||
if strcmp(func2str(f),'get_perturbation_params_derivs_numerical_objective') || strcmp(func2str(f),'identification_numerical_objective')
|
||||
if strcmp(func2str(f),'get_perturbation_params_derivs_numerical_objective') || strcmp(func2str(f),'identification.numerical_objective')
|
||||
tol= varargin{4}.dynatol.x;
|
||||
end
|
||||
h = tol.*max(abs(x),1);
|
||||
|
@ -40,12 +40,12 @@ fjac = NaN(length(ff),length(x));
|
|||
for j=1:length(x)
|
||||
xx = x;
|
||||
xx(j) = xh1(j); f1=feval(f,xx,varargin{:});
|
||||
if isempty(f1) && (strcmp(func2str(f),'get_perturbation_params_derivs_numerical_objective') || strcmp(func2str(f),'identification_numerical_objective') )
|
||||
if isempty(f1) && (strcmp(func2str(f),'get_perturbation_params_derivs_numerical_objective') || strcmp(func2str(f),'identification.numerical_objective') )
|
||||
[~,info]=feval(f,xx,varargin{:});
|
||||
disp_info_error_identification_perturbation(info,j);
|
||||
end
|
||||
xx(j) = xh0(j); f0=feval(f,xx,varargin{:});
|
||||
if isempty(f0) && (strcmp(func2str(f),'get_perturbation_params_derivs_numerical_objective') || strcmp(func2str(f),'identification_numerical_objective') )
|
||||
if isempty(f0) && (strcmp(func2str(f),'get_perturbation_params_derivs_numerical_objective') || strcmp(func2str(f),'identification.numerical_objective') )
|
||||
[~,info]=feval(f,xx,varargin{:});
|
||||
disp_info_error_identification_perturbation(info,j)
|
||||
end
|
||||
|
|
|
@ -53,7 +53,7 @@ function [CheckCO,minns,minSYS] = get_minimal_state_representation(SYS, derivs_f
|
|||
% Jacobian (wrt to all parameters) of measurement matrix minD
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * get_identification_jacobians.m (previously getJJ.m)
|
||||
% * identification.get_jacobians.m (previously getJJ.m)
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% * check_minimality (embedded)
|
||||
|
|
|
@ -88,7 +88,7 @@ function DERIVS = get_perturbation_params_derivs(M_, options_, estim_params_, dr
|
|||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * dsge_likelihood.m
|
||||
% * get_identification_jacobians.m
|
||||
% * identification.get_jacobians.m
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% * [fname,'.dynamic']
|
||||
|
|
|
@ -1,2 +1,2 @@
|
|||
list_of_functions = {'discretionary_policy_1', 'dsge_var_likelihood', 'dyn_first_order_solver', 'dyn_waitbar', 'ep_residuals', 'evaluate_likelihood', 'prior_draw_gsa', 'identification_analysis', 'computeDLIK', 'univariate_computeDLIK', 'metropolis_draw', 'flag_implicit_skip_nan', 'mr_hessian', 'masterParallel', 'auxiliary_initialization', 'auxiliary_particle_filter', 'conditional_filter_proposal', 'conditional_particle_filter', 'gaussian_filter', 'gaussian_filter_bank', 'gaussian_mixture_filter', 'gaussian_mixture_filter_bank', 'Kalman_filter', 'online_auxiliary_filter', 'pruned_state_space_system', 'sequential_importance_particle_filter', 'solve_model_for_online_filter', 'prior_draw', 'priordens',...
|
||||
list_of_functions = {'discretionary_policy_1', 'dsge_var_likelihood', 'dyn_first_order_solver', 'dyn_waitbar', 'ep_residuals', 'evaluate_likelihood', '+gsa/prior_draw.m', '+identification/analysis.m', 'computeDLIK', 'univariate_computeDLIK', 'metropolis_draw', 'flag_implicit_skip_nan', 'mr_hessian', 'masterParallel', 'auxiliary_initialization', 'auxiliary_particle_filter', 'conditional_filter_proposal', 'conditional_particle_filter', 'gaussian_filter', 'gaussian_filter_bank', 'gaussian_mixture_filter', 'gaussian_mixture_filter_bank', 'Kalman_filter', 'online_auxiliary_filter', 'pruned_state_space_system', 'sequential_importance_particle_filter', 'solve_model_for_online_filter', 'prior_draw', 'priordens',...
|
||||
'+occbin/solver.m','+occbin/mkdatap_anticipated_dyn.m','+occbin/mkdatap_anticipated_2constraints_dyn.m','+occbin/match_function.m','+occbin/solve_one_constraint.m','+occbin/solve_two_constraint.m','+occbin/plot/shock_decomposition.m'};
|
||||
|
|
|
@ -80,8 +80,8 @@ function pruned_state_space = pruned_state_space_system(M_, options_, dr, indy,
|
|||
% parameter Jacobian of E_y
|
||||
% -------------------------------------------------------------------------
|
||||
% This function is called by
|
||||
% * get_identification_jacobians.m
|
||||
% * identification_numerical_objective.m
|
||||
% * identification.get_jacobians.m
|
||||
% * identification.numerical_objective.m
|
||||
% -------------------------------------------------------------------------
|
||||
% This function calls
|
||||
% * allVL1.m
|
||||
|
|
|
@ -26,7 +26,7 @@ function M_ = set_all_parameters(xparam1,estim_params_,M_)
|
|||
%! @sp 2
|
||||
%! @strong{This function is called by:}
|
||||
%! @sp 1
|
||||
%! @ref{DsgeSmoother}, @ref{dynare_estimation_1}, @ref{@@gsa/filt_mc_}, @ref{identification_analysis}, @ref{PosteriorFilterSmootherAndForecast}, @ref{prior_posterior_statistics_core}, @ref{prior_sampler}
|
||||
%! @ref{DsgeSmoother}, @ref{dynare_estimation_1}, @ref{@@gsa.monte_carlo_filtering}, @ref{identification.analysis}, @ref{PosteriorFilterSmootherAndForecast}, @ref{prior_posterior_statistics_core}, @ref{prior_sampler}
|
||||
%! @sp 2
|
||||
%! @strong{This function calls:}
|
||||
%! @sp 2
|
||||
|
|
|
@ -1 +1 @@
|
|||
Subproject commit 3dadac8f191dfa1dd660442d5bc4526c4c218149
|
||||
Subproject commit 8d0e8cca5cb78b9dde0ecc867ffb0c64d06dd338
|
Loading…
Reference in New Issue