function [pdraws, TAU, GAM, LRE, gp, H, JJ] = dynare_identification(options_ident, pdraws0) %function [pdraws, TAU, GAM, LRE, gp, H, JJ] = dynare_identification(options_ident, pdraws0) % % INPUTS % o options_ident [structure] identification options % o pdraws0 [matrix] optional: matrix of MC sample of model params. % % OUTPUTS % o pdraws [matrix] matrix of MC sample of model params used % o TAU, [matrix] MC sample of entries in the model solution (stacked vertically) % o GAM, [matrix] MC sample of entries in the moments (stacked vertically) % o LRE, [matrix] MC sample of entries in LRE model (stacked vertically) % o gp, [matrix] derivatives of the Jacobian (LRE model) % o H, [matrix] derivatives of the model solution % o JJ [matrix] derivatives of the moments % % SPECIAL REQUIREMENTS % None % main % % Copyright (C) 2010-2013 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 . global M_ options_ oo_ bayestopt_ estim_params_ if isoctave warning('off'), else warning off, end fname_ = M_.fname; options_ident = set_default_option(options_ident,'gsa_sample_file',0); options_ident = set_default_option(options_ident,'parameter_set','prior_mean'); options_ident = set_default_option(options_ident,'load_ident_files',0); options_ident = set_default_option(options_ident,'useautocorr',0); options_ident = set_default_option(options_ident,'ar',1); options_ident = set_default_option(options_ident,'prior_mc',1); options_ident = set_default_option(options_ident,'prior_range',0); options_ident = set_default_option(options_ident,'periods',300); options_ident = set_default_option(options_ident,'replic',100); options_ident = set_default_option(options_ident,'advanced',0); options_ident = set_default_option(options_ident,'normalize_jacobians',1); %Deal with non-stationary cases if isfield(options_ident,'diffuse_filter') %set lik_init and options_ options_ident.lik_init=3; %overwrites any other lik_init set options_.diffuse_filter=options_ident.diffuse_filter; %make options_ inherit diffuse filter; will overwrite any conflicting lik_init in dynare_estimation_init else if options_.diffuse_filter==1 %warning if estimation with diffuse filter was done, but not passed warning('IDENTIFICATION:: Previously the diffuse_filter option was used, but it was not passed to the identification command. This may result in problems if your model contains unit roots.') end if isfield(options_ident,'lik_init') if options_ident.lik_init==3 %user specified diffuse filter using the lik_init option options_ident.analytic_derivation=0; %diffuse filter not compatible with analytic derivation end end end options_ident = set_default_option(options_ident,'lik_init',1); options_ident = set_default_option(options_ident,'analytic_derivation',1); if isfield(options_ident,'nograph'), options_.nograph=options_ident.nograph; end if isfield(options_ident,'nodisplay'), options_.nodisplay=options_ident.nodisplay; end if isfield(options_ident,'graph_format'), options_.graph_format=options_ident.graph_format; end if isfield(options_ident,'prior_trunc'), options_.prior_trunc=options_ident.prior_trunc; end if options_ident.gsa_sample_file, GSAFolder = checkpath('gsa',M_.dname); if options_ident.gsa_sample_file==1, load([GSAFolder,filesep,fname_,'_prior'],'lpmat','lpmat0','istable'); elseif options_ident.gsa_sample_file==2, load([GSAFolder,filesep,fname_,'_mc'],'lpmat','lpmat0','istable'); else load([GSAFolder,filesep,options_ident.gsa_sample_file],'lpmat','lpmat0','istable'); end if isempty(istable), istable=1:size(lpmat,1); end if ~isempty(lpmat0), lpmatx=lpmat0(istable,:); else lpmatx=[]; end pdraws0 = [lpmatx lpmat(istable,:)]; clear lpmat lpmat0 istable; elseif nargin==1, pdraws0=[]; end external_sample=0; if nargin==2 || ~isempty(pdraws0), options_ident.prior_mc=size(pdraws0,1); options_ident.load_ident_files = 0; external_sample=1; end if isempty(estim_params_), options_ident.prior_mc=1; options_ident.prior_range=0; prior_exist=0; else prior_exist=1; parameters = options_ident.parameter_set; end % options_ident.load_ident_files=1; iload = options_ident.load_ident_files; %options_ident.advanced=1; advanced = options_ident.advanced; nlags = options_ident.ar; periods = options_ident.periods; replic = options_ident.replic; useautocorr = options_ident.useautocorr; options_.order=1; options_.ar=nlags; options_.prior_mc = options_ident.prior_mc; options_.options_ident = options_ident; options_.Schur_vec_tol = 1.e-8; options_.nomoments=0; options_ = set_default_option(options_,'analytic_derivation',1); options_ = set_default_option(options_,'datafile',''); options_.mode_compute = 0; options_.plot_priors = 0; options_.smoother=1; [dataset_,dataset_info,xparam1,hh, M_, options_, oo_, estim_params_,bayestopt_]=dynare_estimation_init(M_.endo_names,fname_,1, M_, options_, oo_, estim_params_, bayestopt_); options_ident.analytic_derivation_mode = options_.analytic_derivation_mode; if prior_exist if any(bayestopt_.pshape > 0) if options_ident.prior_range prior_draw(1,1); else prior_draw(1); end else options_ident.prior_mc=1; end end SampleSize = options_ident.prior_mc; if ~(exist('sylvester3','file')==2), dynareroot = strrep(which('dynare'),'dynare.m',''); addpath([dynareroot 'gensylv']) end IdentifDirectoryName = CheckPath('identification',M_.dname); if prior_exist, indx = []; if ~isempty(estim_params_.param_vals), indx = estim_params_.param_vals(:,1); end indexo=[]; if ~isempty(estim_params_.var_exo) indexo = estim_params_.var_exo(:,1); end nparam = length(bayestopt_.name); np = estim_params_.np; name = bayestopt_.name; name_tex = char(M_.exo_names_tex(indexo,:),M_.param_names_tex(indx,:)); offset = estim_params_.nvx; offset = offset + estim_params_.nvn; offset = offset + estim_params_.ncx; offset = offset + estim_params_.ncn; else indx = [1:M_.param_nbr]; indexo = [1:M_.exo_nbr]; offset = M_.exo_nbr; np = M_.param_nbr; nparam = np+offset; name = [cellstr(M_.exo_names); cellstr(M_.param_names)]; name_tex = [cellstr(M_.exo_names_tex); cellstr(M_.param_names_tex)]; end skipline() disp(['==== Identification analysis ====' ]), skipline() if nparam<2, options_ident.advanced=0; advanced = options_ident.advanced; disp('There is only one parameter to study for identitification.') disp('The advanced option is re-set to 0.') skipline() end options_ident = set_default_option(options_ident,'max_dim_cova_group',min([2,nparam-1])); options_ident.max_dim_cova_group = min([options_ident.max_dim_cova_group,nparam-1]); MaxNumberOfBytes=options_.MaxNumberOfBytes; store_options_ident = options_ident; if iload <=0, [I,J]=find(M_.lead_lag_incidence'); if prior_exist, % if exist([fname_,'_mean.mat'],'file'), % % disp('Testing posterior mean') % load([fname_,'_mean'],'xparam1') % pmean = xparam1'; % clear xparam1 % end % if exist([fname_,'_mode.mat'],'file'), % % disp('Testing posterior mode') % load([fname_,'_mode'],'xparam1') % pmode = xparam1'; % clear xparam1 % end params = set_prior(estim_params_,M_,options_)'; if all(bayestopt_.pshape == 0) parameters = 'ML_Starting_value'; disp('Testing ML Starting value') else switch parameters case 'posterior_mode' disp('Testing posterior mode') params(1,:) = get_posterior_parameters('mode'); case 'posterior_mean' disp('Testing posterior mean') params(1,:) = get_posterior_parameters('mean'); case 'posterior_median' disp('Testing posterior median') params(1,:) = get_posterior_parameters('median'); case 'prior_mode' disp('Testing prior mode') params(1,:) = bayestopt_.p5(:); case 'prior_mean' disp('Testing prior mean') params(1,:) = bayestopt_.p1; otherwise disp('The option parameter_set has to be equal to:') disp(' ''posterior_mode'', ') disp(' ''posterior_mean'', ') disp(' ''posterior_median'', ') disp(' ''prior_mode'' or') disp(' ''prior_mean''.') error; end end else params = [sqrt(diag(M_.Sigma_e))', M_.params']; parameters = 'Current_params'; disp('Testing current parameter values') end [idehess_point, idemoments_point, idemodel_point, idelre_point, derivatives_info_point, info] = ... identification_analysis(params,indx,indexo,options_ident,dataset_, dataset_info, prior_exist, name_tex,1); if info(1)~=0, skipline() disp('----------- ') disp('Parameter error:') disp(['The model does not solve for ', parameters, ' with error code info = ', int2str(info(1))]), skipline() if info(1)==1, disp('info==1 %! The model doesn''t determine the current variables uniquely.') elseif info(1)==2, disp('info==2 %! MJDGGES returned an error code.') elseif info(1)==3, disp('info==3 %! Blanchard & Kahn conditions are not satisfied: no stable equilibrium. ') elseif info(1)==4, disp('info==4 %! Blanchard & Kahn conditions are not satisfied: indeterminacy. ') elseif info(1)==5, disp('info==5 %! Blanchard & Kahn conditions are not satisfied: indeterminacy due to rank failure. ') elseif info(1)==6, disp('info==6 %! The jacobian evaluated at the deterministic steady state is complex.') elseif info(1)==19, disp('info==19 %! The steadystate routine thrown an exception (inconsistent deep parameters). ') elseif info(1)==20, disp('info==20 %! Cannot find the steady state, info(2) contains the sum of square residuals (of the static equations). ') elseif info(1)==21, disp('info==21 %! The steady state is complex, info(2) contains the sum of square of imaginary parts of the steady state.') elseif info(1)==22, disp('info==22 %! The steady has NaNs. ') elseif info(1)==23, disp('info==23 %! M_.params has been updated in the steadystate routine and has complex valued scalars. ') elseif info(1)==24, disp('info==24 %! M_.params has been updated in the steadystate routine and has some NaNs. ') elseif info(1)==30, disp('info==30 %! Ergodic variance can''t be computed. ') end disp('----------- ') skipline() if any(bayestopt_.pshape) disp('Try sampling up to 50 parameter sets from the prior.') kk=0; while kk<50 && info(1), kk=kk+1; params = prior_draw(); [idehess_point, idemoments_point, idemodel_point, idelre_point, derivatives_info_point, info] = ... identification_analysis(params,indx,indexo,options_ident,dataset_,dataset_info, prior_exist, name_tex,1); end end if info(1) skipline() disp('----------- ') disp('Identification stopped:') if any(bayestopt_.pshape) disp('The model did not solve for any of 50 attempts of random samples from the prior') end disp('----------- ') skipline() return else parameters = 'Random_prior_params'; end end idehess_point.params=params; % siH = idemodel_point.siH; % siJ = idemoments_point.siJ; % siLRE = idelre_point.siLRE; % normH = max(abs(siH)')'; % normJ = max(abs(siJ)')'; % normLRE = max(abs(siLRE)')'; save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'idehess_point', 'idemoments_point','idemodel_point', 'idelre_point','store_options_ident') save([IdentifDirectoryName '/' M_.fname '_' parameters '_identif.mat'], 'idehess_point', 'idemoments_point','idemodel_point', 'idelre_point','store_options_ident') disp_identification(params, idemodel_point, idemoments_point, name, advanced); if ~options_.nograph, plot_identification(params,idemoments_point,idehess_point,idemodel_point,idelre_point,advanced,parameters,name,IdentifDirectoryName); end if SampleSize > 1, skipline() disp('Monte Carlo Testing') h = dyn_waitbar(0,'Monte Carlo identification checks ...'); iteration = 0; loop_indx = 0; file_index = 0; run_index = 0; options_MC=options_ident; options_MC.advanced=0; else iteration = 1; pdraws = []; end while iteration < SampleSize, loop_indx = loop_indx+1; if external_sample, params = pdraws0(iteration+1,:); else params = prior_draw(); end [dum1, ideJ, ideH, ideGP, dum2 , info] = ... identification_analysis(params,indx,indexo,options_MC,dataset_, dataset_info, prior_exist, name_tex,0); if iteration==0 && info(1)==0, MAX_tau = min(SampleSize,ceil(MaxNumberOfBytes/(size(ideH.siH,1)*nparam)/8)); stoH = zeros([size(ideH.siH,1),nparam,MAX_tau]); stoJJ = zeros([size(ideJ.siJ,1),nparam,MAX_tau]); stoLRE = zeros([size(ideGP.siLRE,1),np,MAX_tau]); TAU = zeros(size(ideH.siH,1),SampleSize); GAM = zeros(size(ideJ.siJ,1),SampleSize); LRE = zeros(size(ideGP.siLRE,1),SampleSize); pdraws = zeros(SampleSize,nparam); idemoments.indJJ = ideJ.indJJ; idemodel.indH = ideH.indH; idelre.indLRE = ideGP.indLRE; idemoments.ind0 = zeros(SampleSize,nparam); idemodel.ind0 = zeros(SampleSize,nparam); idelre.ind0 = zeros(SampleSize,np); idemoments.jweak = zeros(SampleSize,nparam); idemodel.jweak = zeros(SampleSize,nparam); idelre.jweak = zeros(SampleSize,np); idemoments.jweak_pair = zeros(SampleSize,nparam*(nparam+1)/2); idemodel.jweak_pair = zeros(SampleSize,nparam*(nparam+1)/2); idelre.jweak_pair = zeros(SampleSize,np*(np+1)/2); idemoments.cond = zeros(SampleSize,1); idemodel.cond = zeros(SampleSize,1); idelre.cond = zeros(SampleSize,1); idemoments.Mco = zeros(SampleSize,nparam); idemodel.Mco = zeros(SampleSize,nparam); idelre.Mco = zeros(SampleSize,np); idemoments.S = zeros(SampleSize,min(8,nparam)); idemoments.V = zeros(SampleSize,nparam,min(8,nparam)); delete([IdentifDirectoryName '/' M_.fname '_identif_*.mat']) end if info(1)==0, iteration = iteration + 1; run_index = run_index + 1; TAU(:,iteration)=ideH.TAU; LRE(:,iteration)=ideGP.LRE; GAM(:,iteration)=ideJ.GAM; idemoments.cond(iteration,1)=ideJ.cond; idemodel.cond(iteration,1)=ideH.cond; idelre.cond(iteration,1)=ideGP.cond; idemoments.ino(iteration,1)=ideJ.ino; idemodel.ino(iteration,1)=ideH.ino; idelre.ino(iteration,1)=ideGP.ino; idemoments.ind0(iteration,:)=ideJ.ind0; idemodel.ind0(iteration,:)=ideH.ind0; idelre.ind0(iteration,:)=ideGP.ind0; idemoments.jweak(iteration,:)=ideJ.jweak; idemodel.jweak(iteration,:)=ideH.jweak; idelre.jweak(iteration,:)=ideGP.jweak; idemoments.jweak_pair(iteration,:)=ideJ.jweak_pair; idemodel.jweak_pair(iteration,:)=ideH.jweak_pair; idelre.jweak_pair(iteration,:)=ideGP.jweak_pair; idemoments.Mco(iteration,:)=ideJ.Mco; idemodel.Mco(iteration,:)=ideH.Mco; idelre.Mco(iteration,:)=ideGP.Mco; idemoments.S(iteration,:)=ideJ.S; idemoments.V(iteration,:,:)=ideJ.V; stoLRE(:,:,run_index) = ideGP.siLRE; stoH(:,:,run_index) = ideH.siH; stoJJ(:,:,run_index) = ideJ.siJ; pdraws(iteration,:) = params; if run_index==MAX_tau || iteration==SampleSize, file_index = file_index + 1; if run_index 1, % if isoctave || options_.console_mode, % console_waitbar(0,iteration/SampleSize); % else dyn_waitbar(iteration/SampleSize,h,['MC identification checks ',int2str(iteration),'/',int2str(SampleSize)]) % end end end end if SampleSize > 1, if isoctave || options_.console_mode, fprintf('\n'); diary on; else close(h), end normTAU=std(TAU')'; normLRE=std(LRE')'; normGAM=std(GAM')'; normaliz1=std(pdraws); iter=0; for ifile_index = 1:file_index, load([IdentifDirectoryName '/' M_.fname '_identif_' int2str(ifile_index) '.mat'], 'stoH', 'stoJJ', 'stoLRE') for irun=1:size(stoH,3), iter=iter+1; siJnorm(iter,:) = vnorm(stoJJ(:,:,irun)./repmat(normGAM,1,nparam)).*normaliz1; siHnorm(iter,:) = vnorm(stoH(:,:,irun)./repmat(normTAU,1,nparam)).*normaliz1; siLREnorm(iter,:) = vnorm(stoLRE(:,:,irun)./repmat(normLRE,1,nparam-offset)).*normaliz1(offset+1:end); end end idemoments.siJnorm = siJnorm; idemodel.siHnorm = siHnorm; idelre.siLREnorm = siLREnorm; save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'pdraws', 'idemodel', 'idemoments', 'idelre', ... %'indJJ', 'indH', 'indLRE', ... 'TAU', 'GAM', 'LRE','-append') else siJnorm = idemoments_point.siJnorm; siHnorm = idemodel_point.siHnorm; siLREnorm = idelre_point.siLREnorm; end else load([IdentifDirectoryName '/' M_.fname '_identif']) % identFiles = dir([IdentifDirectoryName '/' M_.fname '_identif_*']); parameters = store_options_ident.parameter_set; options_ident.parameter_set = parameters; options_ident.prior_mc=size(pdraws,1); SampleSize = options_ident.prior_mc; options_.options_ident = options_ident; end if nargout>3 && iload, filnam = dir([IdentifDirectoryName '/' M_.fname '_identif_*.mat']); H=[]; JJ = []; gp = []; for j=1:length(filnam), load([IdentifDirectoryName '/' M_.fname '_identif_',int2str(j),'.mat']); H = cat(3,H, stoH(:,abs(iload),:)); JJ = cat(3,JJ, stoJJ(:,abs(iload),:)); gp = cat(3,gp, stoLRE(:,abs(iload),:)); end end if iload, disp(['Testing ',parameters]) disp_identification(idehess_point.params, idemodel_point, idemoments_point, name,advanced); if ~options_.nograph, plot_identification(idehess_point.params,idemoments_point,idehess_point,idemodel_point,idelre_point,advanced,parameters,name,IdentifDirectoryName); end end if SampleSize > 1, fprintf('\n') disp('Testing MC sample') disp_identification(pdraws, idemodel, idemoments, name); if ~options_.nograph, plot_identification(pdraws,idemoments,idehess_point,idemodel,idelre,advanced,'MC sample ',name, IdentifDirectoryName); end if advanced, jcrit=find(idemoments.ino); if length(jcrit)