stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

check for indeterminacy, instability; 

corrected bugs with storage of T matrix

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@734 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
ratto 2006-05-04 08:59:30 +00:00
parent e3c3a878cc
commit fa8bf384a8
1 changed files with 109 additions and 53 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

162
matlab/stab_map_.m
View File

@ -1,4 +1,4 @@
function x0 = stab_map_(Nsam, fload, alpha2, prepSA, pprior, ilptau)
function x0 = stab_map_(Nsam, fload, ksstat, alpha2, prepSA, pprior, ilptau, OutputDirectoryName)
%
% function x0 = stab_map_(Nsam, fload, alpha2, prepSA, pprior)
%
@ -73,17 +73,23 @@ if nargin<2,
fload=0;
end
if nargin<3,
alpha2=0.3;
ksstat=0.1;
end
if nargin<4,
prepSA=0;
alpha2=0.3;
end
if nargin<5,
pprior=1;
prepSA=0;
end
if nargin<6,
pprior=1;
end
if nargin<7,
ilptau=1;
end
if nargin<8,
OutputDirectoryName='';
end
options_.periods=0;
options_.nomoments=1;
@ -91,6 +97,11 @@ options_.irf=0;
options_.noprint=1;
if fload==0 | nargin<2 | isempty(fload),
if prepSA
T=zeros(size(dr_.ghx,1),size(dr_.ghx,2)+size(dr_.ghu,2),Nsam/2);
end
if estim_params_.np<52 & ilptau,
[lpmat] = lptauSEQ(Nsam,estim_params_.np);
if estim_params_.np>30
@ -146,13 +157,22 @@ if fload==0 | nargin<2 | isempty(fload),
%load([fname_,'_mode'])
eval(['load ' options_.mode_file ';']');
d = chol(inv(hh));
lp=randn(Nsam,nshock+estim_params_.np)*d+kron(ones(Nsam,1),xparam1');
lpmat0=lp(:,1:nshock);
lpmat=lp(:,nshock+1:end);
lp=randn(Nsam*2,nshock+estim_params_.np)*d+kron(ones(Nsam*2,1),xparam1');
for j=1:Nsam*2,
lnprior(j) = any(lp(j,:)'<=bayestopt_.lb | lp(j,:)'>=bayestopt_.ub);
end
ireal=[1:2*Nsam];
ireal=ireal(find(lnprior==0));
lp=lp(ireal,:);
Nsam=min(Nsam, length(ireal));
lpmat0=lp(1:Nsam,1:nshock);
lpmat=lp(1:Nsam,nshock+1:end);
clear lp lnprior ireal;
end
%
h = waitbar(0,'Please wait...');
istable=[1:Nsam];
jstab=0;
iunstable=[1:Nsam];
iindeterm=zeros(1,Nsam);
iwrong=zeros(1,Nsam);
@ -164,7 +184,8 @@ if fload==0 | nargin<2 | isempty(fload),
egg(:,j) = sort(dr_.eigval);
iunstable(j)=0;
if prepSA
T(:,:,j) = [dr_.ghx dr_.ghu];
jstab=jstab+1;
T(:,:,jstab) = [dr_.ghx dr_.ghu];
end
if ~exist('nspred'),
nspred = size(dr_.ghx,2);
@ -193,6 +214,9 @@ if fload==0 | nargin<2 | isempty(fload),
waitbar(j/Nsam,h,['MC iteration ',int2str(j),'/',int2str(Nsam)])
end
close(h)
if prepSA,
T=T(:,:,1:jstab);
end
istable=istable(find(istable)); % stable params
iunstable=iunstable(find(iunstable)); % unstable params
iindeterm=iindeterm(find(iindeterm)); % indeterminacy
@ -234,92 +258,124 @@ if fload==0 | nargin<2 | isempty(fload),
% iunstable=iunstable(find(iunstable)); % unstable params
if pprior,
if ~prepSA
save([fname_,'_prior'],'lpmat','lpmat0','iunstable','istable','iindeterm','iwrong','egg','yys','nspred','nboth','nfwrd')
save([OutputDirectoryName '\' fname_ '_prior'],'lpmat','lpmat0','iunstable','istable','iindeterm','iwrong','egg','yys','nspred','nboth','nfwrd')
else
save([fname_,'_prior'],'lpmat','lpmat0','iunstable','istable','iindeterm','iwrong','egg','yys','T','nspred','nboth','nfwrd')
save([OutputDirectoryName '\' fname_ '_prior'],'lpmat','lpmat0','iunstable','istable','iindeterm','iwrong','egg','yys','T','nspred','nboth','nfwrd')
end
else
if ~prepSA
save([fname_,'_mc'],'lpmat','lpmat0','iunstable','istable','iindeterm','iwrong','egg','yys','nspred','nboth','nfwrd')
save([OutputDirectoryName '\' fname_ '_mc'], ...
'lpmat','lpmat0','iunstable','istable','iindeterm','iwrong','egg','yys','nspred','nboth','nfwrd')
else
save([fname_,'_mc'],'lpmat','lpmat0','iunstable','istable','iindeterm','iwrong','egg','yys','T','nspred','nboth','nfwrd')
save([OutputDirectoryName '\' fname_ '_mc'], ...
'lpmat','lpmat0','iunstable','istable','iindeterm','iwrong','egg','yys','T','nspred','nboth','nfwrd')
end
end
else
if pprior,
load([fname_,'_prior'])
filetoload=[OutputDirectoryName '\' fname_ '_prior'];
else
load([fname_,'_mc'])
filetoload=[OutputDirectoryName '\' fname_ '_mc'];
end
load(filetoload,'lpmat','lpmat0','iunstable','istable','iindeterm','iwrong','egg','yys','nspred','nboth','nfwrd')
Nsam = size(lpmat,1);
end
if prepSA & ~exist('T'),
h = waitbar(0,'Please wait...');
options_.periods=0;
options_.nomoments=1;
options_.irf=0;
options_.noprint=1;
stoch_simul([]);
T=zeros(size(dr_.ghx,1),size(dr_.ghx,2)+size(dr_.ghu,2),length(istable));
for j=1:length(istable),
M_.params(estim_params_.param_vals(:,1)) = lpmat(istable(j),:)';
if prepSA & isempty(strmatch('T',who('-file', filetoload),'exact')),
h = waitbar(0,'Please wait...');
options_.periods=0;
options_.nomoments=1;
options_.irf=0;
options_.noprint=1;
stoch_simul([]);
dr_ = oo_.dr;
T(:,:,j) = [dr_.ghx dr_.ghu];
if ~exist('nspred')
nspred = size(dr_.ghx,2);
nboth = dr_.nboth;
nfwrd = dr_.nfwrd;
T=zeros(size(dr_.ghx,1),size(dr_.ghx,2)+size(dr_.ghu,2),length(istable));
ntrans=length(istable);
for j=1:ntrans,
M_.params(estim_params_.param_vals(:,1)) = lpmat(istable(j),:)';
stoch_simul([]);
dr_ = oo_.dr;
T(:,:,j) = [dr_.ghx dr_.ghu];
if ~exist('nspred')
nspred = size(dr_.ghx,2);
nboth = dr_.nboth;
nfwrd = dr_.nfwrd;
end
ys_=real(dr_.ys);
yys(:,j) = ys_;
ys_=yys(:,1);
waitbar(j/ntrans,h,['MC iteration ',int2str(j),'/',int2str(ntrans)])
end
ys_=real(dr_.ys);
yys(:,j) = ys_;
ys_=yys(:,1);
waitbar(j/Nsam,h,['MC iteration ',int2str(j),'/',int2str(Nsam)])
end
close(h)
if pprior
save([fname_,'_prior'],'T','-append')
else
save([fname_,'_mc'],'T','-append')
close(h)
save(filetoload,'T','-append')
end
end
if pprior
aname='prior_stab';
auname='prior_unacceptable';
aunstname='prior_unstable';
aindname='prior_indeterm';
asname='prior_stable';
else
aname='mc_stab';
auname='mc_unacceptable';
aunstname='mc_unstable';
aindname='mc_indeterm';
asname='mc_stable';
end
delete([fname_,'_',aname,'_*.*']);
delete([fname_,'_',aname,'_SA_*.*']);
delete([fname_,'_',asname,'_corr_*.*']);
delete([fname_,'_',auname,'_corr_*.*']);
delete([OutputDirectoryName,'\',fname_,'_',aname,'_*.*']);
%delete([OutputDirectoryName,'\',fname_,'_',aname,'_SA_*.*']);
delete([OutputDirectoryName,'\',fname_,'_',asname,'_corr_*.*']);
delete([OutputDirectoryName,'\',fname_,'_',auname,'_corr_*.*']);
delete([OutputDirectoryName,'\',fname_,'_',aunstname,'_corr_*.*']);
delete([OutputDirectoryName,'\',fname_,'_',aindname,'_corr_*.*']);
if length(iunstable)>0 & length(iunstable)<Nsam,
disp([num2str(length(istable)/Nsam*100),'\% of the prior support is stable.'])
if ~isempty(iwrong),
disp(['For ',num2str(length(iwrong)/Nsam*100),'\% of the prior support dynare could not find a solution.'])
end
disp([num2str( (length(iunstable)-length(iwrong)-length(iindeterm) )/Nsam*100),'\% of the prior support is unstable.'])
if ~isempty(iindeterm),
disp([num2str(length(iindeterm)/Nsam*100),'\% of the prior support gives indeterminacy.'])
end
if ~isempty(iwrong),
disp(' ');
disp(['For ',num2str(length(iwrong)/Nsam*100),'\% of the prior support dynare could not find a solution.'])
end
% Blanchard Kahn
proba = stab_map_1(lpmat, istable, iunstable, aname);
disp(' ')
[proba, dproba] = stab_map_1(lpmat, istable, iunstable, aname,0);
indstab=find(dproba>ksstat);
disp('The following parameters mostly drive acceptable behaviour')
disp(M_.param_names(estim_params_.param_vals(indstab,1),:))
stab_map_1(lpmat, istable, iunstable, aname, 1, indstab, OutputDirectoryName);
if ~isempty(iindeterm),
ixun=iunstable(find(~ismember(iunstable,[iindeterm,iwrong])));
[proba, dproba] = stab_map_1(lpmat, [1:Nsam], iindeterm, [aname, '_indet'],0);
indindet=find(dproba>ksstat);
disp('The following parameters mostly drive indeterminacy')
disp(M_.param_names(estim_params_.param_vals(indindet,1),:))
stab_map_1(lpmat, [1:Nsam], iindeterm, [aname, '_indet'], 1, indindet, OutputDirectoryName);
if ~isempty(ixun),
[proba, dproba] = stab_map_1(lpmat, [1:Nsam], ixun, [aname, '_unst'],0);
indunst=find(dproba>ksstat);
disp('The following parameters mostly drive instability')
disp(M_.param_names(estim_params_.param_vals(indunst,1),:))
stab_map_1(lpmat, [1:Nsam], ixun, [aname, '_unst'], 1, indunst, OutputDirectoryName);
end
end
disp(' ')
disp('Starting bivariate analysis:')
c0=corrcoef(lpmat(istable,:));
c00=tril(c0,-1);
stab_map_2(lpmat(istable,:),alpha2, asname);
stab_map_2(lpmat(iunstable,:),alpha2, auname);
stab_map_2(lpmat(istable,:),alpha2, asname, OutputDirectoryName);
stab_map_2(lpmat(iunstable,:),alpha2, auname, OutputDirectoryName);
if ~isempty(iindeterm),
stab_map_2(lpmat(iindeterm,:),alpha2, aindname, OutputDirectoryName);
if ~isempty(ixun),
stab_map_2(lpmat(ixun,:),alpha2, aunstname, OutputDirectoryName);
end
end
x0=0.5.*(bayestopt_.ub(1:nshock)-bayestopt_.lb(1:nshock))+bayestopt_.lb(1:nshock);
x0 = [x0; lpmat(istable(1),:)'];