Update of gsa documentation
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@ -32,13 +32,13 @@
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\author{Marco Ratto\\
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European Commission, Joint Research Centre \\
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TP361, IPSC, via E. Fermi 1\\21020 Ispra
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TP361, IPSC, \\21027 Ispra
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(VA) Italy\\
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\texttt{marco.ratto@jrc.it}
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\texttt{marco.ratto@jrc.ec.europa.eu}
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\thanks{The author gratefully thanks Christophe Planas, Kenneth Judd, Michel Juillard,
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Alessandro Rossi, Frank Schorfheide and the participants to the
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Courses on Global Sensitivity Analysis for Macroeconomic
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Models (Ispra, 2006-2007-2008) for interesting discussions and
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Models (Ispra, 2006-2007-2008-2010) for interesting discussions and
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helpful suggestions.}}
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%%% To have the current date inserted, use \date{\today}:
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@ -123,7 +123,10 @@ beforehand}.
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\verb"morris_ntra"& 20& number of trajectories in Morris design\\
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\verb"ppost"& 0& 0 = don't use Metropolis posterior sample\\
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& & 1 = use Metropolis posterior sample: this \\
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& & \hspace{0.5 cm} overrides any other sampling option! \\ \hline
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& & \hspace{0.5 cm} overrides any other sampling option! \\
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\verb"neighborhood_width"& []& $\delta$ (real number$>0$) uniform sample in the\\
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& & neighborhood of the posterior mode $\hat{\theta}$ \\
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& & interval width: $\hat{\theta}(1\pm\delta)$ \\\hline
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\end{tabular}
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\subsection{Stability mapping}
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\begin{tabular}{r|l|l}
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@ -132,11 +135,13 @@ beforehand}.
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& & 0 = no stability mapping is performed\\
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\verb"load_stab"& 0& 0 = generate a new sample\\
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& & 1 = load a previously created sample \\
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\verb"alpha2_stab"& 0.4& critical value for correlations $\rho$ in filtered samples:\\
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\verb"pvalue_corr"& 0.001& critical p-value for correlations $\rho$ in filtered samples:\\
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& & plot couples of parameters with \\
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& & $|\rho|>$\verb"alpha2_stab"\\
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\verb"ksstat"& 0.1& critical value for Smirnov statistics $d$: \\
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& & plot parameters with $d>$\verb"ksstat"\\ \hline
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& & p-value$<$\verb"pvalue_corr"\\
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\verb"pvalue_ks" & 0.001& critical p-value for Smirnov statistics $d$: \\
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& & plot parameters with p-value$<$\verb"pvalue_ks"\\
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\verb"lik_init" & 1& 1 = the model is stationary (unit roots are `explosive')\\
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& & 3 = the model has unit roots (unit roots are `stable')\\ \hline
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\end{tabular}
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\newpage
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@ -167,10 +172,13 @@ out-of-sample validation. \vspace{0.5cm}
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& & of reduced form coefficients\\
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& & [\verb"max" \verb"max"] = analyse filtered \\
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& & entries within the range [\verb"max" \verb"max"] \\
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\verb"ksstat_redform"& 0.001& p-value for Smirnov statistics $d$ \\
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& & when reduced form entries are filtered\\
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\verb"alpha2_redform"& 0.001& p-value for correlation $\rho$ \\
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& & when reduced form entries are filtered\\
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\verb"ksstat_redform"& 0.001& critical p-value for Smirnov statistics $d$ \\
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& & when \verb"threshold_redform" is active\\
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& & plot parameters with p-value$<$\verb"ksstat_redform"\\
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\verb"alpha2_redform"& 0.001& critical p-value for correlation $\rho$ \\
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& & when \verb"threshold_redform" is active\\
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& & plot couples of parameters with \\
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& & p-value$<$\verb"alpha2_redform"\\
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\verb"namendo"& () & list of endogenous variables \\
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& : & jolly character to indicate ALL endogenous \\
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\verb"namlagendo"& () & list of lagged endogenous variables:\\
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@ -212,6 +220,7 @@ options of \verb"dynare_estimation". These are:
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\item \verb"datafile"
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\item \verb"mode_file"
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\item \verb"first_obs"
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\item \verb"lik_init"
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\item \verb"nobs"
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\item \verb"prefilter"
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\item \verb"presample"
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@ -235,10 +244,10 @@ options of \verb"dynare_estimation". These are:
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\verb"istart_rmse"& 1& start computing RMSE's from \verb"istart_rmse":\\
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& & use 2 to avoid big initial error \\
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\verb"alpha_rmse"& 0.001& p-value for Smirnov statistics $d$:\\
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& & plot parameters with $pvalue<$\verb"alpha_rmse"\\
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& & plot parameters with p-value$<$\verb"alpha_rmse"\\
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\verb"alpha2_rmse"& 0.001& p-value for correlation $\rho$\\
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& & plot couples of parameters with
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$pvalue<$\verb"alpha2_rmse"\\
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p-value$<$\verb"alpha2_rmse"\\
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\end{tabular}
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\subsection{Screening analysis}
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@ -248,14 +257,12 @@ with respect to those listed in the `Sampling options':
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performs all the analyses required and displays results.
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\subsection{Identification analysis (under development)}
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\subsection{Identification analysis}
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Setting the option \verb"identification=1", an identification
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analysis based on theoretical moments is performed. Sensitivity plots are provided that
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allow to infer which parameters are most likely to be less
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identifiable.
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Prerequisite for properly running all the identification routines, is the keyword
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\verb"identification;" in the DYNARE model file. This keyword triggers the computation of analytic derivatives of the model with respect to estimated parameters and shocks. This is required for options \verb"morris=2" below, which implement \cite{Iskrev2009} identification analysis.
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\vspace{1cm}
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@ -263,36 +270,23 @@ Prerequisite for properly running all the identification routines, is the keywor
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option name & default & description \\ \hline
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\verb"identification"& 0 & 0 = no identification analysis \\
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& & 1 = performs identification analysis:\\
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& & this forces \verb"redform"=0 and default\verb"morris"=1\\
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& & this forces \verb"redform"=0 and default \verb"morris"=1\\
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\verb"morris"& 1 & 1 = Screening analysis (Type II error)\\
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& & 0 = ANOVA Mapping (Type I error)\\
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& & 2 = Analytic derivatives (similar to Type II error)\\
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& & 2 = Analytic derivatives \citep{Iskrev2010,Iskrev2011}\\
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\verb"morris_nliv"& 6 & number of levels in Morris design\\
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\verb"morris_ntra"& 20& number of trajectories in Morris design\\
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\verb"trans_ident"& 0 & data transformation for ANOVA Mapping\\
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& & 0 = no transformation\\
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& & 1 = log-transformation\\
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& & 2 = rank-transformation\\\hline
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\end{tabular}
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\vspace{1cm}
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\noindent For example, the following commands in the DYNARE model file
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\vspace{1cm}
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\noindent\verb"identification;"\\
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\verb"dynare_sensitivity(identification=1, morris=2);"
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\noindent\verb"dynare_sensitivity(identification=1, morris=2);"
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\vspace{1cm}
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\noindent trigger the identification analysis using analytic derivatives \citep{Iskrev2009}, jointly with the mapping of the acceptable region.
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\noindent trigger the identification analysis using \cite{Iskrev2010,Iskrev2011}, jointly with the mapping of the acceptable region.
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The identification analysis with derivatives can also be triggered by the commands
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\vspace{1cm}
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\noindent\verb"identification;"\\
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\verb"dynare_identification;"
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\vspace{1cm}
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This does not do the mapping of acceptable regions for the model and uses the standard random sampler of DYNARE. It completely offsets any use of the sensitivity analysis toolbox.
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\newpage
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\section{Directory structure}
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Sensitivity analysis results are saved on the hard-disk of the
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@ -1,10 +1,3 @@
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@TECHREPORT{Iskrev2009,
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AUTHOR={Iskrev, Nikolay},
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TITLE={Local Identification in \textsc{DSGE} Models},
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YEAR=2009,
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TYPE={mimeo},
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}
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@ARTICLE{Ratto_CompEcon_2008,
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author = {Ratto, M.},
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title = {Analysing DSGE Models with Global Sensitivity Analysis},
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@ -13,3 +6,20 @@ TYPE={mimeo},
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volume = {31},
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pages = {115--139},
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}
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@ARTICLE{Iskrev2010,
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author = {Nikolay Iskrev},
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title = {Local Identification in {DSGE} Models},
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journal = {Journal of Monetary Economics},
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year = {2010},
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volume = {57},
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pages = {189-202}
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}
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@UNPUBLISHED{Iskrev2011,
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author = {Nikolay Iskrev},
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title = {Evaluating the strenght of identification in {DSGE} models. An a priori
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approach},
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note = {mimeo},
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year = {2011}
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}
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