v4: fixing initvalf
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1795 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
michel
parent
9330ff1786
commit
74fb4a04c5
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@ -0,0 +1,229 @@
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function [data,rawdata]=dynare_estimation_init(var_list_)
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% function dynare_estimation_init(var_list_)
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% preforms initialization tasks before estimation or
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% global sensitivity analysis
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%
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% INPUTS
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% var_list_: selected endogenous variables vector
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%
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% OUTPUTS
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% data: data after required transformation
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% rawdat: data as in the data file
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%
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% SPECIAL REQUIREMENTS
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% none
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%
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% part of DYNARE, copyright Dynare Team (2003-2007)
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% Gnu Public License.
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global M_ options_ oo_ estim_params_
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global bayestopt_ dsge_prior_weight
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options_.varlist = var_list_;
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options_.lgyidx2varobs = zeros(size(M_.endo_names,1),1);
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for i = 1:size(M_.endo_names,1)
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tmp = strmatch(deblank(M_.endo_names(i,:)),options_.varobs,'exact');
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if ~isempty(tmp)
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options_.lgyidx2varobs(i,1) = tmp;
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end
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end
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if ~isempty(strmatch('dsge_prior_weight',M_.param_names))
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options_.bvar_dsge = 1;
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end
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if options_.order > 1
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options_.order = 1;
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end
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if options_.prefilter == 1
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options_.noconstant = 1;
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end
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if options_.filtered_vars ~= 0 & options_.filter_step_ahead == 0
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options_.filter_step_ahead = 1;
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end
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if options_.filter_step_ahead ~= 0
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options_.nk = max(options_.filter_step_ahead);
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else
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options_.nk = 0;
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end
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%% Add something to the parser ++>
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% The user should be able to choose another name
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% for the directory...
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M_.dname = M_.fname;
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pnames = [' ';'beta ';'gamm ';'norm ';'invg ';'unif ';'invg2'];
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n_varobs = size(options_.varobs,1);
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if ~isempty(estim_params_)
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[xparam1,estim_params_,bayestopt_,lb,ub] = set_prior(estim_params_);
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if any(bayestopt_.pshape > 0)
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if options_.mode_compute
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plot_priors
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end
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else
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options_.mh_replic = 0;
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end
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% set prior bounds and check initial value of the parameters
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bounds = prior_bounds(bayestopt_);
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bounds(:,1)=max(bounds(:,1),lb);
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bounds(:,2)=min(bounds(:,2),ub);
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if any(xparam1 < bounds(:,1)) | any(xparam1 > bounds(:,2))
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find(xparam1 < bounds(:,1))
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find(xparam1 > bounds(:,2))
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error('Initial parameter values are outside parameter bounds')
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end
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lb = bounds(:,1);
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ub = bounds(:,2);
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bayestopt_.lb = lb;
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bayestopt_.ub = ub;
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else
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xparam1 = [];
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bayestopt_.lb = [];
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bayestopt_.ub = [];
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bayestopt_.jscale = [];
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bayestopt_.pshape = [];
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bayestopt_.p1 = [];
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bayestopt_.p2 = [];
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bayestopt_.p3 = [];
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bayestopt_.p4 = [];
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estim_params_.nvx = 0;
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estim_params_.nvn = 0;
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estim_params_.ncx = 0;
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estim_params_.ncn = 0;
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estim_params_.np = 0;
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end
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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np = estim_params_.np ;
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nx = nvx+nvn+ncx+ncn+np;
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if ~isfield(options_,'trend_coeffs')
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bayestopt_.with_trend = 0;
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else
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bayestopt_.with_trend = 1;
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bayestopt_.trend_coeff = {};
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trend_coeffs = options_.trend_coeffs;
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nt = length(trend_coeffs);
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for i=1:n_varobs
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if i > length(trend_coeffs)
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bayestopt_.trend_coeff{i} = '0';
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else
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bayestopt_.trend_coeff{i} = trend_coeffs{i};
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end
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end
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end
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bayestopt_.penalty = 1e8; % penalty
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dr = set_state_space([]);
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nstatic = dr.nstatic;
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npred = dr.npred;
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nspred = dr.nspred;
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if isempty(options_.varobs)
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error('ESTIMATION: VAROBS is missing')
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end
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%% Setting resticted state space (observed + predetermined variables)
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k = [];
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k1 = [];
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for i=1:n_varobs
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k = [k strmatch(deblank(options_.varobs(i,:)),M_.endo_names(dr.order_var,:),'exact')];
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k1 = [k1 strmatch(deblank(options_.varobs(i,:)),M_.endo_names, 'exact')];
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end
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% union of observed and state variables
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k2 = union(k',[dr.nstatic+1:dr.nstatic+dr.npred]');
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% set restrict_state to postion of observed + state variables
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% in expanded state vector
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bayestopt_.restrict_var_list = k2;
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% set mf1 to positions of observed variables in restricted state vector
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% for likelihood computation
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[junk,bayestopt_.mf1] = ismember(k,k2);
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% set mf2 to positions of observed variables in expanded state vector
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% for filtering and smoothing
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bayestopt_.mf2 = k;
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bayestopt_.mfys = k1;
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[junk,ic] = intersect(k2,nstatic+(1:npred)');
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bayestopt_.restrict_columns = [ic; length(k2)+(1:nspred-npred)'];
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aux = dr.transition_auxiliary_variables;
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aux(:,2) = aux(:,2) + sum(k2 <= nstatic);
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k = find(aux(:,2) > npred);
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aux(k,2) = aux(k,2) + sum(k2 > nstatic+npred);
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bayestopt_.restrict_aux = aux;
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%% Initialization with unit-root variables
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if ~isempty(options_.unit_root_vars)
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n_ur = size(options_.unit_root_vars,1);
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i_ur = zeros(n_ur,1);
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for i=1:n_ur
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i1 = strmatch(deblank(options_.unit_root_vars(i,:)),M_.endo_names(dr.order_var,:),'exact');
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if isempty(i1)
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error('Undeclared variable in unit_root_vars statement')
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end
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i_ur(i) = i1;
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end
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[junk,bayestopt_.var_list_stationary] = ...
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setdiff((1:M_.endo_nbr)',i_ur);
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[junk,bayestopt_.restrict_var_list_stationary] = ...
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setdiff(bayestopt_.restrict_var_list,i_ur);
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[junk,bayestopt_.restrict_var_list_nonstationary] = ...
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intersect(bayestopt_.restrict_var_list,i_ur);
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if M_.maximum_lag > 1
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l1 = flipud([cumsum(M_.lead_lag_incidence(1:M_.maximum_lag-1,dr.order_var),1);ones(1,M_.endo_nbr)]);
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l2 = l1(:,bayestopt_.restrict_var_list);
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il2 = find(l2' > 0);
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l2(il2) = (1:length(il2))';
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bayestopt_.restrict_var_list_stationary = ...
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nonzeros(l2(:,bayestopt_.restrict_var_list_stationary));
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bayestopt_.restrict_var_list_nonstationary = ...
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nonzeros(l2(:,bayestopt_.restrict_var_list_nonstationary));
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end
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options_.lik_init = 3;
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end % if ~isempty(options_.unit_root_vars)
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if isempty(options_.datafile)
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error('ESTIMATION: datafile option is missing')
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end
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%% If jscale isn't specified for an estimated parameter, use
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%% global option options_.jscale, set to 0.2, by default
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k = find(isnan(bayestopt_.jscale));
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bayestopt_.jscale(k) = options_.mh_jscale;
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%% Read and demean data
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rawdata = read_variables(options_.datafile,options_.varobs,[],options_.xls_sheet,options_.xls_range);
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options_ = set_default_option(options_,'nobs',size(rawdata,1)-options_.first_obs+1);
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gend = options_.nobs;
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rawdata = rawdata(options_.first_obs:options_.first_obs+gend-1,:);
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if options_.loglinear == 1 & ~options_.logdata
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rawdata = log(rawdata);
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end
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if options_.prefilter == 1
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bayestopt_.mean_varobs = mean(rawdata,1);
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data = transpose(rawdata-ones(gend,1)*bayestopt_.mean_varobs);
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else
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data = transpose(rawdata);
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end
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if ~isreal(rawdata)
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error(['There are complex values in the data. Probably a wrong' ...
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' transformation'])
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end
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Binary file not shown.
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@ -15,12 +15,19 @@ function x0=dynare_sensitivity(options_gsa)
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% M. Ratto, Global Sensitivity Analysis for Macroeconomic models, MIMEO, 2006.
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%
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global M_ options_ oo_ bayestopt_
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global M_ options_ oo_ bayestopt_ estim_params_
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fname_ = M_.fname;
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M_.dname = fname_;
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lgy_ = M_.endo_names;
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x0=[];
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options_.datafile = options_gsa.datafile;
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options_.mode_compute = 0;
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[data,rawdata]=dynare_estimation_init([]);
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% computes a first linear solution to set up various variables
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dynare_resolve;
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options_gsa = set_default_option(options_gsa,'identification',0);
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if options_gsa.identification,
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options_gsa.redform=0;
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@ -53,19 +60,20 @@ if options_gsa.redform,
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options_gsa.ppost=0;
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end
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if ~(exist('Sampling_Function_2','file')==6 | exist('Sampling_Function_2','file')==2),
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dynare_root = strrep(which('dynare.m'),'dynare.m','');
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gsa_path = [dynare_root 'gsa'];
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if exist(gsa_path)
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addpath(gsa_path,path)
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else
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disp('Download pre-parsed mapping routines at:')
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disp('http://eemc.jrc.ec.europa.eu/softwareDYNARE-Dowload.htm')
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disp(' ' )
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error('GSA routines missing!')
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end
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end
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if options_gsa.morris,
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if ~(exist('Sampling_Function_2','file')==6 | exist('Sampling_Function_2','file')==2),
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dynare_root = strrep(which('dynare.m'),'dynare.m','');
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gsa_path = [dynare_root 'gsa'];
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if exist(gsa_path)
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addpath(gsa_path,path)
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else
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disp('Download pre-parsed mapping routines at:')
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disp('http://eemc.jrc.ec.europa.eu/softwareDYNARE-Dowload.htm')
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disp(' ' )
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error('Mapping routines missing!')
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end
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end
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options_gsa.pprior=1;
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options_gsa.ppost=0;
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%options_gsa.stab=1;
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@ -0,0 +1,121 @@
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function initvalf(fname)
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% function initvalf(fname,varargin)
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% reads an initial path from the 'fname' file for exogenous and endogenous variables
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%
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% INPUTS
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% fname: name of the function
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% // period: period
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% // varargin: list of arguments following period
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%
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% OUTPUTS
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% none
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%
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% SPECIAL REQUIREMENTS
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% none
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%
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% part of DYNARE, copyright Dynare Team (2003-2007)
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% Gnu Public License.
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global M_ oo_ options_
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global y_start_date ex_start_date
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series = 1;
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if exist(fname) == 2
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eval(fname);
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elseif exist([fname '.xls']) == 2
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[data,names_v]=xlsread([fname '.xls']);
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series = 0;
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elseif exist([fname '.mat']) == 2
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load(fname);
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end
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% $$$ if length(period) == 2
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% $$$ period = dy_date(period(1),period(2));
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% $$$ end
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% $$$
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% $$$ if period - max(M_.maximum_lag,M_.maximum_lag) < 0
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% $$$ error(['INITVALF_: not enough data points in database for number of' ...
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% $$$ ' lags. Start later!'])
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% $$$ end
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% $$$
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% $$$ if nargin > 2
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% $$$ if strcmp(upper(varargin{1}),'SERIES')
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% $$$ series = 1 ;
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% $$$ elseif strcmp(upper(varargin{1}),'MAT')
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% $$$ series = 0 ;
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% $$$ else
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% $$$ error(['INITVALF: unknown option ' varargin{1}])
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% $$$ end
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% $$$ else
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% $$$ series = 0 ;
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% $$$ end
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% $$$
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% $$$ y1 = floor((period-M_.maximum_lag)/M_.freq);
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% $$$ p1 = period-M_.maximum_lag-M_.freq*y1;
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% $$$ y_start_date(2) = M_.start_date(2) + p1-1;
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% $$$ if y_start_date(2) > M_.freq
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% $$$ y_start_date(2) = y_start_date(2) - M_.freq;
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% $$$ y1 = y1 + 1;
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% $$$ end
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% $$$ y_start_date(1) = M_.start_date(1)+y1;
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% $$$
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% $$$ y1 = floor((period-M_.maximum_lag)/M_.freq);
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% $$$ p1 = period-M_.maximum_lag-M_.freq*y1;
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% $$$ ex_start_date(2) = M_.start_date(2) + p1-1;
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% $$$ if y_start_date(2) > M_.freq
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% $$$ ex_start_date(2) = ex_start_date(2) - M_.freq;
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% $$$ y1 = y1 + 1;
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% $$$ end
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% $$$ ex_start_date(1) = M_.start_date(1)+y1;
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% $$$
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% $$$ clear y1, p1;
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options_.initval_file = 1;
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oo_.endo_simul = [];
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oo_.exo_simul = [];
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for i=1:size(M_.endo_names,1)
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if series == 1
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% x = eval([M_.endo_names(i,:) '(period-M_.maximum_lag:period+options_.periods+M_.maximum_lead-1);']);
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x = eval(M_.endo_names(i,:));
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oo_.endo_simul = [oo_.endo_simul; x'];
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else
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k = strmatch(upper(M_.endo_names(i,:)),names_v,'exact');
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if isempty(k)
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error(['INITVALF: ' M_.endo_names(i,:) ' not found'])
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end
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x = data(:,k);
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% oo_.endo_simul = [oo_.endo_simul; x(period-M_.maximum_lag:period+options_.periods+M_.maximum_lead-1)'];
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oo_.endo_simul = [oo_.endo_simul; x'];
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end
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end
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for i=1:size(M_.exo_names,1)
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if series == 1
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% x = eval([M_.exo_names(i,:) '(period-M_.maximum_lag:period+options_.periods+M_.maximum_lead-1);']);
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x = eval(M_.exo_names(i,:) );
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oo_.exo_simul = [oo_.exo_simul x];
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else
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k = strmatch(upper(M_.exo_names(i,:)),names_v,'exact');
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if isempty(k)
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error(['INITVALF: ' M_.exo_names(i,:) ' not found'])
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end
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x = data(:,k);
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% oo_.exo_simul = [oo_.exo_simul x(period-M_.maximum_lag:period+options_.periods+M_.maximum_lead-1)];
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oo_.exo_simul = [oo_.exo_simul x];
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end
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end
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@ -1,113 +0,0 @@
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function initvalf_(fname,period,varargin)
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% function initvalf_(fname,period,varargin)
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% reads an initial path from the 'fname' file for exogenous and endogenous variables
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%
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% INPUTS
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% fname: name of the function
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% period: period
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% varargin: list of arguments following period
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%
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% OUTPUTS
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% none
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%
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% SPECIAL REQUIREMENTS
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% none
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%
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% part of DYNARE, copyright Dynare Team (2003-2007)
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% Gnu Public License.
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global M_ oo_ options_
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global y_start_date ex_start_date
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if ~isempty(strfind(upper(fname),'.XLS'))
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[data,names_v]=xlsread(fname);
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else
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load(fname);
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end
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if length(period) == 2
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period = dy_date(period(1),period(2));
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end
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if period - max(M_.maximum_lag,M_.maximum_lag) < 0
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error(['INITVALF_: not enough data points in database for number of' ...
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' lags. Start later!'])
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end
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if nargin > 2
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if strcmp(upper(varargin{1}),'SERIES')
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series = 1 ;
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elseif strcmp(upper(varargin{1}),'MAT')
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series = 0 ;
|
||||
else
|
||||
error(['INITVALF: unknown option ' varargin{1}])
|
||||
end
|
||||
else
|
||||
series = 0 ;
|
||||
end
|
||||
|
||||
y1 = floor((period-M_.maximum_lag)/M_.freq);
|
||||
p1 = period-M_.maximum_lag-M_.freq*y1;
|
||||
y_start_date(2) = M_.start_date(2) + p1-1;
|
||||
if y_start_date(2) > M_.freq
|
||||
y_start_date(2) = y_start_date(2) - M_.freq;
|
||||
y1 = y1 + 1;
|
||||
end
|
||||
y_start_date(1) = M_.start_date(1)+y1;
|
||||
|
||||
y1 = floor((period-M_.maximum_lag)/M_.freq);
|
||||
p1 = period-M_.maximum_lag-M_.freq*y1;
|
||||
ex_start_date(2) = M_.start_date(2) + p1-1;
|
||||
if y_start_date(2) > M_.freq
|
||||
ex_start_date(2) = ex_start_date(2) - M_.freq;
|
||||
y1 = y1 + 1;
|
||||
end
|
||||
ex_start_date(1) = M_.start_date(1)+y1;
|
||||
|
||||
clear y1, p1;
|
||||
|
||||
options_.initval_file = 1;
|
||||
oo_.endo_simul = [];
|
||||
oo_.exo_simul = [];
|
||||
|
||||
for i=1:size(M_.endo_names,1)
|
||||
if series == 1
|
||||
x = eval([M_.endo_names(i,:) '(period-M_.maximum_lag:period+options_.periods+M_.maximum_lead-1);']);
|
||||
oo_.endo_simul = [oo_.endo_simul; x'];
|
||||
else
|
||||
k = strmatch(upper(M_.endo_names(i,:)),names_v,'exact');
|
||||
if isempty(k)
|
||||
error(['INITVALF: ' M_.endo_names(i,:) ' not found'])
|
||||
end
|
||||
x = data(:,k);
|
||||
oo_.endo_simul = [oo_.endo_simul; x(period-M_.maximum_lag:period+options_.periods+M_.maximum_lead-1)'];
|
||||
end
|
||||
end
|
||||
|
||||
for i=1:size(M_.exo_name,1)
|
||||
if series == 1
|
||||
x = eval([M_.exo_name(i,:) '(period-M_.maximum_lag:period+options_.periods+M_.maximum_lead-1);']);
|
||||
oo_.exo_simul = [oo_.exo_simul x];
|
||||
else
|
||||
k = strmatch(upper(M_.exo_name(i,:)),names_v,'exact');
|
||||
if isempty(k)
|
||||
error(['INITVALF: ' M_.exo_name(i,:) ' not found'])
|
||||
end
|
||||
x = data(:,k);
|
||||
oo_.exo_simul = [oo_.exo_simul x(period-M_.maximum_lag:period+options_.periods+M_.maximum_lead-1)];
|
||||
end
|
||||
end
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
|
@ -92,7 +92,7 @@ class ParsingDriver;
|
|||
%token FORECAST
|
||||
%token GAMMA_PDF GAUSSIAN_ELIMINATION GCC_COMPILER GMRES GRAPH
|
||||
%token HISTVAL HP_FILTER HP_NGRID
|
||||
%token INITVAL
|
||||
%token INITVAL INITVAL_FILE
|
||||
%token <string_val> INT_NUMBER
|
||||
%token INV_GAMMA_PDF IRF
|
||||
%token KALMAN_ALGO KALMAN_TOL
|
||||
|
|
@ -152,6 +152,7 @@ statement : declaration
|
|||
| markowitz
|
||||
| model
|
||||
| initval
|
||||
| initval_file
|
||||
| endval
|
||||
| histval
|
||||
| init_param
|
||||
|
|
@ -363,11 +364,10 @@ comma_expression : expression
|
|||
|
||||
initval : INITVAL ';' initval_list END
|
||||
{ driver.end_initval(); }
|
||||
| INITVAL '(' initval_option ')' ';' initval_list END
|
||||
{ driver.end_initval(); }
|
||||
;
|
||||
|
||||
initval_option : FILENAME EQUAL NAME { driver.init_val_filename($3); };
|
||||
initval_file : INITVAL_FILE '(' FILENAME EQUAL NAME ')' ';'
|
||||
{ driver.initval_file($5); }
|
||||
;
|
||||
|
||||
endval : ENDVAL ';' initval_list END { driver.end_endval(); };
|
||||
|
||||
|
|
|
|||
|
|
@ -129,6 +129,7 @@ int sigma_e = 0;
|
|||
<INITIAL>bvar_density {BEGIN DYNARE_STATEMENT; return token::BVAR_DENSITY; }
|
||||
<INITIAL>bvar_forecast {BEGIN DYNARE_STATEMENT; return token::BVAR_FORECAST; }
|
||||
<INITIAL>dynare_sensitivity {BEGIN DYNARE_STATEMENT; return token::DYNARE_SENSITIVITY;}
|
||||
<INITIAL>initval_file {BEGIN DYNARE_STATEMENT; return token::INITVAL_FILE;}
|
||||
/* End of a Dynare statement */
|
||||
|
||||
<DYNARE_STATEMENT>; {
|
||||
|
|
@ -207,6 +208,7 @@ int sigma_e = 0;
|
|||
<DYNARE_STATEMENT>constant {return token::CONSTANT;}
|
||||
<DYNARE_STATEMENT>noconstant {return token::NOCONSTANT;}
|
||||
<DYNARE_STATEMENT>covar {return token::COVAR;}
|
||||
<DYNARE_STATEMENT>filename {return token::FILENAME;}
|
||||
|
||||
<DYNARE_STATEMENT>bvar_prior_tau { return token::BVAR_PRIOR_TAU; }
|
||||
<DYNARE_STATEMENT>bvar_prior_decay { return token::BVAR_PRIOR_DECAY; }
|
||||
|
|
@ -234,7 +236,6 @@ int sigma_e = 0;
|
|||
<DYNARE_BLOCK>periods {return token::PERIODS;}
|
||||
<DYNARE_BLOCK>cutoff {return token::CUTOFF;}
|
||||
<DYNARE_BLOCK>markowitz {return token::MARKOWITZ;}
|
||||
<DYNARE_BLOCK>filename {return token::FILENAME;}
|
||||
<DYNARE_BLOCK>gamma_pdf {return token::GAMMA_PDF;}
|
||||
<DYNARE_BLOCK>beta_pdf {return token::BETA_PDF;}
|
||||
<DYNARE_BLOCK>normal_pdf {return token::NORMAL_PDF;}
|
||||
|
|
|
|||
|
|
@ -153,6 +153,21 @@ HistValStatement::writeOutput(ostream &output, const string &basename) const
|
|||
}
|
||||
}
|
||||
|
||||
InitvalFileStatement::InitvalFileStatement(const string* const filename_arg):
|
||||
filename(*filename_arg)
|
||||
{
|
||||
}
|
||||
|
||||
void InitvalFileStatement::writeOutput(ostream &output, const string &basename) const
|
||||
{
|
||||
output << interfaces::comment() << endl
|
||||
<< interfaces::comment() << "INITVAL_FILE statement" << endl
|
||||
<< interfaces::comment() << endl
|
||||
<< "options_.intival_file = 1;" << endl;
|
||||
|
||||
output << "initvalf('" << filename << "');" << endl;
|
||||
}
|
||||
|
||||
HomotopyStatement::HomotopyStatement(const homotopy_values_type &homotopy_values_arg,
|
||||
const SymbolTable &symbol_table_arg) :
|
||||
homotopy_values(homotopy_values_arg),
|
||||
|
|
|
|||
|
|
@ -305,10 +305,9 @@ ParsingDriver::init_val(string *name, NodeID rhs)
|
|||
}
|
||||
|
||||
void
|
||||
ParsingDriver::init_val_filename(string *filename)
|
||||
ParsingDriver::initval_file(string *filename)
|
||||
{
|
||||
options_list.num_options["initval_file"] = "1";
|
||||
options_list.string_options["initval_filename"] = *filename;
|
||||
mod_file->addStatement(new InitvalFileStatement(filename));
|
||||
delete filename;
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -92,6 +92,15 @@ public:
|
|||
virtual void writeOutput(ostream &output, const string &basename) const;
|
||||
};
|
||||
|
||||
class InitvalFileStatement : public Statement
|
||||
{
|
||||
private:
|
||||
string filename;
|
||||
public:
|
||||
InitvalFileStatement(const string* const filename);
|
||||
virtual void writeOutput(ostream &output, const string &basename) const;
|
||||
};
|
||||
|
||||
class HomotopyStatement : public Statement
|
||||
{
|
||||
public:
|
||||
|
|
|
|||
|
|
@ -174,7 +174,7 @@ public:
|
|||
//! Sets the compiler type used in conjunction with SPARCE_DLL
|
||||
void init_compiler(int compiler_type);
|
||||
//! Sets the FILENAME for the initial value in initval
|
||||
void init_val_filename(string *filename);
|
||||
void initval_file(string *filename);
|
||||
//! Declares an endogenous variable
|
||||
void declare_endogenous(string *name, string *tex_name = new string);
|
||||
//! Declares an exogenous variable
|
||||
|
|
|
|||
Loading…
Reference in New Issue