582 lines
18 KiB
Matlab
582 lines
18 KiB
Matlab
function global_initialization()
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%function global_initialization()
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% initializes global variables and options for DYNARE
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%
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% INPUTS
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% none
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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) 2003-2013 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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global oo_ M_ options_ estim_params_ bayestopt_ estimation_info ex0_ ys0_ ex_det0_
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estim_params_ = [];
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bayestopt_ = [];
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options_.datafile = '';
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options_.verbosity = 1;
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options_.terminal_condition = 0;
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options_.rplottype = 0;
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options_.smpl = 0;
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options_.dynatol.f = 1e-5;
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options_.dynatol.x = 1e-5;
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options_.maxit_ = 10;
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options_.slowc = 1;
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options_.timing = 0;
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options_.gstep = ones(2,1);
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options_.gstep(1) = 1e-2;
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options_.gstep(2) = 1.0;
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options_.scalv = 1;
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options_.debug = 0;
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options_.initval_file = 0;
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options_.Schur_vec_tol = 1e-11; % used to find nonstationary variables in Schur decomposition of the
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% transition matrix
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options_.qz_criterium = [];
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options_.lyapunov_complex_threshold = 1e-15;
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options_.solve_tolf = eps^(1/3);
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options_.solve_tolx = eps^(2/3);
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options_.solve_maxit = 500;
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options_.mode_check_neighbourhood_size = 0.5;
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options_.mode_check_symmetric_plots = 1;
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% Default number of threads for parallelized mex files.
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options_.threads.kronecker.A_times_B_kronecker_C = 1;
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options_.threads.kronecker.sparse_hessian_times_B_kronecker_C = 1;
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options_.threads.local_state_space_iteration_2 = 1;
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% steady state
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options_.jacobian_flag = 1;
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% steady state file
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if exist([M_.fname '_steadystate2.m'],'file')
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options_.steadystate_flag = 2;
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elseif exist([M_.fname '_steadystate.m'],'file')
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options_.steadystate_flag = 1;
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else
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options_.steadystate_flag = 0;
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end
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options_.steadystate_partial = [];
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options_.steadystate.nocheck = 0;
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% subset of the estimated deep parameters
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options_.ParamSubSet = 'None';
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% bvar-dsge
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M_.bvar = [];
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options_.dsge_var = 0;
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options_.dsge_varlag = 4;
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% BVAR a la Sims
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options_.bvar_replic = 2000;
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options_.bvar_prior_tau = 3;
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options_.bvar_prior_decay = 0.5;
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options_.bvar_prior_lambda = 5;
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options_.bvar_prior_mu = 2;
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options_.bvar_prior_omega = 1;
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options_.bvar_prior_flat = 0;
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options_.bvar_prior_train = 0;
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% Optimization algorithm [6] gmhmaxlik
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gmhmaxlik.iterations = 3;
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gmhmaxlik.number = 20000;
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gmhmaxlik.nclimb = 200000;
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gmhmaxlik.nscale = 200000;
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options_.gmhmaxlik = gmhmaxlik;
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% Graphics
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options_.graphics.nrows = 3;
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options_.graphics.ncols = 3;
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options_.graphics.line_types = {'b-'};
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options_.graphics.line_width = 1;
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options_.graph_format = 'eps';
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options_.nodisplay = 0;
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options_.nograph = 0;
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options_.XTick = [];
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options_.XTickLabel = [];
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options_.console_mode = 0;
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if exist('OCTAVE_VERSION')
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if sum(get(0,'screensize'))==4
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options_.console_mode = 1;
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options_.nodisplay = 1;
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end
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else
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if isunix && (~usejava('jvm') || ...
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((matlab_ver_less_than('7.5') && sum(get(0,'ScreenSize'))==4) || ...
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(~matlab_ver_less_than('7.5') && ~feature('ShowFigureWindows'))))
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options_.console_mode = 1;
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options_.nodisplay = 1;
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end
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end
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% IRFs & other stoch_simul output
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options_.irf = 40;
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options_.relative_irf = 0;
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options_.ar = 5;
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options_.hp_filter = 0;
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options_.hp_ngrid = 512;
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options_.nomoments = 0;
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options_.nocorr = 0;
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options_.periods = 0;
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options_.noprint = 0;
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options_.SpectralDensity.trigger = 0;
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options_.SpectralDensity.plot = 1;
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options_.SpectralDensity.cutoff = 150;
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options_.SpectralDensity.sdl = 0.01;
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% Extended path options
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%
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% Set debug flag
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ep.debug = 0;
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% Set memory flag
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ep.memory = 0;
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% Set verbose mode
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ep.verbosity = 0;
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% Set bytecode flag
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ep.use_bytecode = 0;
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% Initialization of the perfect foresight equilibrium paths
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% * init=0, previous solution is used.
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% * init=1, a path generated with the first order reduced form is used.
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% * init=2, mix of cases 0 and 1.
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ep.init = 0;
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% Maximum number of iterations for the deterministic solver.
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ep.maxit = 500;
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% Number of periods for the perfect foresight model.
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ep.periods = 200;
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% Default step for increasing the number of periods if needed
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ep.step = 50;
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% Set check_stability flag
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ep.check_stability = 0;
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% Define last periods used to test if the solution is stable with respect to an increase in the number of periods.
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ep.lp = 5;
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% Define first periods used to test if the solution is stable with respect to an increase in the number of periods.
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ep.fp = 2;
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% Define the distribution for the structural innovations.
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ep.innovation_distribution = 'gaussian';
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% Set flag for the seed
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ep.set_dynare_seed_to_default = 1;
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% Set algorithm for the perfect foresight solver
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ep.stack_solve_algo = 4;
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% Stochastic extended path related options.
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ep.stochastic.method = '';
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ep.stochastic.algo = 0;
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ep.stochastic.quadrature.ortpol = 'hermite';
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ep.stochastic.order = 0;
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ep.stochastic.quadrature.nodes = 5;
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ep.stochastic.quadrature.pruned.status = 0;
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ep.stochastic.quadrature.pruned.relative = 1e-5;
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ep.stochastic.quadrature.pruned.level = 1e-5;
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ep.stochastic.hybrid_order = 0;
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% Copy ep structure in options_ global structure
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options_.ep = ep;
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% Simulations of backward looking models options
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%
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bnlms.set_dynare_seed_to_default = 1;
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bnlms.innovation_distribution = 'gaussian';
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options_.bnlms = bnlms;
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% Particle filter
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%
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% Default is that we do not use the non linear kalman filter
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particle.status = 0;
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% How do we initialize the states?
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particle.initialization = 1;
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particle.initial_state_prior_std = .1;
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% Set the default order of approximation of the model (perturbation).
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particle.perturbation = 2;
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% Set the default number of particles.
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particle.number_of_particles = 500;
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% Set the default approximation order (Smolyak)
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particle.smolyak_accuracy = 3;
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% By default we don't use pruning
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particle.pruning = 0;
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% Set default algorithm
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particle.algorithm = 'sequential_importance_particle_filter';
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% Set the Gaussian approximation method for Importance sampling
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particle.IS_approximation_method = 'unscented';
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% Set the Gaussian approximation method for particles distributions
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particle.approximation_method = 'unscented';
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% Set unscented parameters alpha, beta and kappa for gaussian approximation
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particle.unscented.alpha = .01;
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particle.unscented.beta = 2;
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particle.unscented.kappa = 0;
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% Configuration of resampling in case of particles
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particle.resampling.status = 'systematic'; % 'none', 'generic', 'smoothed'
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particle.resampling.neff_threshold = .5;
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% Choice of the resampling method
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particle.resampling.method1 = 'traditional' ;
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particle.resampling.method2 = 'kitagawa';
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% Number of partitions for the smoothed resampling method
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particle.resampling.number_of_partitions = 200;
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% Configuration of the mixture filters
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%particle.mixture_method = 'particles' ;
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% Size of the different mixtures
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particle.mixture_state_variables = 5 ;
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particle.mixture_structural_shocks = 1 ;
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particle.mixture_measurement_shocks = 1 ;
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% Copy ep structure in options_ global structure
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options_.particle = particle;
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% TeX output
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options_.TeX = 0;
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% Exel
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options_.xls_sheet = 1; % Octave does not support the empty string, rather use first sheet
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options_.xls_range = '';
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% Prior draws
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options_.forecast = 0;
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% Model
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options_.linear = 0;
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% Deterministic simulation
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options_.stack_solve_algo = 0;
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options_.markowitz = 0.5;
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options_.minimal_solving_periods = 1;
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% Solution
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options_.order = 2;
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options_.pruning = 0;
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options_.solve_algo = 2;
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options_.linear = 0;
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options_.replic = 50;
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options_.simul_replic = 1;
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options_.drop = 100;
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% if mjdgges.dll (or .mexw32 or ....) doesn't exist, matlab/qz is added to the path.
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% There exists now qz/mjdgges.m that contains the calls to the old Sims code
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% Hence, if mjdgges.m is visible exist(...)==2,
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% this means that the DLL isn't avaiable and use_qzdiv is set to 1
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if exist('mjdgges','file')==2
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options_.use_qzdiv = 1;
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else
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options_.use_qzdiv = 0;
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end
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options_.aim_solver = 0; % i.e. by default do not use G.Anderson's AIM solver, use mjdgges instead
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options_.k_order_solver=0; % by default do not use k_order_perturbation but mjdgges
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options_.partial_information = 0;
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options_.ACES_solver = 0;
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options_.conditional_variance_decomposition = [];
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% Ramsey policy
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options_.ramsey_policy = 0;
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options_.timeless = 0;
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% estimation
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estimation_info.empty_prior = struct(...
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'domain', [], 'interval', [], 'mean', [], ...
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'median', [], 'mode', [], 'shape', [], ...
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'shift', [], 'stdev', [], 'truncate', [], 'variance', []);
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estimation_info.empty_options = struct(...
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'bounds',[], 'init', [], 'jscale', []);
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estimation_info.subsamples.range = struct('date1', [], 'date2', []);
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estimation_info.parameter.prior = estimation_info.empty_prior;
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estimation_info.parameter.subsample_prior = estimation_info.empty_prior;
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estimation_info.parameter.options = estimation_info.empty_options;
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estimation_info.parameter.subsample_options = estimation_info.empty_options;
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estimation_info.structural_innovation.prior = estimation_info.empty_prior;
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estimation_info.structural_innovation.subsample_prior = estimation_info.empty_prior;
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estimation_info.structural_innovation.options = estimation_info.empty_options;
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estimation_info.structural_innovation.subsample_options = estimation_info.empty_options;
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estimation_info.structural_innovation_corr.prior = estimation_info.empty_prior;
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estimation_info.structural_innovation_corr.subsample_prior = estimation_info.empty_prior;
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estimation_info.structural_innovation_corr.options = estimation_info.empty_options;
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estimation_info.structural_innovation_corr.subsample_options = estimation_info.empty_options;
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estimation_info.measurement_error.prior = estimation_info.empty_prior;
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estimation_info.measurement_error.subsample_prior = estimation_info.empty_prior;
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estimation_info.measurement_error.options = estimation_info.empty_options;
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estimation_info.measurement_error.subsample_options = estimation_info.empty_options;
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estimation_info.measurement_error_corr.prior = estimation_info.empty_prior;
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estimation_info.measurement_error_corr.subsample_prior = estimation_info.empty_prior;
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estimation_info.measurement_error_corr.options = estimation_info.empty_options;
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estimation_info.measurement_error_corr.subsample_options = estimation_info.empty_options;
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estimation_info.subsamples_index = {};
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estimation_info.subsamples.range_index = {};
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estimation_info.parameter_prior_index = {};
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estimation_info.parameter_options_index = {};
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estimation_info.parameter.range_index = {};
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estimation_info.measurement_error_prior_index = {};
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estimation_info.measurement_error_options_index = {};
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estimation_info.measurement_error.range_index = {};
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estimation_info.structural_innovation_prior_index = {};
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estimation_info.structural_innovation_options_index = {};
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estimation_info.structural_innovation.range_index = {};
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estimation_info.measurement_error_corr_prior_index = {};
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estimation_info.measurement_error_corr_options_index = {};
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estimation_info.measurement_error_corr.range_index = {};
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estimation_info.structural_innovation_corr_prior_index = {};
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estimation_info.structural_innovation_corr_options_index = {};
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estimation_info.structural_innovation_corr.range_index = {};
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options_.initial_period = dynDate(1);
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options_.dataset.firstobs = options_.initial_period;
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options_.dataset.lastobs = NaN;
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options_.dataset.nobs = NaN;
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options_.dataset.xls_sheet = NaN;
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options_.dataset.xls_range = NaN;
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options_.Harvey_scale_factor = 10;
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options_.MaxNumberOfBytes = 1e6;
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options_.MaximumNumberOfMegaBytes = 111;
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options_.PosteriorSampleSize = 1000;
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options_.analytic_derivation = 0;
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options_.analytic_derivation_mode = 0;
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options_.bayesian_irf = 0;
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options_.bayesian_th_moments = 0;
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options_.diffuse_filter = 0;
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options_.filter_step_ahead = [];
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options_.filtered_vars = 0;
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options_.first_obs = 1;
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options_.kalman_algo = 0;
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options_.fast_kalman = 0;
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options_.kalman_tol = 1e-10;
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options_.use_univariate_filters_if_singularity_is_detected = 1;
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options_.riccati_tol = 1e-6;
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options_.lik_algo = 1;
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options_.lik_init = 1;
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options_.load_mh_file = 0;
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options_.logdata = 0;
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options_.loglinear = 0;
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options_.mh_conf_sig = 0.90;
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options_.prior_interval = 0.90;
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options_.mh_drop = 0.5;
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options_.mh_jscale = 0.2;
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options_.mh_init_scale = 2*options_.mh_jscale;
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options_.mh_mode = 1;
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options_.mh_nblck = 2;
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options_.mh_recover = 0;
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options_.mh_replic = 20000;
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options_.recursive_estimation_restart = 0;
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options_.mode_check = 0;
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options_.mode_check_nolik = 0;
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options_.mode_compute = 4;
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options_.mode_file = '';
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options_.moments_varendo = 0;
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options_.nk = 1;
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options_.noconstant = 0;
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options_.nodiagnostic = 0;
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options_.mh_posterior_mode_estimation = 0;
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options_.prefilter = 0;
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options_.presample = 0;
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options_.prior_trunc = 1e-10;
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options_.smoother = 0;
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options_.student_degrees_of_freedom = 3;
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options_.sub_draws = [];
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options_.use_mh_covariance_matrix = 0;
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options_.gradient_method = 2;
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options_.gradient_epsilon = 1e-6;
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options_.posterior_sampling_method = 'random_walk_metropolis_hastings';
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options_.proposal_distribution = 'rand_multivariate_normal';
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options_.student_degrees_of_freedom = 3;
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options_.trace_plot_ma = 200;
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options_.mh_autocorrelation_function_size = 30;
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options_.plot_priors = 1;
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options_.cova_compute = 1;
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options_.parallel = 0;
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options_.parallel_info.isHybridMatlabOctave = false;
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options_.parallel_info.leaveSlaveOpen = 0;
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options_.parallel_info.RemoteTmpFolder = '';
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options_.number_of_grid_points_for_kde = 2^9;
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quarter = 1;
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years = [1 2 3 4 5 10 20 30 40 50];
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options_.conditional_variance_decomposition_dates = zeros(1,length(years));
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for i=1:length(years)
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options_.conditional_variance_decomposition_dates(i) = ...
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(years(i)-1)*4+quarter;
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end
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options_.filter_covariance = 0;
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options_.filter_decomposition = 0;
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options_.selected_variables_only = 0;
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options_.initialize_estimated_parameters_with_the_prior_mode = 0;
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options_.estimation_dll = 0;
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% Misc
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options_.conf_sig = 0.6;
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oo_.exo_simul = [];
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oo_.endo_simul = [];
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ys0_ = [];
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ex0_ = [];
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ex_det0_ = [];
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oo_.dr = [];
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oo_.exo_steady_state = [];
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oo_.exo_det_steady_state = [];
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oo_.exo_det_simul = [];
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M_.params = [];
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M_.endo_histval = [];
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M_.Correlation_matrix = [];
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M_.Correlation_matrix_ME = [];
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% homotopy
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options_.homotopy_mode = 0;
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options_.homotopy_steps = 1;
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options_.homotopy_force_continue = 0;
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% Simplex optimization routine (variation on Nelder Mead algorithm).
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options_.simplex = [];
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% CMAES optimization routine.
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cmaes.SaveVariables='off';
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cmaes.DispFinal='on';
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cmaes.WarnOnEqualFunctionValues='no';
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cmaes.DispModulo='10';
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cmaes.LogModulo='0';
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cmaes.LogTime='0';
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options_.cmaes = cmaes;
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% prior analysis
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options_.prior_mc = 20000;
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options_.prior_analysis_endo_var_list = [];
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% did model undergo block decomposition + minimum feedback set computation ?
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options_.block = 0;
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% model evaluated using a compiled MEX
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options_.use_dll = 0;
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% model evaluated using bytecode.dll
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options_.bytecode = 0;
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% if equal to 1 use a fixed point method to solve Sylvester equation (for large scale models)
|
|
options_.sylvester_fp = 0;
|
|
|
|
% convergence criteria to solve iteratively a sylvester equations
|
|
options_.sylvester_fixed_point_tol = 1e-12;
|
|
|
|
% if 1 use a fixed point method to solve Lyapunov equation (for large scale models)
|
|
options_.lyapunov_fp = 0;
|
|
% if 1 use a doubling algorithm to solve Lyapunov equation (for large scale models)
|
|
options_.lyapunov_db = 0;
|
|
% if 1 use a square root solver to solve Lyapunov equation (for large scale models)
|
|
options_.lyapunov_srs = 0;
|
|
|
|
% convergence criterion for iteratives methods to solve lyapunov equations
|
|
options_.lyapunov_fixed_point_tol = 1e-10;
|
|
options_.lyapunov_doubling_tol = 1e-16;
|
|
|
|
% if equal to 1 use a cycle reduction method to compute the decision rule (for large scale models)
|
|
options_.dr_cycle_reduction = 0;
|
|
|
|
% convergence criterion for iteratives methods to solve the decision rule
|
|
options_.dr_cycle_reduction_tol = 1e-7;
|
|
|
|
% if equal to 1 use a logarithmic reduction method to compute the decision rule (for large scale models)
|
|
options_.dr_logarithmic_reduction = 0;
|
|
|
|
% convergence criterion for iteratives methods to solve the decision rule
|
|
options_.dr_logarithmic_reduction_tol = 1e-12;
|
|
|
|
% convergence criterion for iteratives methods to solve the decision rule
|
|
options_.dr_logarithmic_reduction_maxiter = 100;
|
|
|
|
% dates for historical time series
|
|
options_.initial_date.freq = 1;
|
|
options_.initial_date.period = 1;
|
|
options_.initial_date.subperiod = 0;
|
|
|
|
% discretionary policy
|
|
options_.discretionary_policy = 0;
|
|
options_.discretionary_tol = 1e-7;
|
|
|
|
% Shock decomposition
|
|
options_.parameter_set = [];
|
|
|
|
% Nonlinearfilters
|
|
options_.nonlinear_filter = [];
|
|
|
|
% SBVAR & MS SBVAR initializations:
|
|
% SBVAR
|
|
options_.ms.vlistlog = [];
|
|
options_.ms.restriction_fname = 0;
|
|
options_.ms.cross_restrictions = 0;
|
|
options_.ms.contemp_reduced_form = 0;
|
|
options_.ms.real_pseudo_forecast = 0;
|
|
options_.ms.dummy_obs = 0;
|
|
options_.ms.ncsk = 0;
|
|
options_.ms.indxgforhat = 1;
|
|
options_.ms.indxgimfhat = 1;
|
|
options_.ms.indxestima = 1;
|
|
options_.ms.indxgdls = 1;
|
|
options_.ms.cms =0;
|
|
options_.ms.ncms = 0;
|
|
options_.ms.eq_cms = 1;
|
|
options_.ms.banact = 1;
|
|
options_.ms.log_var = [];
|
|
options_.ms.Qi = [];
|
|
options_.ms.Ri = [];
|
|
options_.ms.lower_cholesky = 0;
|
|
options_.ms.upper_cholesky = 0;
|
|
options_.ms.constants_exclusion = 0;
|
|
%options_.ms.nstates = 2;
|
|
%options_.ms.indxscalesstates = 0;
|
|
%options_.ms.q_diag = 0.85;
|
|
%options_.ms.flat_prior = 0;
|
|
%options_.ms.nstd = 6;
|
|
%options_.ms.ninv = 1000;
|
|
%options_.ms.indxparr = 1;
|
|
%options_.ms.indxovr = 0;
|
|
%options_.ms.aband = 1;
|
|
%options_.ms.indxap = 1;
|
|
%options_.ms.apband = 1;
|
|
%options_.ms.indximf = 1;
|
|
%options_.ms.imfband = 1;
|
|
%options_.ms.indxfore = 0;
|
|
%options_.ms.foreband = 0;
|
|
%options_.ms.cnum = 0;
|
|
|
|
% MS SBVAR (and some SBVAR)
|
|
options_ = initialize_ms_sbvar_options(M_, options_);
|
|
|
|
% saved graph formats
|
|
options_.graph_save_formats.eps = 1;
|
|
options_.graph_save_formats.pdf = 0;
|
|
options_.graph_save_formats.fig = 0;
|
|
|
|
% risky steady state
|
|
options_.risky_steadystate = 0;
|
|
|
|
% endogenous prior
|
|
options_.endogenous_prior = 0;
|
|
options_.endogenous_prior_restrictions.irf={};
|
|
|
|
% use GPU
|
|
options_.gpu = 0;
|
|
|
|
% initialize persistent variables in priordens()
|
|
priordens([],[],[],[],[],[],1);
|
|
% initialize persistent variables in dyn_first_order_solver()
|
|
dyn_first_order_solver();
|
|
|
|
% Set dynare random generator and seed.
|
|
set_dynare_seed('default');
|
|
|
|
% Create directories
|
|
[junk,junk]=mkdir(M_.fname);
|
|
[junk,junk]=mkdir([M_.fname '/Output']);
|
|
|
|
% Load user configuration file.
|
|
if isfield(options_, 'global_init_file')
|
|
run(options_.global_init_file);
|
|
end
|
|
|