1) relaxed schur_vec_tol
2) warning off divde by zero 3) better figure layouttime-shift
Marco Ratto
parent
263725aa1f
commit
bb06ec430a
|
|
@ -21,6 +21,12 @@ function [pdraws, TAU, GAM, LRE, gp, H, JJ] = dynare_identification(options_iden
|
|||
|
||||
global M_ options_ oo_ bayestopt_ estim_params_
|
||||
|
||||
if exist('OCTAVE_VERSION')
|
||||
warning('off', 'Octave:divide-by-zero')
|
||||
else
|
||||
warning off MATLAB:dividebyzero
|
||||
end
|
||||
|
||||
options_ident = set_default_option(options_ident,'load_ident_files',0);
|
||||
options_ident = set_default_option(options_ident,'useautocorr',1);
|
||||
options_ident = set_default_option(options_ident,'ar',3);
|
||||
|
|
@ -35,7 +41,7 @@ useautocorr = options_ident.useautocorr;
|
|||
options_.ar=nlags;
|
||||
options_.prior_mc = options_ident.prior_mc;
|
||||
options_.options_ident = options_ident;
|
||||
|
||||
options_.Schur_vec_tol = 1.e-8;
|
||||
|
||||
options_ = set_default_option(options_,'datafile',[]);
|
||||
options_.mode_compute = 0;
|
||||
|
|
@ -111,6 +117,11 @@ if iload <=0,
|
|||
TAU(:,burnin_iteration)=tau;
|
||||
LRE(:,burnin_iteration)=[oo_.dr.ys(oo_.dr.order_var); vec(g1)];
|
||||
[gam,stationary_vars] = th_autocovariances(oo0.dr,bayestopt_.mfys,M_,options_);
|
||||
if exist('OCTAVE_VERSION')
|
||||
warning('off', 'Octave:divide-by-zero')
|
||||
else
|
||||
warning off MATLAB:dividebyzero
|
||||
end
|
||||
sdy = sqrt(diag(gam{1}));
|
||||
sy = sdy*sdy';
|
||||
if useautocorr,
|
||||
|
|
@ -126,6 +137,7 @@ if iload <=0,
|
|||
dum = [dum; vec(gam{j+1})];
|
||||
end
|
||||
GAM(:,burnin_iteration)=[oo_.dr.ys(bayestopt_.mfys); dum];
|
||||
warning warning_old_state;
|
||||
else
|
||||
iteration = iteration + 1;
|
||||
run_index = run_index + 1;
|
||||
|
|
@ -206,7 +218,6 @@ if iload <=0,
|
|||
end
|
||||
|
||||
|
||||
|
||||
close(h)
|
||||
|
||||
|
||||
|
|
@ -244,8 +255,11 @@ siLREmean = siLREmean./(max(siLREmean')'*ones(1,estim_params_.np));
|
|||
tstJmean = derJmean*0;
|
||||
tstHmean = derHmean*0;
|
||||
tstLREmean = derLREmean*0;
|
||||
warning_old_state = warning;
|
||||
warning off;
|
||||
if exist('OCTAVE_VERSION')
|
||||
warning('off', 'Octave:divide-by-zero')
|
||||
else
|
||||
warning off MATLAB:dividebyzero
|
||||
end
|
||||
|
||||
for j=1:nparam,
|
||||
indd = 1:length(siJmean(:,j));
|
||||
|
|
@ -258,7 +272,6 @@ tstLREmean(indd,j-offset) = abs(derLREmean(indd,j-offset))./siLREmean(indd,j-off
|
|||
end
|
||||
end
|
||||
|
||||
warning warning_old_state
|
||||
|
||||
if nargout>3 & iload,
|
||||
filnam = dir([IdentifDirectoryName '/' M_.fname '_identif_*.mat']);
|
||||
|
|
@ -373,67 +386,89 @@ disp_identification(pdraws, idemodel, idemoments)
|
|||
% end
|
||||
% title('Sensitivity in standardized moments'' PCA')
|
||||
|
||||
figure,
|
||||
subplot(231)
|
||||
myboxplot(siLREmean)
|
||||
figure('Name','Identification LRE model form'),
|
||||
subplot(211)
|
||||
mmm = mean(siLREmean);
|
||||
[ss, is] = sort(mmm);
|
||||
myboxplot(siLREmean(:,is))
|
||||
set(gca,'ylim',[0 1.05])
|
||||
set(gca,'xticklabel','')
|
||||
for ip=1:estim_params_.np,
|
||||
text(ip,-0.02,deblank(M_.param_names(estim_params_.param_vals(ip,1),:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
text(ip,-0.02,deblank(M_.param_names(estim_params_.param_vals(is(ip),1),:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
end
|
||||
title('Sensitivity in the LRE model')
|
||||
|
||||
subplot(232)
|
||||
myboxplot(siHmean)
|
||||
set(gca,'ylim',[0 1.05])
|
||||
set(gca,'xticklabel','')
|
||||
for ip=1:nparam,
|
||||
text(ip,-0.02,bayestopt_.name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
end
|
||||
title('Sensitivity in the model')
|
||||
|
||||
subplot(233)
|
||||
myboxplot(siJmean)
|
||||
set(gca,'ylim',[0 1.05])
|
||||
set(gca,'xticklabel','')
|
||||
for ip=1:nparam,
|
||||
text(ip,-0.02,bayestopt_.name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
end
|
||||
title('Sensitivity in the moments')
|
||||
|
||||
subplot(234)
|
||||
myboxplot(idelre.Mco')
|
||||
subplot(212)
|
||||
mmm = mean(-idelre.Mco');
|
||||
[ss, is] = sort(mmm);
|
||||
myboxplot(idelre.Mco(is,:)')
|
||||
set(gca,'ylim',[0 1])
|
||||
set(gca,'xticklabel','')
|
||||
for ip=1:estim_params_.np,
|
||||
text(ip,-0.02,deblank(M_.param_names(estim_params_.param_vals(ip,1),:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
text(ip,-0.02,deblank(M_.param_names(estim_params_.param_vals(is(ip),1),:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
end
|
||||
title('Multicollinearity in the LRE model')
|
||||
saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident_LRE'])
|
||||
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_LRE']);
|
||||
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_LRE']);
|
||||
if options_.nograph, close(gcf); end
|
||||
|
||||
subplot(235)
|
||||
myboxplot(idemodel.Mco')
|
||||
figure('Name','Identification in the model'),
|
||||
subplot(211)
|
||||
mmm = mean(siHmean);
|
||||
[ss, is] = sort(mmm);
|
||||
myboxplot(siHmean(:,is))
|
||||
set(gca,'ylim',[0 1.05])
|
||||
set(gca,'xticklabel','')
|
||||
for ip=1:nparam,
|
||||
text(ip,-0.02,bayestopt_.name{is(ip)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
end
|
||||
title('Sensitivity in the model')
|
||||
|
||||
subplot(212)
|
||||
mmm = mean(-idemodel.Mco');
|
||||
[ss, is] = sort(mmm);
|
||||
myboxplot(idemodel.Mco(is,:)')
|
||||
set(gca,'ylim',[0 1])
|
||||
set(gca,'xticklabel','')
|
||||
for ip=1:nparam,
|
||||
text(ip,-0.02,bayestopt_.name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
text(ip,-0.02,bayestopt_.name{is(ip)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
end
|
||||
title('Multicollinearity in the model')
|
||||
saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident_model'])
|
||||
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_model']);
|
||||
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_model']);
|
||||
if options_.nograph, close(gcf); end
|
||||
|
||||
subplot(236)
|
||||
myboxplot(idemoments.Mco')
|
||||
figure('Name','Identification in the moments'),
|
||||
subplot(211)
|
||||
mmm = mean(siJmean);
|
||||
[ss, is] = sort(mmm);
|
||||
myboxplot(siJmean(:,is))
|
||||
set(gca,'ylim',[0 1.05])
|
||||
set(gca,'xticklabel','')
|
||||
for ip=1:nparam,
|
||||
text(ip,-0.02,bayestopt_.name{is(ip)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
end
|
||||
title('Sensitivity in the moments')
|
||||
|
||||
subplot(212)
|
||||
mmm = mean(-idemoments.Mco');
|
||||
[ss, is] = sort(mmm);
|
||||
myboxplot(idemoments.Mco(is,:)')
|
||||
set(gca,'ylim',[0 1])
|
||||
set(gca,'xticklabel','')
|
||||
for ip=1:nparam,
|
||||
text(ip,-0.02,bayestopt_.name{ip},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
text(ip,-0.02,bayestopt_.name{is(ip)},'rotation',90,'HorizontalAlignment','right','interpreter','none')
|
||||
end
|
||||
title('Multicollinearity in the moments')
|
||||
saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident'])
|
||||
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident']);
|
||||
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident']);
|
||||
saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident_moments'])
|
||||
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_moments']);
|
||||
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_moments']);
|
||||
if options_.nograph, close(gcf); end
|
||||
|
||||
|
||||
figure,
|
||||
figure('Name','Condition Number'),
|
||||
subplot(221)
|
||||
hist(log10(idemodel.cond))
|
||||
title('log10 of Condition number in the model')
|
||||
|
|
@ -527,3 +562,10 @@ for j=1:nparam,
|
|||
if options_.nograph, close(gcf); end
|
||||
end
|
||||
end
|
||||
|
||||
|
||||
if exist('OCTAVE_VERSION')
|
||||
warning('on', 'Octave:divide-by-zero')
|
||||
else
|
||||
warning on MATLAB:dividebyzero
|
||||
end
|
||||
|
|
|
|||
Loading…
Reference in New Issue