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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@690 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
ratto 2006-03-23 13:14:47 +00:00
parent 682ff004d9
commit 3b0f302e9c
1 changed files with 120 additions and 0 deletions
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matlab/dynare_sensitivity.m Normal file
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function x0=dynare_sensitivity()
% copyright Marco Ratto 2006
global M_ options_ oo_ bayestopt_
fname_ = M_.fname;
lgy_ = M_.endo_names;
x0=[];
options_ = set_default_option(options_,'opt_gsa',1);
options_gsa_ = options_.opt_gsa;
% map stability
options_gsa_ = set_default_option(options_gsa_,'stab',1);
options_gsa_ = set_default_option(options_gsa_,'redform',0);
options_gsa_ = set_default_option(options_gsa_,'pprior',1);
options_gsa_ = set_default_option(options_gsa_,'ilptau',1);
options_gsa_ = set_default_option(options_gsa_,'Nsam',2048);
options_gsa_ = set_default_option(options_gsa_,'load_stab',0);
options_gsa_ = set_default_option(options_gsa_,'alpha2_stab',0.3);
options_gsa_ = set_default_option(options_gsa_,'load_mh',0);
if options_gsa_.stab & ~options_gsa_.load_mh,
x0 = stab_map_(options_gsa_.Nsam, options_gsa_.load_stab, options_gsa_.alpha2_stab, ...
options_gsa_.redform, options_gsa_.pprior, options_gsa_.ilptau);
end
% reduced form
% redform_map(namendo, namlagendo, namexo, icomp, pprior, ilog, threshold)
options_gsa_ = set_default_option(options_gsa_,'load_redform',0);
options_gsa_ = set_default_option(options_gsa_,'logtrans_redform',0);
options_gsa_ = set_default_option(options_gsa_,'threshold_redform',[]);
options_gsa_ = set_default_option(options_gsa_,'namendo',[]);
options_gsa_ = set_default_option(options_gsa_,'namlagendo',[]);
options_gsa_ = set_default_option(options_gsa_,'namexo',[]);
if options_gsa_.redform & ~isempty(options_gsa_.namendo) & ~options_gsa_.load_mh,
redform_map(options_gsa_.namendo, options_gsa_.namlagendo, options_gsa_.namexo, ...
options_gsa_.load_redform, options_gsa_.pprior, options_gsa_.logtrans_redform, options_gsa_.threshold_redform);
end
% RMSE mapping
% function [rmse_MC, ixx] = filt_mc_(vvarvecm, loadSA, pfilt, alpha, alpha2)
options_gsa_ = set_default_option(options_gsa_,'rmse',0);
options_gsa_ = set_default_option(options_gsa_,'var_rmse',options_.varobs);
options_gsa_ = set_default_option(options_gsa_,'load_rmse',0);
options_gsa_ = set_default_option(options_gsa_,'pfilt_rmse',0.1);
options_gsa_ = set_default_option(options_gsa_,'alpha_rmse',0.002);
options_gsa_ = set_default_option(options_gsa_,'alpha2_rmse',0.5);
options_.opt_gsa = options_gsa_;
if options_gsa_.rmse,
if options_gsa_.pprior
a=load([fname_,'_stab']);
else
a=load([fname_,'_mc']);
end
if ~isfield(a,'stock_filter'),
dynare_MC([]);
options_gsa_.load_rmse=0;
end
filt_mc_(options_gsa_.var_rmse, options_gsa_.load_rmse, options_gsa_.pfilt_rmse, ...
options_gsa_.alpha_rmse, options_gsa_.alpha2_rmse);
end
options_gsa_ = set_default_option(options_gsa_,'glue',0);
if options_gsa_.glue,
dr_ = oo_.dr;
load([fname_,'_stab']);
load([fname_,'_SA']);
nruns=size(x,1);
gend = options_.nobs;
rawdata = read_variables(options_.datafile,options_.varobs,[],options_.xls_sheet,options_.xls_range);
rawdata = rawdata(options_.first_obs:options_.first_obs+gend-1,:);
if options_.loglinear == 1
rawdata = log(rawdata);
end
if options_.prefilter == 1
data = transpose(rawdata-ones(gend,1)*bayestopt_.mean_varobs);
else
data = transpose(rawdata);
end
Obs.data = data;
Obs.time = [1:gend];
Obs.num = gend;
for j=1:size(options_.varobs,1)
Obs.name{j} = deblank(options_.varobs(j,:));
vj=deblank(options_.varobs(j,:));
jxj = strmatch(vj,lgy_(dr_.order_var,:),'exact');
js = strmatch(vj,lgy_,'exact');
y0=zeros(gend+1,nruns);
nb = size(stock_filter,3);
y0 = squeeze(stock_filter(:,jxj,:)) + ...
kron(stock_ys(js,:),ones(size(stock_filter,1),1));
Out(j).name = vj;
Out(j).ini = 'yes';
Out(j).time = [1:size(y0,1)];
Out(j).data = y0';
Lik(j).name = ['rmse_',vj];
Lik(j).ini = 'yes';
Lik(j).isam = 1;
Lik(j).data = rmse_MC(:,j)';
end
Lik(size(options_.varobs,1)+1).name = 'logpo';
Lik(size(options_.varobs,1)+1).ini = 'yes';
Lik(size(options_.varobs,1)+1).isam = 1;
Lik(size(options_.varobs,1)+1).data = -logpo2;
Sam.name = bayestopt_.name;
Sam.dim = [size(x) 0];
Sam.data = [x];
Rem.id = 'Original';
Rem.ind= [1:size(x,1)];
save([fname_,'_glue'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
end