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dynare_sensitivity: clean up file

new-samplers
Johannes Pfeifer 2023-11-28 18:45:48 +01:00
parent 152991864d
commit d29228bb5f
1 changed files with 12 additions and 80 deletions
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92
matlab/dynare_sensitivity.m
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@ -28,7 +28,6 @@ if options_.dsge_var
end
fname_ = M_.fname;
lgy_ = M_.endo_names;
x0=[];
% check user defined options
@ -43,7 +42,6 @@ end
if isfield(options_gsa,'morris') && options_gsa.morris==1
if isfield(options_gsa,'identification') && options_gsa.identification==0
% options_gsa.redform=1;
end
if isfield(options_gsa,'ppost') && options_gsa.ppost
error('sensitivity:: Morris is incompatible with posterior sampling')
@ -130,7 +128,7 @@ if ~isempty(options_gsa.datafile) || isempty(bayestopt_) || options_gsa.rmse
options_.mode_compute = 0;
options_.filtered_vars = 1;
options_.plot_priors = 0;
[dataset_,dataset_info,xparam1,hh, M_, options_, oo_, estim_params_, bayestopt_] = ...
[dataset_,dataset_info,~,~, M_, options_, oo_, estim_params_, bayestopt_] = ...
dynare_estimation_init(M_.endo_names, fname_, 1, M_, options_, oo_, estim_params_, bayestopt_);
% computes a first linear solution to set up various variables
else
@ -146,7 +144,7 @@ if M_.exo_nbr==0
error('dynare_sensitivity does not support having no varexo in the model. As a workaround you could define a dummy exogenous variable.')
end
[make,my,day,punk,oo_.dr,M_.params] = dynare_resolve(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
[~,~,~,~,oo_.dr,M_.params] = dynare_resolve(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
options_gsa = set_default_option(options_gsa,'identification',0);
if options_gsa.identification
@ -166,7 +164,6 @@ if options_gsa.identification
options_.options_ident.load_ident_files = options_gsa.load_ident_files;
options_.options_ident.useautocorr = options_gsa.useautocorr;
options_.options_ident.ar = options_gsa.ar;
options_ident=options_.options_ident;
else
options_ident=[];
options_ident = set_default_option(options_ident,'load_ident_files',options_gsa.load_ident_files);
@ -193,7 +190,6 @@ options_gsa = set_default_option(options_gsa,'load_stab',0);
options_gsa = set_default_option(options_gsa,'alpha2_stab',0);
options_gsa = set_default_option(options_gsa,'pvalue_ks',0.001);
options_gsa = set_default_option(options_gsa,'pvalue_corr',1.e-5);
%options_gsa = set_default_option(options_gsa,'load_mh',0);
% REDFORM mapping
options_gsa = set_default_option(options_gsa,'redform',0);
options_gsa = set_default_option(options_gsa,'load_redform',0);
@ -246,31 +242,22 @@ if options_gsa.morris==1
options_gsa.pprior=1;
end
options_gsa.ppost=0;
%options_gsa.stab=1;
options_gsa.glue=0;
options_gsa.rmse=0;
options_gsa.load_rmse=0;
options_gsa.alpha2_stab=1;
options_gsa.pvalue_ks=0;
options_gsa.pvalue_corr=0;
% if options_gsa.morris==3,
% options_gsa = set_default_option(options_gsa,'Nsam',256);
% OutputDirectoryName = CheckPath('gsa/identif',M_.dname);
% else
OutputDirectoryName = CheckPath('gsa/screen',M_.dname);
% end
else
OutputDirectoryName = CheckPath('gsa',M_.dname);
end
% options_.opt_gsa = options_gsa;
if (options_gsa.load_stab || options_gsa.load_rmse || options_gsa.load_redform) && options_gsa.pprior
filetoload=[OutputDirectoryName '/' fname_ '_prior.mat'];
if ~exist(filetoload,'file')
disp([filetoload,' not found!'])
disp(['You asked to load a non existent analysis'])
%options_gsa.load_stab=0;
disp('You asked to load a non existent analysis')
return
else
if isempty(strmatch('bkpprior',who('-file', filetoload),'exact'))
@ -302,9 +289,6 @@ if options_gsa.stab && ~options_gsa.ppost
end
end
% reduced form
% redform_map(namendo, namlagendo, namexo, icomp, pprior, ilog, threshold)
options_.opt_gsa = options_gsa;
if ~isempty(options_gsa.moment_calibration) || ~isempty(options_gsa.irf_calibration)
map_calibration(OutputDirectoryName, M_, options_, oo_, estim_params_,bayestopt_);
@ -365,7 +349,6 @@ if options_gsa.redform && ~isempty(options_gsa.namendo)
end
end
% RMSE mapping
% function [rmse_MC, ixx] = filt_mc_(vvarvecm, loadSA, pfilt, alpha, alpha2)
options_.opt_gsa = options_gsa;
if options_gsa.rmse
if ~options_gsa.ppost
@ -392,7 +375,6 @@ if options_gsa.rmse
options_.forecast=0;
options_.filtered_vars=0;
end
% dynare_MC([],OutputDirectoryName,data,rawdata,data_info);
if options_gsa.pprior
TmpDirectoryName = ([M_.dname filesep 'gsa' filesep 'prior']);
else
@ -409,31 +391,15 @@ if options_gsa.rmse
delete([TmpDirectoryName filesep filparam(j).name]);
end
end
end
oo_=prior_posterior_statistics('gsa',dataset_, dataset_info,M_,oo_,options_,estim_params_,bayestopt_,'gsa::mcmc');
if options_.bayesian_irf
oo_=PosteriorIRF('gsa',options_,estim_params_,oo_,M_,bayestopt_,dataset_,dataset_info,'gsa::mcmc');
end
options_gsa.load_rmse=0;
% else
% if options_gsa.load_rmse==0,
% disp('You already saved a MC filter/smoother analysis ')
% disp('Do you want to overwrite ?')
% pause;
% if options_gsa.pprior
% delete([OutputDirectoryName,'/',fname_,'_prior_*.mat'])
% else
% delete([OutputDirectoryName,'/',fname_,'_mc_*.mat'])
% end
% dynare_MC([],OutputDirectoryName);
% options_gsa.load_rmse=0;
% end
end
end
clear a;
% filt_mc_(OutputDirectoryName,data_info);
filt_mc_(OutputDirectoryName,options_gsa,dataset_,dataset_info,M_,oo_,options_,bayestopt_,estim_params_);
end
options_.opt_gsa = options_gsa;
@ -454,11 +420,10 @@ if options_gsa.glue
end
end
if ~exist('x','var')
disp(['No RMSE analysis is available for current options'])
disp(['No GLUE file prepared'])
disp('No RMSE analysis is available for current options')
disp('No GLUE file prepared')
return,
end
nruns=size(x,1);
gend = options_.nobs;
rawdata = read_variables(options_.datafile,options_.varobs,[],options_.xls_sheet,options_.xls_range);
rawdata = rawdata(options_.first_obs:options_.first_obs+gend-1,:);
@ -466,28 +431,21 @@ if options_gsa.glue
rawdata = log(rawdata);
end
if options_.prefilter == 1
%data = transpose(rawdata-ones(gend,1)*bayestopt_.mean_varobs);
data = transpose(rawdata-ones(gend,1)*mean(rawdata,1));
else
data = transpose(rawdata);
end
Obs.data = data;
Obs.time = [1:gend];
Obs.time = 1:gend;
Obs.num = gend;
for j=1:length(options_.varobs)
Obs.name{j} = options_.varobs{j};
vj = options_.varobs{j};
jxj = strmatch(vj,lgy_(dr_.order_var),'exact');
js = strmatch(vj,lgy_,'exact');
jxj = strmatch(vj,M_.endo_names(dr_.order_var),'exact');
js = strmatch(vj,M_.endo_names,'exact');
if ~options_gsa.ppost
% y0=zeros(gend+1,nruns);
% nb = size(stock_filter,3);
% y0 = squeeze(stock_filter(:,jxj,:)) + ...
% kron(stock_ys(js,:),ones(size(stock_filter,1),1));
% Out(j).data = y0';
% Out(j).time = [1:size(y0,1)];
Out(j).data = jxj;
Out(j).time = [pwd,'/',OutputDirectoryName];
else
@ -501,17 +459,7 @@ if options_gsa.glue
Lik(j).isam = 1;
Lik(j).data = rmse_MC(:,j)';
if ~options_gsa.ppost
% y0 = squeeze(stock_smooth(:,jxj,:)) + ...
% kron(stock_ys(js,:),ones(size(stock_smooth,1),1));
% Out1(j).name = vj;
% Out1(j).ini = 'yes';
% Out1(j).time = [1:size(y0,1)];
% Out1(j).data = y0';
Out1=Out;
else
Out1=Out;
end
Out1=Out;
ismoo(j)=jxj;
end
@ -521,10 +469,6 @@ if options_gsa.glue
jsmoo=jsmoo+1;
vj = M_.endo_names{dr_.order_var(j)};
if ~options_gsa.ppost
% y0 = squeeze(stock_smooth(:,j,:)) + ...
% kron(stock_ys(j,:),ones(size(stock_smooth,1),1));
% Out1(jsmoo).time = [1:size(y0,1)];
% Out1(jsmoo).data = y0';
Out1(jsmoo).data = j;
Out1(jsmoo).time = [pwd,'/',OutputDirectoryName];
else
@ -547,36 +491,24 @@ if options_gsa.glue
end
Sam.name = bayestopt_.name;
Sam.dim = [size(x) 0];
Sam.data = [x];
Sam.data = x;
Rem.id = 'Original';
Rem.ind= [1:size(x,1)];
Rem.ind= 1:size(x,1);
Info.dynare=M_.fname;
Info.order_var=dr_.order_var;
Out=Out1;
if options_gsa.ppost
% Info.dynare=M_.fname;
% Info.order_var=dr_.order_var;
% Out=Out1;
Info.TypeofSample='post';
save([OutputDirectoryName,'/',fname_,'_glue_post.mat'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
%save([fname_,'_post_glue_smooth'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info')
else
if options_gsa.pprior
Info.TypeofSample='prior';
save([OutputDirectoryName,'/',fname_,'_glue_prior.mat'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
% save([OutputDirectoryName,'/',fname_,'_prior_glue'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
% Out=Out1;
% save([OutputDirectoryName,'/',fname_,'_prior_glue_smooth'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
else
Info.TypeofSample='mc';
save([OutputDirectoryName,'/',fname_,'_glue_mc.mat'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
% save([OutputDirectoryName,'/',fname_,'_mc_glue'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
% Out=Out1;
% save([OutputDirectoryName,'/',fname_,'_mc_glue_smooth'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
end
end
end
end