Rename “dynare_sensitivity” command to “sensitivity”
The old name is still accepted, but will trigger a deprecation warning.covariance-quadratic-approximation
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@ -11755,8 +11755,8 @@ estimation environment is set up.
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Performing sensitivity analysis
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-------------------------------
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.. command:: dynare_sensitivity ;
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dynare_sensitivity(OPTIONS...);
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.. command:: sensitivity ;
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sensitivity(OPTIONS...);
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|br| This command triggers sensitivity analysis on a DSGE model.
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@ -12040,6 +12040,12 @@ Performing sensitivity analysis
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See :opt:`diffuse_filter`.
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.. command:: dynare_sensitivity ;
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dynare_sensitivity(OPTIONS...);
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|br| This is a deprecated alias for the ``sensitivity`` command.
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.. _irf-momcal:
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IRF/Moment calibration
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@ -1 +1 @@
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Subproject commit 8d0e8cca5cb78b9dde0ecc867ffb0c64d06dd338
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Subproject commit 0f397f40afd096b062010a374464aae1567ef623
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@ -66,8 +66,8 @@
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"ramsey_model" "ramsey_policy" "evaluate_planner_objective" "occbin_setup"
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"occbin_solver" "occbin_write_regimes" "occbin_graph"
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"discretionary_policy" "identification" "bvar_density" "bvar_forecast"
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"bvar_irf" "dynare_sensitivity" "initval_file" "histval_file" "forecast"
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"shock_decomposition" "realtime_shock_decomposition"
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"bvar_irf" "sensitivity" "dynare_sensitivity" "initval_file" "histval_file"
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"forecast" "shock_decomposition" "realtime_shock_decomposition"
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"plot_shock_decomposition" "initial_condition_decomposition"
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"squeeze_shock_decomposition" "sbvar" "ms_estimation" "ms_simulation"
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"ms_compute_mdd" "ms_compute_probabilities" "ms_forecast" "ms_irf"
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@ -122,7 +122,7 @@ end;
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varobs y_ro, pi_ro, i_ro, s, y_eu, pi_eu, i_eu, tt ;
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options_.TeX =1;
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dynare_sensitivity (identification=1, nsam = 500, lik_only = 1, morris=2) ;
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sensitivity (identification=1, nsam = 500, lik_only = 1, morris=2) ;
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stoch_simul(order=2,irf=20) y_ro pi_ro i_ro s ;
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//order 1 - impulse response functions are simply the algebraic forward iteration of the model's policy
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@ -27,7 +27,7 @@ disp('NOW I DO STABILITY MAPPING and prepare sample for Reduced form Mapping');
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disp(' ');
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% disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(redform=1,nodisplay,Nsam=512); //create sample of reduced form coefficients
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sensitivity(redform=1,nodisplay,Nsam=512); //create sample of reduced form coefficients
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// NOTE: since namendo is empty by default,
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// this call does not perform the mapping of reduced form coefficient: just prepares the sample
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@ -36,7 +36,7 @@ disp('ANALYSIS OF REDUCED FORM COEFFICIENTS');
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disp(' ');
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% disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, load_stab=1, // load previously generated sample analysed for stability
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sensitivity(nodisplay, load_stab=1, // load previously generated sample analysed for stability
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redform=1, // do the reduced form mapping
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threshold_redform=[-1 0], // filter reduced form coefficients (default=[])
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namendo=(pie,R), // evaluate relationships for pie and R (namendo=(:) for all variables)
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@ -51,11 +51,11 @@ disp(' ');
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disp('THE PREVIOUS TWO CALLS COULD BE DONE TOGETHER');
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disp('BY USING THE COMBINED CALL');
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disp(' ');
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disp('dynare_sensitivity(redform=1,')
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disp('sensitivity(redform=1,')
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disp('threshold_redform=[-1 0], namendo=(pie,R), namexo=(e_R), namlagendo=(R));')
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disp(' ');
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% disp('Press ENTER to continue'); pause(5);
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//dynare_sensitivity(
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//sensitivity(
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//redform=1, //create sample of reduced form coefficients
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//logtrans_redform=1, // estimate log-transformed reduced form coefficients (default=0)
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//namendo=(pie,R), // evaluate relationships for pie and R (namendo=(:) for all variables)
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@ -69,7 +69,7 @@ disp(' ');
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disp('MC FILTERING(rmse=1), TO MAP THE FIT FROM PRIORS');
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%disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1, // also presample=2,loglinear, are admissible
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sensitivity(nodisplay, datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1, // also presample=2,loglinear, are admissible
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load_stab=1, // load prior sample
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istart_rmse=2, //start computing rmse from second observation (i.e. rmse does not inlude initial big error)
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stab=0, // don't plot again stability analysis results
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@ -80,13 +80,13 @@ disp(' ');
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disp('THE PREVIOUS THREE CALLS COULD BE DONE TOGETHER');
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disp('BY USING THE COMBINED CALL');
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disp(' ');
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disp('dynare_sensitivity(redform=1,')
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disp('sensitivity(redform=1,')
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disp('logtrans_redform=1, namendo=(pie,R), namexo=(e_R), namlagendo=(R),')
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disp('datafile=data_ca1.m,first_obs=8,nobs=79,prefilter=1,')
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disp('istart_rmse=2, rmse=1);')
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disp(' ');
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% disp('Press ENTER to continue'); pause(5);
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//dynare_sensitivity(
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//sensitivity(
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//redform=1, //create sample of reduced form coefficients
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//logtrans_redform=1, // estimate log-transformed reduced form coefficients (default=0)
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//namendo=(pie,R), // evaluate relationships for pie and R (namendo=(:) for all variables)
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@ -121,7 +121,7 @@ disp('Typical for ML estimation, also feasible for posterior mode');
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disp(' ');
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% disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, pprior=0,Nsam=512,neighborhood_width=0.2,
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sensitivity(nodisplay, pprior=0,Nsam=512,neighborhood_width=0.2,
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mode_file='ls2003/Output/ls2003_mode', // specifies the mode file where the mode and Hessian are stored
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datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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rmse=1);
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@ -132,7 +132,7 @@ disp('Typical for ML estimation, also feasible for posterior mode');
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disp(' ');
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% disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, pprior=0,Nsam=512,
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sensitivity(nodisplay, pprior=0,Nsam=512,
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mode_file='ls2003/Output/ls2003_mode' // specifies the mode file where the mode and Hessian are stored
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);
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@ -141,7 +141,7 @@ disp(' ');
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disp('RMSE ANALYSIS FOR MULTIVARIATE SAMPLE AT THE POSTERIOR MODE');
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disp(' ');
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disp('Press ENTER to continue'); % pause(5);
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dynare_sensitivity(nodisplay, mode_file='ls2003/Output/ls2003_mode',
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sensitivity(nodisplay, mode_file='ls2003/Output/ls2003_mode',
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datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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pprior=0,
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stab=0,
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@ -154,12 +154,12 @@ disp(' ');
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disp('THE LAST TWO CALLS COULD BE DONE TOGETHER');
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disp('BY USING THE COMBINED CALL');
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disp(' ');
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disp('dynare_sensitivity(pprior=0,Nsam=512,alpha2_stab=0.4,mode_file=ls2003_mode,')
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disp('sensitivity(pprior=0,Nsam=512,alpha2_stab=0.4,mode_file=ls2003_mode,')
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disp('datafile=data_ca1.m,first_obs=8,nobs=79,prefilter=1,')
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disp('rmse=1, alpha2_rmse=0, alpha_rmse=0);')
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disp(' ');
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% disp('Press ENTER to continue'); pause(5);
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//dynare_sensitivity(pprior=0,Nsam=2048,alpha2_stab=0.4,mode_file='ls2003/Output/ls2003_mode',
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//sensitivity(pprior=0,Nsam=2048,alpha2_stab=0.4,mode_file='ls2003/Output/ls2003_mode',
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//datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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//rmse=1pae
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//alpha2_rmse=0, // no correlation analysis
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@ -173,7 +173,7 @@ disp('Needs a call to dynare_estimation to load all MH environment');
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//estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=2, mode_file='ls2003/Output/ls2003_mode', load_mh_file,
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// prefilter=1,mh_jscale=0.5,mh_replic=0, mode_compute=0, mh_drop=0.6);
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dynare_sensitivity(nodisplay, stab=0, // no need for stability analysis since the posterior sample is surely OK
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sensitivity(nodisplay, stab=0, // no need for stability analysis since the posterior sample is surely OK
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datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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alpha2_rmse=0, // no correlation analysis
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rmse=1,ppost=1,Nsam=512);
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@ -63,9 +63,9 @@ prior simulate;
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prior moments(distribution);
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if isoctave()
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dynare_sensitivity(prior_range=0, nodisplay, graph_format=(eps),Nsam=512);
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sensitivity(prior_range=0, nodisplay, graph_format=(eps),Nsam=512);
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else
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dynare_sensitivity(prior_range=0, nodisplay, graph_format=(fig),Nsam=512);
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sensitivity(prior_range=0, nodisplay, graph_format=(fig),Nsam=512);
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end
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/*
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@ -27,11 +27,11 @@ disp(' ')
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% disp('PRESS ENTER TO CONTUNUE');
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% pause(5);
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dynare_sensitivity(identification=1, morris_nliv=6, morris_ntra=50);
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sensitivity(identification=1, morris_nliv=6, morris_ntra=50);
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disp('CREATE MC SAMPLE, CHECK FOR STABILITY AND PERFORM IDENTIFICATION ANALYSIS');
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disp('With analytic derivatives')
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disp(' ')
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% disp('PRESS ENTER TO CONTUNUE');
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% pause(5);
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dynare_sensitivity(identification=1, morris=2);
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sensitivity(identification=1, morris=2);
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@ -25,7 +25,7 @@ disp('CREATE SCREENING SAMPLE, CHECK FOR STABILITY AND PERFORM SENSITIVITY ANALY
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% disp('PRESS ENTER TO CONTUNUE');
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% pause;
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dynare_sensitivity(morris=1, morris_nliv=6, morris_ntra=20, redform=1,
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sensitivity(morris=1, morris_nliv=6, morris_ntra=20, redform=1,
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namendo=(:), namexo=(:), namlagendo=(:));
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stoch_simul(order=1,irf=40);
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@ -53,7 +53,7 @@ stderr eps_A,0.02,0.000000000001,100,INV_GAMMA2_PDF,0.2,inf;
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stderr eps_P,0.03,0.000000000001,100,INV_GAMMA2_PDF,0.2,inf;
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end;
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estimation(order=1,prior_trunc=0,plot_priors =0,silent_optimizer, datafile=nk_est_data,conf_sig =.95,smoother,moments_varendo,filtered_vars,mode_check,mode_compute=4,mh_replic=5000,mh_jscale=1.5,mh_nblocks=1,bayesian_irf,tex) y pi l dy pic;
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dynare_sensitivity (datafile=nk_est_data,rmse=0, nsam = 500, lik_only = 0, morris = 2,var_rmse=(dy pic)) ;
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dynare_sensitivity (datafile=nk_est_data,rmse=0, nsam = 500, lik_only = 0, morris = 1,var_rmse=(dy pic)) ;
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sensitivity (datafile=nk_est_data,rmse=0, nsam = 500, lik_only = 0, morris = 2,var_rmse=(dy pic)) ;
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sensitivity (datafile=nk_est_data,rmse=0, nsam = 500, lik_only = 0, morris = 1,var_rmse=(dy pic)) ;
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