141 lines
4.8 KiB
Matlab
141 lines
4.8 KiB
Matlab
function varargout = prior(varargin)
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% Computes various prior statistics and display them in the command window.
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%
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% INPUTS
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% 'table', 'moments', 'optimize', 'simulate', 'plot'
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%
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% OUTPUTS
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% none
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2015 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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if isempty(varargin) || ( isequal(length(varargin), 1) && isequal(varargin{1},'help'))
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skipline()
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disp('Possible options are:')
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disp(' + table Prints a table describing the priors.')
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disp(' + moments Computes and displays moments of the endogenous variables at the prior mode.')
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disp(' + optimize Optimizes the prior density (starting from a random initial guess).')
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disp(' + simulate Computes the effective prior mass (using a Monte-Carlo).')
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disp(' + plot Plots the marginal prior densities.')
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skipline()
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return
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end
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global options_ M_ estim_params_ bayestopt_ oo_ objective_function_penalty_base
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donesomething = false;
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% Temporarly change qz_criterium option value
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changed_qz_criterium_flag = 0;
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if isempty(options_.qz_criterium)
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options_.qz_criterium = 1+1e-9;
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changed_qz_criterium_flag = 1;
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end
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M_.dname = M_.fname;
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% Temporarly set options_.order equal to one
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order = options_.order;
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options_.order = 1;
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[xparam1,estim_params_,bayestopt_,lb,ub,M_] = set_prior(estim_params_,M_,options_);
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if ismember('plot', varargin)
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plot_priors(bayestopt_,M_,estim_params_,options_)
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donesomething = true;
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end
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if ismember('table', varargin)
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print_table_prior(lb, ub, options_, M_, bayestopt_, estim_params_);
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donesomething = true;
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end
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if ismember('simulate', varargin) % Prior simulations (BK).
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results = prior_sampler(0,M_,bayestopt_,options_,oo_,estim_params_);
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% Display prior mass info
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skipline(2)
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disp(['Prior mass = ' num2str(results.prior.mass)])
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disp(['BK indeterminacy share = ' num2str(results.bk.indeterminacy_share)])
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disp(['BK unstability share = ' num2str(results.bk.unstability_share)])
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disp(['BK singularity share = ' num2str(results.bk.singularity_share)])
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disp(['Complex jacobian share = ' num2str(results.jacobian.problem_share)])
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disp(['mjdgges crash share = ' num2str(results.dll.problem_share)])
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disp(['Steady state problem share = ' num2str(results.ss.problem_share)])
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disp(['Complex steady state share = ' num2str(results.ss.complex_share)])
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disp(['Analytical steady state problem share = ' num2str(results.ass.problem_share)])
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skipline(2)
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donesomething = true;
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end
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if ismember('optimize', varargin) % Prior optimization.
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optimize_prior(options_, M_, oo_, bayestopt_, estim_params_);
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donesomething = true;
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end
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if ismember('moments', varargin) % Prior simulations (2nd order moments).
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% Set estimated parameters to the prior mode...
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xparam1 = bayestopt_.p5;
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% ... Except for uniform priors!
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k = find(isnan(xparam1));
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xparam1(k) = bayestopt_.p5(k);
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% Update vector of parameters and covariance matrices
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M_ = set_all_parameters(xparam1,estim_params_,M_);
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% Check model.
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check_model(M_);
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% Compute state space representation of the model.
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oo_.dr=set_state_space(oo_.dr, M_, options_);
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% Solve model
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[dr,info, M_ ,options_ , oo_] = resol(0, M_ , options_ ,oo_);
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% Compute and display second order moments
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oo_=disp_th_moments(oo_.dr,[],M_,options_,oo_);
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skipline(2)
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donesomething = true;
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end
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if changed_qz_criterium_flag
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options_.qz_criterium = [];
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end
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options_.order = order;
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if ~donesomething
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error('prior: Unexpected arguments!')
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end
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function format_string = build_format_string(PriorStandardDeviation,LowerBound,UpperBound)
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format_string = ['%s & %s & %6.4f &'];
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if ~isnumeric(PriorStandardDeviation)
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format_string = [ format_string , ' %s &'];
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else
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format_string = [ format_string , ' %6.4f &'];
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end
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if ~isnumeric(LowerBound)
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format_string = [ format_string , ' %s &'];
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else
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format_string = [ format_string , ' %6.4f &'];
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end
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if ~isnumeric(UpperBound)
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format_string = [ format_string , ' %s &'];
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else
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format_string = [ format_string , ' %6.4f &'];
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end
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format_string = [ format_string , ' %6.4f & %6.4f \\\\ \n']; |