949 lines
56 KiB
Matlab
949 lines
56 KiB
Matlab
function [pdraws, STO_REDUCEDFORM, STO_MOMENTS, STO_DYNAMIC, STO_si_dDYNAMIC, STO_si_dREDUCEDFORM, STO_si_dMOMENTS, STO_dSPECTRUM, STO_dMINIMAL] = dynare_identification(options_ident, pdraws0)
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%function [pdraws, STO_REDUCEDFORM, STO_MOMENTS, STO_DYNAMIC, STO_si_dDYNAMIC, STO_si_dREDUCEDFORM, STO_si_dMOMENTS, STO_dSPECTRUM, STO_dMINIMAL] = dynare_identification(options_ident, pdraws0)
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% -------------------------------------------------------------------------
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% This function is called, when the user specifies identification(...); in the mod file. It prepares all identification analysis:
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% (1) set options, local and persistent variables for a new identification
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% analysis either for a single point or a MC Sample. It also displays and plots the results
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% (2) load, display and plot a previously saved identification analysis
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%
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% Note 1: This function does not output the arguments to the workspace, but saves results to the folder identification
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% Note 2: If you want to use this function directly in the mod file and workspace, you still have
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% to put identification in your mod file, otherwise the preprocessor won't provide all necessary objects
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% =========================================================================
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% INPUTS
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% * options_ident [structure] identification options
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% * pdraws0 [SampleSize by totparam_nbr] optional: matrix of MC sample of model parameters
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% -------------------------------------------------------------------------
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% OUTPUTS
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% * pdraws [matrix] MC sample of model params used
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% * STO_REDUCEDFORM, [matrix] MC sample of entries in steady state and reduced form model solution (stacked vertically)
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% * STO_MOMENTS, [matrix] MC sample of entries in theoretical first two moments (stacked vertically)
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% * STO_DYNAMIC, [matrix] MC sample of entries in steady state and dynamic model derivatives (stacked vertically)
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% * STO_si_dDYNAMIC, [matrix] MC sample of derivatives of steady state and dynamic derivatives
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% * STO_si_dREDUCEDFORM, [matrix] MC sample of derivatives of steady state and reduced form model solution
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% * STO_si_dMOMENTS [matrix] MC sample of Iskrev (2010)'s J matrix
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% * STO_dSPECTRUM [matrix] MC sample of Qu and Tkachenko (2012)'s \bar{G} matrix
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% * STO_dMINIMAL [matrix] MC sample of Komunjer and Ng (2011)'s \bar{\Delta} matrix
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% -------------------------------------------------------------------------
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% This function is called by
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% * driver.m
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% * map_ident_.m
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% -------------------------------------------------------------------------
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% This function calls
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% * checkpath
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% * disp_identification
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% * dyn_waitbar
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% * dyn_waitbar_close
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% * get_all_parameters
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% * get_posterior_parameters
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% * get_the_name
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% * identification_analysis
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% * isoctave
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% * plot_identification
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% * prior_draw
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% * set_default_option
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% * set_prior
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% * skipline
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% * vnorm
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% =========================================================================
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% Copyright (C) 2010-2020 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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% =========================================================================
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global M_ options_ oo_ bayestopt_ estim_params_
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store_options_ = options_; % store options to restore them at the end
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fname = M_.fname; %model name
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dname = M_.dname; %model name
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%turn warnings off, either globally or only relevant ids
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if isoctave
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%warning('off'),
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warning('off','Octave:singular-matrix');
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warning('off','Octave:nearly-singular-matrix');
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warning('off','Octave:neg-dim-as-zero');
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warning('off','Octave:array-as-logical');
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else
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%warning off;
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warning('off','MATLAB:rankDeficientMatrix');
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warning('off','MATLAB:singularMatrix');
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warning('off','MATLAB:nearlySingularMatrix');
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warning('off','MATLAB:plot:IgnoreImaginaryXYPart');
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warning('off','MATLAB:specgraph:private:specgraph:UsingOnlyRealComponentOfComplexData');
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warning('off','MATLAB:handle_graphics:exceptions:SceneNode');
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warning('off','MATLAB:divideByZero');
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warning('off','MATLAB:log:logOfZero');
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end
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%% Set all options in options_ident and create objects
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options_ident = set_default_option(options_ident,'gsa_sample_file',0);
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% 0: do not use sample file
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% 1: triggers gsa prior sample
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% 2: triggers gsa Monte-Carlo sample (i.e. loads a sample corresponding to pprior=0 and ppost=0 in dynare_sensitivity options)
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% FILENAME: use sample file in provided path
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options_ident = set_default_option(options_ident,'parameter_set','prior_mean');
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% 'calibration': use values in M_.params and M_.Sigma_e to update estimated stderr, corr and model parameters (get_all_parameters)
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% 'prior_mode': use values in bayestopt_.p5 prior to update estimated stderr, corr and model parameters
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% 'prior_mean': use values in bayestopt_.p1 prior to update estimated stderr, corr and model parameters
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% 'posterior_mode': use posterior mode values in estim_params_ to update estimated stderr, corr and model parameters (get_posterior_parameters('mode',...))
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% 'posterior_mean': use posterior mean values in estim_params_ to update estimated stderr, corr and model parameters (get_posterior_parameters('mean',...))
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% 'posterior_median': use posterior median values in estim_params_ to update estimated stderr, corr and model parameters (get_posterior_parameters('median',...))
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options_ident = set_default_option(options_ident,'load_ident_files',0);
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% 1: load previously computed analysis from identification/fname_identif.mat
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options_ident = set_default_option(options_ident,'useautocorr',0);
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% 1: use autocorrelations in Iskrev (2010)'s theoretical second moments criteria
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% 0: use autocovariances in Iskrev (2010)'s theoretical second moments criteria
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options_ident = set_default_option(options_ident,'ar',1);
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% number of lags to consider for autocovariances/autocorrelations in Iskrev (2010)'s criteria
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options_ident = set_default_option(options_ident,'prior_mc',1);
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% size of Monte-Carlo sample of parameter draws
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options_ident = set_default_option(options_ident,'prior_range',0);
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% 1: sample uniformly from prior ranges implied by the prior specifications (overwrites prior shape when prior_mc > 1)
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% 0: sample from specified prior distributions (when prior_mc > 1)
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options_ident = set_default_option(options_ident,'periods',300);
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% length of stochastic simulation to compute simulated moment uncertainty (when analytic Hessian is not available)
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options_ident = set_default_option(options_ident,'replic',100);
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% number of replicas to compute simulated moment uncertainty (when analytic Hessian is not available)
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options_ident = set_default_option(options_ident,'advanced',0);
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% 1: show a more detailed analysis based on reduced-form model solution and dynamic model derivatives. Further, performs a brute force
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% search of the groups of parameters best reproducing the behavior of each single parameter.
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options_ident = set_default_option(options_ident,'normalize_jacobians',1);
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% 1: normalize Jacobians by either rescaling each row by its largest element in absolute value or for Gram (or Hessian-type) matrices by transforming into correlation-type matrices
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options_ident = set_default_option(options_ident,'grid_nbr',5000);
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% number of grid points in [-pi;pi] to approximate the integral to compute Qu and Tkachenko (2012)'s criteria
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% note that grid_nbr needs to be even and actually we use (grid_nbr+1) points, as we add the 0 frequency and use symmetry
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if mod(options_ident.grid_nbr,2) ~= 0
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options_ident.grid_nbr = options_ident.grid_nbr+1;
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fprintf('IDENTIFICATION: ''grid_nbr'' needs to be even, hence it is reset to %d\n',options_ident.grid_nbr)
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if mod(options_ident.grid_nbr,2) ~= 0
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error('IDENTIFICATION: You need to set an even value for ''grid_nbr''');
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end
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end
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options_ident = set_default_option(options_ident,'tol_rank','robust');
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% tolerance level used for rank computations
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options_ident = set_default_option(options_ident,'tol_deriv',1.e-8);
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% tolerance level for selecting columns of non-zero derivatives
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options_ident = set_default_option(options_ident,'tol_sv',1.e-3);
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% tolerance level for selecting non-zero singular values in identification_checks.m
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%check whether to compute identification strength based on information matrix
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if ~isfield(options_ident,'no_identification_strength')
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options_ident.no_identification_strength = 0;
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else
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options_ident.no_identification_strength = 1;
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end
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%check whether to compute and display identification criteria based on steady state and reduced-form model solution
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if ~isfield(options_ident,'no_identification_reducedform')
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options_ident.no_identification_reducedform = 0;
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else
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options_ident.no_identification_reducedform = 1;
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end
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%check whether to compute and display identification criteria based on Iskrev (2010), i.e. derivative of first two moments
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if ~isfield(options_ident,'no_identification_moments')
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options_ident.no_identification_moments = 0;
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else
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options_ident.no_identification_moments = 1;
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end
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%check whether to compute and display identification criteria based on Komunjer and Ng (2011), i.e. derivative of first moment, minimal state space system and observational equivalent spectral density transformation
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if ~isfield(options_ident,'no_identification_minimal')
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options_ident.no_identification_minimal = 0;
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else
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options_ident.no_identification_minimal = 1;
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end
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%Check whether to compute and display identification criteria based on Qu and Tkachenko (2012), i.e. Gram matrix of derivatives of first moment plus outer product of derivatives of spectral density
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if ~isfield(options_ident,'no_identification_spectrum')
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options_ident.no_identification_spectrum = 0;
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else
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options_ident.no_identification_spectrum = 1;
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end
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%overwrite setting, as identification strength and advanced need both reducedform and moments criteria
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if (isfield(options_ident,'no_identification_strength') && options_ident.no_identification_strength == 0) || (options_ident.advanced == 1)
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options_ident.no_identification_reducedform = 0;
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options_ident.no_identification_moments = 0;
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end
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%overwrite setting, as dynare_sensitivity does not make use of spectrum and minimal system
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if isfield(options_,'opt_gsa') && isfield(options_.opt_gsa,'identification') && options_.opt_gsa.identification == 1
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options_ident.no_identification_minimal = 1;
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options_ident.no_identification_spectrum = 1;
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end
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%Deal with non-stationary cases
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if isfield(options_ident,'diffuse_filter')
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options_ident.lik_init=3; %overwrites any other lik_init set
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options_.diffuse_filter=options_ident.diffuse_filter; %make options_ inherit diffuse filter; will overwrite any conflicting lik_init in dynare_estimation_init
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else
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if options_.diffuse_filter==1 %warning if estimation with diffuse filter was done, but not passed
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fprintf('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.\n');
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end
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if isfield(options_ident,'lik_init')
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options_.lik_init=options_ident.lik_init; %make options_ inherit lik_init
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if options_ident.lik_init==3 %user specified diffuse filter using the lik_init option
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options_ident.analytic_derivation=0; %diffuse filter not compatible with analytic derivation
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options_.analytic_derivation=0; %diffuse filter not compatible with analytic derivation
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end
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end
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end
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options_ident = set_default_option(options_ident,'lik_init',1);
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% Type of initialization of Kalman filter:
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% 1: stationary models: initial matrix of variance of error of forecast is set equal to the unconditional variance of the state variables
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% 2: nonstationary models: wide prior is used with an initial matrix of variance of the error of forecast diagonal with 10 on the diagonal (follows the suggestion of Harvey and Phillips(1979))
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% 3: nonstationary models: use a diffuse filter (use rather the diffuse_filter option)
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% 4: filter is initialized with the fixed point of the Riccati equation
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% 5: i) option 2 for non-stationary elements by setting their initial variance in the forecast error matrix to 10 on the diagonal and all co-variances to 0 and
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% ii) option 1 for the stationary elements
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options_ident = set_default_option(options_ident,'analytic_derivation',1);
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% 1: analytic derivation of gradient and hessian of likelihood in dsge_likelihood.m, only works for stationary models, i.e. kalman_algo<3
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options_ident = set_default_option(options_ident,'order',1);
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% 1: first-order perturbation approximation, identification is based on linear state space system
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% 2: second-order perturbation approximation, identification is based on second-order pruned state space system
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% 3: third-order perturbation approximation, identification is based on third-order pruned state space system
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%overwrite values in options_, note that options_ is restored at the end of the function
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if isfield(options_ident,'TeX')
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options_.TeX=options_ident.TeX;
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% requests printing of results and graphs in LaTeX
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end
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if isfield(options_ident,'nograph')
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options_.nograph=options_ident.nograph;
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% do not display and do not save graphs
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end
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if isfield(options_ident,'nodisplay')
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options_.nodisplay=options_ident.nodisplay;
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% do not display, but save graphs
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end
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if isfield(options_ident,'graph_format')
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options_.graph_format=options_ident.graph_format;
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% specify file formats to save graphs: eps, pdf, fig, none (do not save but only display)
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end
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% check for external draws, i.e. set pdraws0 for a gsa analysis
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if options_ident.gsa_sample_file
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GSAFolder = checkpath('gsa',dname);
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if options_ident.gsa_sample_file==1
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load([GSAFolder,filesep,fname,'_prior'],'lpmat','lpmat0','istable');
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elseif options_ident.gsa_sample_file==2
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load([GSAFolder,filesep,fname,'_mc'],'lpmat','lpmat0','istable');
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else
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load([GSAFolder,filesep,options_ident.gsa_sample_file],'lpmat','lpmat0','istable');
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end
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if isempty(istable)
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istable=1:size(lpmat,1);
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end
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if ~isempty(lpmat0)
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lpmatx=lpmat0(istable,:);
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else
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lpmatx=[];
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end
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pdraws0 = [lpmatx lpmat(istable,:)];
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clear lpmat lpmat0 istable;
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elseif nargin==1
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pdraws0=[];
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end
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external_sample=0;
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if nargin==2 || ~isempty(pdraws0)
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% change settings if there is an external sample provided as input argument
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options_ident.prior_mc = size(pdraws0,1);
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options_ident.load_ident_files = 0;
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external_sample = 1;
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end
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% Check if estimated_params block is provided
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if isempty(estim_params_)
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prior_exist = 0;
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%reset some options
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options_ident.prior_mc = 1;
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options_ident.prior_range = 0;
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else
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prior_exist = 1;
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parameters = options_ident.parameter_set;
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end
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% overwrite settings in options_ and prepare to call dynare_estimation_init
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options_.order = options_ident.order;
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if options_ident.order > 1
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%order>1 is not compatible with analytic derivation in dsge_likelihood.m
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options_ident.analytic_derivation=0;
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options_.analytic_derivation=0;
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%order>1 is based on pruned state space system
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options_.pruning = true;
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end
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if options_ident.order == 3
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options_.k_order_solver = 1;
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end
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options_.ar = options_ident.ar;
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options_.prior_mc = options_ident.prior_mc;
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options_.Schur_vec_tol = 1.e-8;
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options_.nomoments = 0;
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options_ = set_default_option(options_,'analytic_derivation',1); %if option was not already set
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% 1: analytic derivation of gradient and hessian of likelihood in dsge_likelihood.m, only works for stationary models, i.e. kalman_algo<3
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options_ = set_default_option(options_,'datafile','');
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options_.mode_compute = 0;
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options_.plot_priors = 0;
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options_.smoother = 1;
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options_.options_ident = [];
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[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_);
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% set method to compute identification Jacobians (kronflag). Default:0
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options_ident = set_default_option(options_ident,'analytic_derivation_mode', options_.analytic_derivation_mode); % if not set by user, inherit default global one
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% 0: efficient sylvester equation method to compute analytical derivatives as in Ratto & Iskrev (2012)
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% 1: kronecker products method to compute analytical derivatives as in Iskrev (2010) (only for order=1)
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% -1: numerical two-sided finite difference method to compute numerical derivatives of all identification Jacobians using function identification_numerical_objective.m (previously thet2tau.m)
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% -2: numerical two-sided finite difference method to compute numerically dYss, dg1, dg2, dg3, d2Yss and d2g1, the identification Jacobians are then computed analytically as with 0
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options_.analytic_derivation_mode = options_ident.analytic_derivation_mode; %overwrite setting in options_
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% initialize persistent variables in prior_draw
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if prior_exist
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if any(bayestopt_.pshape > 0)
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if options_ident.prior_range
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%sample uniformly from prior ranges (overwrite prior specification)
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prior_draw(bayestopt_, options_.prior_trunc, true);
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else
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%sample from prior distributions
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prior_draw(bayestopt_, options_.prior_trunc, false);
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end
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else
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options_ident.prior_mc = 1; %only one single point
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end
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end
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% check if identification directory is already created
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IdentifDirectoryName = CheckPath('identification',dname);
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% Create indices for stderr, corr and model parameters
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if prior_exist % use estimated_params block
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indpmodel = []; %initialize index for model parameters
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if ~isempty(estim_params_.param_vals)
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indpmodel = estim_params_.param_vals(:,1); %values correspond to parameters declaration order, row number corresponds to order in estimated_params
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end
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indpstderr=[]; %initialize index for stderr parameters
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if ~isempty(estim_params_.var_exo)
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indpstderr = estim_params_.var_exo(:,1); %values correspond to varexo declaration order, row number corresponds to order in estimated_params
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end
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indpcorr=[]; %initialize matrix for corr paramters
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if ~isempty(estim_params_.corrx)
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indpcorr = estim_params_.corrx(:,1:2); %values correspond to varexo declaration order, row number corresponds to order in estimated_params
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end
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totparam_nbr = length(bayestopt_.name); % number of estimated stderr, corr and model parameters as declared in estimated_params
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modparam_nbr = estim_params_.np; % number of model parameters as declared in estimated_params
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stderrparam_nbr = estim_params_.nvx; % number of stderr parameters
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corrparam_nbr = estim_params_.ncx; % number of corr parameters
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if estim_params_.nvn || estim_params_.ncn %nvn is number of stderr parameters and ncn is number of corr parameters of measurement innovations as declared in estimated_params
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error('Identification does not (yet) support measurement errors. Instead, define them explicitly as varexo and provide measurement equations in the model definition.')
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end
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name = cell(totparam_nbr,1); %initialize cell for parameter names
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name_tex = cell(totparam_nbr,1); %initialize cell for TeX parameter names
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for jj=1:totparam_nbr
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if options_.TeX
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[param_name_temp, param_name_tex_temp]= get_the_name(jj,options_.TeX,M_,estim_params_,options_);
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name_tex{jj,1} = strrep(param_name_tex_temp,'$',''); %ordering corresponds to estimated_params
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name{jj,1} = param_name_temp; %ordering corresponds to estimated_params
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else
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param_name_temp = get_the_name(jj,options_.TeX,M_,estim_params_,options_);
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name{jj,1} = param_name_temp; %ordering corresponds to estimated_params
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end
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end
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else % no estimated_params block, choose all model parameters and all stderr parameters, but no corr parameters
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indpmodel = 1:M_.param_nbr; %all model parameters
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indpstderr = 1:M_.exo_nbr; %all stderr parameters
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indpcorr = []; %no corr parameters
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stderrparam_nbr = M_.exo_nbr;
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corrparam_nbr = 0;
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modparam_nbr = M_.param_nbr;
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totparam_nbr = modparam_nbr+stderrparam_nbr;
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name = cellfun(@(x) horzcat('SE_', x), M_.exo_names, 'UniformOutput', false); %names for stderr parameters
|
|
name = vertcat(name, M_.param_names);
|
|
name_tex = cellfun(@(x) horzcat('$ 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 (yet) and will ignore them in the following. To test their identifiability, instead define them explicitly as varexo and provide measurement equations in the model definition.\n')
|
|
end
|
|
end
|
|
options_ident.name_tex = name_tex;
|
|
|
|
fprintf('\n======== Identification Analysis ========\n')
|
|
if options_ident.order > 1
|
|
fprintf('Based on Pruned State Space System (order=%d)\n',options_ident.order);
|
|
end
|
|
skipline()
|
|
if totparam_nbr < 2
|
|
options_ident.advanced = 0;
|
|
fprintf('There is only one parameter to study for identitification. The advanced option is re-set to 0.\n')
|
|
end
|
|
|
|
% settings dependent on number of parameters
|
|
options_ident = set_default_option(options_ident,'max_dim_cova_group',min([2,totparam_nbr-1]));
|
|
options_ident.max_dim_cova_group = min([options_ident.max_dim_cova_group,totparam_nbr-1]);
|
|
% In brute force search (ident_bruteforce.m) when advanced=1 this option sets the maximum dimension of groups of parameters that best reproduce the behavior of each single model parameter
|
|
|
|
options_ident = set_default_option(options_ident,'checks_via_subsets',0);
|
|
% 1: uses identification_checks_via_subsets.m to compute problematic parameter combinations
|
|
% 0: uses identification_checks.m to compute problematic parameter combinations [default]
|
|
options_ident = set_default_option(options_ident,'max_dim_subsets_groups',min([4,totparam_nbr-1]));
|
|
% In identification_checks_via_subsets.m, when checks_via_subsets=1, this option sets the maximum dimension of groups of parameters for which the corresponding rank criteria is checked
|
|
|
|
|
|
% store identification options
|
|
options_.options_ident = options_ident;
|
|
store_options_ident = options_ident;
|
|
|
|
% get some options for quick reference
|
|
iload = options_ident.load_ident_files;
|
|
SampleSize = options_ident.prior_mc;
|
|
|
|
if iload <=0
|
|
%% Perform new identification analysis, i.e. do not load previous analysis
|
|
if prior_exist
|
|
% use information from estimated_params block
|
|
params = set_prior(estim_params_,M_,options_)';
|
|
if all(bayestopt_.pshape == 0)
|
|
% only bounds are specified in estimated_params
|
|
parameters = 'ML_Starting_value';
|
|
parameters_TeX = 'ML starting value';
|
|
fprintf('Testing ML Starting value\n');
|
|
else
|
|
% use user-defined option
|
|
switch parameters
|
|
case 'calibration'
|
|
parameters_TeX = 'Calibration';
|
|
fprintf('Testing calibration\n');
|
|
params(1,:) = get_all_parameters(estim_params_,M_);
|
|
case 'posterior_mode'
|
|
parameters_TeX = 'Posterior mode';
|
|
fprintf('Testing posterior mode\n');
|
|
params(1,:) = get_posterior_parameters('mode',M_,estim_params_,oo_,options_);
|
|
case 'posterior_mean'
|
|
parameters_TeX = 'Posterior mean';
|
|
fprintf('Testing posterior mean\n');
|
|
params(1,:) = get_posterior_parameters('mean',M_,estim_params_,oo_,options_);
|
|
case 'posterior_median'
|
|
parameters_TeX = 'Posterior median';
|
|
fprintf('Testing posterior median\n');
|
|
params(1,:) = get_posterior_parameters('median',M_,estim_params_,oo_,options_);
|
|
case 'prior_mode'
|
|
parameters_TeX = 'Prior mode';
|
|
fprintf('Testing prior mode\n');
|
|
params(1,:) = bayestopt_.p5(:);
|
|
case 'prior_mean'
|
|
parameters_TeX = 'Prior mean';
|
|
fprintf('Testing prior mean\n');
|
|
params(1,:) = bayestopt_.p1;
|
|
otherwise
|
|
fprintf('The option parameter_set has to be equal to: ''calibration'', ''posterior_mode'', ''posterior_mean'', ''posterior_median'', ''prior_mode'' or ''prior_mean''.\n');
|
|
error('IDENTIFICATION: The option ''parameter_set'' has an invalid value');
|
|
end
|
|
end
|
|
else
|
|
% no estimated_params block is available, all stderr and model parameters, but no corr parameters are chosen
|
|
params = [sqrt(diag(M_.Sigma_e))', M_.params'];
|
|
parameters = 'Current_params';
|
|
parameters_TeX = 'Current parameter values';
|
|
fprintf('Testing all current stderr and model parameter values\n');
|
|
end
|
|
options_ident.tittxt = parameters; %title text for graphs and figures
|
|
% perform identification analysis for single point
|
|
[ide_moments_point, ide_spectrum_point, ide_minimal_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, derivatives_info_point, info, options_ident] = ...
|
|
identification_analysis(params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1); %the 1 at the end implies initialization of persistent variables
|
|
if info(1)~=0
|
|
% there are errors in the solution algorithm
|
|
message = get_error_message(info,0,options_);
|
|
fprintf('-----------\n');
|
|
fprintf('The model does not solve for %s (info = %d: %s)\n', parameters, info(1), message);
|
|
fprintf('-----------\n');
|
|
if any(bayestopt_.pshape)
|
|
% if there are errors in the solution algorithm, try to sample a different point from the prior
|
|
fprintf('Try sampling up to 50 parameter sets from the prior.\n');
|
|
kk=0;
|
|
while kk<50 && info(1)
|
|
kk=kk+1;
|
|
params = prior_draw();
|
|
options_ident.tittxt = 'Random_prior_params'; %title text for graphs and figures
|
|
% perform identification analysis
|
|
[ide_moments_point, ide_spectrum_point, ide_minimal_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, derivatives_info_point, info, options_ident] = ...
|
|
identification_analysis(params, indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1);
|
|
end
|
|
end
|
|
if info(1)
|
|
fprintf('\n-----------\n');
|
|
fprintf('Identification stopped:\n');
|
|
if any(bayestopt_.pshape)
|
|
fprintf('The model did not solve for any of 50 attempts of random samples from the prior\n');
|
|
end
|
|
fprintf('-----------\n');
|
|
return
|
|
else
|
|
% found a (random) point that solves the model
|
|
fprintf('Found a random draw from the priors that solves the model:\n');
|
|
disp(params);
|
|
fprintf('Identification now continues for this draw.');
|
|
parameters = 'Random_prior_params';
|
|
parameters_TeX = 'Random prior parameter draw';
|
|
end
|
|
end
|
|
ide_hess_point.params = params;
|
|
% save all output into identification folder
|
|
save([IdentifDirectoryName '/' fname '_identif.mat'], 'ide_moments_point', 'ide_spectrum_point', 'ide_minimal_point', 'ide_hess_point', 'ide_reducedform_point', 'ide_dynamic_point', 'store_options_ident');
|
|
save([IdentifDirectoryName '/' fname '_' parameters '_identif.mat'], 'ide_moments_point', 'ide_spectrum_point', 'ide_minimal_point', 'ide_hess_point', 'ide_reducedform_point', 'ide_dynamic_point', 'store_options_ident');
|
|
% display results of identification analysis
|
|
disp_identification(params, ide_reducedform_point, ide_moments_point, ide_spectrum_point, ide_minimal_point, name, options_ident);
|
|
if ~options_ident.no_identification_strength && ~options_.nograph
|
|
% plot (i) identification strength and sensitivity measure based on the moment information matrix and (ii) plot advanced analysis graphs
|
|
plot_identification(params, ide_moments_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, options_ident.advanced, parameters, name, IdentifDirectoryName, parameters_TeX, name_tex);
|
|
end
|
|
|
|
if SampleSize > 1
|
|
% initializations for Monte Carlo Analysis
|
|
fprintf('\nMonte Carlo Testing\n');
|
|
h = dyn_waitbar(0,'Monte Carlo identification checks ...');
|
|
iteration = 0; % initialize counter for admissable draws
|
|
run_index = 0; % initialize counter for admissable draws after saving previous draws to file(s)
|
|
file_index = 0; % initialize counter for files (if options_.MaxNumberOfBytes is reached, we store results in files)
|
|
options_MC = options_ident; %store options structure for Monte Carlo analysis
|
|
options_MC.advanced = 0; %do not run advanced checking in a Monte Carlo analysis
|
|
options_ident.checks_via_subsets = 0; % for Monte Carlo analysis currently only identification_checks and not identification_checks_via_subsets is supported
|
|
else
|
|
iteration = 1; % iteration equals SampleSize and we are finished
|
|
pdraws = []; % to have output object otherwise map_ident.m may crash
|
|
end
|
|
while iteration < SampleSize
|
|
if external_sample
|
|
params = pdraws0(iteration+1,:); % loaded draws
|
|
else
|
|
params = prior_draw(); % new random draw from prior
|
|
end
|
|
options_ident.tittxt = []; % clear title text for graphs and figures
|
|
% run identification analysis
|
|
[ide_moments, ide_spectrum, ide_minimal, ide_hess, ide_reducedform, ide_dynamic, ide_derivatives_info, info, options_MC] = ...
|
|
identification_analysis(params, indpmodel, indpstderr, indpcorr, options_MC, dataset_info, prior_exist, 0); % the 0 implies that we do not initialize persistent variables anymore
|
|
|
|
if iteration==0 && info(1)==0 % preallocate storage in the first admissable run
|
|
delete([IdentifDirectoryName '/' fname '_identif_*.mat']) % delete previously saved results
|
|
MAX_RUNS_BEFORE_SAVE_TO_FILE = min(SampleSize,ceil(options_.MaxNumberOfBytes/(size(ide_reducedform.si_dREDUCEDFORM,1)*totparam_nbr)/8)); % set how many runs can be stored before we save to files
|
|
pdraws = zeros(SampleSize,totparam_nbr); % preallocate storage for draws in each row
|
|
|
|
% preallocate storage for dynamic model
|
|
STO_si_dDYNAMIC = zeros([size(ide_dynamic.si_dDYNAMIC, 1), modparam_nbr, MAX_RUNS_BEFORE_SAVE_TO_FILE]);
|
|
STO_DYNAMIC = zeros(size(ide_dynamic.DYNAMIC, 1), SampleSize);
|
|
IDE_DYNAMIC.ind_dDYNAMIC = ide_dynamic.ind_dDYNAMIC;
|
|
IDE_DYNAMIC.in0 = zeros(SampleSize, modparam_nbr);
|
|
IDE_DYNAMIC.ind0 = zeros(SampleSize, modparam_nbr);
|
|
IDE_DYNAMIC.jweak = zeros(SampleSize, modparam_nbr);
|
|
IDE_DYNAMIC.jweak_pair = zeros(SampleSize, modparam_nbr*(modparam_nbr+1)/2);
|
|
IDE_DYNAMIC.cond = zeros(SampleSize, 1);
|
|
IDE_DYNAMIC.Mco = zeros(SampleSize, modparam_nbr);
|
|
|
|
% preallocate storage for reduced form
|
|
if ~options_MC.no_identification_reducedform
|
|
STO_si_dREDUCEDFORM = zeros([size(ide_reducedform.si_dREDUCEDFORM, 1), totparam_nbr, MAX_RUNS_BEFORE_SAVE_TO_FILE]);
|
|
STO_REDUCEDFORM = zeros(size(ide_reducedform.REDUCEDFORM, 1), SampleSize);
|
|
IDE_REDUCEDFORM.ind_dREDUCEDFORM = ide_reducedform.ind_dREDUCEDFORM;
|
|
IDE_REDUCEDFORM.in0 = zeros(SampleSize, 1);
|
|
IDE_REDUCEDFORM.ind0 = zeros(SampleSize, totparam_nbr);
|
|
IDE_REDUCEDFORM.jweak = zeros(SampleSize, totparam_nbr);
|
|
IDE_REDUCEDFORM.jweak_pair = zeros(SampleSize, totparam_nbr*(totparam_nbr+1)/2);
|
|
IDE_REDUCEDFORM.cond = zeros(SampleSize, 1);
|
|
IDE_REDUCEDFORM.Mco = zeros(SampleSize, totparam_nbr);
|
|
else
|
|
STO_si_dREDUCEDFORM = {};
|
|
STO_REDUCEDFORM = {};
|
|
IDE_REDUCEDFORM = {};
|
|
end
|
|
|
|
% preallocate storage for moments
|
|
if ~options_MC.no_identification_moments
|
|
STO_si_dMOMENTS = zeros([size(ide_moments.si_dMOMENTS, 1), totparam_nbr, MAX_RUNS_BEFORE_SAVE_TO_FILE]);
|
|
STO_MOMENTS = zeros(size(ide_moments.MOMENTS, 1), SampleSize);
|
|
IDE_MOMENTS.ind_dMOMENTS = ide_moments.ind_dMOMENTS;
|
|
IDE_MOMENTS.in0 = zeros(SampleSize, 1);
|
|
IDE_MOMENTS.ind0 = zeros(SampleSize, totparam_nbr);
|
|
IDE_MOMENTS.jweak = zeros(SampleSize, totparam_nbr);
|
|
IDE_MOMENTS.jweak_pair = zeros(SampleSize, totparam_nbr*(totparam_nbr+1)/2);
|
|
IDE_MOMENTS.cond = zeros(SampleSize, 1);
|
|
IDE_MOMENTS.Mco = zeros(SampleSize, totparam_nbr);
|
|
IDE_MOMENTS.S = zeros(SampleSize, min(8, totparam_nbr));
|
|
IDE_MOMENTS.V = zeros(SampleSize, totparam_nbr, min(8, totparam_nbr));
|
|
else
|
|
STO_si_dMOMENTS = {};
|
|
STO_MOMENTS = {};
|
|
IDE_MOMENTS = {};
|
|
end
|
|
|
|
% preallocate storage for spectrum
|
|
if ~options_MC.no_identification_spectrum
|
|
STO_dSPECTRUM = zeros([size(ide_spectrum.dSPECTRUM, 1), size(ide_spectrum.dSPECTRUM, 2), MAX_RUNS_BEFORE_SAVE_TO_FILE]);
|
|
IDE_SPECTRUM.ind_dSPECTRUM = ide_spectrum.ind_dSPECTRUM;
|
|
IDE_SPECTRUM.in0 = zeros(SampleSize, 1);
|
|
IDE_SPECTRUM.ind0 = zeros(SampleSize, totparam_nbr);
|
|
IDE_SPECTRUM.jweak = zeros(SampleSize, totparam_nbr);
|
|
IDE_SPECTRUM.jweak_pair = zeros(SampleSize, totparam_nbr*(totparam_nbr+1)/2);
|
|
IDE_SPECTRUM.cond = zeros(SampleSize, 1);
|
|
IDE_SPECTRUM.Mco = zeros(SampleSize, totparam_nbr);
|
|
else
|
|
STO_dSPECTRUM = {};
|
|
IDE_SPECTRUM = {};
|
|
end
|
|
|
|
% preallocate storage for minimal system
|
|
if ~options_MC.no_identification_minimal
|
|
STO_dMINIMAL = zeros([size(ide_minimal.dMINIMAL, 1), size(ide_minimal.dMINIMAL, 2), MAX_RUNS_BEFORE_SAVE_TO_FILE]);
|
|
IDE_MINIMAL.ind_dMINIMAL = ide_minimal.ind_dMINIMAL;
|
|
IDE_MINIMAL.in0 = zeros(SampleSize, 1);
|
|
IDE_MINIMAL.ind0 = zeros(SampleSize, totparam_nbr);
|
|
IDE_MINIMAL.jweak = zeros(SampleSize, totparam_nbr);
|
|
IDE_MINIMAL.jweak_pair = zeros(SampleSize, totparam_nbr*(totparam_nbr+1)/2);
|
|
IDE_MINIMAL.cond = zeros(SampleSize, 1);
|
|
IDE_MINIMAL.Mco = zeros(SampleSize, totparam_nbr);
|
|
else
|
|
STO_dMINIMAL = {};
|
|
IDE_MINIMAL = {};
|
|
end
|
|
end
|
|
|
|
if info(1)==0 % if admissable draw
|
|
iteration = iteration + 1; %increase total index of admissable draws
|
|
run_index = run_index + 1; %increase index of admissable draws after saving to files
|
|
pdraws(iteration,:) = params; % store draw
|
|
|
|
% store results for steady state and dynamic model derivatives
|
|
STO_DYNAMIC(:,iteration) = ide_dynamic.DYNAMIC;
|
|
STO_si_dDYNAMIC(:,:,run_index) = ide_dynamic.si_dDYNAMIC;
|
|
IDE_DYNAMIC.cond(iteration,1) = ide_dynamic.cond;
|
|
IDE_DYNAMIC.ino(iteration,1) = ide_dynamic.ino;
|
|
IDE_DYNAMIC.ind0(iteration,:) = ide_dynamic.ind0;
|
|
IDE_DYNAMIC.jweak(iteration,:) = ide_dynamic.jweak;
|
|
IDE_DYNAMIC.jweak_pair(iteration,:) = ide_dynamic.jweak_pair;
|
|
IDE_DYNAMIC.Mco(iteration,:) = ide_dynamic.Mco;
|
|
|
|
% store results for reduced form
|
|
if ~options_MC.no_identification_reducedform
|
|
STO_REDUCEDFORM(:,iteration) = ide_reducedform.REDUCEDFORM;
|
|
STO_si_dREDUCEDFORM(:,:,run_index) = ide_reducedform.si_dREDUCEDFORM;
|
|
IDE_REDUCEDFORM.cond(iteration,1) = ide_reducedform.cond;
|
|
IDE_REDUCEDFORM.ino(iteration,1) = ide_reducedform.ino;
|
|
IDE_REDUCEDFORM.ind0(iteration,:) = ide_reducedform.ind0;
|
|
IDE_REDUCEDFORM.jweak(iteration,:) = ide_reducedform.jweak;
|
|
IDE_REDUCEDFORM.jweak_pair(iteration,:) = ide_reducedform.jweak_pair;
|
|
IDE_REDUCEDFORM.Mco(iteration,:) = ide_reducedform.Mco;
|
|
end
|
|
|
|
% store results for moments
|
|
if ~options_MC.no_identification_moments
|
|
STO_MOMENTS(:,iteration) = ide_moments.MOMENTS;
|
|
STO_si_dMOMENTS(:,:,run_index) = ide_moments.si_dMOMENTS;
|
|
IDE_MOMENTS.cond(iteration,1) = ide_moments.cond;
|
|
IDE_MOMENTS.ino(iteration,1) = ide_moments.ino;
|
|
IDE_MOMENTS.ind0(iteration,:) = ide_moments.ind0;
|
|
IDE_MOMENTS.jweak(iteration,:) = ide_moments.jweak;
|
|
IDE_MOMENTS.jweak_pair(iteration,:) = ide_moments.jweak_pair;
|
|
IDE_MOMENTS.Mco(iteration,:) = ide_moments.Mco;
|
|
IDE_MOMENTS.S(iteration,:) = ide_moments.S;
|
|
IDE_MOMENTS.V(iteration,:,:) = ide_moments.V;
|
|
end
|
|
|
|
% store results for spectrum
|
|
if ~options_MC.no_identification_spectrum
|
|
STO_dSPECTRUM(:,:,run_index) = ide_spectrum.dSPECTRUM;
|
|
IDE_SPECTRUM.cond(iteration,1) = ide_spectrum.cond;
|
|
IDE_SPECTRUM.ino(iteration,1) = ide_spectrum.ino;
|
|
IDE_SPECTRUM.ind0(iteration,:) = ide_spectrum.ind0;
|
|
IDE_SPECTRUM.jweak(iteration,:) = ide_spectrum.jweak;
|
|
IDE_SPECTRUM.jweak_pair(iteration,:) = ide_spectrum.jweak_pair;
|
|
IDE_SPECTRUM.Mco(iteration,:) = ide_spectrum.Mco;
|
|
end
|
|
|
|
% store results for minimal system
|
|
if ~options_MC.no_identification_minimal
|
|
STO_dMINIMAL(:,:,run_index) = ide_minimal.dMINIMAL;
|
|
IDE_MINIMAL.cond(iteration,1) = ide_minimal.cond;
|
|
IDE_MINIMAL.ino(iteration,1) = ide_minimal.ino;
|
|
IDE_MINIMAL.ind0(iteration,:) = ide_minimal.ind0;
|
|
IDE_MINIMAL.jweak(iteration,:) = ide_minimal.jweak;
|
|
IDE_MINIMAL.jweak_pair(iteration,:) = ide_minimal.jweak_pair;
|
|
IDE_MINIMAL.Mco(iteration,:) = ide_minimal.Mco;
|
|
end
|
|
|
|
% save results to file: either to avoid running into memory issues, i.e. (run_index==MAX_RUNS_BEFORE_SAVE_TO_FILE) or if finished (iteration==SampleSize)
|
|
if run_index==MAX_RUNS_BEFORE_SAVE_TO_FILE || iteration==SampleSize
|
|
file_index = file_index + 1;
|
|
if run_index < MAX_RUNS_BEFORE_SAVE_TO_FILE
|
|
%we are finished (iteration == SampleSize), so get rid of additional storage
|
|
STO_si_dDYNAMIC = STO_si_dDYNAMIC(:,:,1:run_index);
|
|
if ~options_MC.no_identification_reducedform
|
|
STO_si_dREDUCEDFORM = STO_si_dREDUCEDFORM(:,:,1:run_index);
|
|
end
|
|
if ~options_MC.no_identification_moments
|
|
STO_si_dMOMENTS = STO_si_dMOMENTS(:,:,1:run_index);
|
|
end
|
|
if ~options_MC.no_identification_spectrum
|
|
STO_dSPECTRUM = STO_dSPECTRUM(:,:,1:run_index);
|
|
end
|
|
if ~options_MC.no_identification_minimal
|
|
STO_dMINIMAL = STO_dMINIMAL(:,:,1:run_index);
|
|
end
|
|
end
|
|
save([IdentifDirectoryName '/' fname '_identif_' int2str(file_index) '.mat'], 'STO_si_dDYNAMIC');
|
|
STO_si_dDYNAMIC = zeros(size(STO_si_dDYNAMIC)); % reset storage
|
|
if ~options_MC.no_identification_reducedform
|
|
save([IdentifDirectoryName '/' fname '_identif_' int2str(file_index) '.mat'], 'STO_si_dREDUCEDFORM', '-append');
|
|
STO_si_dREDUCEDFORM = zeros(size(STO_si_dREDUCEDFORM)); % reset storage
|
|
end
|
|
if ~options_MC.no_identification_moments
|
|
save([IdentifDirectoryName '/' fname '_identif_' int2str(file_index) '.mat'], 'STO_si_dMOMENTS','-append');
|
|
STO_si_dMOMENTS = zeros(size(STO_si_dMOMENTS)); % reset storage
|
|
end
|
|
if ~options_MC.no_identification_spectrum
|
|
save([IdentifDirectoryName '/' fname '_identif_' int2str(file_index) '.mat'], 'STO_dSPECTRUM','-append');
|
|
STO_dSPECTRUM = zeros(size(STO_dSPECTRUM)); % reset storage
|
|
end
|
|
if ~options_MC.no_identification_minimal
|
|
save([IdentifDirectoryName '/' fname '_identif_' int2str(file_index) '.mat'], 'STO_dMINIMAL','-append');
|
|
STO_dMINIMAL = zeros(size(STO_dMINIMAL)); % reset storage
|
|
end
|
|
run_index = 0; % reset index
|
|
end
|
|
if SampleSize > 1
|
|
dyn_waitbar(iteration/SampleSize, h, ['MC identification checks ', int2str(iteration), '/', int2str(SampleSize)]);
|
|
end
|
|
end
|
|
end
|
|
|
|
if SampleSize > 1
|
|
dyn_waitbar_close(h);
|
|
normalize_STO_DYNAMIC = std(STO_DYNAMIC,0,2);
|
|
if ~options_MC.no_identification_reducedform
|
|
normalize_STO_REDUCEDFORM = std(STO_REDUCEDFORM,0,2);
|
|
end
|
|
if ~options_MC.no_identification_moments
|
|
normalize_STO_MOMENTS = std(STO_MOMENTS,0,2);
|
|
end
|
|
if ~options_MC.no_identification_minimal
|
|
normalize_STO_MINIMAL = 1; %not used (yet)
|
|
end
|
|
if ~options_MC.no_identification_spectrum
|
|
normalize_STO_SPECTRUM = 1; %not used (yet)
|
|
end
|
|
normaliz1 = std(pdraws);
|
|
iter = 0;
|
|
for ifile_index = 1:file_index
|
|
load([IdentifDirectoryName '/' fname '_identif_' int2str(ifile_index) '.mat'], 'STO_si_dDYNAMIC');
|
|
maxrun_dDYNAMIC = size(STO_si_dDYNAMIC,3);
|
|
if ~options_MC.no_identification_reducedform
|
|
load([IdentifDirectoryName '/' fname '_identif_' int2str(ifile_index) '.mat'], 'STO_si_dREDUCEDFORM');
|
|
maxrun_dREDUCEDFORM = size(STO_si_dREDUCEDFORM,3);
|
|
else
|
|
maxrun_dREDUCEDFORM = 0;
|
|
end
|
|
if ~options_MC.no_identification_moments
|
|
load([IdentifDirectoryName '/' fname '_identif_' int2str(ifile_index) '.mat'], 'STO_si_dMOMENTS');
|
|
maxrun_dMOMENTS = size(STO_si_dMOMENTS,3);
|
|
else
|
|
maxrun_dMOMENTS = 0;
|
|
end
|
|
if ~options_MC.no_identification_spectrum
|
|
load([IdentifDirectoryName '/' fname '_identif_' int2str(ifile_index) '.mat'], 'STO_dSPECTRUM');
|
|
maxrun_dSPECTRUM = size(STO_dSPECTRUM,3);
|
|
else
|
|
maxrun_dSPECTRUM = 0;
|
|
end
|
|
if ~options_MC.no_identification_minimal
|
|
load([IdentifDirectoryName '/' fname '_identif_' int2str(ifile_index) '.mat'], 'STO_dMINIMAL');
|
|
maxrun_dMINIMAL = size(STO_dMINIMAL,3);
|
|
else
|
|
maxrun_dMINIMAL = 0;
|
|
end
|
|
for irun=1:max([maxrun_dDYNAMIC, maxrun_dREDUCEDFORM, maxrun_dMOMENTS, maxrun_dSPECTRUM, maxrun_dMINIMAL])
|
|
iter=iter+1;
|
|
% note that this is not the same si_dDYNAMICnorm as computed in identification_analysis
|
|
% given that we have the MC sample of the Jacobians, we also normalize by the std of the sample of Jacobian entries, to get a fully standardized sensitivity measure
|
|
si_dDYNAMICnorm(iter,:) = vnorm(STO_si_dDYNAMIC(:,:,irun)./repmat(normalize_STO_DYNAMIC,1,totparam_nbr-(stderrparam_nbr+corrparam_nbr))).*normaliz1((stderrparam_nbr+corrparam_nbr)+1:end);
|
|
if ~options_MC.no_identification_reducedform
|
|
% note that this is not the same si_dREDUCEDFORMnorm as computed in identification_analysis
|
|
% given that we have the MC sample of the Jacobians, we also normalize by the std of the sample of Jacobian entries, to get a fully standardized sensitivity measure
|
|
si_dREDUCEDFORMnorm(iter,:) = vnorm(STO_si_dREDUCEDFORM(:,:,irun)./repmat(normalize_STO_REDUCEDFORM,1,totparam_nbr)).*normaliz1;
|
|
end
|
|
if ~options_MC.no_identification_moments
|
|
% note that this is not the same si_dMOMENTSnorm as computed in identification_analysis
|
|
% given that we have the MC sample of the Jacobians, we also normalize by the std of the sample of Jacobian entries, to get a fully standardized sensitivity measure
|
|
si_dMOMENTSnorm(iter,:) = vnorm(STO_si_dMOMENTS(:,:,irun)./repmat(normalize_STO_MOMENTS,1,totparam_nbr)).*normaliz1;
|
|
end
|
|
if ~options_MC.no_identification_spectrum
|
|
% note that this is not the same dSPECTRUMnorm as computed in identification_analysis
|
|
dSPECTRUMnorm(iter,:) = vnorm(STO_dSPECTRUM(:,:,irun)); %not yet used
|
|
end
|
|
if ~options_MC.no_identification_minimal
|
|
% note that this is not the same dMINIMALnorm as computed in identification_analysis
|
|
dMINIMALnorm(iter,:) = vnorm(STO_dMINIMAL(:,:,irun)); %not yet used
|
|
end
|
|
end
|
|
end
|
|
IDE_DYNAMIC.si_dDYNAMICnorm = si_dDYNAMICnorm;
|
|
save([IdentifDirectoryName '/' fname '_identif.mat'], 'pdraws', 'IDE_DYNAMIC','STO_DYNAMIC','-append');
|
|
if ~options_MC.no_identification_reducedform
|
|
IDE_REDUCEDFORM.si_dREDUCEDFORMnorm = si_dREDUCEDFORMnorm;
|
|
save([IdentifDirectoryName '/' fname '_identif.mat'], 'IDE_REDUCEDFORM', 'STO_REDUCEDFORM','-append');
|
|
end
|
|
if ~options_MC.no_identification_moments
|
|
IDE_MOMENTS.si_dMOMENTSnorm = si_dMOMENTSnorm;
|
|
save([IdentifDirectoryName '/' fname '_identif.mat'], 'IDE_MOMENTS', 'STO_MOMENTS','-append');
|
|
end
|
|
|
|
end
|
|
|
|
else
|
|
%% load previous analysis
|
|
load([IdentifDirectoryName '/' 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 dynare_identification is called as it own function (not through identification command) and if we load files
|
|
if nargout>3 && iload
|
|
filnam = dir([IdentifDirectoryName '/' fname '_identif_*.mat']);
|
|
STO_si_dDYNAMIC = [];
|
|
STO_si_dREDUCEDFORM = [];
|
|
STO_si_dMOMENTS = [];
|
|
STO_dSPECTRUM = [];
|
|
STO_dMINIMAL = [];
|
|
for j=1:length(filnam)
|
|
load([IdentifDirectoryName '/' fname '_identif_',int2str(j),'.mat']);
|
|
STO_si_dDYNAMIC = cat(3,STO_si_dDYNAMIC, STO_si_dDYNAMIC(:,abs(iload),:));
|
|
if ~options_ident.no_identification_reducedform
|
|
STO_si_dREDUCEDFORM = cat(3,STO_si_dREDUCEDFORM, STO_si_dREDUCEDFORM(:,abs(iload),:));
|
|
end
|
|
if ~options_ident.no_identification_moments
|
|
STO_si_dMOMENTS = cat(3,STO_si_dMOMENTS, STO_si_dMOMENTS(:,abs(iload),:));
|
|
end
|
|
if ~options_ident.no_identification_spectrum
|
|
STO_dSPECTRUM = cat(3,STO_dSPECTRUM, STO_dSPECTRUM(:,abs(iload),:));
|
|
end
|
|
if ~options_ident.no_identification_minimal
|
|
STO_dMINIMAL = cat(3,STO_dMINIMAL, STO_dMINIMAL(:,abs(iload),:));
|
|
end
|
|
end
|
|
end
|
|
|
|
if iload
|
|
%if previous analysis is loaded
|
|
fprintf(['Testing %s\n',parameters]);
|
|
disp_identification(ide_hess_point.params, ide_reducedform_point, ide_moments_point, ide_spectrum_point, ide_minimal_point, name, options_ident);
|
|
if ~options_.nograph
|
|
% plot (i) identification strength and sensitivity measure based on the sample information matrix and (ii) advanced analysis graphs
|
|
plot_identification(ide_hess_point.params, ide_moments_point, ide_hess_point, ide_reducedform_point, ide_dynamic_point, options_ident.advanced, parameters, name, IdentifDirectoryName, [], name_tex);
|
|
end
|
|
end
|
|
|
|
%displaying and plotting of results for MC sample
|
|
if SampleSize > 1
|
|
fprintf('\nTesting MC sample\n');
|
|
%print results to console but make sure advanced=0
|
|
advanced0 = options_ident.advanced;
|
|
options_ident.advanced = 0;
|
|
disp_identification(pdraws, IDE_REDUCEDFORM, IDE_MOMENTS, IDE_SPECTRUM, IDE_MINIMAL, name, options_ident);
|
|
options_ident.advanced = advanced0; % reset advanced setting
|
|
if ~options_.nograph
|
|
% plot (i) identification strength and sensitivity measure based on the sample information matrix and (ii) advanced analysis graphs
|
|
plot_identification(pdraws, IDE_MOMENTS, ide_hess_point, IDE_REDUCEDFORM, IDE_DYNAMIC, options_ident.advanced, 'MC sample ', name, IdentifDirectoryName, [], name_tex);
|
|
end
|
|
%advanced display and plots for MC Sample, i.e. look at draws with highest/lowest condition number
|
|
if options_ident.advanced
|
|
jcrit = find(IDE_MOMENTS.ino);
|
|
if length(jcrit) < SampleSize
|
|
if isempty(jcrit)
|
|
% Make sure there is no overflow of plots produced (these are saved to the disk anyways)
|
|
store_nodisplay = options_.nodisplay;
|
|
options_.nodisplay = 1;
|
|
% HIGHEST CONDITION NUMBER
|
|
[~, jmax] = max(IDE_MOMENTS.cond);
|
|
tittxt = 'Draw with HIGHEST condition number';
|
|
fprintf('\nTesting %s.\n',tittxt);
|
|
if ~iload
|
|
options_ident.tittxt = tittxt; %title text for graphs and figures
|
|
[ide_moments_max, ide_spectrum_max, ide_minimal_max, ide_hess_max, ide_reducedform_max, ide_dynamic_max, derivatives_info_max, info_max, options_ident] = ...
|
|
identification_analysis(pdraws(jmax,:), indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1); %the 1 at the end initializes some persistent variables
|
|
save([IdentifDirectoryName '/' fname '_identif.mat'], 'ide_hess_max', 'ide_moments_max', 'ide_spectrum_max', 'ide_minimal_max','ide_reducedform_max', 'ide_dynamic_max', 'jmax', '-append');
|
|
end
|
|
advanced0 = options_ident.advanced; options_ident.advanced = 1; % make sure advanced setting is on
|
|
disp_identification(pdraws(jmax,:), ide_reducedform_max, ide_moments_max, ide_spectrum_max, ide_minimal_max, name, options_ident);
|
|
options_ident.advanced = advanced0; %reset advanced setting
|
|
if ~options_.nograph
|
|
% plot (i) identification strength and sensitivity measure based on the sample information matrix and (ii) advanced analysis graphs
|
|
plot_identification(pdraws(jmax,:), ide_moments_max, ide_hess_max, ide_reducedform_max, ide_dynamic_max, 1, tittxt, name, IdentifDirectoryName, tittxt, name_tex);
|
|
end
|
|
|
|
% SMALLEST condition number
|
|
[~, jmin] = min(IDE_MOMENTS.cond);
|
|
tittxt = 'Draw with SMALLEST condition number';
|
|
fprintf('Testing %s.\n',tittxt);
|
|
if ~iload
|
|
options_ident.tittxt = tittxt; %title text for graphs and figures
|
|
[ide_moments_min, ide_spectrum_min, ide_minimal_min, ide_hess_min, ide_reducedform_min, ide_dynamic_min, derivatives_info_min, info_min, options_ident] = ...
|
|
identification_analysis(pdraws(jmin,:), indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1); %the 1 at the end initializes persistent variables
|
|
save([IdentifDirectoryName '/' fname '_identif.mat'], 'ide_hess_min', 'ide_moments_min','ide_spectrum_min','ide_minimal_min','ide_reducedform_min', 'ide_dynamic_min', 'jmin', '-append');
|
|
end
|
|
advanced0 = options_ident.advanced; options_ident.advanced = 1; % make sure advanced setting is on
|
|
disp_identification(pdraws(jmin,:), ide_reducedform_min, ide_moments_min, ide_spectrum_min, ide_minimal_min, name, options_ident);
|
|
options_ident.advanced = advanced0; %reset advanced setting
|
|
if ~options_.nograph
|
|
% plot (i) identification strength and sensitivity measure based on the sample information matrix and (ii) advanced analysis graphs
|
|
plot_identification(pdraws(jmin,:),ide_moments_min,ide_hess_min,ide_reducedform_min,ide_dynamic_min,1,tittxt,name,IdentifDirectoryName,tittxt,name_tex);
|
|
end
|
|
% reset nodisplay option
|
|
options_.nodisplay = store_nodisplay;
|
|
else
|
|
% Make sure there is no overflow of plots produced (these are saved to the disk anyways)
|
|
store_nodisplay = options_.nodisplay;
|
|
options_.nodisplay = 1;
|
|
for j=1:length(jcrit)
|
|
tittxt = ['Rank deficient draw nr. ',int2str(j)];
|
|
fprintf('\nTesting %s.\n',tittxt);
|
|
if ~iload
|
|
options_ident.tittxt = tittxt; %title text for graphs and figures
|
|
[ide_moments_(j), ide_spectrum_(j), ide_minimal_(j), ide_hess_(j), ide_reducedform_(j), ide_dynamic_(j), derivatives_info_(j), info_resolve, options_ident] = ...
|
|
identification_analysis(pdraws(jcrit(j),:), indpmodel, indpstderr, indpcorr, options_ident, dataset_info, prior_exist, 1);
|
|
end
|
|
advanced0 = options_ident.advanced; options_ident.advanced = 1; %make sure advanced setting is on
|
|
disp_identification(pdraws(jcrit(j),:), ide_reducedform_(j), ide_moments_(j), ide_spectrum_(j), ide_minimal_(j), name, options_ident);
|
|
options_ident.advanced = advanced0; % reset advanced
|
|
if ~options_.nograph
|
|
% plot (i) identification strength and sensitivity measure based on the sample information matrix and (ii) advanced analysis graphs
|
|
plot_identification(pdraws(jcrit(j),:), ide_moments_(j), ide_hess_(j), ide_reducedform_(j), ide_dynamic_(j), 1, tittxt, name, IdentifDirectoryName, tittxt, name_tex);
|
|
end
|
|
end
|
|
if ~iload
|
|
save([IdentifDirectoryName '/' fname '_identif.mat'], 'ide_hess_', 'ide_moments_', 'ide_reducedform_', 'ide_dynamic_', 'ide_spectrum_', 'ide_minimal_', 'jcrit', '-append');
|
|
end
|
|
% reset nodisplay option
|
|
options_.nodisplay = store_nodisplay;
|
|
end
|
|
end
|
|
end
|
|
end
|
|
|
|
%reset warning state
|
|
if isoctave
|
|
warning('on')
|
|
else
|
|
warning on
|
|
end
|
|
|
|
fprintf('\n==== Identification analysis completed ====\n\n')
|
|
|
|
options_ = store_options_; %restore options set |