798 lines
40 KiB
Matlab
798 lines
40 KiB
Matlab
function dynare_estimation_1(var_list_,dname)
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% function dynare_estimation_1(var_list_,dname)
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% runs the estimation of the model
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%
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% INPUTS
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% var_list_: selected endogenous variables vector
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% dname: alternative directory name
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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) 2003-2018 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 <https://www.gnu.org/licenses/>.
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global M_ options_ oo_ estim_params_ bayestopt_ dataset_ dataset_info
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if ~exist([M_.dname filesep 'Output'],'dir')
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mkdir(M_.dname,'Output');
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end
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if isempty(estim_params_)
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mode_compute_o = options_.mode_compute;
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mh_replic_o = options_.mh_replic;
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options_.mode_compute = 0;
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options_.mh_replic = 0;
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reset_options_related_to_estimation = true;
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else
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reset_options_related_to_estimation = false;
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end
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%store qz_criterium
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qz_criterium_old=options_.qz_criterium;
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if isnan(options_.first_obs)
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first_obs_nan_indicator=true;
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else
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first_obs_nan_indicator=false;
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end
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% Set particle filter flag.
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if options_.order > 1
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if options_.particle.status
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skipline()
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disp('Estimation using a non linear filter!')
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skipline()
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if ~options_.nointeractive && ismember(options_.mode_compute,[1,3,4]) && ~strcmpi(options_.particle.filter_algorithm,'gf')% Known gradient-based optimizers
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disp('You are using a gradient-based mode-finder. Particle filtering introduces discontinuities in the')
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disp('objective function w.r.t the parameters. Thus, should use a non-gradient based optimizer.')
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fprintf('\nPlease choose a mode-finder:\n')
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fprintf('\t 0 - Continue using gradient-based method (it is most likely that you will no get any sensible result).\n')
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fprintf('\t 6 - Monte Carlo based algorithm\n')
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fprintf('\t 7 - Nelder-Mead simplex based optimization routine (Matlab optimization toolbox required)\n')
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fprintf('\t 8 - Nelder-Mead simplex based optimization routine (Dynare''s implementation)\n')
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fprintf('\t 9 - CMA-ES (Covariance Matrix Adaptation Evolution Strategy) algorithm\n')
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choice = [];
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while isempty(choice)
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choice = input('Please enter your choice: ');
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if isnumeric(choice) && isint(choice) && ismember(choice,[0 6 7 8 9])
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if choice
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options_.mode_compute = choice;
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end
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else
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fprintf('\nThis is an invalid choice (you have to choose between 0, 6, 7, 8 and 9).\n')
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choice = [];
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end
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end
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end
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else
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error('For estimating the model with a second order approximation using a non linear filter, one should have options_.particle.status=true;')
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end
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end
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if ~options_.dsge_var
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if options_.particle.status
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objective_function = str2func('non_linear_dsge_likelihood');
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[options_.particle] = check_particle_filter_options(options_.particle);
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else
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if options_.occbin.likelihood.status && options_.occbin.likelihood.inversion_filter
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objective_function = str2func('occbin.IVF_posterior');
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else
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objective_function = str2func('dsge_likelihood');
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end
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end
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else
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objective_function = str2func('dsge_var_likelihood');
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end
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[dataset_, dataset_info, xparam1, hh, M_, options_, oo_, estim_params_, bayestopt_, bounds] = ...
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dynare_estimation_init(var_list_, dname, [], M_, options_, oo_, estim_params_, bayestopt_);
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if options_.dsge_var
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check_dsge_var_model(M_, estim_params_, bayestopt_);
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if dataset_info.missing.state
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error('Estimation::DsgeVarLikelihood: I cannot estimate a DSGE-VAR model with missing observations!')
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end
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if options_.noconstant
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var_sample_moments(options_.dsge_varlag, -1, dataset_);
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else
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% The steady state is non zero ==> a constant in the VAR is needed!
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var_sample_moments(options_.dsge_varlag, 0, dataset_);
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end
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end
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% Set sigma_e_is_diagonal flag (needed if the shocks block is not declared in the mod file).
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M_.sigma_e_is_diagonal = true;
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if estim_params_.ncx || any(nnz(tril(M_.Correlation_matrix,-1))) || isfield(estim_params_,'calibrated_covariances')
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M_.sigma_e_is_diagonal = false;
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end
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data = dataset_.data;
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rawdata = dataset_info.rawdata;
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data_index = dataset_info.missing.aindex;
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missing_value = dataset_info.missing.state;
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% Set number of observations
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gend = dataset_.nobs;
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% Set the number of observed variables.
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n_varobs = length(options_.varobs);
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% Get the number of parameters to be estimated.
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nvx = estim_params_.nvx; % Variance of the structural innovations (number of parameters).
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nvn = estim_params_.nvn; % Variance of the measurement innovations (number of parameters).
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ncx = estim_params_.ncx; % Covariance of the structural innovations (number of parameters).
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ncn = estim_params_.ncn; % Covariance of the measurement innovations (number of parameters).
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np = estim_params_.np ; % Number of deep parameters.
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nx = nvx+nvn+ncx+ncn+np; % Total number of parameters to be estimated.
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dr = oo_.dr;
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if ~isempty(estim_params_)
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M_ = set_all_parameters(xparam1,estim_params_,M_);
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end
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%% perform initial estimation checks;
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try
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oo_ = initial_estimation_checks(objective_function,xparam1,dataset_,dataset_info,M_,estim_params_,options_,bayestopt_,bounds,oo_);
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catch % if check fails, provide info on using calibration if present
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e = lasterror();
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if estim_params_.full_calibration_detected %calibrated model present and no explicit starting values
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skipline(1);
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fprintf('ESTIMATION_CHECKS: There was an error in computing the likelihood for initial parameter values.\n')
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fprintf('ESTIMATION_CHECKS: If this is not a problem with the setting of options (check the error message below),\n')
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fprintf('ESTIMATION_CHECKS: you should try using the calibrated version of the model as starting values. To do\n')
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fprintf('ESTIMATION_CHECKS: this, add an empty estimated_params_init-block with use_calibration option immediately before the estimation\n')
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fprintf('ESTIMATION_CHECKS: command (and after the estimated_params-block so that it does not get overwritten):\n');
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skipline(2);
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end
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rethrow(e);
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end
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if isequal(options_.mode_compute,0) && isempty(options_.mode_file) && options_.mh_posterior_mode_estimation==0
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if options_.order==1 && ~options_.particle.status
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if options_.smoother
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if options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter
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[~, ~, ~, ~, ~, ~, ~, ~, ~, ~, oo_, atT, innov] = occbin.IVF_posterior(xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,prior_bounds(bayestopt_,options_.prior_trunc),oo_);
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updated_variables = atT*nan;
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measurement_error=[];
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ys = oo_.dr.ys;
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trend_coeff = zeros(length(options_.varobs_id),1);
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bayestopt_.mf = bayestopt_.smoother_var_list(bayestopt_.smoother_mf);
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[oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff);
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else
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if options_.occbin.smoother.status
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[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = occbin.DSGE_smoother(xparam1,gend,transpose(data),data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,dataset_,dataset_info);
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else
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[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = DsgeSmoother(xparam1,gend,transpose(data),data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_);
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end
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[oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
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end
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if options_.forecast > 0
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oo_.forecast = dyn_forecast(var_list_,M_,options_,oo_,'smoother',dataset_info);
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end
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end
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%reset qz_criterium
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options_.qz_criterium=qz_criterium_old;
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return
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else %allow to continue, e.g. with MCMC_jumping_covariance
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if options_.smoother
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error('Estimation:: Particle Smoothers are not yet implemented.')
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end
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end
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end
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%% Estimation of the posterior mode or likelihood mode
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if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
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[xparam1, fval, exitflag, hh, options_, Scale, new_rat_hess_info] = dynare_minimize_objective(objective_function,xparam1,options_.mode_compute,options_,[bounds.lb bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
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fprintf('\nFinal value of minus the log posterior (or likelihood):%f \n', fval);
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if isnumeric(options_.mode_compute) && options_.mode_compute==5
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newratflag = new_rat_hess_info.newratflag;
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new_rat_hess_info = new_rat_hess_info.new_rat_hess_info;
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elseif isnumeric(options_.mode_compute) && options_.mode_compute==6 %save scaling factor
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save([M_.dname filesep 'Output' filesep M_.fname '_optimal_mh_scale_parameter.mat'],'Scale');
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options_.mh_jscale = Scale;
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bayestopt_.jscale(:) = options_.mh_jscale;
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end
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if ~isnumeric(options_.mode_compute) || ~isequal(options_.mode_compute,6) %always already computes covariance matrix
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if options_.cova_compute == 1 %user did not request covariance not to be computed
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if options_.analytic_derivation && strcmp(func2str(objective_function),'dsge_likelihood')
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ana_deriv_old = options_.analytic_derivation;
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options_.analytic_derivation = 2;
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[~,~,~,~,hh] = feval(objective_function,xparam1, ...
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dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
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options_.analytic_derivation = ana_deriv_old;
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elseif ~isnumeric(options_.mode_compute) || ~(isequal(options_.mode_compute,5) && newratflag~=1 && strcmp(func2str(objective_function),'dsge_likelihood'))
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% with flag==0 or 2, we force to use the hessian from outer product gradient of optimizer 5
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if options_.hessian.use_penalized_objective
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penalized_objective_function = str2func('penalty_objective_function');
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hh = hessian(penalized_objective_function, xparam1, options_.gstep, objective_function, fval, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds,oo_);
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else
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hh = hessian(objective_function, xparam1, options_.gstep, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds,oo_);
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end
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hh = reshape(hh, nx, nx);
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elseif isnumeric(options_.mode_compute) && isequal(options_.mode_compute,5)
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% other numerical hessian options available with optimizer 5
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%
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% if newratflag == 0
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% compute outer product gradient of optimizer 5
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%
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% if newratflag == 2
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% compute 'mixed' outer product gradient of optimizer 5
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% with diagonal elements computed with numerical second order derivatives
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%
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% uses univariate filters, so to get max # of available
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% densities for outer product gradient
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kalman_algo0 = options_.kalman_algo;
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compute_hessian = 1;
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if ~((options_.kalman_algo == 2) || (options_.kalman_algo == 4))
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options_.kalman_algo=2;
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if options_.lik_init == 3
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options_.kalman_algo=4;
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end
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elseif newratflag==0 % hh already contains outer product gradient with univariate filter
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compute_hessian = 0;
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end
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if compute_hessian
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crit = options_.newrat.tolerance.f;
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newratflag = newratflag>0;
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hh = reshape(mr_hessian(xparam1,objective_function,fval,newratflag,crit,new_rat_hess_info,[bounds.lb bounds.ub],bayestopt_.p2,0,dataset_, dataset_info, options_,M_,estim_params_,bayestopt_,bounds,oo_), nx, nx);
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end
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options_.kalman_algo = kalman_algo0;
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end
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end
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end
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parameter_names = bayestopt_.name;
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if options_.cova_compute || options_.mode_compute==5 || options_.mode_compute==6
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save([M_.dname filesep 'Output' filesep M_.fname '_mode.mat'],'xparam1','hh','parameter_names','fval');
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else
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save([M_.dname filesep 'Output' filesep M_.fname '_mode.mat'],'xparam1','parameter_names','fval');
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end
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end
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if ~options_.mh_posterior_mode_estimation && options_.cova_compute
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try
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chol(hh);
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catch
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skipline()
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disp('POSTERIOR KERNEL OPTIMIZATION PROBLEM!')
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disp(' (minus) the hessian matrix at the "mode" is not positive definite!')
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disp('=> posterior variance of the estimated parameters are not positive.')
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disp('You should try to change the initial values of the parameters using')
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disp('the estimated_params_init block, or use another optimization routine.')
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params_at_bound=find(abs(xparam1-bounds.ub)<1.e-10 | abs(xparam1-bounds.lb)<1.e-10);
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if ~isempty(params_at_bound)
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for ii=1:length(params_at_bound)
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params_at_bound_name{ii,1}=get_the_name(params_at_bound(ii),0,M_,estim_params_,options_);
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end
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disp_string=[params_at_bound_name{1,:}];
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for ii=2:size(params_at_bound_name,1)
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disp_string=[disp_string,', ',params_at_bound_name{ii,:}];
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end
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fprintf('\nThe following parameters are at the prior bound: %s\n', disp_string)
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fprintf('Some potential solutions are:\n')
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fprintf(' - Check your model for mistakes.\n')
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fprintf(' - Check whether model and data are consistent (correct observation equation).\n')
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fprintf(' - Shut off prior_trunc.\n')
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fprintf(' - Change the optimization bounds.\n')
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fprintf(' - Use a different mode_compute like 6 or 9.\n')
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fprintf(' - Check whether the parameters estimated are identified.\n')
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fprintf(' - Check prior shape (e.g. Inf density at bound(s)).\n')
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fprintf(' - Increase the informativeness of the prior.\n')
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end
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warning('The results below are most likely wrong!');
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end
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end
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if options_.mode_check.status && ~options_.mh_posterior_mode_estimation
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ana_deriv_old = options_.analytic_derivation;
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options_.analytic_derivation = 0;
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mode_check(objective_function,xparam1,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
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options_.analytic_derivation = ana_deriv_old;
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end
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oo_.posterior.optimization.mode = [];
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oo_.posterior.optimization.Variance = [];
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oo_.posterior.optimization.log_density=[];
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invhess=[];
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if ~options_.mh_posterior_mode_estimation
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oo_.posterior.optimization.mode = xparam1;
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if exist('fval','var')
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oo_.posterior.optimization.log_density=-fval;
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end
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if options_.cova_compute
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hsd = sqrt(diag(hh));
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invhess = inv(hh./(hsd*hsd'))./(hsd*hsd');
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stdh = sqrt(diag(invhess));
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oo_.posterior.optimization.Variance = invhess;
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end
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else
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variances = bayestopt_.p2.*bayestopt_.p2;
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idInf = isinf(variances);
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variances(idInf) = 1;
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invhess = options_.mh_posterior_mode_estimation*diag(variances);
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xparam1 = bayestopt_.p5;
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idNaN = isnan(xparam1);
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xparam1(idNaN) = bayestopt_.p1(idNaN);
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outside_bound_pars=find(xparam1 < bounds.lb | xparam1 > bounds.ub);
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xparam1(outside_bound_pars) = bayestopt_.p1(outside_bound_pars);
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end
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if ~options_.cova_compute
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stdh = NaN(length(xparam1),1);
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end
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if options_.particle.status && isfield(options_.particle,'posterior_sampler')
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if strcmpi(options_.particle.posterior_sampler,'Herbst_Schorfheide')
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Herbst_Schorfheide_sampler(objective_function,xparam1,bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
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elseif strcmpi(options_.particle.posterior_sampler,'DSMH')
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DSMH_sampler(objective_function,xparam1,bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_)
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end
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end
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if any(bayestopt_.pshape > 0) && ~options_.mh_posterior_mode_estimation
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% display results table and store parameter estimates and standard errors in results
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oo_ = display_estimation_results_table(xparam1, stdh, M_, options_, estim_params_, bayestopt_, oo_, prior_dist_names, 'Posterior', 'posterior');
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% Laplace approximation to the marginal log density:
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if options_.cova_compute
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estim_params_nbr = size(xparam1,1);
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if ispd(invhess)
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log_det_invhess = log(det(invhess./(stdh*stdh')))+2*sum(log(stdh));
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likelihood = feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
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oo_.MarginalDensity.LaplaceApproximation = .5*estim_params_nbr*log(2*pi) + .5*log_det_invhess - likelihood;
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else
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oo_.MarginalDensity.LaplaceApproximation = NaN;
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end
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skipline()
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disp(sprintf('Log data density [Laplace approximation] is %f.',oo_.MarginalDensity.LaplaceApproximation))
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skipline()
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end
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if options_.dsge_var
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[~,~,~,~,~,~,~,oo_.dsge_var.posterior_mode.PHI_tilde,oo_.dsge_var.posterior_mode.SIGMA_u_tilde,oo_.dsge_var.posterior_mode.iXX,oo_.dsge_var.posterior_mode.prior] =...
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feval(objective_function,xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
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end
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elseif ~any(bayestopt_.pshape > 0) && ~options_.mh_posterior_mode_estimation
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oo_=display_estimation_results_table(xparam1, stdh, M_, options_, estim_params_, bayestopt_, oo_, prior_dist_names, 'Maximum Likelihood', 'mle');
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end
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if np > 0
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pindx = estim_params_.param_vals(:,1);
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save([M_.dname filesep 'Output' filesep M_.fname '_params.mat'],'pindx');
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end
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switch options_.MCMC_jumping_covariance
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case 'hessian' %Baseline
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%do nothing and use hessian from mode_compute
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case 'prior_variance' %Use prior variance
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if any(isinf(bayestopt_.p2))
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error('Infinite prior variances detected. You cannot use the prior variances as the proposal density, if some variances are Inf.')
|
|
else
|
|
hh = diag(1./(bayestopt_.p2.^2));
|
|
end
|
|
hsd = sqrt(diag(hh));
|
|
invhess = inv(hh./(hsd*hsd'))./(hsd*hsd');
|
|
case 'identity_matrix' %Use identity
|
|
invhess = eye(nx);
|
|
otherwise %user specified matrix in file
|
|
try
|
|
load(options_.MCMC_jumping_covariance,'jumping_covariance')
|
|
hh=jumping_covariance;
|
|
catch
|
|
error(['No matrix named ''jumping_covariance'' could be found in ',options_.MCMC_jumping_covariance,'.mat'])
|
|
end
|
|
[nrow, ncol]=size(hh);
|
|
if ~isequal(nrow,ncol) && ~isequal(nrow,nx) %check if square and right size
|
|
error(['jumping_covariance matrix must be square and have ',num2str(nx),' rows and columns'])
|
|
end
|
|
try %check for positive definiteness
|
|
chol(hh);
|
|
hsd = sqrt(diag(hh));
|
|
invhess = inv(hh./(hsd*hsd'))./(hsd*hsd');
|
|
catch
|
|
error(['Specified jumping_covariance is not positive definite'])
|
|
end
|
|
end
|
|
|
|
if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
|
|
(any(bayestopt_.pshape >0 ) && options_.load_mh_file) %% not ML estimation
|
|
bounds = prior_bounds(bayestopt_, options_.prior_trunc); %reset bounds as lb and ub must only be operational during mode-finding
|
|
outside_bound_pars=find(xparam1 < bounds.lb | xparam1 > bounds.ub);
|
|
if ~isempty(outside_bound_pars)
|
|
for ii=1:length(outside_bound_pars)
|
|
outside_bound_par_names{ii,1}=get_the_name(ii,0,M_,estim_params_,options_);
|
|
end
|
|
disp_string=[outside_bound_par_names{1,:}];
|
|
for ii=2:size(outside_bound_par_names,1)
|
|
disp_string=[disp_string,', ',outside_bound_par_names{ii,:}];
|
|
end
|
|
if options_.prior_trunc>0
|
|
error(['Estimation:: Mode value(s) of ', disp_string ,' are outside parameter bounds. Potentially, you should set prior_trunc=0.'])
|
|
else
|
|
error(['Estimation:: Mode value(s) of ', disp_string ,' are outside parameter bounds.'])
|
|
end
|
|
end
|
|
% Tunes the jumping distribution's scale parameter
|
|
if options_.mh_tune_jscale.status
|
|
if strcmp(options_.posterior_sampler_options.posterior_sampling_method, 'random_walk_metropolis_hastings')
|
|
%get invhess in case of use_mh_covariance_matrix
|
|
posterior_sampler_options_temp = options_.posterior_sampler_options.current_options;
|
|
posterior_sampler_options_temp.invhess = invhess;
|
|
posterior_sampler_options_temp = check_posterior_sampler_options(posterior_sampler_options_temp, options_);
|
|
|
|
options = options_.mh_tune_jscale;
|
|
options.rwmh = options_.posterior_sampler_options.rwmh;
|
|
options_.mh_jscale = calibrate_mh_scale_parameter(objective_function, ...
|
|
posterior_sampler_options_temp.invhess, xparam1, [bounds.lb,bounds.ub], ...
|
|
options, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds, oo_);
|
|
clear('posterior_sampler_options_temp','options')
|
|
bayestopt_.jscale(:) = options_.mh_jscale;
|
|
fprintf('mh_jscale has been set equal to %s\n', num2str(options_.mh_jscale))
|
|
else
|
|
warning('mh_tune_jscale is only available with Random Walk Metropolis Hastings!')
|
|
end
|
|
end
|
|
% runs MCMC
|
|
if options_.mh_replic || options_.load_mh_file
|
|
posterior_sampler_options = options_.posterior_sampler_options.current_options;
|
|
posterior_sampler_options.invhess = invhess;
|
|
[posterior_sampler_options, options_] = check_posterior_sampler_options(posterior_sampler_options, options_);
|
|
% store current options in global
|
|
options_.posterior_sampler_options.current_options = posterior_sampler_options;
|
|
if options_.mh_replic
|
|
ana_deriv_old = options_.analytic_derivation;
|
|
options_.analytic_derivation = 0;
|
|
posterior_sampler(objective_function,posterior_sampler_options.proposal_distribution,xparam1,posterior_sampler_options,bounds,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_);
|
|
options_.analytic_derivation = ana_deriv_old;
|
|
end
|
|
end
|
|
%% Here I discard first mh_drop percent of the draws:
|
|
CutSample(M_, options_, estim_params_);
|
|
if options_.mh_posterior_mode_estimation
|
|
%reset qz_criterium
|
|
options_.qz_criterium=qz_criterium_old;
|
|
return
|
|
else
|
|
%get stored results if required
|
|
if options_.load_mh_file && options_.load_results_after_load_mh
|
|
oo_load_mh=load([M_.dname filesep 'Output' filesep M_.fname '_results'],'oo_');
|
|
end
|
|
if ~options_.nodiagnostic
|
|
if (options_.mh_replic>0 || (options_.load_mh_file && ~options_.load_results_after_load_mh))
|
|
oo_= McMCDiagnostics(options_, estim_params_, M_,oo_);
|
|
elseif options_.load_mh_file && options_.load_results_after_load_mh
|
|
if isfield(oo_load_mh.oo_,'convergence')
|
|
oo_.convergence=oo_load_mh.oo_.convergence;
|
|
end
|
|
end
|
|
end
|
|
%% Estimation of the marginal density from the Mh draws:
|
|
if options_.mh_replic || (options_.load_mh_file && ~options_.load_results_after_load_mh)
|
|
[marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_, bayestopt_);
|
|
% Store posterior statistics by parameter name
|
|
oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bayestopt_, oo_, prior_dist_names);
|
|
if ~options_.nograph
|
|
oo_ = PlotPosteriorDistributions(estim_params_, M_, options_, bayestopt_, oo_);
|
|
end
|
|
% Store posterior mean in a vector and posterior variance in
|
|
% a matrix
|
|
[oo_.posterior.metropolis.mean,oo_.posterior.metropolis.Variance] ...
|
|
= GetPosteriorMeanVariance(M_,options_.mh_drop);
|
|
elseif options_.load_mh_file && options_.load_results_after_load_mh
|
|
%% load fields from previous MCMC run stored in results-file
|
|
field_names={'posterior_mode','posterior_std_at_mode',...% fields set by marginal_density
|
|
'posterior_mean','posterior_hpdinf','posterior_hpdsup','posterior_median','posterior_variance','posterior_std','posterior_deciles','posterior_density',...% fields set by GetPosteriorParametersStatistics
|
|
'prior_density',...%fields set by PlotPosteriorDistributions
|
|
};
|
|
for field_iter=1:size(field_names,2)
|
|
if isfield(oo_load_mh.oo_,field_names{1,field_iter})
|
|
oo_.(field_names{1,field_iter})=oo_load_mh.oo_.(field_names{1,field_iter});
|
|
end
|
|
end
|
|
% field set by marginal_density
|
|
if isfield(oo_load_mh.oo_,'MarginalDensity') && isfield(oo_load_mh.oo_.MarginalDensity,'ModifiedHarmonicMean')
|
|
oo_.MarginalDensity.ModifiedHarmonicMean=oo_load_mh.oo_.MarginalDensity.ModifiedHarmonicMean;
|
|
end
|
|
% field set by GetPosteriorMeanVariance
|
|
if isfield(oo_load_mh.oo_,'posterior') && isfield(oo_load_mh.oo_.posterior,'metropolis')
|
|
oo_.posterior.metropolis=oo_load_mh.oo_.posterior.metropolis;
|
|
end
|
|
end
|
|
[error_flag,~,options_]= metropolis_draw(1,options_,estim_params_,M_);
|
|
if ~(~isempty(options_.sub_draws) && options_.sub_draws==0)
|
|
if options_.bayesian_irf
|
|
if error_flag
|
|
error('Estimation::mcmc: I cannot compute the posterior IRFs!')
|
|
end
|
|
PosteriorIRF('posterior');
|
|
end
|
|
if options_.moments_varendo
|
|
if error_flag
|
|
error('Estimation::mcmc: I cannot compute the posterior moments for the endogenous variables!')
|
|
end
|
|
if options_.load_mh_file && options_.mh_replic==0 %user wants to recompute results
|
|
[MetropolisFolder, info] = CheckPath('metropolis',M_.dname);
|
|
if ~info
|
|
generic_post_data_file_name={'Posterior2ndOrderMoments','decomposition','PosteriorVarianceDecomposition','correlation','PosteriorCorrelations','conditional decomposition','PosteriorConditionalVarianceDecomposition'};
|
|
for ii=1:length(generic_post_data_file_name)
|
|
delete_stale_file([MetropolisFolder filesep M_.fname '_' generic_post_data_file_name{1,ii} '*']);
|
|
end
|
|
end
|
|
end
|
|
oo_ = compute_moments_varendo('posterior',options_,M_,oo_,var_list_);
|
|
end
|
|
if options_.smoother || ~isempty(options_.filter_step_ahead) || options_.forecast
|
|
if error_flag
|
|
error('Estimation::mcmc: I cannot compute the posterior statistics!')
|
|
end
|
|
if options_.order==1 && ~options_.particle.status
|
|
prior_posterior_statistics('posterior',dataset_,dataset_info); %get smoothed and filtered objects and forecasts
|
|
else
|
|
error('Estimation::mcmc: Particle Smoothers are not yet implemented.')
|
|
end
|
|
end
|
|
else
|
|
fprintf('Estimation:mcmc: sub_draws was set to 0. Skipping posterior computations.')
|
|
end
|
|
xparam1 = get_posterior_parameters('mean',M_,estim_params_,oo_,options_);
|
|
M_ = set_all_parameters(xparam1,estim_params_,M_);
|
|
end
|
|
end
|
|
|
|
if options_.particle.status
|
|
%reset qz_criterium
|
|
options_.qz_criterium=qz_criterium_old;
|
|
return
|
|
end
|
|
|
|
if (~((any(bayestopt_.pshape > 0) && options_.mh_replic) || (any(bayestopt_.pshape> 0) && options_.load_mh_file)) ...
|
|
|| ~options_.smoother ) && ~options_.partial_information % to be fixed
|
|
%% ML estimation, or posterior mode without Metropolis-Hastings or Metropolis without Bayesian smoothes variables
|
|
if options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter
|
|
[~, ~, ~, ~, ~, ~, ~, ~, ~, ~, oo_, atT, innov] = occbin.IVF_posterior(xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,prior_bounds(bayestopt_,options_.prior_trunc),oo_);
|
|
updated_variables = atT*nan;
|
|
measurement_error=[];
|
|
ys = oo_.dr.ys;
|
|
trend_coeff = zeros(length(options_.varobs_id),1);
|
|
bayestopt_.mf = bayestopt_.smoother_var_list(bayestopt_.smoother_mf);
|
|
[oo_, yf]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff);
|
|
else
|
|
if options_.occbin.smoother.status
|
|
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = occbin.DSGE_smoother(xparam1,dataset_.nobs,transpose(dataset_.data),dataset_info.missing.aindex,dataset_info.missing.state,M_,oo_,options_,bayestopt_,estim_params_,dataset_,dataset_info);
|
|
else
|
|
[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = DsgeSmoother(xparam1,dataset_.nobs,transpose(dataset_.data),dataset_info.missing.aindex,dataset_info.missing.state,M_,oo_,options_,bayestopt_,estim_params_);
|
|
end
|
|
[oo_,yf]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
|
|
end
|
|
if ~options_.nograph
|
|
[nbplt,nr,nc,lr,lc,nstar] = pltorg(M_.exo_nbr);
|
|
if ~exist([M_.dname '/graphs'],'dir')
|
|
mkdir(M_.dname,'graphs');
|
|
end
|
|
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fidTeX = fopen([M_.dname, '/graphs/' M_.fname '_SmoothedShocks.tex'],'w');
|
|
fprintf(fidTeX,'%% TeX eps-loader file generated by dynare_estimation_1.m (Dynare).\n');
|
|
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
|
|
fprintf(fidTeX,' \n');
|
|
end
|
|
for plt = 1:nbplt
|
|
fh = dyn_figure(options_.nodisplay,'Name','Smoothed shocks');
|
|
NAMES = [];
|
|
if options_.TeX, TeXNAMES = []; end
|
|
nstar0=min(nstar,M_.exo_nbr-(plt-1)*nstar);
|
|
if gend==1
|
|
marker_string{1,1}='-ro';
|
|
marker_string{2,1}='-ko';
|
|
else
|
|
marker_string{1,1}='-r';
|
|
marker_string{2,1}='-k';
|
|
end
|
|
for i=1:nstar0
|
|
k = (plt-1)*nstar+i;
|
|
subplot(nr,nc,i);
|
|
plot([1 gend],[0 0],marker_string{1,1},'linewidth',.5)
|
|
hold on
|
|
plot(1:gend,innov(k,:),marker_string{2,1},'linewidth',1)
|
|
hold off
|
|
name = M_.exo_names{k};
|
|
if ~isempty(options_.XTick)
|
|
set(gca,'XTick',options_.XTick)
|
|
set(gca,'XTickLabel',options_.XTickLabel)
|
|
end
|
|
if gend>1
|
|
xlim([1 gend])
|
|
end
|
|
if options_.TeX
|
|
title(['$' M_.exo_names_tex{k} '$'],'Interpreter','latex')
|
|
else
|
|
title(name,'Interpreter','none')
|
|
end
|
|
end
|
|
dyn_saveas(fh,[M_.dname, '/graphs/' M_.fname '_SmoothedShocks' int2str(plt)],options_.nodisplay,options_.graph_format);
|
|
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
|
fprintf(fidTeX,'\\centering \n');
|
|
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_SmoothedShocks%s}\n',options_.figures.textwidth*min(i/nc,1),[M_.dname, '/graphs/' M_.fname],int2str(plt));
|
|
fprintf(fidTeX,'\\caption{Smoothed shocks.}');
|
|
fprintf(fidTeX,'\\label{Fig:SmoothedShocks:%s}\n',int2str(plt));
|
|
fprintf(fidTeX,'\\end{figure}\n');
|
|
fprintf(fidTeX,'\n');
|
|
end
|
|
end
|
|
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fprintf(fidTeX,'\n');
|
|
fprintf(fidTeX,'%% End of TeX file.\n');
|
|
fclose(fidTeX);
|
|
end
|
|
end
|
|
if nvn
|
|
number_of_plots_to_draw = 0;
|
|
index = [];
|
|
for obs_iter=1:n_varobs
|
|
if max(abs(measurement_error(obs_iter,:))) > options_.ME_plot_tol;
|
|
number_of_plots_to_draw = number_of_plots_to_draw + 1;
|
|
index = cat(1,index,obs_iter);
|
|
end
|
|
end
|
|
if ~options_.nograph
|
|
[nbplt,nr,nc,lr,lc,nstar] = pltorg(number_of_plots_to_draw);
|
|
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fidTeX = fopen([M_.dname, '/graphs/' M_.fname '_SmoothedObservationErrors.tex'],'w');
|
|
fprintf(fidTeX,'%% TeX eps-loader file generated by dynare_estimation_1.m (Dynare).\n');
|
|
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
|
|
fprintf(fidTeX,' \n');
|
|
end
|
|
for plt = 1:nbplt
|
|
fh = dyn_figure(options_.nodisplay,'Name','Smoothed observation errors');
|
|
nstar0=min(nstar,number_of_plots_to_draw-(plt-1)*nstar);
|
|
if gend==1
|
|
marker_string{1,1}='-ro';
|
|
marker_string{2,1}='-ko';
|
|
else
|
|
marker_string{1,1}='-r';
|
|
marker_string{2,1}='-k';
|
|
end
|
|
for i=1:nstar0
|
|
k = (plt-1)*nstar+i;
|
|
subplot(nr,nc,i);
|
|
plot([1 gend],[0 0],marker_string{1,1},'linewidth',.5)
|
|
hold on
|
|
plot(1:gend,measurement_error(index(k),:),marker_string{2,1},'linewidth',1)
|
|
hold off
|
|
name = options_.varobs{index(k)};
|
|
if gend>1
|
|
xlim([1 gend])
|
|
end
|
|
if ~isempty(options_.XTick)
|
|
set(gca,'XTick',options_.XTick)
|
|
set(gca,'XTickLabel',options_.XTickLabel)
|
|
end
|
|
if options_.TeX
|
|
idx = strmatch(options_.varobs{index(k)}, M_.endo_names, 'exact');
|
|
title(['$' M_.endo_names_tex{idx} '$'],'Interpreter','latex')
|
|
else
|
|
title(name,'Interpreter','none')
|
|
end
|
|
end
|
|
dyn_saveas(fh,[M_.dname, '/graphs/' M_.fname '_SmoothedObservationErrors' int2str(plt)],options_.nodisplay,options_.graph_format);
|
|
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
|
fprintf(fidTeX,'\\centering \n');
|
|
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_SmoothedObservationErrors%s}\n',options_.figures.textwidth*min(i/nc,1),[M_.dname, '/graphs/' M_.fname],int2str(plt));
|
|
fprintf(fidTeX,'\\caption{Smoothed observation errors.}');
|
|
fprintf(fidTeX,'\\label{Fig:SmoothedObservationErrors:%s}\n',int2str(plt));
|
|
fprintf(fidTeX,'\\end{figure}\n');
|
|
fprintf(fidTeX,'\n');
|
|
end
|
|
end
|
|
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fprintf(fidTeX,'\n');
|
|
fprintf(fidTeX,'%% End of TeX file.\n');
|
|
fclose(fidTeX);
|
|
end
|
|
end
|
|
end
|
|
%%
|
|
%% Historical and smoothed variabes
|
|
%%
|
|
if ~options_.nograph
|
|
[nbplt,nr,nc,lr,lc,nstar] = pltorg(n_varobs);
|
|
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fidTeX = fopen([M_.dname, '/graphs/' M_.fname '_HistoricalAndSmoothedVariables.tex'],'w');
|
|
fprintf(fidTeX,'%% TeX eps-loader file generated by dynare_estimation_1.m (Dynare).\n');
|
|
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
|
|
fprintf(fidTeX,' \n');
|
|
end
|
|
for plt = 1:nbplt
|
|
fh = dyn_figure(options_.nodisplay,'Name','Historical and smoothed variables');
|
|
NAMES = [];
|
|
nstar0=min(nstar,n_varobs-(plt-1)*nstar);
|
|
if gend==1
|
|
marker_string{1,1}='-ro';
|
|
marker_string{2,1}='--ko';
|
|
else
|
|
marker_string{1,1}='-r';
|
|
marker_string{2,1}='--k';
|
|
end
|
|
for i=1:nstar0
|
|
k = (plt-1)*nstar+i;
|
|
subplot(nr,nc,i);
|
|
plot(1:gend,yf(k,:),marker_string{1,1},'linewidth',1)
|
|
hold on
|
|
plot(1:gend,rawdata(:,k),marker_string{2,1},'linewidth',1)
|
|
hold off
|
|
name = options_.varobs{k};
|
|
if ~isempty(options_.XTick)
|
|
set(gca,'XTick',options_.XTick)
|
|
set(gca,'XTickLabel',options_.XTickLabel)
|
|
end
|
|
if gend>1
|
|
xlim([1 gend])
|
|
end
|
|
if options_.TeX
|
|
idx = strmatch(options_.varobs{k}, M_.endo_names,'exact');
|
|
title(['$' M_.endo_names_tex{idx} '$'],'Interpreter','latex')
|
|
else
|
|
title(name,'Interpreter','none')
|
|
end
|
|
end
|
|
dyn_saveas(fh,[M_.dname, '/graphs/' M_.fname '_HistoricalAndSmoothedVariables' int2str(plt)],options_.nodisplay,options_.graph_format);
|
|
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
|
fprintf(fidTeX,'\\centering \n');
|
|
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_HistoricalAndSmoothedVariables%s}\n',options_.figures.textwidth*min(i/nc,1),[M_.dname, '/graphs/' M_.fname],int2str(plt));
|
|
fprintf(fidTeX,'\\caption{Historical and smoothed variables.}');
|
|
fprintf(fidTeX,'\\label{Fig:HistoricalAndSmoothedVariables:%s}\n',int2str(plt));
|
|
fprintf(fidTeX,'\\end{figure}\n');
|
|
fprintf(fidTeX,'\n');
|
|
end
|
|
end
|
|
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
|
|
fprintf(fidTeX,'\n');
|
|
fprintf(fidTeX,'%% End of TeX file.\n');
|
|
fclose(fidTeX);
|
|
end
|
|
end
|
|
end
|
|
|
|
if options_.forecast > 0 && options_.mh_replic == 0 && ~options_.load_mh_file
|
|
oo_.forecast = dyn_forecast(var_list_,M_,options_,oo_,'smoother',dataset_info);
|
|
end
|
|
|
|
if np > 0
|
|
pindx = estim_params_.param_vals(:,1);
|
|
save([M_.dname filesep 'Output' filesep M_.fname '_pindx.mat'] ,'pindx');
|
|
end
|
|
|
|
%reset qz_criterium
|
|
options_.qz_criterium=qz_criterium_old;
|
|
|
|
if reset_options_related_to_estimation
|
|
options_.mode_compute = mode_compute_o;
|
|
options_.mh_replic = mh_replic_o;
|
|
end
|
|
if first_obs_nan_indicator
|
|
options_.first_obs=NaN;
|
|
end
|