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Merge pull request #1257 from JohannesPfeifer/conf_sig 

Conf sig
time-shift
MichelJuillard 2016-08-21 16:14:28 +02:00 committed by GitHub
parent d27bbe667f 1bd5c7cc0d
commit 6a6ccfa966
9 changed files with 22 additions and 17 deletions
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2
doc/dynare.texi
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@ -7147,7 +7147,7 @@ cannot be less than the number of constrained periods.
Number of simulations. Default: @code{5000}.
@item conf_sig = @var{DOUBLE}
Level of significance for confidence interval. Default: @code{0.80}
Level of significance for confidence interval. Default: @code{0.90}
@end table

2
matlab/bvar_forecast.m
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@ -103,7 +103,7 @@ end
% Plot graphs
sims_no_shock_mean = mean(sims_no_shock, 3);
sort_idx = round((0.5 + [-options_.conf_sig, options_.conf_sig, 0]/2) * options_.bvar_replic);
sort_idx = round((0.5 + [-options_.bvar.conf_sig, options_.bvar.conf_sig, 0]/2) * options_.bvar_replic);
sims_no_shock_sort = sort(sims_no_shock, 3);
sims_no_shock_down_conf = sims_no_shock_sort(:, :, sort_idx(1));

2
matlab/bvar_irf.m
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@ -102,7 +102,7 @@ posterior_mean_irfs = mean(sampled_irfs,4);
posterior_variance_irfs = var(sampled_irfs, 1, 4);
sorted_irfs = sort(sampled_irfs,4);
sort_idx = round((0.5 + [-options_.conf_sig, options_.conf_sig, .0]/2) * options_.bvar_replic);
sort_idx = round((0.5 + [-options_.bvar.conf_sig, options_.bvar.conf_sig, .0]/2) * options_.bvar_replic);
posterior_down_conf_irfs = sorted_irfs(:,:,:,sort_idx(1));
posterior_up_conf_irfs = sorted_irfs(:,:,:,sort_idx(2));

2
matlab/forcst.m
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@ -78,7 +78,7 @@ for i=1:horizon
sigma_y = sigma_y+sigma_u;
end
fact = norminv((1-options_.conf_sig)/2,0,1);
fact = norminv((1-options_.forecasts.conf_sig)/2,0,1);
int_width = zeros(horizon,M_.endo_nbr);
for i=1:nvar

4
matlab/forecast_graphs.m
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@ -74,7 +74,7 @@ for j= 1:nvar
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s/graphs/forcst%d}\n',dname,n_fig);
fprintf(fidTeX,'\\label{Fig:forcst:%d}\n',n_fig);
fprintf(fidTeX,'\\caption{Mean forecasts and %2.0f%% confidence intervals}\n',options_.conf_sig*100);
fprintf(fidTeX,'\\caption{Mean forecasts and %2.0f%% confidence intervals}\n',options_.forecasts.conf_sig*100);
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
end
@ -110,7 +110,7 @@ if m > 1
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s/graphs/forcst%d}\n',dname,n_fig);
fprintf(fidTeX,'\\label{Fig:forcst:%d}\n',n_fig);
fprintf(fidTeX,'\\caption{Mean forecasts and %2.0f\\%% confidence intervals}\n',options_.conf_sig*100);
fprintf(fidTeX,'\\caption{Mean forecasts and %2.0f\\%% confidence intervals}\n',options_.forecasts.conf_sig*100);
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
end

5
matlab/global_initialization.m
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@ -109,6 +109,7 @@ options_.bvar_prior_mu = 2;
options_.bvar_prior_omega = 1;
options_.bvar_prior_flat = 0;
options_.bvar_prior_train = 0;
options_.bvar.conf_sig = 0.6;
% Initialize the field that will contain the optimization algorigthm's options declared in the
% estimation command (if anny).
@ -305,6 +306,8 @@ options_.prior_draws = 10000;
options_.sampling_draws = 500;
options_.forecast = 0;
options_.forecasts.conf_sig = 0.9;
options_.conditional_forecast.conf_sig = 0.9;
% Model
options_.linear = 0;
@ -513,7 +516,7 @@ options_.estimation.moments_posterior_density.gridpoints = 2^9;
options_.estimation.moments_posterior_density.bandwidth = 0; % Rule of thumb optimal bandwidth parameter.
options_.estimation.moments_posterior_density.kernel_function = 'gaussian'; % Gaussian kernel for Fast Fourrier Transform approximaton.
% Misc
options_.conf_sig = 0.6;
% options_.conf_sig = 0.6;
oo_.exo_simul = [];
oo_.endo_simul = [];
ys0_ = [];

6
matlab/imcforecast.m
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@ -63,8 +63,8 @@ if ~isfield(options_cond_fcst,'periods') || isempty(options_cond_fcst.periods)
options_cond_fcst.periods = 40;
end
if ~isfield(options_cond_fcst,'conf_sig') || isempty(options_cond_fcst.conf_sig)
options_cond_fcst.conf_sig = .8;
if ~isfield(options_cond_fcst,'conditional_forecast') || ~isfield(options_cond_fcst.conditional_forecast,'conf_sig') || isempty(options_cond_fcst.conditional_forecast.conf_sig)
options_cond_fcst.conditional_forecast.conf_sig = .8;
end
if isequal(options_cond_fcst.parameter_set,'calibration')
@ -228,7 +228,7 @@ end
mFORCS1 = mean(FORCS1,3);
mFORCS1_shocks = mean(FORCS1_shocks,3);
tt = (1-options_cond_fcst.conf_sig)/2;
tt = (1-options_cond_fcst.conditional_forecast.conf_sig)/2;
t1 = round(options_cond_fcst.replic*tt);
t2 = round(options_cond_fcst.replic*(1-tt));

2
matlab/simultxdet.m
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@ -134,7 +134,7 @@ for i=1:iter
sigma_y = sigma_y+sigma_u;
end
fact = norminv((1-options_.conf_sig)/2,0,1);
fact = norminv((1-options_.forecasts.conf_sig)/2,0,1);
int_width = zeros(iter,endo_nbr);
for i=1:nvar

14
preprocessor/DynareBison.yy
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@ -1727,7 +1727,7 @@ estimation_options : o_datafile
| o_nograph
| o_nodisplay
| o_graph_format
| o_conf_sig
| o_forecasts_conf_sig
| o_mh_conf_sig
| o_mh_replic
| o_mh_drop
@ -2145,7 +2145,7 @@ bvar_density : BVAR_DENSITY INT_NUMBER ';'
bvar_forecast_option : bvar_common_option
| o_forecast
| o_conf_sig
| o_bvar_conf_sig
| o_bvar_replic
;
@ -2454,7 +2454,7 @@ dynare_sensitivity_option : o_gsa_identification
| o_nograph
| o_nodisplay
| o_graph_format
| o_conf_sig
| o_forecasts_conf_sig
| o_mh_conf_sig
| o_loglinear
| o_mode_file
@ -2501,7 +2501,7 @@ forecast_options: forecast_option
;
forecast_option: o_periods
| o_conf_sig
| o_forecasts_conf_sig
| o_nograph
| o_nodisplay
| o_graph_format
@ -2517,7 +2517,7 @@ conditional_forecast_options : conditional_forecast_option
conditional_forecast_option : o_periods
| o_replic
| o_conf_sig
| o_conditional_forecast_conf_sig
| o_controlled_varexo
| o_parameter_set
;
@ -2823,7 +2823,9 @@ list_allowed_graph_formats : allowed_graph_formats
o_subsample_name : symbol EQUAL date_expr ':' date_expr
{ driver.set_subsample_name_equal_to_date_range($1, $3, $5); }
;
o_conf_sig : CONF_SIG EQUAL non_negative_number { driver.option_num("conf_sig", $3); };
o_bvar_conf_sig : CONF_SIG EQUAL non_negative_number { driver.option_num("bvar.conf_sig", $3); };
o_forecasts_conf_sig : CONF_SIG EQUAL non_negative_number { driver.option_num("forecasts.conf_sig", $3); };
o_conditional_forecast_conf_sig : CONF_SIG EQUAL non_negative_number { driver.option_num("conditional_forecast.conf_sig", $3); };
o_mh_conf_sig : MH_CONF_SIG EQUAL non_negative_number { driver.option_num("mh_conf_sig", $3); };
o_mh_replic : MH_REPLIC EQUAL INT_NUMBER { driver.option_num("mh_replic", $3); };
o_posterior_max_subsample_draws : POSTERIOR_MAX_SUBSAMPLE_DRAWS EQUAL INT_NUMBER { driver.option_num("posterior_max_subsample_draws", $3); };