241 lines
19 KiB
HTML
241 lines
19 KiB
HTML
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN"
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<html>
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<head>
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<title>Description of dynare_sensitivity</title>
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<meta name="keywords" content="dynare_sensitivity">
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<meta name="description" content="copyright Marco Ratto 2006">
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<meta name="generator" content="m2html © 2003 Guillaume Flandin">
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<meta name="robots" content="index, follow">
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<a name="_top"></a>
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<div><a href="../index.html">Home</a> > <a href="index.html">.</a> > dynare_sensitivity.m</div>
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<!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td>
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<td align="right"><a href="index.html">Index for . <img alt=">" border="0" src="../right.png"></a></td></tr></table>-->
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<h1>dynare_sensitivity
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</h1>
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<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>copyright Marco Ratto 2006</strong></div>
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<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>function x0=dynare_sensitivity() </strong></div>
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<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre class="comment"> copyright Marco Ratto 2006</pre></div>
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<!-- crossreference -->
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<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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This function calls:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a> 06-03-2005</li><li><a href="dynare_MC.html" class="code" title="function dynare_MC(var_list_)">dynare_MC</a> </li><li><a href="filt_mc_.html" class="code" title="function [rmse_MC, ixx] = filt_mc_(vvarvecm, loadSA, pfilt, alpha, alpha2, OutDir, istart, alphaPC)">filt_mc_</a> copyright Marco Ratto 2006</li><li><a href="read_variables.html" class="code" title="function dyn_data_01=read_variables(file_name_01,var_names_01,dyn_data_01,xls_sheet,xls_range)">read_variables</a> Copyright (C) 2005 Michel Juillard</li><li><a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a> </li><li><a href="stab_map_.html" class="code" title="function x0 = stab_map_(Nsam, fload, ksstat, alpha2, prepSA, pprior, ilptau, OutputDirectoryName)">stab_map_</a> </li></ul>
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This function is called by:
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<ul style="list-style-image:url(../matlabicon.gif)">
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</ul>
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<!-- crossreference -->
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<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre>0001 <a name="_sub0" href="#_subfunctions" class="code">function x0=dynare_sensitivity()</a>
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0002 <span class="comment">% copyright Marco Ratto 2006</span>
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0003
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0004 <span class="keyword">global</span> M_ options_ oo_ bayestopt_
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0005
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0006 fname_ = M_.fname;
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0007 lgy_ = M_.endo_names;
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0008 x0=[];
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0009
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0010 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'opt_gsa'</span>,1);
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0011 options_gsa_ = options_.opt_gsa;
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0012
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0013 <span class="comment">% map stability</span>
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0014 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'stab'</span>,1);
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0015 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'redform'</span>,0);
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0016 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'pprior'</span>,1);
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0017 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'ppost'</span>,0);
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0018 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'ilptau'</span>,1);
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0019 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'Nsam'</span>,2048);
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0020 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'load_stab'</span>,0);
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0021 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'alpha2_stab'</span>,0.3);
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0022 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'ksstat'</span>,0.1);
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0023 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'load_mh'</span>,0);
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0024
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0025 OutputDirectoryName = <a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a>(<span class="string">'GSA'</span>);
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0026
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0027
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0028 <span class="keyword">if</span> options_gsa_.stab & ~options_gsa_.load_mh,
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0029 x0 = <a href="stab_map_.html" class="code" title="function x0 = stab_map_(Nsam, fload, ksstat, alpha2, prepSA, pprior, ilptau, OutputDirectoryName)">stab_map_</a>(options_gsa_.Nsam, options_gsa_.load_stab, options_gsa_.ksstat, options_gsa_.alpha2_stab, <span class="keyword">...</span>
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0030 options_gsa_.redform, options_gsa_.pprior, options_gsa_.ilptau, OutputDirectoryName);
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0031 <span class="keyword">end</span>
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0032
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0033 <span class="comment">% reduced form</span>
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0034 <span class="comment">% redform_map(namendo, namlagendo, namexo, icomp, pprior, ilog, threshold)</span>
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0035 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'load_redform'</span>,0);
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0036 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'logtrans_redform'</span>,0);
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0037 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'threshold_redform'</span>,[]);
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0038 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'ksstat_redform'</span>,0.1);
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0039 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'alpha2_redform'</span>,0.3);
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0040 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'namendo'</span>,[]);
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0041 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'namlagendo'</span>,[]);
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0042 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'namexo'</span>,[]);
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0043
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0044 <span class="keyword">if</span> options_gsa_.redform & ~isempty(options_gsa_.namendo) & ~options_gsa_.load_mh,
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0045 redform_map(options_gsa_.namendo, options_gsa_.namlagendo, options_gsa_.namexo, <span class="keyword">...</span>
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0046 options_gsa_.load_redform, options_gsa_.pprior, options_gsa_.logtrans_redform, <span class="keyword">...</span>
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0047 options_gsa_.threshold_redform, options_gsa_.ksstat_redform, <span class="keyword">...</span>
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0048 options_gsa_.alpha2_redform, OutputDirectoryName);
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0049 <span class="keyword">end</span>
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0050 <span class="comment">% RMSE mapping</span>
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0051 <span class="comment">% function [rmse_MC, ixx] = filt_mc_(vvarvecm, loadSA, pfilt, alpha, alpha2)</span>
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0052 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'rmse'</span>,0);
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0053 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'var_rmse'</span>,options_.varobs);
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0054 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'load_rmse'</span>,0);
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0055 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'pfilt_rmse'</span>,0.1);
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0056 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'istart_rmse'</span>,1);
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0057 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'alpha_rmse'</span>,0.002);
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0058 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'alpha2_rmse'</span>,0.5);
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0059 options_.opt_gsa = options_gsa_;
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0060 <span class="keyword">if</span> options_gsa_.rmse,
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0061 <span class="keyword">if</span> options_gsa_.pprior
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0062 a=load([OutputDirectoryName,<span class="string">'\'</span>,fname_,<span class="string">'_prior'</span>]);
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0063 <span class="keyword">else</span>
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0064 a=load([OutputDirectoryName,<span class="string">'\'</span>,fname_,<span class="string">'_mc'</span>]);
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0065 <span class="keyword">end</span>
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0066 <span class="keyword">if</span> ~isfield(a,<span class="string">'stock_filter'</span>),
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0067 <a href="dynare_MC.html" class="code" title="function dynare_MC(var_list_)">dynare_MC</a>([],OutputDirectoryName);
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0068 options_gsa_.load_rmse=0;
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0069 <span class="keyword">end</span>
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0070 <a href="filt_mc_.html" class="code" title="function [rmse_MC, ixx] = filt_mc_(vvarvecm, loadSA, pfilt, alpha, alpha2, OutDir, istart, alphaPC)">filt_mc_</a>(options_gsa_.var_rmse, options_gsa_.load_rmse, options_gsa_.pfilt_rmse, <span class="keyword">...</span>
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0071 options_gsa_.alpha_rmse, options_gsa_.alpha2_rmse, OutputDirectoryName, <span class="keyword">...</span>
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0072 options_gsa_.istart_rmse);
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0073 <span class="keyword">end</span>
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0074
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0075
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0076 options_gsa_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_gsa_,<span class="string">'glue'</span>,0);
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0077 <span class="keyword">if</span> options_gsa_.glue,
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0078 dr_ = oo_.dr;
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0079 <span class="keyword">if</span> options_gsa_.ppost
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0080 load([OutputDirectoryName,<span class="string">'\'</span>,fname_,<span class="string">'_post'</span>]);
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0081 DirectoryName = <a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a>(<span class="string">'metropolis'</span>);
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0082 <span class="keyword">else</span>
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0083 <span class="keyword">if</span> options_gsa_.pprior
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0084 load([OutputDirectoryName,<span class="string">'\'</span>,fname_,<span class="string">'_prior'</span>]);
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0085 <span class="keyword">else</span>
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0086 load([OutputDirectoryName,<span class="string">'\'</span>,fname_,<span class="string">'_mc'</span>]);
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0087 <span class="keyword">end</span>
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0088 <span class="keyword">end</span>
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0089 nruns=size(x,1);
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0090 gend = options_.nobs;
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0091 rawdata = <a href="read_variables.html" class="code" title="function dyn_data_01=read_variables(file_name_01,var_names_01,dyn_data_01,xls_sheet,xls_range)">read_variables</a>(options_.datafile,options_.varobs,[],options_.xls_sheet,options_.xls_range);
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0092 rawdata = rawdata(options_.first_obs:options_.first_obs+gend-1,:);
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0093 <span class="keyword">if</span> options_.loglinear == 1
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0094 rawdata = log(rawdata);
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0095 <span class="keyword">end</span>
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0096 <span class="keyword">if</span> options_.prefilter == 1
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0097 data = transpose(rawdata-ones(gend,1)*bayestopt_.mean_varobs);
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0098 <span class="keyword">else</span>
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0099 data = transpose(rawdata);
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0100 <span class="keyword">end</span>
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0101
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0102 Obs.data = data;
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0103 Obs.time = [1:gend];
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0104 Obs.num = gend;
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0105 <span class="keyword">for</span> j=1:size(options_.varobs,1)
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0106 Obs.name{j} = deblank(options_.varobs(j,:));
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0107 vj=deblank(options_.varobs(j,:));
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0108
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0109 jxj = strmatch(vj,lgy_(dr_.order_var,:),<span class="string">'exact'</span>);
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0110 js = strmatch(vj,lgy_,<span class="string">'exact'</span>);
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0111 <span class="keyword">if</span> ~options_gsa_.ppost
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0112 y0=zeros(gend+1,nruns);
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0113 nb = size(stock_filter,3);
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0114 y0 = squeeze(stock_filter(:,jxj,:)) + <span class="keyword">...</span>
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0115 kron(stock_ys(js,:),ones(size(stock_filter,1),1));
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0116 Out(j).data = y0';
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0117 Out(j).time = [1:size(y0,1)];
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0118 <span class="keyword">else</span>
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0119 Out(j).data = jxj;
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0120 Out(j).time = [pwd,<span class="string">'\'</span>,DirectoryName];
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0121 <span class="keyword">end</span>
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0122 Out(j).name = vj;
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0123 Out(j).ini = <span class="string">'yes'</span>;
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0124 Lik(j).name = [<span class="string">'rmse_'</span>,vj];
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0125 Lik(j).ini = <span class="string">'yes'</span>;
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0126 Lik(j).isam = 1;
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0127 Lik(j).data = rmse_MC(:,j)';
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0128
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0129 <span class="keyword">if</span> ~options_gsa_.ppost
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0130 y0 = squeeze(stock_smooth(:,jxj,:)) + <span class="keyword">...</span>
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0131 kron(stock_ys(js,:),ones(size(stock_smooth,1),1));
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0132 Out1(j).name = vj;
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0133 Out1(j).ini = <span class="string">'yes'</span>;
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0134 Out1(j).time = [1:size(y0,1)];
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0135 Out1(j).data = y0';
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0136 <span class="keyword">else</span>
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0137 Out1=Out;
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0138 <span class="keyword">end</span>
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0139 ismoo(j)=jxj;
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0140
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0141 <span class="keyword">end</span>
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0142 jsmoo = size(options_.varobs,1);
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0143 <span class="keyword">for</span> j=1:M_.endo_nbr,
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0144 <span class="keyword">if</span> ~ismember(j,ismoo),
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0145 jsmoo=jsmoo+1;
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0146 vj=deblank(M_.endo_names(dr_.order_var(j),:));
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0147 <span class="keyword">if</span> ~options_gsa_.ppost
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0148 y0 = squeeze(stock_smooth(:,j,:)) + <span class="keyword">...</span>
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0149 kron(stock_ys(j,:),ones(size(stock_smooth,1),1));
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0150 Out1(jsmoo).time = [1:size(y0,1)];
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0151 Out1(jsmoo).data = y0';
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0152 <span class="keyword">else</span>
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0153 Out1(jsmoo).data = j;
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0154 Out1(jsmoo).time = [pwd,<span class="string">'\'</span>,DirectoryName];
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0155 <span class="keyword">end</span>
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0156 Out1(jsmoo).name = vj;
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0157 Out1(jsmoo).ini = <span class="string">'yes'</span>;
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0158 <span class="keyword">end</span>
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0159 <span class="keyword">end</span>
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0160 tit(M_.exo_names_orig_ord,:) = M_.exo_names;
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0161 <span class="keyword">for</span> j=1:M_.exo_nbr,
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0162 Exo(j).name = deblank(tit(j,:));
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0163 <span class="keyword">end</span>
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0164 <span class="keyword">if</span> ~options_gsa_.ppost
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0165 Lik(size(options_.varobs,1)+1).name = <span class="string">'logpo'</span>;
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0166 Lik(size(options_.varobs,1)+1).ini = <span class="string">'yes'</span>;
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0167 Lik(size(options_.varobs,1)+1).isam = 1;
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0168 Lik(size(options_.varobs,1)+1).data = -logpo2;
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0169 <span class="keyword">end</span>
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0170 Sam.name = bayestopt_.name;
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0171 Sam.dim = [size(x) 0];
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0172 Sam.data = [x];
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0173
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0174 Rem.id = <span class="string">'Original'</span>;
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0175 Rem.ind= [1:size(x,1)];
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0176
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0177 <span class="keyword">if</span> options_gsa_.ppost
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0178 Info.dynare=M_.fname;
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0179 Out=Out1;
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0180 save([OutputDirectoryName,<span class="string">'\'</span>,fname_,<span class="string">'_post_glue'</span>], <span class="string">'Out'</span>, <span class="string">'Sam'</span>, <span class="string">'Lik'</span>, <span class="string">'Obs'</span>, <span class="string">'Rem'</span>,<span class="string">'Info'</span>, <span class="string">'Exo'</span>)
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0181 <span class="comment">%save([fname_,'_post_glue_smooth'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info')</span>
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0182
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0183 <span class="keyword">else</span>
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0184 <span class="keyword">if</span> options_gsa_.pprior
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0185 save([OutputDirectoryName,<span class="string">'\'</span>,fname_,<span class="string">'_prior_glue'</span>], <span class="string">'Out'</span>, <span class="string">'Sam'</span>, <span class="string">'Lik'</span>, <span class="string">'Obs'</span>, <span class="string">'Rem'</span>)
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0186 Out=Out1;
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0187 save([OutputDirectoryName,<span class="string">'\'</span>,fname_,<span class="string">'_prior_glue_smooth'</span>], <span class="string">'Out'</span>, <span class="string">'Sam'</span>, <span class="string">'Lik'</span>, <span class="string">'Obs'</span>, <span class="string">'Rem'</span>)
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0188 <span class="keyword">else</span>
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0189 save([OutputDirectoryName,<span class="string">'\'</span>,fname_,<span class="string">'_mc_glue'</span>], <span class="string">'Out'</span>, <span class="string">'Sam'</span>, <span class="string">'Lik'</span>, <span class="string">'Obs'</span>, <span class="string">'Rem'</span>)
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0190 Out=Out1;
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0191 save([OutputDirectoryName,<span class="string">'\'</span>,fname_,<span class="string">'_mc_glue_smooth'</span>], <span class="string">'Out'</span>, <span class="string">'Sam'</span>, <span class="string">'Lik'</span>, <span class="string">'Obs'</span>, <span class="string">'Rem'</span>)
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0192 <span class="keyword">end</span>
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0193 <span class="keyword">end</span>
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0194
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0195 <span class="keyword">end</span></pre></div>
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<hr><address>Generated on Fri 16-Jun-2006 09:09:06 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address>
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