424 lines
18 KiB
Matlab
424 lines
18 KiB
Matlab
function redform_map(dirname,options_gsa_)
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%function redform_map(dirname)
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% inputs (from opt_gsa structure
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% anamendo = options_gsa_.namendo;
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% anamlagendo = options_gsa_.namlagendo;
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% anamexo = options_gsa_.namexo;
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% iload = options_gsa_.load_redform;
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% pprior = options_gsa_.pprior;
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% ilog = options_gsa_.logtrans_redform;
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% threshold = options_gsa_.threshold_redform;
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% ksstat = options_gsa_.ksstat_redform;
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% alpha2 = options_gsa_.alpha2_redform;
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%
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% Written by Marco Ratto
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% Joint Research Centre, The European Commission,
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% (http://eemc.jrc.ec.europa.eu/),
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% marco.ratto@jrc.it
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%
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% Reference:
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% M. Ratto, Global Sensitivity Analysis for Macroeconomic models, MIMEO, 2006.
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% Copyright (C) 2012-2013 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 M_ oo_ estim_params_ options_ bayestopt_
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% options_gsa_ = options_.opt_gsa;
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anamendo = options_gsa_.namendo;
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anamlagendo = options_gsa_.namlagendo;
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anamexo = options_gsa_.namexo;
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iload = options_gsa_.load_redform;
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pprior = options_gsa_.pprior;
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ilog = options_gsa_.logtrans_redform;
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threshold = options_gsa_.threshold_redform;
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% ksstat = options_gsa_.ksstat_redform;
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alpha2 = options_gsa_.alpha2_redform;
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alpha2=0;
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pvalue_ks = options_gsa_.ksstat_redform;
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pvalue_corr = options_gsa_.alpha2_redform;
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pnames = M_.param_names(estim_params_.param_vals(:,1),:);
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if nargin==0,
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dirname='';
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end
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if pprior
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load([dirname,filesep,M_.fname,'_prior'],'lpmat', 'lpmat0', 'istable','T');
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adir=[dirname filesep 'redform_stab'];
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else
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load([dirname,filesep,M_.fname,'_mc'],'lpmat', 'lpmat0', 'istable','T');
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adir=[dirname filesep 'redform_mc'];
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end
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if ~exist('T')
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stab_map_(dirname,options_gsa_);
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if pprior
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load([dirname,filesep,M_.fname,'_prior'],'T');
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else
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load([dirname,filesep,M_.fname,'_mc'],'T');
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end
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if ~exist('T'),
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disp('The model is too large!')
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disp('Reduced form mapping stopped!')
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return
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end
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end
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if isempty(dir(adir))
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mkdir(adir)
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end
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adir0=pwd;
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%cd(adir)
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nspred=size(T,2)-M_.exo_nbr;
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x0=lpmat(istable,:);
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if isempty(lpmat0),
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xx0=[];
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nshocks=0;
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else
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xx0=lpmat0(istable,:);
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nshocks=size(xx0,2);
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end
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[kn, np]=size(x0);
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offset = length(bayestopt_.pshape)-np;
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if options_gsa_.prior_range,
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pshape=5*(ones(np,1));
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pd = [NaN(np,1) NaN(np,1) bayestopt_.lb(offset+1:end) bayestopt_.ub(offset+1:end)];
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else
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pshape = bayestopt_.pshape(offset+1:end);
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pd = [bayestopt_.p6(offset+1:end) bayestopt_.p7(offset+1:end) bayestopt_.p3(offset+1:end) bayestopt_.p4(offset+1:end)];
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end
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nsok = length(find(M_.lead_lag_incidence(M_.maximum_lag,:)));
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lpmat=[];
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lpmat0=[];
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js=0;
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for j=1:size(anamendo,1)
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namendo=deblank(anamendo(j,:));
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iendo=strmatch(namendo,M_.endo_names(oo_.dr.order_var,:),'exact');
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ifig=0;
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iplo=0;
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for jx=1:size(anamexo,1)
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namexo=deblank(anamexo(jx,:));
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iexo=strmatch(namexo,M_.exo_names,'exact');
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disp(' ')
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disp(['[', namendo,' vs. ',namexo,']'])
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if ~isempty(iexo),
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%y0=squeeze(T(iendo,iexo+nspred,istable));
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y0=squeeze(T(iendo,iexo+nspred,:));
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if (max(y0)-min(y0))>1.e-10,
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if mod(iplo,9)==0 && isempty(threshold) && ~options_.nograph,
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ifig=ifig+1;
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hfig = dyn_figure(options_,'name',['Reduced Form Mapping: ', namendo,' vs. shocks ',int2str(ifig)]);
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iplo=0;
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end
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iplo=iplo+1;
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js=js+1;
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xdir0 = [adir,filesep,namendo,'_vs_', namexo];
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if ilog==0,
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if isempty(threshold)
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if isempty(dir(xdir0))
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mkdir(xdir0)
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end
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si(:,js) = redform_private(x0, y0, pshape, pd, iload, pnames, namendo, namexo, xdir0, options_gsa_);
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else
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iy=find( (y0>threshold(1)) & (y0<threshold(2)));
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iyc=find( (y0<=threshold(1)) | (y0>=threshold(2)));
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xdir = [xdir0,'_threshold'];
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if isempty(dir(xdir))
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mkdir(xdir)
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end
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if ~options_.nograph,
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hf=dyn_figure(options_,'name',['Reduced Form Mapping: ',namendo,' vs. ', namexo]); hist(y0,30), title([namendo,' vs. ', namexo],'interpreter','none')
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dyn_saveas(hf,[xdir,filesep, namendo,'_vs_', namexo],options_);
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end
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% if ~isempty(iy),
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% si(:,js) = redform_private(x0(iy,:), y0(iy), pshape, pd, iload, pnames, namendo, namexo, xdir, options_gsa_);
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% else
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si(:,js) = NaN(np,1);
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% end
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if length(iy)>size(x0,2) && length(iyc)>size(x0,2)
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delete([xdir, '/*threshold*.*'])
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[proba, dproba] = stab_map_1(x0, iy, iyc, 'threshold',0);
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% indsmirnov = find(dproba>ksstat);
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indsmirnov = find(proba<pvalue_ks);
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for jp=1:length(indsmirnov),
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disp([M_.param_names(estim_params_.param_vals(indsmirnov(jp),1),:),' d-stat = ', num2str(dproba(indsmirnov(jp)),'%1.3f'),' p-value = ', num2str(proba(indsmirnov(jp)),'%1.3f')])
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end
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disp(' ');
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stab_map_1(x0, iy, iyc, 'threshold',pvalue_ks,indsmirnov,xdir,[],['Reduced Form Mapping (Threshold) for ', namendo,' vs. lagged ', namexo]);
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stab_map_2(x0(iy,:),alpha2,pvalue_corr,'inside_threshold',xdir,[],['Reduced Form Mapping (Inside Threshold)for ', namendo,' vs. lagged ', namexo])
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stab_map_2(x0(iyc,:),alpha2,pvalue_corr,'outside_threshold',xdir,[],['Reduced Form Mapping (Outside Threshold) for ', namendo,' vs. lagged ', namexo])
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lpmat=x0(iy,:);
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if nshocks,
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lpmat0=xx0(iy,:);
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end
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istable=[1:length(iy)];
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save([xdir,filesep,'threshold.mat'],'lpmat','lpmat0','istable','y0','x0','xx0','iy','iyc')
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lpmat=[]; lpmat0=[]; istable=[];
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end
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end
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else
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[yy, xdir] = log_trans_(y0,xdir0);
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if isempty(dir(xdir))
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mkdir(xdir)
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end
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silog(:,js) = redform_private(x0, yy, pshape, pd, iload, pnames, namendo, namexo, xdir, options_gsa_);
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end
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if isempty(threshold) && ~options_.nograph,
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figure(hfig)
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subplot(3,3,iplo),
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if ilog,
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[saso, iso] = sort(-silog(:,js));
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bar([silog(iso(1:min(np,10)),js)])
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logflag='log';
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else
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[saso, iso] = sort(-si(:,js));
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bar(si(iso(1:min(np,10)),js))
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logflag='';
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end
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%set(gca,'xticklabel',pnames(iso(1:min(np,10)),:),'fontsize',8)
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set(gca,'xticklabel',' ','fontsize',10)
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set(gca,'xlim',[0.5 10.5])
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for ip=1:min(np,10),
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text(ip,-0.02,deblank(pnames(iso(ip),:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
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end
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title([logflag,' ',namendo,' vs. ',namexo],'interpreter','none')
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if iplo==9,
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dyn_saveas(hfig,[dirname,filesep,M_.fname,'_redform_', namendo,'_vs_shocks_',logflag,num2str(ifig)],options_);
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end
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end
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end
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end
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end
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if iplo<9 && iplo>0 && ifig && ~options_.nograph,
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dyn_saveas(hfig,[dirname,filesep,M_.fname,'_redform_', namendo,'_vs_shocks_',logflag,num2str(ifig)],options_);
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end
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ifig=0;
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iplo=0;
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for je=1:size(anamlagendo,1)
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namlagendo=deblank(anamlagendo(je,:));
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ilagendo=strmatch(namlagendo,M_.endo_names(oo_.dr.order_var(M_.nstatic+1:M_.nstatic+nsok),:),'exact');
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disp(' ')
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disp(['[', namendo,' vs. lagged ',namlagendo,']'])
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if ~isempty(ilagendo),
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%y0=squeeze(T(iendo,ilagendo,istable));
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y0=squeeze(T(iendo,ilagendo,:));
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if (max(y0)-min(y0))>1.e-10,
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if mod(iplo,9)==0 && isempty(threshold) && ~options_.nograph,
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ifig=ifig+1;
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hfig = dyn_figure(options_,'name',['Reduced Form Mapping: ' namendo,' vs. lags ',int2str(ifig)]);
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iplo=0;
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end
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iplo=iplo+1;
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js=js+1;
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xdir0 = [adir,filesep,namendo,'_vs_', namlagendo];
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if ilog==0,
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if isempty(threshold)
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if isempty(dir(xdir0))
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mkdir(xdir0)
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end
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si(:,js) = redform_private(x0, y0, pshape, pd, iload, pnames, namendo, namlagendo, xdir0, options_gsa_);
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else
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iy=find( (y0>threshold(1)) & (y0<threshold(2)));
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iyc=find( (y0<=threshold(1)) | (y0>=threshold(2)));
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xdir = [xdir0,'_threshold'];
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if isempty(dir(xdir))
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mkdir(xdir)
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end
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% if ~isempty(iy)
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% si(:,js) = redform_private(x0(iy,:), y0(iy), pshape, pd, iload, pnames, namendo, namlagendo, xdir, options_gsa_);
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% end
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if ~options_.nograph,
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hf=dyn_figure(options_,'name',['Reduced Form Mapping: ',namendo,' vs. lagged ', namlagendo]); hist(y0,30), title([namendo,' vs. lagged ', namlagendo],'interpreter','none')
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dyn_saveas(hf,[xdir,filesep, namendo,'_vs_', namlagendo],options_);
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end
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if length(iy)>size(x0,2) && length(iyc)>size(x0,2),
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delete([xdir, '/*threshold*.*'])
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[proba, dproba] = stab_map_1(x0, iy, iyc, 'threshold',0);
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% indsmirnov = find(dproba>ksstat);
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indsmirnov = find(proba<pvalue_ks);
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for jp=1:length(indsmirnov),
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disp([M_.param_names(estim_params_.param_vals(indsmirnov(jp),1),:),' d-stat = ', num2str(dproba(indsmirnov(jp)),'%1.3f'),' p-value = ', num2str(proba(indsmirnov(jp)),'%1.3f')])
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end
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disp(' ');
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stab_map_1(x0, iy, iyc, 'threshold',pvalue_ks,indsmirnov,xdir,[],['Reduced Form Mapping (Threshold) for ', namendo,' vs. lagged ', namlagendo]);
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stab_map_2(x0(iy,:),alpha2,pvalue_corr,'inside_threshold',xdir,[],['Reduced Form Mapping (Inside Threshold) for ', namendo,' vs. lagged ', namlagendo])
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stab_map_2(x0(iyc,:),alpha2,pvalue_corr,'outside_threshold',xdir,[],['Reduced Form Mapping (Outside Threshold) for ', namendo,' vs. lagged ', namlagendo])
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lpmat=x0(iy,:);
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if nshocks,
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lpmat0=xx0(iy,:);
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end
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istable=[1:length(iy)];
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save([xdir,filesep,'threshold.mat'],'lpmat','lpmat0','istable','y0','x0','xx0','iy','iyc')
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lpmat=[]; lpmat0=[]; istable=[];
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end
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end
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else
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[yy, xdir] = log_trans_(y0,xdir0);
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if isempty(dir(xdir))
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mkdir(xdir)
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end
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silog(:,js) = redform_private(x0, yy, pshape, pd, iload, pnames, namendo, namlagendo, xdir, options_gsa_);
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end
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if isempty(threshold) && ~options_.nograph
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figure(hfig),
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subplot(3,3,iplo),
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if ilog,
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[saso, iso] = sort(-silog(:,js));
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bar([silog(iso(1:min(np,10)),js)])
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logflag='log';
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else
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[saso, iso] = sort(-si(:,js));
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bar(si(iso(1:min(np,10)),js))
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logflag='';
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end
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%set(gca,'xticklabel',pnames(iso(1:min(np,10)),:),'fontsize',8)
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set(gca,'xticklabel',' ','fontsize',10)
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set(gca,'xlim',[0.5 10.5])
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for ip=1:min(np,10),
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text(ip,-0.02,deblank(pnames(iso(ip),:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
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end
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title([logflag,' ',namendo,' vs. ',namlagendo,'(-1)'],'interpreter','none')
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if iplo==9,
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dyn_saveas(hfig,[dirname,filesep,M_.fname,'_redform_', namendo,'_vs_lags_',logflag,num2str(ifig)],options_);
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end
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end
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end
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end
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end
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if iplo<9 && iplo>0 && ifig && ~options_.nograph,
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dyn_saveas(hfig,[dirname,filesep,M_.fname,'_redform_', namendo,'_vs_lags_',logflag,num2str(ifig)],options_);
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end
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end
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if isempty(threshold) && ~options_.nograph,
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if ilog==0,
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hfig=dyn_figure(options_,'name','Reduced Form GSA'); %bar(si)
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% boxplot(si','whis',10,'symbol','r.')
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myboxplot(si',[],'.',[],10)
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xlabel(' ')
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set(gca,'xticklabel',' ','fontsize',10,'xtick',[1:np])
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set(gca,'xlim',[0.5 np+0.5])
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set(gca,'ylim',[0 1])
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set(gca,'position',[0.13 0.2 0.775 0.7])
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for ip=1:np,
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text(ip,-0.02,deblank(pnames(ip,:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
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end
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title('Reduced form GSA')
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dyn_saveas(hfig,[dirname,filesep,M_.fname,'_redform_gsa'],options_);
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else
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hfig=dyn_figure(options_,'name','Reduced Form GSA'); %bar(silog)
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% boxplot(silog','whis',10,'symbol','r.')
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myboxplot(silog',[],'.',[],10)
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set(gca,'xticklabel',' ','fontsize',10,'xtick',[1:np])
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xlabel(' ')
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set(gca,'xlim',[0.5 np+0.5])
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set(gca,'ylim',[0 1])
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set(gca,'position',[0.13 0.2 0.775 0.7])
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for ip=1:np,
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text(ip,-0.02,deblank(pnames(ip,:)),'rotation',90,'HorizontalAlignment','right','interpreter','none')
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end
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title('Reduced form GSA - Log-transformed elements')
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dyn_saveas(hfig,[dirname,filesep,M_.fname,'_redform_gsa_log'],options_);
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end
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end
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function si = redform_private(x0, y0, pshape, pd, iload, pnames, namy, namx, xdir, opt_gsa)
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global bayestopt_ options_
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% opt_gsa=options_.opt_gsa;
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np=size(x0,2);
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x00=x0;
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if opt_gsa.prior_range,
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for j=1:np,
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x0(:,j)=(x0(:,j)-pd(j,3))./(pd(j,4)-pd(j,3));
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end
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else
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x0=priorcdf(x0,pshape, pd(:,1), pd(:,2), pd(:,3), pd(:,4));
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end
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fname=[xdir,'/map'];
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if iload==0,
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if isempty(dir(xdir))
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mkdir(xdir)
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end
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if ~options_.nograph,
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hfig=dyn_figure(options_,'name',['Reduced Form Mapping: ', namy,' vs. ', namx]); hist(y0,30), title([namy,' vs. ', namx],'interpreter','none')
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dyn_saveas(hfig,[xdir,filesep, namy,'_vs_', namx],options_);
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end
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% gsa_ = gsa_sdp_dyn(y0, x0, -2, [],[],[],1,fname, pnames);
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nrun=length(y0);
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nest=min(250,nrun);
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nfit=min(1000,nrun);
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% dotheplots = (nfit<=nest);
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gsa_ = gsa_sdp(y0(1:nest), x0(1:nest,:), 2, [],[-1 -1 -1 -1 -1 0],[],0,[fname,'_est'], pnames);
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if nfit>nest,
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gsa_ = gsa_sdp(y0(1:nfit), x0(1:nfit,:), -2, gsa_.nvr*nest^3/nfit^3,[-1 -1 -1 -1 -1 0],[],0,fname, pnames);
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end
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save([fname,'.mat'],'gsa_')
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[sidum, iii]=sort(-gsa_.si);
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gsa_.x0=x00(1:nfit,:);
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if ~options_.nograph,
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hfig=gsa_sdp_plot(gsa_,fname,pnames,iii(1:min(12,np)));
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if options_.nodisplay
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close(hfig);
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end
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end
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gsa_.x0=x0(1:nfit,:);
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% copyfile([fname,'_est.mat'],[fname,'.mat'])
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if ~options_.nograph,
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hfig=dyn_figure(options_,'name',['Reduced Form Mapping: ' namy,'_vs_', namx,'_fit']);
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plot(y0(1:nfit),[gsa_.fit y0(1:nfit)],'.'),
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title([namy,' vs. ', namx,' fit'],'interpreter','none')
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dyn_saveas(hfig,[xdir,filesep, namy,'_vs_', namx,'_fit'],options_);
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if nfit<nrun,
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npred=[nfit+1:nrun];
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yf = ss_anova_fcast(x0(npred,:), gsa_);
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hfig=dyn_figure(options_,'name',['Reduced Form Mapping: ' namy,'_vs_', namx,'_pred']);
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plot(y0(npred),[yf y0(npred)],'.'),
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title([namy,' vs. ', namx,' pred'],'interpreter','none')
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dyn_saveas(hfig,[xdir,filesep, namy,'_vs_', namx,'_pred'],options_);
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end
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|
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|
end
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else
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% gsa_ = gsa_sdp_dyn(y0, x0, 0, [],[],[],0,fname, pnames);
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gsa_ = gsa_sdp(y0, x0, 0, [],[],[],0,fname, pnames);
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if ~options_.nograph,
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|
yf = ss_anova_fcast(x0, gsa_);
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hfig=dyn_figure(options_,['Reduced Form Mapping: ' namy,'_vs_', namx,'_pred']);
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|
plot(y0,[yf y0],'.'),
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title([namy,' vs. ', namx,' pred'],'interpreter','none')
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dyn_saveas(hfig,[xdir,filesep, namy,'_vs_', namx,'_pred'],options_);
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end
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end
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% si = gsa_.multivariate.si;
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si = gsa_.si;
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|