dynare/matlab/dynare_identification.m

594 lines
23 KiB
Matlab

function [pdraws, TAU, GAM, LRE, gp, H, JJ] = dynare_identification(options_ident, pdraws0)
%function [pdraws, TAU, GAM, LRE, gp, H, JJ] = dynare_identification(options_ident, pdraws0)
%
% INPUTS
% o options_ident [structure] identification options
% o pdraws0 [matrix] optional: matrix of MC sample of model params.
%
% OUTPUTS
% o pdraws [matrix] matrix of MC sample of model params used
% o TAU, [matrix] MC sample of entries in the model solution (stacked vertically)
% o GAM, [matrix] MC sample of entries in the moments (stacked vertically)
% o LRE, [matrix] MC sample of entries in LRE model (stacked vertically)
% o gp, [matrix] derivatives of the Jacobian (LRE model)
% o H, [matrix] derivatives of the model solution
% o JJ [matrix] derivatives of the moments
%
% SPECIAL REQUIREMENTS
% None
% main
%
% Copyright (C) 2010-2013 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ options_ oo_ bayestopt_ estim_params_
if exist('OCTAVE_VERSION')
warning('off'),
else
warning off,
end
fname_ = M_.fname;
if ~isfield(M_,'dname'),
M_.dname = M_.fname;
end
options_ident = set_default_option(options_ident,'gsa_sample_file',0);
options_ident = set_default_option(options_ident,'parameter_set','prior_mean');
options_ident = set_default_option(options_ident,'load_ident_files',0);
options_ident = set_default_option(options_ident,'useautocorr',0);
options_ident = set_default_option(options_ident,'ar',1);
options_ident = set_default_option(options_ident,'prior_mc',1);
options_ident = set_default_option(options_ident,'prior_range',0);
options_ident = set_default_option(options_ident,'periods',300);
options_ident = set_default_option(options_ident,'replic',100);
options_ident = set_default_option(options_ident,'advanced',0);
options_ident = set_default_option(options_ident,'normalize_jacobians',1);
options_ident = set_default_option(options_ident,'lik_init',1);
options_ident = set_default_option(options_ident,'analytic_derivation',1);
if isfield(options_ident,'nograph'),
options_.nograph=options_ident.nograph;
end
if isfield(options_ident,'nodisplay'),
options_.nodisplay=options_ident.nodisplay;
end
if isfield(options_ident,'graph_format'),
options_.graph_format=options_ident.graph_format;
end
if options_ident.gsa_sample_file,
GSAFolder = checkpath('gsa',M_.dname);
if options_ident.gsa_sample_file==1,
load([GSAFolder,filesep,fname_,'_prior'],'lpmat','lpmat0','istable');
elseif options_ident.gsa_sample_file==2,
load([GSAFolder,filesep,fname_,'_mc'],'lpmat','lpmat0','istable');
else
load([GSAFolder,filesep,options_ident.gsa_sample_file],'lpmat','lpmat0','istable');
end
if isempty(istable),
istable=1:size(lpmat,1);
end
if ~isempty(lpmat0),
lpmatx=lpmat0(istable,:);
else
lpmatx=[];
end
pdraws0 = [lpmatx lpmat(istable,:)];
clear lpmat lpmat0 istable;
elseif nargin==1,
pdraws0=[];
end
external_sample=0;
if nargin==2 || ~isempty(pdraws0),
options_ident.prior_mc=size(pdraws0,1);
options_ident.load_ident_files = 0;
external_sample=1;
end
if isempty(estim_params_),
options_ident.prior_mc=1;
options_ident.prior_range=0;
prior_exist=0;
else
prior_exist=1;
parameters = options_ident.parameter_set;
end
% options_ident.load_ident_files=1;
iload = options_ident.load_ident_files;
%options_ident.advanced=1;
advanced = options_ident.advanced;
nlags = options_ident.ar;
periods = options_ident.periods;
replic = options_ident.replic;
useautocorr = options_ident.useautocorr;
options_.order=1;
options_.ar=nlags;
options_.prior_mc = options_ident.prior_mc;
options_.options_ident = options_ident;
options_.Schur_vec_tol = 1.e-8;
options_.nomoments=0;
options_.analytic_derivation=1;
options_ = set_default_option(options_,'datafile','');
options_.mode_compute = 0;
options_.plot_priors = 0;
options_.smoother=1;
[dataset_,xparam1, M_, options_, oo_, estim_params_,bayestopt_]=dynare_estimation_init(M_.endo_names,fname_,1, M_, options_, oo_, estim_params_, bayestopt_);
options_ident.analytic_derivation_mode = options_.analytic_derivation_mode;
if isempty(dataset_),
dataset_.info.ntobs = periods;
dataset_.info.nvobs = rows(options_.varobs);
dataset_.info.varobs = options_.varobs;
dataset_.rawdata = [];
dataset_.missing.state = 0;
for jdata=1:periods,
temp1{jdata}=[1:dataset_.info.nvobs]';
end
dataset_.missing.aindex = temp1;
dataset_.missing.vindex = [];
dataset_.missing.number_of_observations = [];
dataset_.missing.no_more_missing_observations = 1;
dataset_.descriptive.mean = [];
dataset_.data = [];
% data_info.gend = periods;
% data_info.data = [];
% data_info.data_index = [];
% data_info.number_of_observations = periods*size(options_.varobs,1);
% data_info.no_more_missing_observations = 0;
% data_info.missing_value = 0;
end
% results = prior_sampler(0,M_,bayestopt_,options_,oo_);
if prior_exist
if any(bayestopt_.pshape > 0)
if options_ident.prior_range
prior_draw(1,1);
else
prior_draw(1);
end
else
options_ident.prior_mc=1;
end
end
SampleSize = options_ident.prior_mc;
if ~(exist('sylvester3','file')==2),
dynareroot = strrep(which('dynare'),'dynare.m','');
addpath([dynareroot 'gensylv'])
end
IdentifDirectoryName = CheckPath('identification',M_.dname);
if prior_exist,
indx = [];
if ~isempty(estim_params_.param_vals),
indx = estim_params_.param_vals(:,1);
end
indexo=[];
if ~isempty(estim_params_.var_exo)
indexo = estim_params_.var_exo(:,1);
end
nparam = length(bayestopt_.name);
np = estim_params_.np;
name = bayestopt_.name;
name_tex = char(M_.exo_names_tex(indexo,:),M_.param_names_tex(indx,:));
offset = estim_params_.nvx;
offset = offset + estim_params_.nvn;
offset = offset + estim_params_.ncx;
offset = offset + estim_params_.ncn;
else
indx = [1:M_.param_nbr];
indexo = [1:M_.exo_nbr];
offset = M_.exo_nbr;
np = M_.param_nbr;
nparam = np+offset;
name = [cellstr(M_.exo_names); cellstr(M_.param_names)];
name_tex = [cellstr(M_.exo_names_tex); cellstr(M_.param_names_tex)];
end
options_ident = set_default_option(options_ident,'max_dim_cova_group',min([2,nparam-1]));
options_ident.max_dim_cova_group = min([options_ident.max_dim_cova_group,nparam-1]);
MaxNumberOfBytes=options_.MaxNumberOfBytes;
store_options_ident = options_ident;
disp(' ')
disp(['==== Identification analysis ====' ]),
disp(' ')
if iload <=0,
[I,J]=find(M_.lead_lag_incidence');
if prior_exist,
% if exist([fname_,'_mean.mat'],'file'),
% % disp('Testing posterior mean')
% load([fname_,'_mean'],'xparam1')
% pmean = xparam1';
% clear xparam1
% end
% if exist([fname_,'_mode.mat'],'file'),
% % disp('Testing posterior mode')
% load([fname_,'_mode'],'xparam1')
% pmode = xparam1';
% clear xparam1
% end
params = set_prior(estim_params_,M_,options_)';
if all(bayestopt_.pshape == 0)
parameters = 'ML_Starting_value';
disp('Testing ML Starting value')
else
switch parameters
case 'posterior_mode'
disp('Testing posterior mode')
params(1,:) = get_posterior_parameters('mode');
case 'posterior_mean'
disp('Testing posterior mean')
params(1,:) = get_posterior_parameters('mean');
case 'posterior_median'
disp('Testing posterior median')
params(1,:) = get_posterior_parameters('median');
case 'prior_mode'
disp('Testing prior mode')
params(1,:) = bayestopt_.p5(:);
case 'prior_mean'
disp('Testing prior mean')
params(1,:) = bayestopt_.p1;
otherwise
disp('The option parameter_set has to be equal to:')
disp(' ''posterior_mode'', ')
disp(' ''posterior_mean'', ')
disp(' ''posterior_median'', ')
disp(' ''prior_mode'' or')
disp(' ''prior_mean''.')
error;
end
end
else
params = [sqrt(diag(M_.Sigma_e))', M_.params'];
parameters = 'Current_params';
disp('Testing current parameter values')
end
[idehess_point, idemoments_point, idemodel_point, idelre_point, derivatives_info_point, info] = ...
identification_analysis(params,indx,indexo,options_ident,dataset_, prior_exist, name_tex,1);
if info(1)~=0,
disp(' ')
disp('----------- ')
disp('Parameter error:')
disp(['The model does not solve for ', parameters, ' with error code info = ', int2str(info(1))]),
disp(' ')
if info(1)==1,
disp('info==1 %! The model doesn''t determine the current variables uniquely.')
elseif info(1)==2,
disp('info==2 %! MJDGGES returned an error code.')
elseif info(1)==3,
disp('info==3 %! Blanchard & Kahn conditions are not satisfied: no stable equilibrium. ')
elseif info(1)==4,
disp('info==4 %! Blanchard & Kahn conditions are not satisfied: indeterminacy. ')
elseif info(1)==5,
disp('info==5 %! Blanchard & Kahn conditions are not satisfied: indeterminacy due to rank failure. ')
elseif info(1)==6,
disp('info==6 %! The jacobian evaluated at the deterministic steady state is complex.')
elseif info(1)==19,
disp('info==19 %! The steadystate routine thrown an exception (inconsistent deep parameters). ')
elseif info(1)==20,
disp('info==20 %! Cannot find the steady state, info(2) contains the sum of square residuals (of the static equations). ')
elseif info(1)==21,
disp('info==21 %! The steady state is complex, info(2) contains the sum of square of imaginary parts of the steady state.')
elseif info(1)==22,
disp('info==22 %! The steady has NaNs. ')
elseif info(1)==23,
disp('info==23 %! M_.params has been updated in the steadystate routine and has complex valued scalars. ')
elseif info(1)==24,
disp('info==24 %! M_.params has been updated in the steadystate routine and has some NaNs. ')
elseif info(1)==30,
disp('info==30 %! Ergodic variance can''t be computed. ')
end
disp('----------- ')
disp(' ')
if any(bayestopt_.pshape)
disp('Try sampling up to 50 parameter sets from the prior.')
kk=0;
while kk<50 && info(1),
kk=kk+1;
params = prior_draw();
[idehess_point, idemoments_point, idemodel_point, idelre_point, derivatives_info_point, info] = ...
identification_analysis(params,indx,indexo,options_ident,dataset_, prior_exist, name_tex,1);
end
end
if info(1)
disp(' ')
disp('----------- ')
disp('Identification stopped:')
if any(bayestopt_.pshape)
disp('The model did not solve for any of 50 attempts of random samples from the prior')
end
disp('----------- ')
disp(' ')
return,
end
else
idehess_point.params=params;
% siH = idemodel_point.siH;
% siJ = idemoments_point.siJ;
% siLRE = idelre_point.siLRE;
% normH = max(abs(siH)')';
% normJ = max(abs(siJ)')';
% normLRE = max(abs(siLRE)')';
save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'idehess_point', 'idemoments_point','idemodel_point', 'idelre_point','store_options_ident')
disp_identification(params, idemodel_point, idemoments_point, name, advanced);
if ~options_.nograph,
plot_identification(params,idemoments_point,idehess_point,idemodel_point,idelre_point,advanced,parameters,name,IdentifDirectoryName);
end
end
if SampleSize > 1,
disp(' ')
disp('Monte Carlo Testing')
h = dyn_waitbar(0,'Monte Carlo identification checks ...');
iteration = 0;
loop_indx = 0;
file_index = 0;
run_index = 0;
options_MC=options_ident;
options_MC.advanced=0;
else
iteration = 1;
pdraws = [];
end
while iteration < SampleSize,
loop_indx = loop_indx+1;
if external_sample,
params = pdraws0(iteration+1,:);
else
params = prior_draw();
end
[dum1, ideJ, ideH, ideGP, dum2 , info] = ...
identification_analysis(params,indx,indexo,options_MC,dataset_, prior_exist, name_tex,0);
if iteration==0 && info(1)==0,
MAX_tau = min(SampleSize,ceil(MaxNumberOfBytes/(size(ideH.siH,1)*nparam)/8));
stoH = zeros([size(ideH.siH,1),nparam,MAX_tau]);
stoJJ = zeros([size(ideJ.siJ,1),nparam,MAX_tau]);
stoLRE = zeros([size(ideGP.siLRE,1),np,MAX_tau]);
TAU = zeros(size(ideH.siH,1),SampleSize);
GAM = zeros(size(ideJ.siJ,1),SampleSize);
LRE = zeros(size(ideGP.siLRE,1),SampleSize);
pdraws = zeros(SampleSize,nparam);
idemoments.indJJ = ideJ.indJJ;
idemodel.indH = ideH.indH;
idelre.indLRE = ideGP.indLRE;
idemoments.ind0 = zeros(SampleSize,nparam);
idemodel.ind0 = zeros(SampleSize,nparam);
idelre.ind0 = zeros(SampleSize,np);
idemoments.jweak = zeros(SampleSize,nparam);
idemodel.jweak = zeros(SampleSize,nparam);
idelre.jweak = zeros(SampleSize,np);
idemoments.jweak_pair = zeros(SampleSize,nparam*(nparam+1)/2);
idemodel.jweak_pair = zeros(SampleSize,nparam*(nparam+1)/2);
idelre.jweak_pair = zeros(SampleSize,np*(np+1)/2);
idemoments.cond = zeros(SampleSize,1);
idemodel.cond = zeros(SampleSize,1);
idelre.cond = zeros(SampleSize,1);
idemoments.Mco = zeros(SampleSize,nparam);
idemodel.Mco = zeros(SampleSize,nparam);
idelre.Mco = zeros(SampleSize,np);
idemoments.S = zeros(SampleSize,min(8,nparam));
idemoments.V = zeros(SampleSize,nparam,min(8,nparam));
delete([IdentifDirectoryName '/' M_.fname '_identif_*.mat'])
end
if info(1)==0,
iteration = iteration + 1;
run_index = run_index + 1;
TAU(:,iteration)=ideH.TAU;
LRE(:,iteration)=ideGP.LRE;
GAM(:,iteration)=ideJ.GAM;
idemoments.cond(iteration,1)=ideJ.cond;
idemodel.cond(iteration,1)=ideH.cond;
idelre.cond(iteration,1)=ideGP.cond;
idemoments.ino(iteration,1)=ideJ.ino;
idemodel.ino(iteration,1)=ideH.ino;
idelre.ino(iteration,1)=ideGP.ino;
idemoments.ind0(iteration,:)=ideJ.ind0;
idemodel.ind0(iteration,:)=ideH.ind0;
idelre.ind0(iteration,:)=ideGP.ind0;
idemoments.jweak(iteration,:)=ideJ.jweak;
idemodel.jweak(iteration,:)=ideH.jweak;
idelre.jweak(iteration,:)=ideGP.jweak;
idemoments.jweak_pair(iteration,:)=ideJ.jweak_pair;
idemodel.jweak_pair(iteration,:)=ideH.jweak_pair;
idelre.jweak_pair(iteration,:)=ideGP.jweak_pair;
idemoments.Mco(iteration,:)=ideJ.Mco;
idemodel.Mco(iteration,:)=ideH.Mco;
idelre.Mco(iteration,:)=ideGP.Mco;
idemoments.S(iteration,:)=ideJ.S;
idemoments.V(iteration,:,:)=ideJ.V;
stoLRE(:,:,run_index) = ideGP.siLRE;
stoH(:,:,run_index) = ideH.siH;
stoJJ(:,:,run_index) = ideJ.siJ;
pdraws(iteration,:) = params;
if run_index==MAX_tau || iteration==SampleSize,
file_index = file_index + 1;
if run_index<MAX_tau,
stoH = stoH(:,:,1:run_index);
stoJJ = stoJJ(:,:,1:run_index);
stoLRE = stoLRE(:,:,1:run_index);
end
save([IdentifDirectoryName '/' M_.fname '_identif_' int2str(file_index) '.mat'], 'stoH', 'stoJJ', 'stoLRE')
run_index = 0;
stoH = zeros(size(stoH));
stoJJ = zeros(size(stoJJ));
stoLRE = zeros(size(stoLRE));
end
if SampleSize > 1,
% if exist('OCTAVE_VERSION') || options_.console_mode,
% console_waitbar(0,iteration/SampleSize);
% else
dyn_waitbar(iteration/SampleSize,h,['MC identification checks ',int2str(iteration),'/',int2str(SampleSize)])
% end
end
end
end
if SampleSize > 1,
if exist('OCTAVE_VERSION') || options_.console_mode,
fprintf('\n');
diary on;
else
close(h),
end
normTAU=std(TAU')';
normLRE=std(LRE')';
normGAM=std(GAM')';
normaliz1=std(pdraws);
iter=0;
for ifile_index = 1:file_index,
load([IdentifDirectoryName '/' M_.fname '_identif_' int2str(ifile_index) '.mat'], 'stoH', 'stoJJ', 'stoLRE')
for irun=1:size(stoH,3),
iter=iter+1;
siJnorm(iter,:) = vnorm(stoJJ(:,:,irun)./repmat(normGAM,1,nparam)).*normaliz1;
siHnorm(iter,:) = vnorm(stoH(:,:,irun)./repmat(normTAU,1,nparam)).*normaliz1;
siLREnorm(iter,:) = vnorm(stoLRE(:,:,irun)./repmat(normLRE,1,nparam-offset)).*normaliz1(offset+1:end);
end
end
idemoments.siJnorm = siJnorm;
idemodel.siHnorm = siHnorm;
idelre.siLREnorm = siLREnorm;
save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'pdraws', 'idemodel', 'idemoments', 'idelre', ... %'indJJ', 'indH', 'indLRE', ...
'TAU', 'GAM', 'LRE','-append')
else
siJnorm = idemoments_point.siJnorm;
siHnorm = idemodel_point.siHnorm;
siLREnorm = idelre_point.siLREnorm;
end
else
load([IdentifDirectoryName '/' M_.fname '_identif'])
% identFiles = dir([IdentifDirectoryName '/' M_.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 nargout>3 && iload,
filnam = dir([IdentifDirectoryName '/' M_.fname '_identif_*.mat']);
H=[];
JJ = [];
gp = [];
for j=1:length(filnam),
load([IdentifDirectoryName '/' M_.fname '_identif_',int2str(j),'.mat']);
H = cat(3,H, stoH(:,abs(iload),:));
JJ = cat(3,JJ, stoJJ(:,abs(iload),:));
gp = cat(3,gp, stoLRE(:,abs(iload),:));
end
end
if iload,
disp(['Testing ',parameters])
disp_identification(idehess_point.params, idemodel_point, idemoments_point, name,advanced);
if ~options_.nograph,
plot_identification(idehess_point.params,idemoments_point,idehess_point,idemodel_point,idelre_point,advanced,parameters,name,IdentifDirectoryName);
end
end
if SampleSize > 1,
fprintf('\n')
disp('Testing MC sample')
disp_identification(pdraws, idemodel, idemoments, name);
if ~options_.nograph,
plot_identification(pdraws,idemoments,idehess_point,idemodel,idelre,advanced,'MC sample - ',name, IdentifDirectoryName);
end
if advanced,
jcrit=find(idemoments.ino);
if length(jcrit)<SampleSize,
if isempty(jcrit),
[dum,jmax]=max(idemoments.cond);
fprintf('\n')
tittxt = 'Draw with HIGHEST condition number';
fprintf('\n')
disp(['Testing ',tittxt, '. Press ENTER']), pause(5),
if ~iload,
[idehess_max, idemoments_max, idemodel_max, idelre_max, derivatives_info_max] = ...
identification_analysis(pdraws(jmax,:),indx,indexo,options_ident,dataset_, prior_exist, name_tex,1);
save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'idehess_max', 'idemoments_max','idemodel_max', 'idelre_max', 'jmax', '-append');
end
disp_identification(pdraws(jmax,:), idemodel_max, idemoments_max, name,1);
close all,
if ~options_.nograph,
plot_identification(pdraws(jmax,:),idemoments_max,idehess_max,idemodel_max,idelre_max,1,tittxt,name,IdentifDirectoryName);
end
[dum,jmin]=min(idemoments.cond);
fprintf('\n')
tittxt = 'Draw with SMALLEST condition number';
fprintf('\n')
disp(['Testing ',tittxt, '. Press ENTER']), pause(5),
if ~iload,
[idehess_min, idemoments_min, idemodel_min, idelre_min, derivatives_info_min] = ...
identification_analysis(pdraws(jmin,:),indx,indexo,options_ident,dataset_, prior_exist, name_tex,1);
save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'idehess_min', 'idemoments_min','idemodel_min', 'idelre_min', 'jmin', '-append');
end
disp_identification(pdraws(jmin,:), idemodel_min, idemoments_min, name,1);
close all,
if ~options_.nograph,
plot_identification(pdraws(jmin,:),idemoments_min,idehess_min,idemodel_min,idelre_min,1,tittxt,name,IdentifDirectoryName);
end
else
for j=1:length(jcrit),
tittxt = ['Rank deficient draw n. ',int2str(j)];
fprintf('\n')
disp(['Testing ',tittxt, '. Press ENTER']), pause(5),
if ~iload,
[idehess_(j), idemoments_(j), idemodel_(j), idelre_(j), derivatives_info_(j)] = ...
identification_analysis(pdraws(jcrit(j),:),indx,indexo,options_ident,dataset_, prior_exist, name_tex,1);
end
disp_identification(pdraws(jcrit(j),:), idemodel_(j), idemoments_(j), name,1);
close all,
if ~options_.nograph,
plot_identification(pdraws(jcrit(j),:),idemoments_(j),idehess_(j),idemodel_(j),idelre_(j),1,tittxt,name,IdentifDirectoryName);
end
end
if ~iload,
save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'idehess_', 'idemoments_','idemodel_', 'idelre_', 'jcrit', '-append');
end
end
end
end
end
if exist('OCTAVE_VERSION')
warning('on'),
else
warning on,
end
disp(' ')
disp(['==== Identification analysis completed ====' ]),
disp(' ')
disp(' ')