226 lines
8.3 KiB
Modula-2
226 lines
8.3 KiB
Modula-2
var y y_s R pie dq pie_s de A y_obs pie_obs R_obs ${R^{obs}}$;
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varexo e_R ${e^R}$ e_q e_ys e_pies e_A;
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parameters psi1 psi2 psi3 rho_R ${\rho_R}$ tau alpha rr k rho_q rho_A rho_ys rho_pies;
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psi1 = 1.54;
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psi2 = 0.25;
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psi3 = 0.25;
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rho_R = 0.5;
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alpha = 0.3;
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rr = 2.51;
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k = 0.5;
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tau = 0.5;
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rho_q = 0.4;
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rho_A = 0.2;
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rho_ys = 0.9;
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rho_pies = 0.7;
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model(linear);
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y = y(+1) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
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pie = exp(-rr/400)*pie(+1)+alpha*exp(-rr/400)*dq(+1)-alpha*dq+(k/(tau+alpha*(2-alpha)*(1-tau)))*y+k*alpha*(2-alpha)*(1-tau)/(tau*(tau+alpha*(2-alpha)*(1-tau)))*y_s;
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pie = de+(1-alpha)*dq+pie_s;
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R = rho_R*R(-1)+(1-rho_R)*(psi1*pie+psi2*(y+alpha*(2-alpha)*((1-tau)/tau)*y_s)+psi3*de)+e_R;
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dq = rho_q*dq(-1)+e_q;
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y_s = rho_ys*y_s(-1)+e_ys;
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pie_s = rho_pies*pie_s(-1)+e_pies;
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A = rho_A*A(-1)+e_A;
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y_obs = y-y(-1)+A;
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pie_obs = 4*pie;
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R_obs = 4*R;
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end;
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shocks;
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var e_R = 1.25^2;
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var e_q = 2.5^2;
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var e_A = 1.89;
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var e_ys = 1.89;
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var e_pies = 1.89;
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end;
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varobs y_obs R_obs pie_obs dq de;
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estimated_params;
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psi1 , gamma_pdf,1.5,0.5;
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psi2 , gamma_pdf,0.25,0.125;
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psi3 , gamma_pdf,0.25,0.125;
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rho_R ,beta_pdf,0.5,0.2;
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alpha ,beta_pdf,0.3,0.1;
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rr ,gamma_pdf,2.5,1;
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k , gamma_pdf,0.5,0.25;
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tau ,gamma_pdf,0.5,0.2;
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rho_q ,beta_pdf,0.4,0.2;
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rho_A ,beta_pdf,0.5,0.2;
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rho_ys ,beta_pdf,0.8,0.1;
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rho_pies,beta_pdf,0.7,0.15;
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stderr e_R,inv_gamma_pdf,1.2533,0.6551;
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stderr e_q,inv_gamma_pdf,2.5066,1.3103;
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stderr e_A,inv_gamma_pdf,1.2533,0.6551;
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stderr e_ys,inv_gamma_pdf,1.2533,0.6551;
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stderr e_pies,inv_gamma_pdf,1.88,0.9827;
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end;
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options_.TeX=true;
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disp(' ');
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disp('NOW I DO STABILITY MAPPING and prepare sample for Reduced form Mapping');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(redform=1,nodisplay,Nsam=512); //create sample of reduced form coefficients
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// NOTE: since namendo is empty by default,
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// this call does not perform the mapping of reduced form coefficient: just prepares the sample
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disp(' ');
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disp('ANALYSIS OF REDUCED FORM COEFFICIENTS');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, load_stab=1, // load previously generated sample analysed for stability
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redform=1, // do the reduced form mapping
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threshold_redform=[-1 0], // filter reduced form coefficients (default=[])
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namendo=(pie,R), // evaluate relationships for pie and R (namendo=(:) for all variables)
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namexo=(e_R), // evaluate relationships with exogenous e_R (use namexo=(:) for all shocks)
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namlagendo=(R), // evaluate relationships with lagged R (use namlagendo=(:) for all lagged endogenous)
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stab=0, // don't repeat again the stability mapping
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Nsam=512);
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disp(' ');
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disp('THE PREVIOUS TWO CALLS COULD BE DONE TOGETHER');
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disp('BY USING THE COMBINED CALL');
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disp(' ');
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disp('dynare_sensitivity(redform=1,')
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disp('threshold_redform=[-1 0], namendo=(pie,R), namexo=(e_R), namlagendo=(R));')
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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//dynare_sensitivity(
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//redform=1, //create sample of reduced form coefficients
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//logtrans_redform=1, // estimate log-transformed reduced form coefficients (default=0)
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//namendo=(pie,R), // evaluate relationships for pie and R (namendo=(:) for all variables)
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//namexo=(e_R), // evaluate relationships with exogenous e_R (use namexo=(:) for all shocks)
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//namlagendo=(R) // evaluate relationships with lagged R (use namlagendo=(:) for all lagged endogenous)
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//);
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disp(' ');
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disp('MC FILTERING(rmse=1), TO MAP THE FIT FROM PRIORS');
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disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1, // also presample=2,loglinear, are admissible
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load_stab=1, // load prior sample
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istart_rmse=2, //start computing rmse from second observation (i.e. rmse does not inlude initial big error)
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stab=0, // don't plot again stability analysis results
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rmse=1, // do rmse analysis
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Nsam=512);
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disp(' ');
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disp('THE PREVIOUS THREE CALLS COULD BE DONE TOGETHER');
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disp('BY USING THE COMBINED CALL');
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disp(' ');
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disp('dynare_sensitivity(redform=1,')
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disp('logtrans_redform=1, namendo=(pie,R), namexo=(e_R), namlagendo=(R),')
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disp('datafile=data_ca1.m,first_obs=8,nobs=79,prefilter=1,')
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disp('istart_rmse=2, rmse=1);')
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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//dynare_sensitivity(
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//redform=1, //create sample of reduced form coefficients
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//logtrans_redform=1, // estimate log-transformed reduced form coefficients (default=0)
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//namendo=(pie,R), // evaluate relationships for pie and R (namendo=(:) for all variables)
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//namexo=(e_R), // evaluate relationships with exogenous e_R (use namexo=(:) for all shocks)
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//namlagendo=(R), // evaluate relationships with lagged R (use namlagendo=(:) for all lagged endogenous)
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//datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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//istart_rmse=2, //start computing rmse from second observation (i.e. rmse does not inlude initial big error)
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//rmse=1, // do rmse analysis
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//);
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disp(' ');
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disp('I ESTIMATE THE MODEL');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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// run this to generate posterior mode and Metropolis files if not yet done
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estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=1,
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prefilter=1,mh_jscale=0.5,mh_replic=5000, mode_compute=4, mh_drop=0.6, nodisplay,
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bayesian_irf, filtered_vars, smoother) y_obs R_obs pie_obs dq de;
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// run this to produce posterior samples of filtered, smoothed and irf variables, if not yet done
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//estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=2,prefilter=1,mh_jscale=0.3,
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// mh_replic=0, mode_file='ls2003/Output/ls2003_mode', mode_compute=0, load_mh_file, bayesian_irf,
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// filtered_vars, smoother, mh_drop=0.6);
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disp(' ');
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disp('WE DO STABILITY MAPPING AGAIN, EXPLORING AROUND THE MODE BY A WIDTH +- 0.2 times the mode');
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disp('THEN WE DO RMSE analysis in this neighborhood');
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disp('Typical for ML estimation, also feasible for posterior mode');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, pprior=0,Nsam=512,neighborhood_width=0.2,
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mode_file='ls2003/Output/ls2003_mode', // specifies the mode file where the mode and Hessian are stored
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datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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rmse=1);
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disp(' ');
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disp('WE DO STABILITY MAPPING AGAIN, BUT FOR MULTIVARIATE SAMPLE AT THE POSTERIOR MODE (or ML) and Hessian (pprior=0 & ppost=0)');
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disp('Typical for ML estimation, also feasible for posterior mode');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, pprior=0,Nsam=512,
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mode_file='ls2003/Output/ls2003_mode' // specifies the mode file where the mode and Hessian are stored
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);
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disp(' ');
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disp('RMSE ANALYSIS FOR MULTIVARIATE SAMPLE AT THE POSTERIOR MODE');
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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dynare_sensitivity(nodisplay, mode_file='ls2003/Output/ls2003_mode',
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datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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pprior=0,
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stab=0,
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rmse=1,
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alpha2_rmse=0, // no correlation analysis
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alpha_rmse=0, // no Smirnov sensitivity analysis
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Nsam=512);
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disp(' ');
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disp('THE LAST TWO CALLS COULD BE DONE TOGETHER');
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disp('BY USING THE COMBINED CALL');
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disp(' ');
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disp('dynare_sensitivity(pprior=0,Nsam=512,alpha2_stab=0.4,mode_file=ls2003_mode,')
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disp('datafile=data_ca1.m,first_obs=8,nobs=79,prefilter=1,')
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disp('rmse=1, alpha2_rmse=0, alpha_rmse=0);')
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disp(' ');
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disp('Press ENTER to continue'); pause(5);
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//dynare_sensitivity(pprior=0,Nsam=2048,alpha2_stab=0.4,mode_file='ls2003/Output/ls2003_mode',
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//datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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//rmse=1,
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//alpha2_rmse=0, // no correlation analysis
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//alpha_rmse=0 // no Smirnov sensitivity analysis
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//);
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disp(' ');
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disp('RMSE ANALYSIS FOR POSTERIOR MCMC sample (ppost=1)');
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disp('Needs a call to dynare_estimation to load all MH environment');
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disp('Press ENTER to continue'); pause(5);
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//estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=2, mode_file='ls2003/Output/ls2003_mode', load_mh_file,
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// prefilter=1,mh_jscale=0.5,mh_replic=0, mode_compute=0, mh_drop=0.6);
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dynare_sensitivity(nodisplay, stab=0, // no need for stability analysis since the posterior sample is surely OK
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datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
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alpha2_rmse=0, // no correlation analysis
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rmse=1,ppost=1,Nsam=512);
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collect_latex_files;
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if system(['pdflatex -halt-on-error -interaction=batchmode ' M_.fname '_TeX_binder.tex'])
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error('TeX-File did not compile.')
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end
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