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new demo version 

git-svn-id: file:///home/sebastien/dynare/gsa_dyn@10 f1850c17-3b45-254b-b221-fcb05880fee1
time-shift
rattoma 2007-03-16 13:27:14 +00:00
parent 3948eb36c6
commit ef8e1f9945
1 changed files with 15 additions and 18 deletions
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33
demo/ls2003.mod
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@ -69,21 +69,14 @@ disp('NOW I DO STABILITY MAPPING, WHICH REQUIRES dynare_estimation to initialise
disp(' ');
pause;
stoch_simul(irf=0, periods=100, order=1) y_obs R_obs pie_obs dq de;
save data_ca1 y_obs R_obs pie_obs dq de
estimation(datafile=data_ca1,mode_compute=0);
opt_gsa.stab=1; % performs stability analysis Idefault)
opt_gsa.stab=1; % performs stability analysis (1 = default)
opt_gsa.Nsam=2048; % sample size (default = 2048)
opt_gsa.redform=1; % prepares mapping of reduced form coefficients (default = 0): this saves the full MC sample of the reduced form LRE solution
opt_gsa.ilptau=1; % lptau sample (default)
opt_gsa.load_stab=1; %don't load already generated sample (default=0)
opt_gsa.ilptau=1; % lptau sample (1=default)
opt_gsa.load_stab=0; % generate a new sample: overwrites any generated sample (default=0)
opt_gsa.alpha2_stab=0.4; % critical value to plot correlations in stable samples (default = 0.3)
opt_gsa.ksstat=0; % critical value to plot Smirnov test in filtered samples (default = 0.1)
@ -96,11 +89,14 @@ disp(' ');
pause;
opt_gsa.logtrans_redform=1; % also estimate log-transformed reduced form coefficients (default=0)
opt_gsa.namendo=M_.endo_names; % 'pie'; % evaluate relationships for pie (it can be M_.endo_names as well for complete analysis)
opt_gsa.namexo=M_.exo_names; % evaluate relationships with all exogenous
opt_gsa.namlagendo=M_.endo_names; % evaluate relationships with all endogenous
//opt_gsa.namendo='pie'; % evaluate relationships for pie (it can be M_.endo_names as well for complete analysis)
opt_gsa.namendo=['pie'; 'R ']; % evaluate relationships for pie and R (it can be M_.endo_names as well for complete analysis)
opt_gsa.namexo='e_R'; % evaluate relationships with exogenous e_R
//opt_gsa.namexo=M_.exo_names; % evaluate relationships with all exogenous
opt_gsa.namlagendo='R'; % evaluate relationships with lagged endogenous
//opt_gsa.namlagendo=M_.endo_names; % evaluate relationships with all lagged endogenous
opt_gsa.load_stab=1; % load stability analsis sample
opt_gsa.load_redform=0; %load reduced form analysis (default=0: preform a new one)
opt_gsa.load_redform=0; %load reduced form analysis if available (default=0: perform a new one)
opt_gsa.stab=0; % don't do again stability analysis
options_.opt_gsa=opt_gsa;
dynare_sensitivity;
@ -110,11 +106,11 @@ disp('I ESTIMATE THE MODEL');
disp(' ');
pause;
// if already estimated, use this to build filtered variables at the mode in oo_ for RMSE analysis
estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=2, mode_file=ls2003_mode, //load_mh_file,
estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=2, mode_file=ls2003_mode, load_mh_file,
prefilter=1,mh_jscale=0.55,mh_replic=0, mode_compute=0, nograph, mh_drop=0.6);
// run this to generate posterior mode and Metropolis files if not yet done
//estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=2,prefilter=1,mh_jscale=0.5,mh_replic=100000, mode_compute=4, nograph, mh_drop=0.9);
//estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=2,prefilter=1,mh_jscale=0.5,mh_replic=100000, mode_compute=4, nograph, mh_drop=0.6);
//options_.hess=1;
//options_.ftol=1.e-7;
@ -133,10 +129,10 @@ opt_gsa.redform=0;
opt_gsa.load_stab=1; % load prior sample
opt_gsa.load_rmse=0; % make a new rmse analysis
opt_gsa.istart_rmse=2; %start computing rmse from second observation (i.e. rmse does not inlude initial big error)
opt_gsa.stab=0;
opt_gsa.stab=0; % don't plot again stability analysis results
opt_gsa.rmse=1; % do rmse analysis
opt_gsa.glue=1; % prepare for glue GUI
opt_gsa.pfilt_rmse=0.1; % critical value of the Smirnov statistics for Filtering
opt_gsa.pfilt_rmse=0.1; % filtering criterion, i.e. I filter the best 10% rmse's
opt_gsa.alpha2_rmse=0.3; % critical value for correlations in the rmse filterting analysis: if ==1, means no corrleation analysis done
opt_gsa.alpha_rmse=1; % critical value for smirnov statistics
options_.opt_gsa=opt_gsa;
@ -183,3 +179,4 @@ opt_gsa.glue=1;
options_.opt_gsa=opt_gsa;
dynare_sensitivity;