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Replaced histograms by non parameteric density estimators + other cosmetic changes.

time-shift
Stéphane Adjemia (Scylla) 2018-12-07 10:19:20 +01:00
parent bfd9680f85
commit bbf437bebd
Signed by untrusted user who does not match committer: stepan
GPG Key ID: A6D44CB9C64CE77B
1 changed files with 27 additions and 14 deletions
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41
tests/estimation/univariate/ols/run_simulation_test.m
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@ -2,38 +2,51 @@ close all
dynare ols.mod;
global options_
global M_ options_ oo_
options_.noprint = true;
NSIMS = 1000;
number_of_simulations = 1000;
calibrated_values = M_.params;
Sigma_e = M_.Sigma_e;
options_.bnlms.set_dynare_seed_to_default = false;
nparampool = length(M_.params);
BETA = zeros(NSIMS, nparampool);
for i=1:NSIMS
i
Beta = zeros(number_of_simulations, M_.param_nbr);
for i=1:number_of_simulations
% Set initial conditions randomly
firstobs = rand(3, length(M_.endo_names));
% Set parameters to calibrated values (because after the
% estimation parameters in equation 7 are updated with OLS
% estimator).
M_.params = calibrated_values;
M_.Sigma_e = Sigma_e;
M_.Sigma_e = Sigma_e;
% Simulate the model.
simdata = simul_backward_model(dseries(firstobs, dates('1995Q1'), M_.endo_names), 10000);
% Select a subsample.
simdata = simdata(simdata.dates(5001:6000));
% Perform the estimation of equation 7.
names = regexp(simdata.name, 'res\w*');
idxs = find(cellfun(@isempty, names));
dyn_ols(simdata{idxs}, {}, {'eq7'});
BETA(i, :) = M_.params';
% Store the estimation results in Beta
Beta(i, :) = M_.params';
end
mean(BETA)' - calibrated_values
pid = oo_.ols.eq7.param_idxs;
for i=1:nparampool
figure
for i=1:length(pid)
figure(i)
hold on
title(strrep(M_.param_names(i,:), '_', '\_'));
histogram(BETA(:,i),50);
line([calibrated_values(i) calibrated_values(i)], [0 NSIMS/10], 'LineWidth', 2, 'Color', 'r');
title(strrep(M_.param_names(pid(i),:), '_', '\_'));
bandwidth = mh_optimal_bandwidth(Beta(:,pid(i)), length(Beta(:,pid(i))), -1, 'gaussian');
[abscissa, f] = kernel_density_estimate(Beta(:,pid(i)), 256, length(Beta(:,pid(i))), bandwidth, 'gaussian');
plot(abscissa, f, '-k', 'linewidth', 2);
line([calibrated_values(pid(i)) calibrated_values(pid(i))], [0 max(f)*1.05], 'LineWidth', 2, 'Color', 'r');
axis tight
box on
hold off
end