222 lines
8.9 KiB
Matlab
222 lines
8.9 KiB
Matlab
function mode_check(fun,x,hessian_mat,DynareDataset,DatasetInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults)
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% Checks the estimated ML mode or Posterior mode.
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%@info:
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%! @deftypefn {Function File} mode_check (@var{fun}, @var{x}, @var{hessian_mat}, @var{DynareDataset}, @var{DynareOptions}, @var{Model}, @var{EstimatedParameters}, @var{BayesInfo}, @var{DynareResults})
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%! @anchor{mode_check}
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%! @sp 1
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%! Checks the estimated ML mode or Posterior mode by plotting sections of the likelihood/posterior kernel.
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%! Each plot shows the variation of the likelihood implied by the variations of a single parameter, ceteris paribus)
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%! @sp 2
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%! @strong{Inputs}
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%! @sp 1
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%! @table @ @var
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%! @item fun
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%! Objective function.
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%! @item x
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%! Estimated mode.
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%! @item start
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%! Hessian of the objective function at the estimated mode @var{x}.
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%! @item DynareDataset
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%! Structure specifying the dataset used for estimation (dataset_).
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%! @item DynareOptions
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%! Structure defining dynare's options (options_).
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%! @item Model
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%! Structure specifying the (estimated) model (M_).
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%! @item EstimatedParameters
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%! Structure specifying the estimated parameters (estimated_params_).
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%! @item BayesInfo
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%! Structure containing information about the priors used for estimation (bayestopt_).
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%! @item DynareResults
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%! Structure gathering the results (oo_).
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%! @end table
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%! @sp 2
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%! @strong{Outputs}
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%! @sp 2
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%! @strong{This function is called by:}
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%! @sp 2
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%! @strong{This function calls:}
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%! The objective function (@var{func}).
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%! @end deftypefn
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%@eod:
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% Copyright © 2003-2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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TeX = DynareOptions.TeX;
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if ~isempty(hessian_mat)
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[ s_min, k ] = min(diag(hessian_mat));
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end
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fval = feval(fun,x,DynareDataset,DatasetInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults);
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if ~isempty(hessian_mat)
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skipline()
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disp('MODE CHECK')
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skipline()
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fprintf('Fval obtained by the minimization routine (minus the posterior/likelihood)): %f', fval);
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skipline()
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if s_min<eps
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disp(sprintf('Most negative variance %f for parameter %d (%s = %f)', s_min, k , BayesInfo.name{k}, x(k)))
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end
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end
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[nbplt,nr,nc,lr,lc,nstar] = pltorg(length(x));
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if ~exist([Model.dname filesep 'graphs'],'dir')
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mkdir(Model.dname,'graphs');
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end
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if TeX && any(strcmp('eps',cellstr(DynareOptions.graph_format)))
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fidTeX = fopen([Model.dname, '/graphs/', Model.fname '_CheckPlots.tex'],'w');
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fprintf(fidTeX,'%% TeX eps-loader file generated by mode_check.m (Dynare).\n');
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fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
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fprintf(fidTeX,' \n');
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end
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ll = DynareOptions.mode_check.neighbourhood_size;
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if isinf(ll)
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DynareOptions.mode_check.symmetric_plots = false;
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end
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mcheck = struct('cross',struct(),'emode',struct());
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for plt = 1:nbplt
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if TeX
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NAMES = [];
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TeXNAMES = [];
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end
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hh = dyn_figure(DynareOptions.nodisplay,'Name','Mode check plots');
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for k=1:min(nstar,length(x)-(plt-1)*nstar)
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subplot(nr,nc,k)
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kk = (plt-1)*nstar+k;
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[name,texname] = get_the_name(kk,TeX,Model,EstimatedParameters,DynareOptions);
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xx = x;
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if x(kk)~=0 && ~isinf(BoundsInfo.lb(kk)) && ~isinf(BoundsInfo.ub(kk))
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l1 = max(BoundsInfo.lb(kk),(1-sign(x(kk))*ll)*x(kk)); m1 = 0; %lower bound
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l2 = min(BoundsInfo.ub(kk),(1+sign(x(kk))*ll)*x(kk)); %upper bound
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else
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%size info for 0 parameter is missing, use prior standard
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%deviation
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upper_bound=BoundsInfo.lb(kk);
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if isinf(upper_bound)
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upper_bound=-1e-6*DynareOptions.huge_number;
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end
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lower_bound=BoundsInfo.ub(kk);
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if isinf(lower_bound)
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lower_bound=-1e-6*DynareOptions.huge_number;
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end
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l1 = max(lower_bound,-BayesInfo.p2(kk)); m1 = 0; %lower bound
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l2 = min(upper_bound,BayesInfo.p2(kk)); %upper bound
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end
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binding_lower_bound=0;
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binding_upper_bound=0;
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if abs(x(kk)-BoundsInfo.lb(kk))<1e-8
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binding_lower_bound=1;
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bound_value=BoundsInfo.lb(kk);
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elseif abs(x(kk)-BoundsInfo.ub(kk))<1e-8
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binding_upper_bound=1;
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bound_value=BoundsInfo.ub(kk);
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end
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if DynareOptions.mode_check.symmetric_plots && ~binding_lower_bound && ~binding_upper_bound
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if l2<(1+ll)*x(kk) %test whether upper bound is too small due to prior binding
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l1 = x(kk) - (l2-x(kk)); %adjust lower bound to become closer
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m1 = 1;
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end
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if ~m1 && (l1>(1-ll)*x(kk)) && (x(kk)+(x(kk)-l1)<BoundsInfo.ub(kk)) % if lower bound was truncated and using difference from lower bound does not violate upper bound
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l2 = x(kk) + (x(kk)-l1); %set upper bound to same distance as lower bound
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end
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end
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z1 = l1:((x(kk)-l1)/(DynareOptions.mode_check.number_of_points/2)):x(kk);
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z2 = x(kk):((l2-x(kk))/(DynareOptions.mode_check.number_of_points/2)):l2;
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z = union(z1,z2);
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if ~DynareOptions.mode_check.nolik
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y = zeros(length(z),2);
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dy = priordens(xx,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
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end
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for i=1:length(z)
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xx(kk) = z(i);
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[fval, info, exit_flag] = feval(fun,xx,DynareDataset,DatasetInfo,DynareOptions,Model,EstimatedParameters,BayesInfo,BoundsInfo,DynareResults);
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if exit_flag
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y(i,1) = fval;
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else
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y(i,1) = NaN;
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if DynareOptions.debug
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fprintf('mode_check:: could not solve model for parameter %s at value %4.3f, error code: %u (%s)\n',name,z(i),info(1),get_error_message(info, DynareOptions))
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end
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end
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if ~DynareOptions.mode_check.nolik
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lnprior = priordens(xx,BayesInfo.pshape,BayesInfo.p6,BayesInfo.p7,BayesInfo.p3,BayesInfo.p4);
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y(i,2) = (y(i,1)+lnprior-dy);
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end
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end
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mcheck.cross = setfield(mcheck.cross, name, [transpose(z), -y]);
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mcheck.emode = setfield(mcheck.emode, name, x(kk));
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fighandle=plot(z,-y);
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hold on
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yl=get(gca,'ylim');
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plot( [x(kk) x(kk)], yl, 'c', 'LineWidth', 1)
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NaN_index = find(isnan(y(:,1)));
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zNaN = z(NaN_index);
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yNaN = yl(1)*ones(size(NaN_index));
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plot(zNaN,yNaN,'o','MarkerEdgeColor','r','MarkerFaceColor','r','MarkerSize',6);
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if TeX
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title(texname,'interpreter','latex')
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else
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title(name,'interpreter','none')
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end
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axis tight
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if binding_lower_bound || binding_upper_bound
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xl=get(gca,'xlim');
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plot( [bound_value bound_value], yl, 'r--', 'LineWidth', 1)
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xlim([xl(1)-0.5*binding_lower_bound*(xl(2)-xl(1)) xl(2)+0.5*binding_upper_bound*(xl(2)-xl(1))])
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end
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hold off
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drawnow
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end
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if ~DynareOptions.mode_check.nolik
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if isoctave
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axes('outerposition',[0.3 0.93 0.42 0.07],'box','on'),
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else
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axes('position',[0.3 0.01 0.42 0.05],'box','on'),
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end
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line_color=get(fighandle,'color');
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plot([0.48 0.68],[0.5 0.5],'color',line_color{2})
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hold on, plot([0.04 0.24],[0.5 0.5],'color',line_color{1})
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set(gca,'xlim',[0 1],'ylim',[0 1],'xtick',[],'ytick',[])
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text(0.25,0.5,'log-post')
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text(0.69,0.5,'log-lik kernel')
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end
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dyn_saveas(hh,[Model.dname, '/graphs/', Model.fname '_CheckPlots' int2str(plt) ],DynareOptions.nodisplay,DynareOptions.graph_format);
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if TeX && any(strcmp('eps',cellstr(DynareOptions.graph_format)))
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% TeX eps loader file
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fprintf(fidTeX,'\\begin{figure}[H]\n');
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fprintf(fidTeX,'\\centering \n');
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fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_CheckPlots%s}\n',DynareOptions.figures.textwidth*min(k/nc,1),[Model.dname, '/graphs/',Model.fname],int2str(plt));
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fprintf(fidTeX,'\\caption{Check plots.}');
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fprintf(fidTeX,'\\label{Fig:CheckPlots:%s}\n',int2str(plt));
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fprintf(fidTeX,'\\end{figure}\n');
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fprintf(fidTeX,' \n');
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end
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end
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if TeX && any(strcmp('eps',cellstr(DynareOptions.graph_format)))
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fclose(fidTeX);
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end
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OutputDirectoryName = CheckPath('modecheck',Model.dname);
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save([OutputDirectoryName '/check_plot_data.mat'],'mcheck');
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