177 lines
6.2 KiB
Matlab
177 lines
6.2 KiB
Matlab
function mode_check(fun,x,hessian,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults)
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% Checks the estimated ML mode or Posterior mode.
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%@info:
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%! @deftypefn {Function File} mode_check (@var{fun}, @var{x}, @var{hessian}, @var{DynareDataset}, @var{DynareOptions}, @var{Model}, @var{EstimatedParameters}, @var{BayesInfo}, @var{DynareResults})
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%! @anchor{mode_check}
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%! @sp 1
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%! Checks the estimated ML mode or Posterior mode by plotting sections of the likelihood/posterior kernel.
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%! Each plot shows the variation of the likelihood implied by the variations of a single parameter, ceteris paribus)
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%! @sp 2
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%! @strong{Inputs}
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%! @sp 1
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%! @table @ @var
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%! @item fun
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%! Objective function.
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%! @item x
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%! Estimated mode.
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%! @item start
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%! Hessian of the objective function at the estimated mode @var{x}.
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%! @item DynareDataset
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%! Structure specifying the dataset used for estimation (dataset_).
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%! @item DynareOptions
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%! Structure defining dynare's options (options_).
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%! @item Model
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%! Structure specifying the (estimated) model (M_).
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%! @item EstimatedParameters
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%! Structure specifying the estimated parameters (estimated_params_).
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%! @item BayesInfo
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%! Structure containing information about the priors used for estimation (bayestopt_).
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%! @item DynareResults
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%! Structure gathering the results (oo_).
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%! @end table
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%! @sp 2
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%! @strong{Outputs}
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%! @sp 2
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%! @strong{This function is called by:}
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%! @sp 2
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%! @strong{This function calls:}
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%! The objective function (@var{func}).
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%! @end deftypefn
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%@eod:
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% Copyright (C) 2003-2012 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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TeX = DynareOptions.TeX;
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if ~isempty(hessian);
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[ s_min, k ] = min(diag(hessian));
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end
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fval = feval(fun,x,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
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if ~isempty(hessian);
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disp(' ')
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disp('MODE CHECK')
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disp(' ')
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disp(sprintf('Fval obtained by the minimization routine: %f', fval))
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disp(' ')
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if s_min<eps
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disp(sprintf('Most negative variance %f for parameter %d (%s = %f)', s_min, k , BayesInfo.name{k}, x(k)))
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end
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end
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[nbplt,nr,nc,lr,lc,nstar] = pltorg(length(x));
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if TeX
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fidTeX = fopen([Model.fname '_CheckPlots.TeX'],'w');
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fprintf(fidTeX,'%% TeX eps-loader file generated by mode_check.m (Dynare).\n');
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fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
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fprintf(fidTeX,' \n');
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end
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ll = DynareOptions.mode_check_neighbourhood_size;
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for plt = 1:nbplt,
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if TeX
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NAMES = [];
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TeXNAMES = [];
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end
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hh = dyn_figure(DynareOptions,'Name','Check plots');
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for k=1:min(nstar,length(x)-(plt-1)*nstar)
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subplot(nr,nc,k)
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kk = (plt-1)*nstar+k;
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[name,texname] = get_the_name(kk,TeX,Model,EstimatedParameters,DynareOptions);
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if TeX
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if isempty(NAMES)
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NAMES = name;
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TeXNAMES = texname;
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else
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NAMES = char(NAMES,name);
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TeXNAMES = char(TeXNAMES,texname);
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end
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end
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xx = x;
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l1 = max(BayesInfo.lb(kk),(1-ll)*x(kk)); m1 = 0;
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l2 = min(BayesInfo.ub(kk),(1+ll)*x(kk));
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if l2<(1+ll)*x(kk)
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l1 = x(kk) - (l2-x(kk));
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m1 = 1;
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end
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if ~m1 && (l1>(1-ll)*x(kk)) && (x(kk)+(x(kk)-l1)<BayesInfo.ub(kk))
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l2 = x(kk) + (x(kk)-l1);
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end
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z1 = l1:((x(kk)-l1)/10):x(kk);
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z2 = x(kk):((l2-x(kk))/10):l2;
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z = union(z1,z2);
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if DynareOptions.mode_check_nolik==0,
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y = zeros(length(z),2);
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dy = priordens(xx,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
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end
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for i=1:length(z)
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xx(kk) = z(i);
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[fval, junk1, junk2, exit_flag] = feval(fun,xx,DynareDataset,DynareOptions,Model,EstimatedParameters,BayesInfo,DynareResults);
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if exit_flag
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y(i,1) = fval;
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else
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y(i,1) = NaN;
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end
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if DynareOptions.mode_check_nolik==0
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lnprior = priordens(xx,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
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y(i,2) = (y(i,1)+lnprior-dy);
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end
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end
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plot(z,-y);
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hold on
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yl=get(gca,'ylim');
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plot( [x(kk) x(kk)], yl, 'c', 'LineWidth', 1)
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NaN_index = find(isnan(y(:,1)));
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zNaN = z(NaN_index);
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yNaN = yl(1)*ones(size(NaN_index));
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plot(zNaN,yNaN,'o','MarkerEdgeColor','r','MarkerFaceColor','r','MarkerSize',6);
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title(name,'interpreter','none')
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hold off
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axis tight
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drawnow
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end
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if DynareOptions.mode_check_nolik==0,
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if exist('OCTAVE_VERSION'),
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axes('outerposition',[0.3 0.93 0.42 0.07],'box','on'),
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else
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axes('position',[0.3 0.01 0.42 0.05],'box','on'),
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end
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plot([0.48 0.68],[0.5 0.5],'color',[0 0.5 0])
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hold on, plot([0.04 0.24],[0.5 0.5],'b')
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set(gca,'xlim',[0 1],'ylim',[0 1],'xtick',[],'ytick',[])
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text(0.25,0.5,'log-post')
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text(0.69,0.5,'log-lik kernel')
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end
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dyn_saveas(hh,[ Model.fname '_CheckPlots' int2str(plt) ],DynareOptions);
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if TeX
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% TeX eps loader file
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fprintf(fidTeX,'\\begin{figure}[H]\n');
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for jj = 1:min(nstar,length(x)-(plt-1)*nstar)
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fprintf(fidTeX,'\\psfrag{%s}[1][][0.5][0]{%s}\n',deblank(NAMES(jj,:)),deblank(TeXNAMES(jj,:)));
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end
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fprintf(fidTeX,'\\centering \n');
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fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_CheckPlots%s}\n',Model.fname,int2str(plt));
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fprintf(fidTeX,'\\caption{Check plots.}');
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fprintf(fidTeX,'\\label{Fig:CheckPlots:%s}\n',int2str(plt));
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fprintf(fidTeX,'\\end{figure}\n');
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fprintf(fidTeX,' \n');
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end
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end |