isolated functions deleted

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1727 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
assia 2008-03-03 09:30:06 +00:00
parent 065d95c73f
commit eb1a26962e
6 changed files with 0 additions and 469 deletions

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% Copyright (C) 2001 Michel Juillard
%
function dr=dr11(iorder,dr,cheik)
global M_ options_ oo_
global it_ stdexo_ means_ dr1_test_ bayestopt_
% hack for Bayes
global dr1_test_ bayestopt_
options_ = set_default_option(options_,'loglinear',0);
xlen = M_.maximum_lead + M_.maximum_lag + 1;
klen = M_.maximum_lag + M_.maximum_lead + 1;
iyv = transpose(M_.lead_lag_incidence);
iyv = iyv(:);
iyr0 = find(iyv) ;
it_ = M_.maximum_lag + 1 ;
if M_.exo_nbr == 0
oo_.exo_steady_state = [] ;
end
if ~ M_.lead_lag_incidence(M_.maximum_lag+1,:) > 0
error ('Error in model specification: some variables don"t appear as current') ;
end
if ~cheik
% if xlen > 1
% error (['SS: stochastic exogenous variables must appear only at the' ...
% ' current period. Use additional endogenous variables']) ;
% end
end
if M_.maximum_lead > 1 & iorder > 1
error (['Models with leads on more than one period can only be solved' ...
' at order 1'])
end
dr=set_state_space(dr);
kstate = dr.kstate;
kad = dr.kad;
kae = dr.kae;
nstatic = dr.nstatic;
nfwrd = dr.nfwrd;
npred = dr.npred;
nboth = dr.nboth;
order_var = dr.order_var;
nd = size(kstate,1);
sdyn = M_.endo_nbr - nstatic;
tempex = oo_.exo_simul;
it_ = M_.maximum_lag + 1;
z = repmat(dr.ys,1,klen);
z = z(iyr0) ;
%M_.jacobia=real(diffext('ff1_',[z; oo_.exo_steady_state])) ;
%M_.jacobia=real(jacob_a('ff1_',[z; oo_.exo_steady_state])) ;
[junk,M_.jacobia] = feval([M_.fname '_dynamic'],z,oo_.exo_simul);
oo_.exo_simul = tempex ;
tempex = [];
nz = size(z,1);
k1 = M_.lead_lag_incidence(find([1:klen] ~= M_.maximum_lag+1),:);
b = M_.jacobia(:,M_.lead_lag_incidence(M_.maximum_lag+1,order_var));
a = b\M_.jacobia(:,nonzeros(k1'));
if any(isinf(a(:)))
dr1_test_(1) = 5;
dr1_test_(2) = bayestopt_.penalty;
end
if M_.exo_nbr
fu = b\M_.jacobia(:,nz+1:end);
end
if M_.maximum_lead == 0 & M_.maximum_lag == 1; % backward model with one lag
dr.ghx = -a;
dr.ghu = -fu;
return;
elseif M_.maximum_lead == 0 & M_.maximum_lag > 1 % backward model with lags on more than
% one period
e = zeros(endo_nbr,nd);
k = find(kstate(:,2) <= M_.maximum_lag+1 & kstate(:,4));
e(:,k) = -a(:,kstate(k,4)) ;
dr.ghx = e;
dr.ghu = -fu;
end
% buildind D and E
d = zeros(nd,nd) ;
e = d ;
k = find(kstate(:,2) >= M_.maximum_lag+2 & kstate(:,3));
d(1:sdyn,k) = a(nstatic+1:end,kstate(k,3)) ;
k1 = find(kstate(:,2) == M_.maximum_lag+2);
a1 = eye(sdyn);
e(1:sdyn,k1) = -a1(:,kstate(k1,1)-nstatic);
k = find(kstate(:,2) <= M_.maximum_lag+1 & kstate(:,4));
e(1:sdyn,k) = -a(nstatic+1:end,kstate(k,4)) ;
k2 = find(kstate(:,2) == M_.maximum_lag+1);
k2 = k2(~ismember(kstate(k2,1),kstate(k1,1)));
d(1:sdyn,k2) = a1(:,kstate(k2,1)-nstatic);
if ~isempty(kad)
for j = 1:size(kad,1)
d(sdyn+j,kad(j)) = 1 ;
e(sdyn+j,kae(j)) = 1 ;
end
end
options_ = set_default_option(options_,'qz_criterium',1.000001);
if ~exist('mjdgges')
% using Chris Sim's routines
use_qzdiv = 1;
[ss,tt,qq,w] = qz(e,d);
[tt,ss,qq,w] = qzdiv(options_.qz_criterium,tt,ss,qq,w);
ss1=diag(ss);
tt1=diag(tt);
warning_state = warning;
warning off;
oo_.eigenvalues = ss1./tt1 ;
warning warning_state;
nba = nnz(abs(eigval) > options_.qz_criterium);
else
use_qzdiv = 0;
[ss,tt,w,sdim,oo_.eigenvalues,info] = mjdgges(e,d,options_.qz_criterium);
if info & info ~= nd+2;
error(['ERROR' info ' in MJDGGES.DLL']);
end
nba = nd-sdim;
end
nyf = sum(kstate(:,2) > M_.maximum_lag+1);
if cheik
dr.rank = rank(w(1:nyf,nd-nyf+1:end));
% dr.eigval = oo_.eigenvalues;
return
end
eigenvalues = sort(oo_.eigenvalues);
if nba > nyf;
% disp('Instability !');
dr1_test_(1) = 3; %% More eigenvalues superior to unity than forward variables ==> instability.
dr1_test_(2) = (abs(eigenvalues(nd-nba+1:nd-nyf))-1-1e-5)'*...
(abs(eigenvalues(nd-nba+1:nd-nyf))-1-1e-5);% Distance to Blanchard-Khan conditions (penalty)
return
elseif nba < nyf;
% disp('Indeterminacy !');
dr1_test_(1) = 2; %% ==> Indeterminacy.
dr1_test_(2) = (abs(eigenvalues(nd-nyf+1:nd-nba))-1-1e-5)'*...
(abs(eigenvalues(nd-nyf+1:nd-nba))-1-1e-5);% Distance to Blanchard-Khan conditions (penality)
%% warning('DR1: Blanchard-Kahn conditions are not satisfied. Run CHEIK to learn more!');
return
end
np = nd - nyf;
n2 = np + 1;
n3 = nyf;
n4 = n3 + 1;
% derivatives with respect to dynamic state variables
% forward variables
if condest(w(1:n3,n2:nd)) > 1e9
% disp('Indeterminacy !!');
dr1_test_(1) = 2;
dr1_test_(2) = 1;
return
end
warning_state = warning;
lastwarn('');
warning off;
gx = -w(1:n3,n2:nd)'\w(n4:nd,n2:nd)';
if length(lastwarn) > 0;
% disp('Indeterminacy !!');
dr1_test_(1) = 2;
dr1_test_(2) = 1;
warning(warning_state);
return
end
% predetermined variables
hx = w(1:n3,1:np)'*gx+w(n4:nd,1:np)';
hx = (tt(1:np,1:np)*hx)\(ss(1:np,1:np)*hx);
lastwarn('');
if length(lastwarn) > 0;
% disp('Singularity problem in dr11.m');
dr1_test_(1) = 2;
dr1_test_(2) = 1;
warning(warning_state);
return
end
k1 = find(kstate(n4:nd,2) == M_.maximum_lag+1);
k2 = find(kstate(1:n3,2) == M_.maximum_lag+2);
dr.ghx = [hx(k1,:); gx(k2(nboth+1:end),:)];
%lead variables actually present in the model
j3 = nonzeros(kstate(:,3));
j4 = find(kstate(:,3));
% derivatives with respect to exogenous variables
if M_.exo_nbr
a1 = eye(M_.endo_nbr);
aa1 = [];
if nstatic > 0
aa1 = a1(:,1:nstatic);
end
dr.ghu = -[aa1 a(:,j3)*gx(j4,1:npred)+a1(:,nstatic+1:nstatic+ ...
npred) a1(:,nstatic+npred+1:end)]\fu;
lastwarn('');
if length(lastwarn) > 0;
% disp('Singularity problem in dr11.m');
dr1_test_(1) = 2;
dr1_test_(2) = 1;
return
end
end
warning(warning_state);
% static variables
if nstatic > 0
temp = -a(1:nstatic,j3)*gx(j4,:)*hx;
j5 = find(kstate(n4:nd,4));
temp(:,j5) = temp(:,j5)-a(1:nstatic,nonzeros(kstate(:,4)));
dr.ghx = [temp; dr.ghx];
temp = [];
end
if options_.loglinear == 1
k = find(dr.kstate(:,2) <= M_.maximum_lag+1);
klag = dr.kstate(k,[1 2]);
k1 = dr.order_var;
dr.ghx = repmat(1./dr.ys(k1),1,size(dr.ghx,2)).*dr.ghx.* ...
repmat(dr.ys(k1(klag(:,1)))',size(dr.ghx,1),1);
dr.ghu = repmat(1./dr.ys(k1),1,size(dr.ghu,2)).*dr.ghu;
end
% necessary when using Sims' routines
if use_qzdiv
gx = real(gx);
hx = real(hx);
dr.ghx = real(dr.ghx);
dr.ghu = real(dr.ghu);
end

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function e = fbeta(p2,p,p1,perc)
% must restrict p2 such that a>0 and b>0 ....
a = (1-p1)*p1^2/p2^2 - p1;
b = a*(1/p1 - 1);
e = p - pbeta(perc,a,b);

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function e = fgamma(p2,p,p1,perc)
b = p2^2/p1;
a = p1/b;
e = p - pgamma(perc,a,b);

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function e = figamm(p2,p,p1,perc)
e = p - pgamma(1/perc,p2/2,2/p1);

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function ldens = lpdfbeta(x,a,b);
% function ldens = lpdfbeta(x,a,b)
% log Beta PDF
%
% INPUTS
% x: density evatuated at x
% a: Beta distribution paramerer
% b: Beta distribution paramerer
%
% OUTPUTS
% ldens: the log Beta PDF
%
% SPECIAL REQUIREMENTS
% none
%
% part of DYNARE, copyright Dynare Team (2003-2008)
% Gnu Public License.
ldens = gammaln(a+b) - gammaln(a) - gammaln(b) + (a-1)*log(x) + (b-1)*log(1-x);
% 10/11/03 MJ adapted from a GAUSS version by F. Schorfheide, translated
% to Matlab by R. Wouters.
% use Matlab gammaln instead of lngam

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function [abscissa,f,h] = posterior_density_estimate(data,number_of_grid_points,bandwidth,kernel_function)
%%
%% This function aims at estimating posterior univariate densities from realisations of a Metropolis-Hastings
%% algorithm. A kernel density estimator is used (see Silverman [1986]) and the main task of this function is
%% to obtain an optimal bandwidth parameter.
%%
%% * Silverman [1986], "Density estimation for statistics and data analysis".
%% * M. Skold and G.O. Roberts [2003], "Density estimation for the Metropolis-Hastings algorithm".
%%
%% The last section is adapted from Anders Holtsberg's matlab toolbox (stixbox).
%%
%% stephane.adjemian@cepremap.cnrs.fr [01/16/2004].
if size(data,2) > 1 & size(data,1) == 1;
data = data';
elseif size(data,2)>1 & size(data,1)>1;
error('density_estimate: data must be a one dimensional array.');
end;
test = log(number_of_grid_points)/log(2);
if ( abs(test-round(test)) > 10^(-12));
error('The number of grid points must be a power of 2.');
end;
n = size(data,1);
%% KERNEL SPECIFICATION...
if strcmp(kernel_function,'gaussian');
k = inline('inv(sqrt(2*pi))*exp(-0.5*x.^2)');
k2 = inline('inv(sqrt(2*pi))*(-exp(-0.5*x.^2)+(x.^2).*exp(-0.5*x.^2))'); % second derivate of the gaussian kernel
k4 = inline('inv(sqrt(2*pi))*(3*exp(-0.5*x.^2)-6*(x.^2).*exp(-0.5*x.^2)+(x.^4).*exp(-0.5*x.^2))'); % fourth derivate...
k6 = inline('inv(sqrt(2*pi))*(-15*exp(-0.5*x.^2)+45*(x.^2).*exp(-0.5*x.^2)-15*(x.^4).*exp(-0.5*x.^2)+(x.^6).*exp(-0.5*x.^2))'); % sixth derivate...
mu02 = inv(2*sqrt(pi));
mu21 = 1;
elseif strcmp(kernel_function,'uniform');
k = inline('0.5*(abs(x) <= 1)');
mu02 = 0.5;
mu21 = 1/3;
elseif strcmp(kernel_function,'triangle');
k = inline('(1-abs(x)).*(abs(x) <= 1)');
mu02 = 2/3;
mu21 = 1/6;
elseif strcmp(kernel_function,'epanechnikov');
k = inline('0.75*(1-x.^2).*(abs(x) <= 1)');
mu02 = 3/5;
mu21 = 1/5;
elseif strcmp(kernel_function,'quartic');
k = inline('0.9375*((1-x.^2).^2).*(abs(x) <= 1)');
mu02 = 15/21;
mu21 = 1/7;
elseif strcmp(kernel_function,'triweight');
k = inline('1.09375*((1-x.^2).^3).*(abs(x) <= 1)');
k2 = inline('(105/4*(1-x.^2).*x.^2-105/16*(1-x.^2).^2).*(abs(x) <= 1)');
k4 = inline('(-1575/4*x.^2+315/4).*(abs(x) <= 1)');
k6 = inline('(-1575/2).*(abs(x) <= 1)');
mu02 = 350/429;
mu21 = 1/9;
elseif strcmp(kernel_function,'cosinus');
k = inline('(pi/4)*cos((pi/2)*x).*(abs(x) <= 1)');
k2 = inline('(-1/16*cos(pi*x/2)*pi^3).*(abs(x) <= 1)');
k4 = inline('(1/64*cos(pi*x/2)*pi^5).*(abs(x) <= 1)');
k6 = inline('(-1/256*cos(pi*x/2)*pi^7).*(abs(x) <= 1)');
mu02 = (pi^2)/16;
mu21 = (pi^2-8)/pi^2;
end;
%% OPTIMAL BANDWIDTH PARAMETER....
if bandwidth == 0; % Rule of thumb bandwidth parameter (Silverman [1986] corrected by
% Skold and Roberts [2003] for Metropolis-Hastings).
sigma = std(data);
h = 2*sigma*(sqrt(pi)*mu02/(12*(mu21^2)*n))^(1/5); % Silverman's optimal bandwidth parameter.
A = 0;
for i=1:n;
j = i;
while j<= n & data(j,1)==data(i,1);
j = j+1;
end;
A = A + 2*(j-i) - 1;
end;
A = A/n;
h = h*A^(1/5); % correction
elseif bandwidth == -1; % Adaptation of the Sheather and Jones [1991] plug-in estimation of the optimal bandwidth
% parameter for metropolis hastings algorithm.
if strcmp(kernel_function,'uniform') | ...
strcmp(kernel_function,'triangle') | ...
strcmp(kernel_function,'epanechnikov') | ...
strcmp(kernel_function,'quartic');
error('I can''t compute the optimal bandwidth with this kernel... Try the gaussian, triweight or cosinus kernels.');
end;
sigma = std(data);
A = 0;
for i=1:n;
j = i;
while j<= n & data(j,1)==data(i,1);
j = j+1;
end;
A = A + 2*(j-i) - 1;
end;
A = A/n;
Itilda4 = 8*7*6*5/(((2*sigma)^9)*sqrt(pi));
g3 = abs(2*A*k6(0)/(mu21*Itilda4*n))^(1/9);
Ihat3 = 0;
for i=1:n;
Ihat3 = Ihat3 + sum(k6((data(i,1)-data)/g3));
end;
Ihat3 = -Ihat3/((n^2)*g3^7);
g2 = abs(2*A*k4(0)/(mu21*Ihat3*n))^(1/7);
Ihat2 = 0;
for i=1:n;
Ihat2 = Ihat2 + sum(k4((data(i)-data)/g2));
end;
Ihat2 = Ihat2/((n^2)*g2^5);
h = (A*mu02/(n*Ihat2*mu21^2))^(1/5); % equation (22) in Skold and Roberts [2003] --> h_{MH}
elseif bandwidth == -2; % Bump killing... We construct local bandwith parameters in order to remove
% spurious bumps introduced by long rejecting periods.
if strcmp(kernel_function,'uniform') | ...
strcmp(kernel_function,'triangle') | ...
strcmp(kernel_function,'epanechnikov') | ...
strcmp(kernel_function,'quartic');
error('I can''t compute the optimal bandwidth with this kernel... Try the gaussian, triweight or cosinus kernels.');
end;
sigma = std(data);
A = 0;
T = zeros(n,1);
for i=1:n;
j = i;
while j<= n & data(j,1)==data(i,1);
j = j+1;
end;
T(i) = (j-i);
A = A + 2*T(i) - 1;
end;
A = A/n;
Itilda4 = 8*7*6*5/(((2*sigma)^9)*sqrt(pi));
g3 = abs(2*A*k6(0)/(mu21*Itilda4*n))^(1/9);
Ihat3 = 0;
for i=1:n;
Ihat3 = Ihat3 + sum(k6((data(i,1)-data)/g3));
end;
Ihat3 = -Ihat3/((n^2)*g3^7);
g2 = abs(2*A*k4(0)/(mu21*Ihat3*n))^(1/7);
Ihat2 = 0;
for i=1:n;
Ihat2 = Ihat2 + sum(k4((data(i)-data)/g2));
end;
Ihat2 = Ihat2/((n^2)*g2^5);
h = ((2*T-1)*mu02/(n*Ihat2*mu21^2)).^(1/5); % Note that h is a column vector (local banwidth parameters).
elseif bandwidth > 0;
h = bandwidth;
else;
error('density_estimate: bandwidth must be positive or equal to 0,-1 or -2.');
end;
%% COMPUTE DENSITY ESTIMATE, using the optimal bandwidth parameter.
%%
%% This section is adapted from Anders Holtsberg's matlab toolbox
%% (stixbox --> plotdens.m).
a = min(data) - (max(data)-min(data))/3;
b = max(data) + (max(data)-min(data))/3;
abscissa = linspace(a,b,number_of_grid_points)';
d = abscissa(2)-abscissa(1);
xi = zeros(number_of_grid_points,1);
xa = (data-a)/(b-a)*number_of_grid_points;
for i = 1:n;
indx = floor(xa(i));
temp = xa(i)-indx;
xi(indx+[1 2]) = xi(indx+[1 2]) + [1-temp,temp]';
end;
xk = [-number_of_grid_points:number_of_grid_points-1]'*d;
kk = k(xk/h);
kk = kk / (sum(kk)*d*n);
f = ifft(fft(fftshift(kk)).*fft([xi ;zeros(size(xi))]));
f = real(f(1:number_of_grid_points));