v4: updating Marco's sensitivity code
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@624 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
michel
parent
6cfb9d70e7
commit
ad8c142c0a
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@ -55,6 +55,10 @@ nshock = estim_params_.nvx;
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nshock = nshock + estim_params_.nvn;
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nshock = nshock + estim_params_.ncx;
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nshock = nshock + estim_params_.ncn;
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number_of_grid_points = 2^9; % 2^9 = 512 !... Must be a power of two.
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bandwidth = 0; % Rule of thumb optimal bandwidth parameter.
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kernel_function = 'gaussian'; % Gaussian kernel for Fast Fourrier Transform approximaton.
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%kernel_function = 'uniform'; % Gaussian kernel for Fast Fourrier Transform approximaton.
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if nargin==0,
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@ -95,11 +99,13 @@ if fload==0 | nargin<2 | isempty(fload),
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options_.irf=0;
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options_.noprint=1;
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for j=1:Nsam,
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for i=1:estim_params_.np,
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evalin('base',[bayestopt_.name{i+nshock}, '= ',sprintf('%0.15e',lpmat(j,i)),';'])
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end
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% for i=1:estim_params_.np,
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% evalin('base',[bayestopt_.name{i+nshock}, '= ',sprintf('%0.15e',lpmat(j,i)),';'])
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% end
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M_.params(estim_params_.param_vals(:,1)) = lpmat(j,:)';
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%evalin('base','stoch_simul(var_list_);');
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stoch_simul([]);
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dr_ = oo_.dr;
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%egg(:,j) = sort(eigenvalues_);
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%egg(:,j) = sort(dr_.eigval);
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if isfield(dr_,'eigval'),
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@ -117,9 +123,9 @@ if fload==0 | nargin<2 | isempty(fload),
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% map stable samples
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ix=[1:Nsam];
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for j=1:Nsam,
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if abs(egg(dr_.npred+1,j))<=options_.qz_criterium; %1+1.e-5;
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if abs(egg(dr_.npred,j))>=options_.qz_criterium; %(1-(options_.qz_criterium-1)); %1-1.e-5;
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ix(j)=0;
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elseif abs(egg(dr_.npred,j))>=options_.qz_criterium; %(1-(options_.qz_criterium-1)); %1-1.e-5;
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elseif (dr_.nboth | dr_.nfwrd) & abs(egg(dr_.npred+1,j))<=options_.qz_criterium; %1+1.e-5;
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ix(j)=0;
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end
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end
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@ -129,8 +135,14 @@ if fload==0 | nargin<2 | isempty(fload),
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ixx=[1:Nsam];
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for j=1:Nsam,
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%if abs(egg(dr_.npred+1,j))>1+1.e-5 & abs(egg(dr_.npred,j))<1-1.e-5;
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if abs(egg(dr_.npred+1,j))>options_.qz_criterium & abs(egg(dr_.npred,j))<options_.qz_criterium; %(1-(options_.qz_criterium-1));
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ixx(j)=0;
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if (dr_.nboth | dr_.nfwrd),
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if abs(egg(dr_.npred+1,j))>options_.qz_criterium & abs(egg(dr_.npred,j))<options_.qz_criterium; %(1-(options_.qz_criterium-1));
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ixx(j)=0;
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end
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else
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if abs(egg(dr_.npred,j))<options_.qz_criterium; %(1-(options_.qz_criterium-1));
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ixx(j)=0;
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end
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end
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end
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ixx=ixx(find(ixx)); % unstable params
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@ -143,31 +155,42 @@ end
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delete([fname_,'_stab_*.*']);
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delete([fname_,'_stab_SA_*.*']);
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delete([fname_,'_stab_corr_*.*']);
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delete([fname_,'_unstab_corr_*.*']);
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if length(ixx)>0 & length(ixx)<Nsam,
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% Blanchard Kahn
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for i=1:ceil(estim_params_.np/12),
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figure,
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for j=1+12*(i-1):min(estim_params_.np,12*i),
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subplot(3,4,j-12*(i-1))
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hist(lpmat(ix,j),30)
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optimal_bandwidth = mh_optimal_bandwidth(lpmat(ix,j),length(ix),bandwidth,kernel_function);
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[x1,f1] = kernel_density_estimate(lpmat(ix,j),number_of_grid_points,...
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optimal_bandwidth,kernel_function);
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plot(x1, f1,':k','linewidth',2)
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optimal_bandwidth = mh_optimal_bandwidth(lpmat(ixx,j),length(ixx),bandwidth,kernel_function);
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[x1,f1] = kernel_density_estimate(lpmat(ixx,j),number_of_grid_points,...
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optimal_bandwidth,kernel_function);
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hold on, plot(x1, f1,'k','linewidth',2)
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%hist(lpmat(ix,j),30)
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title(bayestopt_.name{j+nshock})
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end
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saveas(gcf,[fname_,'_stab_',int2str(i)])
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end
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% TFP STEP & Blanchard;
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% Smirnov test for Blanchard;
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for i=1:ceil(estim_params_.np/12),
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figure,
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for j=1+12*(i-1):min(estim_params_.np,12*i),
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subplot(3,4,j-12*(i-1))
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if ~isempty(ix),
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h=cumplot(lpmat(ix,j));
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set(h,'color',[1 1 1], 'linestyle',':')
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set(h,'color',[0 0 0], 'linestyle',':')
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end
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hold on,
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if ~isempty(ixx),
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h=cumplot(lpmat(ixx,j));
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set(h,'color',[1 1 1])
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set(h,'color',[0 0 0])
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end
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% if exist('kstest2')==2 & length(ixx)>0 & length(ixx)<Nsam,
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% [H,P,KSSTAT] = kstest2(lpmat(ix,j),lpmat(ixx,j));
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@ -181,7 +204,6 @@ for i=1:ceil(estim_params_.np/12),
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end
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if length(ixx)>0 & length(ixx)<Nsam,
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disp(' ')
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disp(' ')
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disp('Starting bivariate analysis:')
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@ -189,39 +211,16 @@ disp('Starting bivariate analysis:')
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c0=corrcoef(lpmat(ix,:));
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c00=tril(c0,-1);
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ifig=0;
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j2=0;
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npar=estim_params_.np;
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for j=1:npar,
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i2=find(abs(c00(:,j))>alpha2);
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if length(i2)>0,
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for jx=1:length(i2),
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j2=j2+1;
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if mod(j2,12)==1,
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ifig=ifig+1;
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figure('name',['Correlations in the stable sample ', num2str(ifig)]),
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end
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subplot(3,4,j2-(ifig-1)*12)
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% bar(c0(i2,j)),
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% set(gca,'xticklabel',bayestopt_.name(i2)),
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% set(gca,'xtick',[1:length(i2)])
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%plot(stock_par(ixx(nfilt+1:end,i),j),stock_par(ixx(nfilt+1:end,i),i2(jx)),'.w')
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%hold on,
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plot(lpmat(ix,j),lpmat(ix,i2(jx)),'.')
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xlabel(deblank(estim_params_.param_names(j,:)),'interpreter','none'),
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ylabel(deblank(estim_params_.param_names(i2(jx),:)),'interpreter','none'),
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title(['cc = ',num2str(c0(i2(jx),j))])
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if (mod(j2,12)==0) & j2>0,
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saveas(gcf,[fname_,'_stab_corr_',int2str(ifig)])
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end
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end
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end
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if (j==(npar)) & j2>0,
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saveas(gcf,[fname_,'_stab_corr_',int2str(ifig)])
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end
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stab_map_2(lpmat(ix,:),alpha2, 1);
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stab_map_2(lpmat(ixx,:),alpha2, 0);
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end
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%close all
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else
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if length(ixx)==0,
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disp('All parameter values in the prior ranges are stable!')
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else
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disp('All parameter values in the prior ranges are unstable!')
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end
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end
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@ -0,0 +1,61 @@
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function stab_map_2(x,alpha2,istab)
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% function stab_map_2(x,alpha2,istab)
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%
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% Copyright (C) 2005 Marco Ratto
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% THIS PROGRAM WAS WRITTEN FOR MATLAB BY
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% Marco Ratto,
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% Unit of Econometrics and Statistics AF
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% (http://www.jrc.cec.eu.int/uasa/),
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% IPSC, Joint Research Centre
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% The European Commission,
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% TP 361, 21020 ISPRA(VA), ITALY
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% marco.ratto@jrc.it
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%
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global bayestopt_ estim_params_ dr_ options_ ys_ fname_
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c0=corrcoef(x);
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c00=tril(c0,-1);
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if istab,
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fig_nam_=[fname_,'_stab_corr_'];
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else
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fig_nam_=[fname_,'_unstab_corr_'];
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end
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ifig=0;
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j2=0;
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npar=estim_params_.np;
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for j=1:npar,
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i2=find(abs(c00(:,j))>alpha2);
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if length(i2)>0,
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for jx=1:length(i2),
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j2=j2+1;
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if mod(j2,12)==1,
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ifig=ifig+1;
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if istab
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figure('name',['Correlations in the stable sample ', num2str(ifig)]),
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else
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figure('name',['Correlations in the unstable sample ', num2str(ifig)]),
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end
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end
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subplot(3,4,j2-(ifig-1)*12)
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% bar(c0(i2,j)),
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% set(gca,'xticklabel',bayestopt_.name(i2)),
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% set(gca,'xtick',[1:length(i2)])
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%plot(stock_par(ixx(nfilt+1:end,i),j),stock_par(ixx(nfilt+1:end,i),i2(jx)),'.k')
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%hold on,
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plot(x(:,j),x(:,i2(jx)),'.')
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xlabel(deblank(estim_params_.param_names(j,:)),'interpreter','none'),
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ylabel(deblank(estim_params_.param_names(i2(jx),:)),'interpreter','none'),
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title(['cc = ',num2str(c0(i2(jx),j))])
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if (mod(j2,12)==0) & j2>0,
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saveas(gcf,[fig_nam_,int2str(ifig)])
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end
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end
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end
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if (j==(npar)) & j2>0,
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saveas(gcf,[fig_nam_,int2str(ifig)])
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end
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end
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%close all
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