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Added first order moments 

Added LRE analysis for trivial no-identification

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3360 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
ratto 2010-01-15 09:57:05 +00:00
parent a018e231de
commit cda0f571b4
1 changed files with 128 additions and 30 deletions
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158
matlab/dynare_identification.m
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@ -1,4 +1,4 @@
function [pdraws, TAU, GAM, H, JJ] = dynare_identification(options_ident, pdraws0) function [pdraws, TAU, GAM, LRE, gp, H, JJ] = dynare_identification(options_ident, pdraws0)
% main % main
% %
@ -77,6 +77,7 @@ if iload <=0,
run_index = 0; run_index = 0;
h = waitbar(0,'Monte Carlo identification checks ...'); h = waitbar(0,'Monte Carlo identification checks ...');
[I,J]=find(M_.lead_lag_incidence');
while iteration < SampleSize, while iteration < SampleSize,
loop_indx = loop_indx+1; loop_indx = loop_indx+1;
@ -101,10 +102,14 @@ if iload <=0,
% bayestopt_.restrict_aux, M_.exo_nbr); % bayestopt_.restrict_aux, M_.exo_nbr);
% tau=[vec(Aa); vech(Bb*M_.Sigma_e*Bb')]; % tau=[vec(Aa); vech(Bb*M_.Sigma_e*Bb')];
tau=[oo_.dr.ys(oo_.dr.order_var); vec(A); vech(B*M_.Sigma_e*B')]; tau=[oo_.dr.ys(oo_.dr.order_var); vec(A); vech(B*M_.Sigma_e*B')];
yy0=oo_.dr.ys(I);
[residual, g1 ] = feval([M_.fname,'_dynamic'],yy0, oo_.exo_steady_state', M_.params,1);
if burnin_iteration<50, if burnin_iteration<50,
burnin_iteration = burnin_iteration + 1; burnin_iteration = burnin_iteration + 1;
pdraws(burnin_iteration,:) = params; pdraws(burnin_iteration,:) = params;
TAU(:,burnin_iteration)=tau; TAU(:,burnin_iteration)=tau;
LRE(:,burnin_iteration)=vec(g1);
[gam,stationary_vars] = th_autocovariances(oo0.dr,bayestopt_.mfys,M_,options_); [gam,stationary_vars] = th_autocovariances(oo0.dr,bayestopt_.mfys,M_,options_);
sdy = sqrt(diag(gam{1})); sdy = sqrt(diag(gam{1}));
sy = sdy*sdy'; sy = sdy*sdy';
@ -127,8 +132,10 @@ if iload <=0,
if iteration==1, if iteration==1,
indJJ = (find(std(GAM')>1.e-8)); indJJ = (find(std(GAM')>1.e-8));
indH = (find(std(TAU')>1.e-8)); indH = (find(std(TAU')>1.e-8));
indLRE = (find(std(LRE')>1.e-8));
TAU = zeros(length(indH),SampleSize); TAU = zeros(length(indH),SampleSize);
GAM = zeros(length(indJJ),SampleSize); GAM = zeros(length(indJJ),SampleSize);
LRE = zeros(length(indLRE),SampleSize);
MAX_tau = min(SampleSize,ceil(MaxNumberOfBytes/(length(indH)*nparam)/8)); MAX_tau = min(SampleSize,ceil(MaxNumberOfBytes/(length(indH)*nparam)/8));
MAX_gam = min(SampleSize,ceil(MaxNumberOfBytes/(length(indJJ)*nparam)/8)); MAX_gam = min(SampleSize,ceil(MaxNumberOfBytes/(length(indJJ)*nparam)/8));
stoH = zeros([length(indH),nparam,MAX_tau]); stoH = zeros([length(indH),nparam,MAX_tau]);
@ -139,43 +146,56 @@ if iload <=0,
if iteration, if iteration,
TAU(:,iteration)=tau(indH); TAU(:,iteration)=tau(indH);
[JJ, H, gam] = getJJ(A, B, M_,oo0,options_,0,indx,indexo,bayestopt_.mf2,nlags,useautocorr); vg1 = vec(g1);
LRE(:,iteration)=vg1(indLRE);
[JJ, H, gam, gp] = getJJ(A, B, M_,oo0,options_,0,indx,indexo,bayestopt_.mf2,nlags,useautocorr);
GAM(:,iteration)=gam(indJJ); GAM(:,iteration)=gam(indJJ);
stoLRE(:,:,run_index) = gp(indLRE,:);
stoH(:,:,run_index) = H(indH,:); stoH(:,:,run_index) = H(indH,:);
stoJJ(:,:,run_index) = JJ(indJJ,:); stoJJ(:,:,run_index) = JJ(indJJ,:);
% use relative changes % use relative changes
% siJ = abs(JJ(indJJ,:).*(1./gam(indJJ)*params)); % siJ = abs(JJ(indJJ,:).*(1./gam(indJJ)*params));
% siH = abs(H(indH,:).*(1./tau(indH)*params)); % siH = abs(H(indH,:).*(1./tau(indH)*params));
% use prior uncertainty % use prior uncertainty
siJ = abs(JJ(indJJ,:)); siJ = (JJ(indJJ,:));
siH = abs(H(indH,:)); siH = (H(indH,:));
siLRE = (gp(indLRE,:));
% siJ = abs(JJ(indJJ,:).*(ones(length(indJJ),1)*bayestopt_.p2')); % siJ = abs(JJ(indJJ,:).*(ones(length(indJJ),1)*bayestopt_.p2'));
% siH = abs(H(indH,:).*(ones(length(indH),1)*bayestopt_.p2')); % siH = abs(H(indH,:).*(ones(length(indH),1)*bayestopt_.p2'));
% siJ = abs(JJ(indJJ,:).*(1./mGAM'*bayestopt_.p2')); % siJ = abs(JJ(indJJ,:).*(1./mGAM'*bayestopt_.p2'));
% siH = abs(H(indH,:).*(1./mTAU'*bayestopt_.p2')); % siH = abs(H(indH,:).*(1./mTAU'*bayestopt_.p2'));
if iteration ==1, if iteration ==1,
siJmean = siJ./SampleSize; siJmean = abs(siJ)./SampleSize;
siHmean = siH./SampleSize; siHmean = abs(siH)./SampleSize;
siLREmean = abs(siLRE)./SampleSize;
derJmean = (siJ)./SampleSize;
derHmean = (siH)./SampleSize;
derLREmean = (siLRE)./SampleSize;
else else
siJmean = siJ./SampleSize+siJmean; siJmean = abs(siJ)./SampleSize+siJmean;
siHmean = siH./SampleSize+siHmean; siHmean = abs(siH)./SampleSize+siHmean;
siLREmean = abs(siLRE)./SampleSize+siLREmean;
derJmean = (siJ)./SampleSize+derJmean;
derHmean = (siH)./SampleSize+derHmean;
derLREmean = (siLRE)./SampleSize+derLREmean;
end end
pdraws(iteration,:) = params; pdraws(iteration,:) = params;
[idemodel.Mco(:,iteration), idemoments.Mco(:,iteration), ... [idemodel.Mco(:,iteration), idemoments.Mco(:,iteration), idelre.Mco(:,iteration), ...
idemodel.Pco(:,:,iteration), idemoments.Pco(:,:,iteration), ... idemodel.Pco(:,:,iteration), idemoments.Pco(:,:,iteration), idelre.Pco(:,:,iteration), ...
idemodel.cond(iteration), idemoments.cond(iteration), ... idemodel.cond(iteration), idemoments.cond(iteration), idelre.cond(iteration), ...
idemodel.ee(:,:,iteration), idemoments.ee(:,:,iteration), ... idemodel.ee(:,:,iteration), idemoments.ee(:,:,iteration), idelre.ee(:,:,iteration), ...
idemodel.ind(:,iteration), idemoments.ind(:,iteration), ... idemodel.ind(:,iteration), idemoments.ind(:,iteration), ...
idemodel.indno{iteration}, idemoments.indno{iteration}] = ... idemodel.indno{iteration}, idemoments.indno{iteration}] = ...
identification_checks(H(indH,:),JJ(indJJ,:), bayestopt_); identification_checks(H(indH,:),JJ(indJJ,:), gp(indLRE,:), bayestopt_);
if run_index==MAX_tau | iteration==SampleSize, if run_index==MAX_tau | iteration==SampleSize,
file_index = file_index + 1; file_index = file_index + 1;
if run_index<MAX_tau, if run_index<MAX_tau,
stoH = stoH(:,:,1:run_index); stoH = stoH(:,:,1:run_index);
stoJJ = stoJJ(:,:,1:run_index); stoJJ = stoJJ(:,:,1:run_index);
stoLRE = stoLRE(:,:,1:run_index);
end end
save([IdentifDirectoryName '/' M_.fname '_identif_' int2str(file_index)], 'stoH', 'stoJJ') save([IdentifDirectoryName '/' M_.fname '_identif_' int2str(file_index)], 'stoH', 'stoJJ', 'stoLRE')
run_index = 0; run_index = 0;
end end
@ -185,34 +205,66 @@ if iload <=0,
end end
end end
siJmean = siJmean.*(ones(length(indJJ),1)*std(pdraws));
siHmean = siHmean.*(ones(length(indH),1)*std(pdraws));
siHmean = siHmean./(max(siHmean')'*ones(size(params)));
siJmean = siJmean./(max(siJmean')'*ones(size(params)));
close(h) close(h)
save([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments', ... save([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments', 'idelre', 'indJJ', 'indH', 'indLRE', ...
'siHmean', 'siJmean', 'TAU', 'GAM') 'siHmean', 'siJmean', 'siLREmean', 'derHmean', 'derJmean', 'derLREmean', 'TAU', 'GAM', 'LRE')
else else
load([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments', ... load([IdentifDirectoryName '/' M_.fname '_identif'], 'pdraws', 'idemodel', 'idemoments', 'idelre', 'indJJ', 'indH', 'indLRE', ...
'siHmean', 'siJmean', 'TAU', 'GAM') 'siHmean', 'siJmean', 'siLREmean', 'derHmean', 'derJmean', 'derLREmean', 'TAU', 'GAM', 'LRE')
options_ident.prior_mc=size(pdraws,1); options_ident.prior_mc=size(pdraws,1);
SampleSize = options_ident.prior_mc; SampleSize = options_ident.prior_mc;
options_.options_ident = options_ident; options_.options_ident = options_ident;
end end
offset = estim_params_.nvx;
offset = offset + estim_params_.nvn;
offset = offset + estim_params_.ncx;
offset = offset + estim_params_.ncn;
siJmean = siJmean.*(ones(length(indJJ),1)*std(pdraws));
siHmean = siHmean.*(ones(length(indH),1)*std(pdraws));
siLREmean = siLREmean.*(ones(length(indLRE),1)*std(pdraws(:, offset+1:end )));
derJmean = derJmean.*(ones(length(indJJ),1)*std(pdraws));
derHmean = derHmean.*(ones(length(indH),1)*std(pdraws));
derLREmean = derLREmean.*(ones(length(indLRE),1)*std(pdraws(:, offset+1:end )));
derHmean = abs(derHmean./(max(siHmean')'*ones(1,size(pdraws,2))));
derJmean = abs(derJmean./(max(siJmean')'*ones(1,size(pdraws,2))));
derLREmean = abs(derLREmean./(max(siLREmean')'*ones(1,estim_params_.np)));
siHmean = siHmean./(max(siHmean')'*ones(1,size(pdraws,2)));
siJmean = siJmean./(max(siJmean')'*ones(1,size(pdraws,2)));
siLREmean = siLREmean./(max(siLREmean')'*ones(1,estim_params_.np));
tstJmean = derJmean*0;
tstHmean = derHmean*0;
tstLREmean = derLREmean*0;
for j=1:nparam,
indd = 1:length(siJmean(:,j));
tstJmean(indd,j) = abs(derJmean(indd,j))./siJmean(indd,j);
indd = 1:length(siHmean(:,j));
tstHmean(indd,j) = abs(derHmean(indd,j))./siHmean(indd,j);
if j>offset
indd = 1:length(siLREmean(:,j-offset));
tstLREmean(indd,j-offset) = abs(derLREmean(indd,j-offset))./siLREmean(indd,j-offset);
end
end
if nargout>3 & iload, if nargout>3 & iload,
filnam = dir([IdentifDirectoryName '/' M_.fname '_identif_*.mat']); filnam = dir([IdentifDirectoryName '/' M_.fname '_identif_*.mat']);
H=[]; H=[];
JJ = []; JJ = [];
gp = [];
for j=1:length(filnam), for j=1:length(filnam),
load([IdentifDirectoryName '/' M_.fname '_identif_',int2str(j),'.mat']); load([IdentifDirectoryName '/' M_.fname '_identif_',int2str(j),'.mat']);
H = cat(3,H, stoH(:,abs(iload),:)); H = cat(3,H, stoH(:,abs(iload),:));
JJ = cat(3,JJ, stoJJ(:,abs(iload),:)); JJ = cat(3,JJ, stoJJ(:,abs(iload),:));
gp = cat(3,gp, stoLRE(:,abs(iload),:));
end end
end end
@ -317,7 +369,16 @@ disp_identification(pdraws, idemodel, idemoments)
% title('Sensitivity in standardized moments'' PCA') % title('Sensitivity in standardized moments'' PCA')
figure, figure,
subplot(221) subplot(231)
myboxplot(siLREmean)
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')
end
title('Sensitivity in the LRE model')
subplot(232)
myboxplot(siHmean) myboxplot(siHmean)
set(gca,'ylim',[0 1.05]) set(gca,'ylim',[0 1.05])
set(gca,'xticklabel','') set(gca,'xticklabel','')
@ -326,7 +387,7 @@ for ip=1:nparam,
end end
title('Sensitivity in the model') title('Sensitivity in the model')
subplot(222) subplot(233)
myboxplot(siJmean) myboxplot(siJmean)
set(gca,'ylim',[0 1.05]) set(gca,'ylim',[0 1.05])
set(gca,'xticklabel','') set(gca,'xticklabel','')
@ -335,7 +396,16 @@ for ip=1:nparam,
end end
title('Sensitivity in the moments') title('Sensitivity in the moments')
subplot(223) subplot(234)
myboxplot(idelre.Mco')
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')
end
title('Multicollinearity in the LRE model')
subplot(235)
myboxplot(idemodel.Mco') myboxplot(idemodel.Mco')
set(gca,'ylim',[0 1]) set(gca,'ylim',[0 1])
set(gca,'xticklabel','') set(gca,'xticklabel','')
@ -344,7 +414,7 @@ for ip=1:nparam,
end end
title('Multicollinearity in the model') title('Multicollinearity in the model')
subplot(224) subplot(236)
myboxplot(idemoments.Mco') myboxplot(idemoments.Mco')
set(gca,'ylim',[0 1]) set(gca,'ylim',[0 1])
set(gca,'xticklabel','') set(gca,'xticklabel','')
@ -364,6 +434,34 @@ title('log10 of Condition number in the model')
subplot(222) subplot(222)
hist(log10(idemoments.cond)) hist(log10(idemoments.cond))
title('log10 of Condition number in the moments') title('log10 of Condition number in the moments')
subplot(223)
hist(log10(idelre.cond))
title('log10 of Condition number in the LRE model')
saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident_COND']) saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident_COND'])
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_COND']); eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_COND']);
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_COND']); eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_COND']);
ifig=0;
nbox = min(estim_params_.np-1,12);
for j=1:estim_params_.np,
if mod(j,12)==1,
ifig = ifig+1;
figure('name','Partial correlations in the LRE model'),
iplo=0;
end
iplo=iplo+1;
mmm = mean(squeeze(idelre.Pco(:,j,:))');
[sss, immm] = sort(-mmm);
subplot(3,4,iplo),
myboxplot(squeeze(idelre.Pco(immm(2:nbox+1),j,:))'),
set(gca,'ylim',[0 1])
set(gca,'xticklabel','')
for ip=1:nbox, %estim_params_.np,
text(ip,-0.02,deblank(M_.param_names(estim_params_.param_vals(immm(ip+1),1),:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
end
title(deblank(M_.param_names(estim_params_.param_vals(j,1),:))),
if j==estim_params_.np | mod(j,12)==0
saveas(gcf,[IdentifDirectoryName,'/',M_.fname,'_ident_PCORR_LRE',int2str(ifig)])
eval(['print -depsc2 ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_LRE',int2str(ifig)]);
eval(['print -dpdf ' IdentifDirectoryName '/' M_.fname '_ident_PCORR_LRE',int2str(ifig)]);
end
end