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Fixed bug with calls to dsge smoother which were broken with missing values; 

Proper use of dataset_ structure and remove the dangerous dat_fil_ utility;
Added r2 in output.
time-shift
Marco Ratto 2013-04-29 13:49:56 +02:00
parent 4ba3815a0d
commit f5a6835c63
3 changed files with 81 additions and 82 deletions
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2
matlab/dynare_sensitivity.m
View File

@ -354,7 +354,7 @@ if options_gsa.rmse,
end
clear a;
% filt_mc_(OutputDirectoryName,data_info);
filt_mc_(OutputDirectoryName,options_gsa);
filt_mc_(OutputDirectoryName,options_gsa,dataset_);
end
options_.opt_gsa = options_gsa;

38
matlab/gsa/dat_fil_.m
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@ -1,38 +0,0 @@
function list_of_exported_variables_ = dat_fil_(dat_fil_to_load_);
% Written by Marco Ratto
% Joint Research Centre, The European Commission,
% (http://eemc.jrc.ec.europa.eu/),
% marco.ratto@jrc.it
%
% Reference:
% M. Ratto, Global Sensitivity Analysis for Macroeconomic models, MIMEO, 2006.
% Copyright (C) 2012 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
try
eval(dat_fil_to_load_);
catch
load(dat_fil_to_load_);
end
clear dat_fil_to_load_;
list_of_local_variables_=who;
for j=1:length(list_of_local_variables_),
eval(['list_of_exported_variables_.',list_of_local_variables_{j},'=',list_of_local_variables_{j},';']);
end

123
matlab/gsa/filt_mc_.m
View File

@ -1,4 +1,4 @@
function [rmse_MC, ixx] = filt_mc_(OutDir,options_gsa_)
function [rmse_MC, ixx] = filt_mc_(OutDir,options_gsa_,dataset_)
% function [rmse_MC, ixx] = filt_mc_(OutDir)
% inputs (from opt_gsa structure)
% vvarvecm = options_gsa_.var_rmse;
@ -114,20 +114,24 @@ end
if ~loadSA,
if exist('xparam1','var')
M_ = set_all_parameters(xparam1,estim_params_,M_);
steady_(M_,options_,oo_);
ys_mode=oo_.steady_state;
ys_mode=steady_(M_,options_,oo_);
end
if exist('xparam1_mean','var')
M_ = set_all_parameters(xparam1_mean,estim_params_,M_);
steady_(M_,options_,oo_);
ys_mean=oo_.steady_state;
ys_mean=steady_(M_,options_,oo_);
end
% eval(options_.datafile)
obs = dat_fil_(options_.datafile);
Y = dataset_.data;
gend = dataset_.info.ntobs;
data_index = dataset_.missing.aindex;
missing_value = dataset_.missing.state;
for jx=1:gend, data_indx(jx,data_index{jx})=true; end
%stock_gend=data_info.gend;
%stock_data = data_info.data;
load([DirectoryName '/' M_.fname '_data.mat']);
filfilt = dir([DirectoryName filesep M_.fname '_filter_step_ahead*.mat']);
filsmooth = dir([DirectoryName filesep M_.fname '_smooth*.mat']);
filupdate = dir([DirectoryName filesep M_.fname '_update*.mat']);
filparam = dir([DirectoryName filesep M_.fname '_param*.mat']);
x=[];
logpo2=[];
@ -151,54 +155,51 @@ if ~loadSA,
nobs=options_.nobs;
for i=1:size(vvarvecm,1),
vj=deblank(vvarvecm(i,:));
eval(['vobs =obs.',vj,'(fobs:fobs-1+nobs);'])
if options_.prefilter == 1
%eval([vj,'=',vj,'-bayestopt_.mean_varobs(i);'])
%eval([vj,'=',vj,'-mean(',vj,',1);'])
vobs = vobs-mean(vobs,1);
end
jxj = strmatch(vj,lgy_(dr_.order_var,:),'exact');
js = strmatch(vj,lgy_,'exact');
jxj(i) = strmatch(vj,lgy_(dr_.order_var,:),'exact');
js(i) = strmatch(vj,lgy_,'exact');
yss(i,:,:)=repmat(sto_ys(:,js(i))',[nobs,1]);
end
if exist('xparam1','var')
% if isfield(oo_,'FilteredVariables')
% eval(['rmse_mode(i) = sqrt(mean((vobs(istart:end)-oo_.steady_state(js)-oo_.FilteredVariables.',vj,'(istart:end-1)).^2));'])
% else
[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoother(xparam1,stock_gend,stock_data,{},0);
y0 = squeeze(aK(1,jxj,:)) + ...
kron(ys_mode(js,:),ones(size(aK,3),1));
% y0 = ahat(jxj,:)' + ...
% kron(ys_mode(js,:),ones(size(ahat,2),1));
rmse_mode(i) = sqrt(mean((vobs(istart:end)-y0(istart:end-1)).^2));
% end
[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoother(xparam1,gend,Y,data_index,missing_value);
y0 = transpose( squeeze(aK(1,jxj,1:gend)));% + kron(ys_mode(js),ones(1,gend)));
yobs = transpose( ahat(jxj,:));% + kron(ys_mode(js),ones(1,gend)));
rmse_mode = sqrt(mean((yobs(istart:end,:)-y0(istart:end,:)).^2));
r2_mode = 1-sum((yobs(istart:end,:)-y0(istart:end,:)).^2)./sum(yobs(istart:end,:).^2);
end
y0=zeros(nobs+1,nruns);
y0=yss*0;
nbb=0;
for j=1:length(filfilt),
load([DirectoryName filesep M_.fname '_filter_step_ahead',num2str(j),'.mat']);
nb = size(stock,4);
% y0(:,nbb+1:nbb+nb)=squeeze(stock(1,js,:,:)) + ...
% kron(sto_ys(nbb+1:nbb+nb,js)',ones(size(stock,3),1));
y0(:,nbb+1:nbb+nb)=squeeze(stock(1,js,1:nobs+1,:)) + ...
kron(sto_ys(nbb+1:nbb+nb,js)',ones(nobs+1,1));
%y0(:,:,size(y0,3):size(y0,3)+size(stock,3))=stock;
y0(:,:,nbb+1:nbb+nb)=y0(:,:,nbb+1:nbb+nb)+squeeze(stock(1,js,1:nobs,:));
nbb=nbb+nb;
clear stock;
end
yobs=-yss;
nbb=0;
for j=1:length(filupdate),
load([DirectoryName filesep M_.fname '_update',num2str(j),'.mat']);
nb = size(stock,3);
yobs(:,:,nbb+1:nbb+nb)=yobs(:,:,nbb+1:nbb+nb)+squeeze(stock(js,1:nobs,:));
nbb=nbb+nb;
clear stock;
end
y0M=mean(y0,2);
rmse_MC=zeros(nruns,length(js));
r2_MC=zeros(nruns,length(js));
for j=1:nruns,
rmse_MC(j,i) = sqrt(mean((vobs(istart:end)-y0(istart:end-1,j)).^2));
rmse_MC(j,:) = sqrt(mean((yobs(:,istart:end,j)'-y0(:,istart:end,j)').^2));
r2_MC(j,:) = 1-mean((yobs(:,istart:end,j)'-y0(:,istart:end,j)').^2)./mean((yobs(:,istart:end,j)').^2);
end
if exist('xparam1_mean','var')
%eval(['rmse_pmean(i) = sqrt(mean((',vj,'(fobs-1+istart:fobs-1+nobs)-y0M(istart:end-1)).^2));'])
[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoother(xparam1_mean,stock_gend,stock_data,{},0);
y0 = squeeze(aK(1,jxj,:)) + ...
kron(ys_mean(js,:),ones(size(aK,3),1));
% y0 = ahat(jxj,:)' + ...
% kron(ys_mean(js,:),ones(size(ahat,2),1));
rmse_pmean(i) = sqrt(mean((vobs(istart:end)-y0(istart:end-1)).^2));
[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoother(xparam1_mean,gend,Y,data_index,missing_value);
y0 = transpose( squeeze(aK(1,jxj,1:gend)));% + kron(ys_mean(js),ones(1,gend)));
yobs = transpose( ahat(jxj,:));% + kron(ys_mean(js),ones(1,gend)));
rmse_pmean = sqrt(mean((yobs(istart:end,:)-y0(istart:end,:)).^2));
r2_pmean = 1-mean((yobs(istart:end,:)-y0(istart:end,:)).^2)./mean(yobs(istart:end,:).^2);
end
end
clear stock_filter;
end
for j=1:nruns,
@ -208,17 +209,17 @@ if ~loadSA,
disp('... done!')
if options_.opt_gsa.ppost
save([OutDir,filesep,fnamtmp,'.mat'], 'x', 'logpo2', 'likelihood', 'rmse_MC', 'rmse_mode','rmse_pmean')
save([OutDir,filesep,fnamtmp,'.mat'], 'x', 'logpo2', 'likelihood', 'rmse_MC', 'rmse_mode','rmse_pmean', 'r2_MC', 'r2_mode','r2_pmean')
else
if options_.opt_gsa.lik_only
save([OutDir,filesep,fnamtmp, '.mat'], 'x', 'logpo2','likelihood', '-append')
else
save([OutDir,filesep,fnamtmp, '.mat'], 'x', 'logpo2','likelihood', 'rmse_MC','-append')
save([OutDir,filesep,fnamtmp, '.mat'], 'x', 'logpo2','likelihood', 'rmse_MC', 'r2_MC','-append')
if exist('xparam1_mean','var')
save([OutDir,filesep,fnamtmp, '.mat'], 'rmse_pmean','-append')
save([OutDir,filesep,fnamtmp, '.mat'], 'rmse_pmean', 'r2_pmean','-append')
end
if exist('xparam1','var')
save([OutDir,filesep,fnamtmp,'.mat'], 'rmse_mode','-append')
save([OutDir,filesep,fnamtmp,'.mat'], 'rmse_mode', 'r2_mode','-append')
end
end
end
@ -226,7 +227,7 @@ else
if options_.opt_gsa.lik_only && options_.opt_gsa.ppost==0
load([OutDir,filesep,fnamtmp, '.mat'],'x','logpo2','likelihood');
else
load([OutDir,filesep,fnamtmp, '.mat'],'x','logpo2','likelihood','rmse_MC','rmse_mode','rmse_pmean');
load([OutDir,filesep,fnamtmp, '.mat'],'x','logpo2','likelihood','rmse_MC','rmse_mode','rmse_pmean', 'r2_MC', 'r2_mode','r2_pmean');
end
lnprior=logpo2(:)-likelihood(:);
nruns=size(x,1);
@ -260,16 +261,20 @@ else
if options_.opt_gsa.ppost,
%nfilt0(i)=length(find(rmse_MC(:,i)<rmse_pmean(i)));
rmse_txt=rmse_pmean;
r2_txt=r2_pmean;
else
if options_.opt_gsa.pprior || ~exist('rmse_pmean'),
if exist('rmse_mode'),
rmse_txt=rmse_mode;
r2_txt=r2_mode;
else
rmse_txt=NaN(1,size(rmse_MC,2));
r2_txt=NaN(1,size(r2_MC,2));
end
else
%nfilt0(i)=length(find(rmse_MC(:,i)<rmse_pmean(i)));
rmse_txt=rmse_pmean;
r2_txt=r2_pmean;
end
end
for j=1:npar+nshock,
@ -427,6 +432,38 @@ else
% max(logpo2(ixx(nfilt+1:end,j)))])])
end
%%%%% R2 table
disp(' ')
disp('R2 over the MC sample:')
disp(' min yr R2 max yr R2')
for j=1:size(vvarvecm,1),
disp([vvarvecm(j,:), sprintf('%15.5g',[(min(r2_MC(:,j))) [(max(r2_MC(:,j)))]])])
end
r2_MC=r2_MC(:,ivar);
disp(' ')
disp(['Sample filtered the ',num2str(pfilt*100),'% best R2''s for each observed series ...' ])
disp(' ')
disp(' ')
disp('R2 ranges after filtering:')
if options_.opt_gsa.ppost==0 && options_.opt_gsa.pprior,
disp([' best ',num2str(pfilt*100),'% filtered remaining 90%'])
disp([' min max min max posterior mode'])
else
disp([' best filtered remaining '])
disp([' min max min max posterior mean'])
end
for j=1:size(vvarvecm,1),
disp([vvarvecm(j,:), sprintf('%15.5g',[min(r2_MC(ixx(1:nfilt0(j),j),j)) ...
max(r2_MC(ixx(1:nfilt0(j),j),j)) ...
min(r2_MC(ixx(nfilt0(j)+1:end,j),j)) ...
max(r2_MC(ixx(nfilt0(j)+1:end,j),j)) ...
r2_txt(j)])])
end
%%%% R2 table
SP=zeros(npar+nshock,size(vvarvecm,1));
for j=1:size(vvarvecm,1),
ns=find(PP(:,j)<alpha);