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* Added info=19 in resol.m (problem in the steady state file). 

* Bug fix in prior_sampler.
* Print  more informations  (BK conditions,  steadys state  or mjdgges
* problems...) when running get_prior_info.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2567 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
stepan 2009-04-07 22:08:39 +00:00
parent 25aa38f9c4
commit 6cb41e0252
3 changed files with 40 additions and 17 deletions
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12
matlab/get_prior_info.m
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@ -94,8 +94,16 @@ function get_prior_info(info)
M_.dname = M_.fname; M_.dname = M_.fname;
if info% Prior simulations. if info% Prior simulations.
results = prior_sampler(1,M_,bayestopt_,options_,oo_); results = prior_sampler(0,M_,bayestopt_,options_,oo_);
results.prior.mass disp(['Prior mass = ' num2str(results.prior.mass)])
disp(['BK indeterminacy share = ' num2str(results.bk.indeterminacy_share)])
disp(['BK unstability share = ' num2str(results.bk.unstability_share)])
disp(['BK singularity share = ' num2str(results.bk.singularity_share)])
disp(['Complex jacobian share = ' num2str(results.jacobian.problem_share)])
disp(['mjdgges crash share = ' num2str(results.dll.problem_share)])
disp(['Steady state problem share = ' num2str(results.ss.problem_share)])
disp(['Complex steady state share = ' num2str(results.ss.complex_share)])
disp(['Analytical steady state problem share = ' num2str(results.ass.problem_share)])
end end

27
matlab/prior_sampler.m
View File

@ -42,17 +42,21 @@ function results = prior_sampler(drsave,M_,bayestopt_,options_,oo_)
count_bk_singularity = 0; count_bk_singularity = 0;
count_static_var_def = 0; count_static_var_def = 0;
count_no_steadystate = 0; count_no_steadystate = 0;
count_steadystate_file_exit = 0;
count_dll_problem = 0; count_dll_problem = 0;
count_complex_jacobian = 0;
count_complex_steadystate = 0;
count_unknown_problem = 0; count_unknown_problem = 0;
NumberOfSimulations = options_.prior_mc; NumberOfSimulations = options_.prior_mc;
NumberOfParameters = length(bayestopt_.p1); NumberOfParameters = length(bayestopt_.p1);
NumberOfEndogenousVariables = size(M_.endo_names,1); NumberOfEndogenousVariables = size(M_.endo_names,1);
NumberOfElementsPerFile = ceil(options_.MaxNumberOfBytes/NumberOfParameters/NumberOfEndogenousVariables/8) ; NumberOfElementsPerFile = ceil(options_.MaxNumberOfBytes/NumberOfParameters/NumberOfEndogenousVariables/8) ;
if NumberOfSimulations <= NumberOfElementsPerFile if NumberOfSimulations <= NumberOfElementsPerFile
TableOfInformations = [ 1 , NumberOfSimulations , 1] ; TableOfInformations = [ 1 , NumberOfSimulations , 1] ;
else else
NumberOfFiles = fix(NumberOfSimulations/NumberOfElementsPerFile) ; NumberOfFiles = fix(NumberOfSimulations/NumberOfElementsPerFile) ;
NumberOfElementsInTheLastFile = NumberOfSimulations - NumberOfElementsPerFile*NumberOfFiles ; NumberOfElementsInTheLastFile = NumberOfSimulations - NumberOfElementsPerFile*(NumberOfFiles-1) ;
if ~isint(NumberOfSimulations/NumberOfElementsPerFile) if ~isint(NumberOfSimulations/NumberOfElementsPerFile)
NumberOfFiles = NumberOfFiles + 1 ; NumberOfFiles = NumberOfFiles + 1 ;
end end
@ -63,11 +67,11 @@ function results = prior_sampler(drsave,M_,bayestopt_,options_,oo_)
TableOfInformations(1,3) = 1; TableOfInformations(1,3) = 1;
TableOfInformations(2:end,3) = cumsum(TableOfInformations(2:end,2))+1; TableOfInformations(2:end,3) = cumsum(TableOfInformations(2:end,2))+1;
end end
pdraws = cell(TableOfInformations(1,2),drsave+1) ; pdraws = cell(TableOfInformations(1,2),drsave+1) ;
sampled_prior_expectation = zeros(NumberOfParameters,1); sampled_prior_expectation = zeros(NumberOfParameters,1);
sampled_prior_covariance = zeros(NumberOfParameters,NumberOfParameters); sampled_prior_covariance = zeros(NumberOfParameters,NumberOfParameters);
% Simulations. % Simulations.
while iteration <= NumberOfSimulations while iteration <= NumberOfSimulations
loop_indx = loop_indx+1; loop_indx = loop_indx+1;
@ -100,10 +104,14 @@ function results = prior_sampler(drsave,M_,bayestopt_,options_,oo_)
count_bk_singularity = count_bk_singularity + 1 ; count_bk_singularity = count_bk_singularity + 1 ;
case 20 case 20
count_no_steadystate = count_no_steadystate + 1 ; count_no_steadystate = count_no_steadystate + 1 ;
case 19
count_steadystate_file_exit = count_steadystate_file_exit + 1 ;
case 6
count_complex_jacobian = count_complex_jacobian + 1 ;
case 21
count_complex_steadystate = count_complex_steadystate + 1 ;
otherwise otherwise
% To be checked...
count_unknown_problem = count_unknown_problem + 1 ; count_unknown_problem = count_unknown_problem + 1 ;
continue
end end
end end
@ -116,18 +124,23 @@ function results = prior_sampler(drsave,M_,bayestopt_,options_,oo_)
results.bk.singularity_share = count_bk_singularity/loop_indx; results.bk.singularity_share = count_bk_singularity/loop_indx;
results.dll.problem_share = count_dll_problem/loop_indx; results.dll.problem_share = count_dll_problem/loop_indx;
results.ss.problem_share = count_no_steadystate/loop_indx; results.ss.problem_share = count_no_steadystate/loop_indx;
results.garbage_share = results.bk.indeterminacy_share + ... results.ss.complex_share = count_complex_steadystate/loop_indx;
results.ass.problem_share = count_steadystate_file_exit/loop_indx;
results.jacobian.problem_share = count_complex_jacobian/loop_indx;
results.garbage_share = ...
results.bk.indeterminacy_share + ...
results.bk.unstability_share + ... results.bk.unstability_share + ...
results.bk.singularity_share + ... results.bk.singularity_share + ...
results.dll.problem_share + ... results.dll.problem_share + ...
results.ss.problem_share + ... results.ss.problem_share + ...
(count_unknown_problem/loop_indx) ; results.ass.problem_share + ...
results.jacobian.problem_share + ...
count_unknown_problem/loop_indx ;
results.prior.mean = sampled_prior_expectation; results.prior.mean = sampled_prior_expectation;
results.prior.variance = sampled_prior_covariance; results.prior.variance = sampled_prior_covariance;
results.prior.mass = 1-results.garbage_share; results.prior.mass = 1-results.garbage_share;
function [mu,sigma] = recursive_prior_moments(m0,s0,newobs,iter) function [mu,sigma] = recursive_prior_moments(m0,s0,newobs,iter)
% Recursive estimation of order one and two moments (expectation and % Recursive estimation of order one and two moments (expectation and
% covariance matrix). newobs should be a row vector. I do not use the % covariance matrix). newobs should be a row vector. I do not use the

18
matlab/resol.m
View File

@ -15,6 +15,7 @@ function [dr,info]=resol(ys,check_flag)
% info=4: Blanchard Kahn conditions are not satisfied:'...' indeterminacy % info=4: Blanchard Kahn conditions are not satisfied:'...' indeterminacy
% info=5: Blanchard Kahn conditions are not satisfied:'...' indeterminacy due to rank failure % info=5: Blanchard Kahn conditions are not satisfied:'...' indeterminacy due to rank failure
% info=6: The jacobian evaluated at the steady state is complex. % info=6: The jacobian evaluated at the steady state is complex.
% info=19: The steadystate file did not compute the steady state (inconsistent deep parameters).
% info=20: can't find steady state info(2) contains sum of sqare residuals % info=20: can't find steady state info(2) contains sum of sqare residuals
% info=21: steady state is complex % info=21: steady state is complex
% info(2) contains sum of sqare of % info(2) contains sum of sqare of
@ -92,14 +93,15 @@ else
end end
% testing for problem % testing for problem
if check1 if check1
info(1)= 20; if options_.steadystate_flag
if options_.steadystate_flag info(1)= 19;
resid = check1 ; resid = check1 ;
else else
resid = feval(fh,ys,oo_.exo_steady_state, M_.params); info(1)= 20;
end resid = feval(fh,ys,oo_.exo_steady_state, M_.params);
info(2) = resid'*resid ; % penalty... end
return info(2) = resid'*resid ;
return
end end
if ~isreal(dr.ys) if ~isreal(dr.ys)