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 % Copyright (C) 2010-2018 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_ options0_ = options_; 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') options_.lik_init=options_ident.lik_init; %make options_ inherit 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 options_.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_, bounds] = ... dynare_estimation_init(M_.endo_names, fname_,1, M_, options_, oo_, estim_params_, bayestopt_); options_ident = set_default_option(options_ident,'analytic_derivation_mode', options_.analytic_derivation_mode); % if not set by user, inherit default global one if prior_exist if any(bayestopt_.pshape > 0) if options_ident.prior_range prior_draw(bayestopt_, options_.prior_trunc, true); else prior_draw(bayestopt_, options_.prior_trunc, false); 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; if estim_params_.nvn || estim_params_.ncn error('Identification does not support measurement errors. Instead, define them explicitly in measurement equations in model definition.') else offset = estim_params_.nvx; %offset = offset + estim_params_.nvn; offset = offset + estim_params_.ncx; if estim_params_.ncx options_ident.analytic_derivation=0; options_ident.analytic_derivation_mode=-1; end %offset = offset + estim_params_.ncn; end name=cell(nparam,1); name_tex=cell(nparam,1); for jj=1:nparam if options_.TeX [param_name_temp, param_name_tex_temp]= get_the_name(jj,options_.TeX,M_,estim_params_,options_); name_tex{jj,1} = strrep(param_name_tex_temp,'$',''); name{jj,1} = param_name_temp; else param_name_temp = get_the_name(jj,options_.TeX,M_,estim_params_,options_); name{jj,1} = param_name_temp; end end if options_.TeX name_tex=name_tex; end else indx = [1:M_.param_nbr]; indexo = [1:M_.exo_nbr]; offset = M_.exo_nbr; np = M_.param_nbr; nparam = np+offset; name = cellfun(@(x) horzcat('SE_', x), M_.exo_names, 'UniformOutput', false); name = vertcat(name, M_.param_names); name_tex = cellfun(@(x) horzcat('$ SE_{', x, '} $'), M_.exo_names, 'UniformOutput', false); name_tex = vertcat(name_tex, M_.param_names_tex); if ~isequal(M_.H,0) fprintf('\ndynare_identification:: Identification does not support measurement errors and will ignore them in the following. To test their identifiability, instead define them explicitly in measurement equations in the model definition.\n') end if ~isdiagonal(M_.Sigma_e) fprintf('\ndynare_identification:: Identification without specifying estimated_params does not support correlated errors. The diagonal entries of the covariance matrix will be ignored in the following.\n') end 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'; parameters_TeX = 'ML starting value'; disp('Testing ML Starting value') else switch parameters case 'calibration' parameters_TeX = 'Calibration'; disp('Testing calibration') params(1,:) = get_all_parameters(estim_params_,M_); case 'posterior_mode' parameters_TeX = 'Posterior mode'; disp('Testing posterior mode') params(1,:) = get_posterior_parameters('mode',M_,estim_params_,oo_,options_); case 'posterior_mean' parameters_TeX = 'Posterior mean'; disp('Testing posterior mean') params(1,:) = get_posterior_parameters('mean',M_,estim_params_,oo_,options_); case 'posterior_median' parameters_TeX = 'Posterior median'; disp('Testing posterior median') params(1,:) = get_posterior_parameters('median',M_,estim_params_,oo_,options_); case 'prior_mode' parameters_TeX = 'Prior mode'; disp('Testing prior mode') params(1,:) = bayestopt_.p5(:); case 'prior_mean' parameters_TeX = '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'; parameters_TeX = 'Current parameter values'; disp('Testing current parameter values') end [idehess_point, idemoments_point, idemodel_point, idelre_point, derivatives_info_point, info, options_ident] = ... identification_analysis(params,indx,indexo,options_ident,dataset_, dataset_info, prior_exist, name_tex,1,parameters,bounds); 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 has 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, options_ident] = ... identification_analysis(params,indx,indexo,options_ident,dataset_,dataset_info, prior_exist, name_tex,1,'Random_prior_params',bounds); 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'; parameters_TeX = 'Random prior parameter draw'; 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,parameters_TeX,name_tex); 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, options_MC] = ... identification_analysis(params,indx,indexo,options_MC,dataset_, dataset_info, prior_exist, name_tex,0,[],bounds); 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,[],name_tex); 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,[],name_tex); end if advanced jcrit=find(idemoments.ino); if length(jcrit)