379 lines
13 KiB
Matlab
379 lines
13 KiB
Matlab
function x0=dynare_sensitivity(options_gsa)
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% Part of the Sensitivity Analysis Toolbox for DYNARE
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%
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% Written by Marco Ratto, 2006
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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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% Disclaimer: This software is not subject to copyright protection and is in the public domain.
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% It is an experimental system. The Joint Research Centre of European Commission
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% assumes no responsibility whatsoever for its use by other parties
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% and makes no guarantees, expressed or implied, about its quality, reliability, or any other
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% characteristic. We would appreciate acknowledgement if the software is used.
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% Reference:
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% M. Ratto, Global Sensitivity Analysis for Macroeconomic models, MIMEO, 2006.
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%
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global M_ options_ oo_ bayestopt_ estim_params_
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fname_ = M_.fname;
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M_.dname = fname_;
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lgy_ = M_.endo_names;
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x0=[];
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options_gsa = set_default_option(options_gsa,'datafile',[]);
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if isfield(options_gsa,'nograph'),
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options_.nograph=options_gsa.nograph;
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end
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if isfield(options_gsa,'mode_file'),
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options_.mode_file=options_gsa.mode_file;
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end
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if ~isempty(options_gsa.datafile) | isempty(bayestopt_),
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options_.datafile = options_gsa.datafile;
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if isfield(options_gsa,'first_obs'),
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options_.first_obs=options_gsa.first_obs;
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end
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if isfield(options_gsa,'nobs'),
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options_.nobs=options_gsa.nobs;
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end
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if isfield(options_gsa,'presample'),
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options_.presample=options_gsa.presample;
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end
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if isfield(options_gsa,'prefilter'),
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options_.prefilter=options_gsa.prefilter;
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end
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if isfield(options_gsa,'loglinear'),
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options_.loglinear=options_gsa.loglinear;
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end
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options_.mode_compute = 0;
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[data,rawdata]=dynare_estimation_init([],1);
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% computes a first linear solution to set up various variables
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dynare_resolve;
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end
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options_gsa = set_default_option(options_gsa,'identification',0);
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if options_gsa.identification,
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options_gsa.redform=0;
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options_gsa = set_default_option(options_gsa,'morris',1);
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options_gsa = set_default_option(options_gsa,'trans_ident',0);
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options_gsa = set_default_option(options_gsa,'load_ident',0);
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end
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% map stability
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options_gsa = set_default_option(options_gsa,'stab',1);
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options_gsa = set_default_option(options_gsa,'redform',0);
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options_gsa = set_default_option(options_gsa,'pprior',1);
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options_gsa = set_default_option(options_gsa,'prior_range',1);
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options_gsa = set_default_option(options_gsa,'ppost',0);
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options_gsa = set_default_option(options_gsa,'ilptau',1);
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options_gsa = set_default_option(options_gsa,'morris',0);
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options_gsa = set_default_option(options_gsa,'glue',0);
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options_gsa = set_default_option(options_gsa,'morris_nliv',6);
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options_gsa = set_default_option(options_gsa,'morris_ntra',20);
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options_gsa = set_default_option(options_gsa,'Nsam',2048);
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options_gsa = set_default_option(options_gsa,'load_redform',0);
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options_gsa = set_default_option(options_gsa,'load_rmse',0);
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options_gsa = set_default_option(options_gsa,'load_stab',0);
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options_gsa = set_default_option(options_gsa,'alpha2_stab',0.3);
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options_gsa = set_default_option(options_gsa,'ksstat',0.1);
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%options_gsa = set_default_option(options_gsa,'load_mh',0);
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if options_gsa.redform,
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options_gsa.pprior=1;
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options_gsa.ppost=0;
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end
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if ~(exist('stab_map_','file')==6 | exist('stab_map_','file')==2),
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dynare_root = strrep(which('dynare.m'),'dynare.m','');
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gsa_path = [dynare_root 'gsa'];
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if exist(gsa_path)
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addpath(gsa_path,path)
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else
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disp('Download Dynare sensitivity routines at:')
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disp('http://eemc.jrc.ec.europa.eu/softwareDYNARE-Dowload.htm')
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disp(' ' )
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error('GSA routines missing!')
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end
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end
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if options_gsa.morris,
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options_gsa.redform=1;
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options_gsa.pprior=1;
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options_gsa.ppost=0;
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%options_gsa.stab=1;
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options_gsa.glue=0;
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options_gsa.rmse=0;
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options_gsa.load_rmse=0;
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options_gsa.alpha2_stab=1;
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options_gsa.ksstat=1;
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if options_gsa.morris==2,
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options_gsa = set_default_option(options_gsa,'Nsam',256);
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OutputDirectoryName = CheckPath('GSA/IDENTIF');
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else
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OutputDirectoryName = CheckPath('GSA/SCREEN');
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end
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else
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OutputDirectoryName = CheckPath('GSA');
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end
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options_.opt_gsa = options_gsa;
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if (options_gsa.load_stab | options_gsa.load_rmse | options_gsa.load_redform) ...
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& options_gsa.pprior,
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filetoload=[OutputDirectoryName '\' fname_ '_prior.mat'];
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if isempty(ls(filetoload)),
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disp([filetoload,' not found!'])
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disp(['You asked to load a non existent analysis'])
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%options_gsa.load_stab=0;
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return,
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else
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if isempty(strmatch('bkpprior',who('-file', filetoload),'exact')),
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disp('Warning! Missing prior info for saved sample') % trap for files previous
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disp('The saved files are generated with previous version of GSA package') % trap for files previous
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else
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load(filetoload,'bkpprior'),
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if any(bayestopt_.pshape~=bkpprior.pshape) | ...
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any(bayestopt_.p1~=bkpprior.p1) | ...
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any(bayestopt_.p2~=bkpprior.p2) | ...
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any(bayestopt_.p3(~isnan(bayestopt_.p3))~=bkpprior.p3(~isnan(bkpprior.p3))) | ...
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any(bayestopt_.p4(~isnan(bayestopt_.p4))~=bkpprior.p4(~isnan(bkpprior.p4))),
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disp('WARNING!')
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disp('The saved sample has different priors w.r.t. to current ones!!')
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disp('')
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disp('Press ENTER to continue')
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pause;
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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 options_gsa.stab & ~options_gsa.ppost,
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x0 = stab_map_(OutputDirectoryName);
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end
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% reduced form
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% redform_map(namendo, namlagendo, namexo, icomp, pprior, ilog, threshold)
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options_gsa = set_default_option(options_gsa,'logtrans_redform',0);
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options_gsa = set_default_option(options_gsa,'threshold_redform',[]);
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options_gsa = set_default_option(options_gsa,'ksstat_redform',0.1);
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options_gsa = set_default_option(options_gsa,'alpha2_redform',0.3);
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options_gsa = set_default_option(options_gsa,'namendo',[]);
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options_gsa = set_default_option(options_gsa,'namlagendo',[]);
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options_gsa = set_default_option(options_gsa,'namexo',[]);
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options_.opt_gsa = options_gsa;
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if options_gsa.identification,
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map_ident_(OutputDirectoryName);
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end
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if options_gsa.redform & ~isempty(options_gsa.namendo) ...
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& ~options_gsa.ppost,
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if strmatch(':',options_gsa.namendo,'exact'),
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options_gsa.namendo=M_.endo_names;
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end
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if strmatch(':',options_gsa.namexo,'exact'),
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options_gsa.namexo=M_.exo_names;
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end
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if strmatch(':',options_gsa.namlagendo,'exact'),
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options_gsa.namlagendo=M_.endo_names;
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end
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options_.opt_gsa = options_gsa;
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if options_gsa.morris,
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redform_screen(OutputDirectoryName);
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else
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% check existence of the SS_ANOVA toolbox
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if ~(exist('gsa_sdp','file')==6 | exist('gsa_sdp','file')==2),
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disp('Download Mapping routines at:')
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disp('http://eemc.jrc.ec.europa.eu/softwareDYNARE-Dowload.htm')
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disp(' ' )
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error('Mapping routines missing!')
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end
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redform_map(OutputDirectoryName);
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end
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end
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% RMSE mapping
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% function [rmse_MC, ixx] = filt_mc_(vvarvecm, loadSA, pfilt, alpha, alpha2)
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options_gsa = set_default_option(options_gsa,'rmse',0);
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options_gsa = set_default_option(options_gsa,'lik_only',0);
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options_gsa = set_default_option(options_gsa,'var_rmse',options_.varobs);
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options_gsa = set_default_option(options_gsa,'pfilt_rmse',0.1);
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options_gsa = set_default_option(options_gsa,'istart_rmse',options_.presample+1);
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options_gsa = set_default_option(options_gsa,'alpha_rmse',0.002);
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options_gsa = set_default_option(options_gsa,'alpha2_rmse',1);
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options_.opt_gsa = options_gsa;
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if options_gsa.rmse,
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if ~options_gsa.ppost
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if options_gsa.pprior
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a=whos('-file',[OutputDirectoryName,'\',fname_,'_prior'],'logpo2');
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else
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a=whos('-file',[OutputDirectoryName,'\',fname_,'_mc'],'logpo2');
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end
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if isempty(a),
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dynare_MC([],OutputDirectoryName);
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options_gsa.load_rmse=0;
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% else
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% if options_gsa.load_rmse==0,
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% disp('You already saved a MC filter/smoother analysis ')
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% disp('Do you want to overwrite ?')
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% pause;
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% if options_gsa.pprior
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% delete([OutputDirectoryName,'\',fname_,'_prior_*.mat'])
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% else
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% delete([OutputDirectoryName,'\',fname_,'_mc_*.mat'])
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% end
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% dynare_MC([],OutputDirectoryName);
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% options_gsa.load_rmse=0;
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% end
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end
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end
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clear a;
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filt_mc_(OutputDirectoryName);
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end
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if options_gsa.glue,
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dr_ = oo_.dr;
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if options_gsa.ppost
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load([OutputDirectoryName,'\',fname_,'_post']);
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DirectoryName = CheckPath('metropolis');
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else
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if options_gsa.pprior
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load([OutputDirectoryName,'\',fname_,'_prior']);
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else
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load([OutputDirectoryName,'\',fname_,'_mc']);
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end
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end
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if ~exist('x'),
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disp(['No RMSE analysis is available for current options'])
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disp(['No GLUE file prepared'])
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return,
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end
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nruns=size(x,1);
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gend = options_.nobs;
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rawdata = read_variables(options_.datafile,options_.varobs,[],options_.xls_sheet,options_.xls_range);
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rawdata = rawdata(options_.first_obs:options_.first_obs+gend-1,:);
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if options_.loglinear == 1
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rawdata = log(rawdata);
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end
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if options_.prefilter == 1
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%data = transpose(rawdata-ones(gend,1)*bayestopt_.mean_varobs);
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data = transpose(rawdata-ones(gend,1)*mean(rawdata,1));
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else
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data = transpose(rawdata);
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end
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Obs.data = data;
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Obs.time = [1:gend];
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Obs.num = gend;
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for j=1:size(options_.varobs,1)
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Obs.name{j} = deblank(options_.varobs(j,:));
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vj=deblank(options_.varobs(j,:));
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jxj = strmatch(vj,lgy_(dr_.order_var,:),'exact');
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js = strmatch(vj,lgy_,'exact');
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if ~options_gsa.ppost
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% y0=zeros(gend+1,nruns);
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% nb = size(stock_filter,3);
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% y0 = squeeze(stock_filter(:,jxj,:)) + ...
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% kron(stock_ys(js,:),ones(size(stock_filter,1),1));
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% Out(j).data = y0';
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% Out(j).time = [1:size(y0,1)];
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Out(j).data = jxj;
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Out(j).time = [pwd,'\',OutputDirectoryName];
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else
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Out(j).data = jxj;
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Out(j).time = [pwd,'\',DirectoryName];
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end
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Out(j).name = vj;
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Out(j).ini = 'yes';
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Lik(j).name = ['rmse_',vj];
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Lik(j).ini = 'yes';
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Lik(j).isam = 1;
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Lik(j).data = rmse_MC(:,j)';
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if ~options_gsa.ppost
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% y0 = squeeze(stock_smooth(:,jxj,:)) + ...
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% kron(stock_ys(js,:),ones(size(stock_smooth,1),1));
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% Out1(j).name = vj;
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% Out1(j).ini = 'yes';
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% Out1(j).time = [1:size(y0,1)];
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% Out1(j).data = y0';
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Out1=Out;
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else
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Out1=Out;
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end
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ismoo(j)=jxj;
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end
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jsmoo = size(options_.varobs,1);
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for j=1:M_.endo_nbr,
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if ~ismember(j,ismoo),
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jsmoo=jsmoo+1;
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vj=deblank(M_.endo_names(dr_.order_var(j),:));
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if ~options_gsa.ppost
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% y0 = squeeze(stock_smooth(:,j,:)) + ...
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% kron(stock_ys(j,:),ones(size(stock_smooth,1),1));
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% Out1(jsmoo).time = [1:size(y0,1)];
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% Out1(jsmoo).data = y0';
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Out1(jsmoo).data = j;
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Out1(jsmoo).time = [pwd,'\',OutputDirectoryName];
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else
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Out1(jsmoo).data = j;
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Out1(jsmoo).time = [pwd,'\',DirectoryName];
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end
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Out1(jsmoo).name = vj;
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Out1(jsmoo).ini = 'yes';
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end
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end
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tit(M_.exo_names_orig_ord,:) = M_.exo_names;
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for j=1:M_.exo_nbr,
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Exo(j).name = deblank(tit(j,:));
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end
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if ~options_gsa.ppost
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Lik(size(options_.varobs,1)+1).name = 'logpo';
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Lik(size(options_.varobs,1)+1).ini = 'yes';
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Lik(size(options_.varobs,1)+1).isam = 1;
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Lik(size(options_.varobs,1)+1).data = -logpo2;
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end
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Sam.name = bayestopt_.name;
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Sam.dim = [size(x) 0];
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Sam.data = [x];
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Rem.id = 'Original';
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Rem.ind= [1:size(x,1)];
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Info.dynare=M_.fname;
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Info.order_var=dr_.order_var;
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Out=Out1;
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if options_gsa.ppost
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% Info.dynare=M_.fname;
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% Info.order_var=dr_.order_var;
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% Out=Out1;
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Info.TypeofSample='post';
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save([OutputDirectoryName,'\',fname_,'_glue_post'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
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%save([fname_,'_post_glue_smooth'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info')
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else
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if options_gsa.pprior
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Info.TypeofSample='prior';
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save([OutputDirectoryName,'\',fname_,'_glue_prior'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
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% save([OutputDirectoryName,'\',fname_,'_prior_glue'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
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% Out=Out1;
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% save([OutputDirectoryName,'\',fname_,'_prior_glue_smooth'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
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else
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Info.TypeofSample='mc';
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save([OutputDirectoryName,'\',fname_,'_glue_mc'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
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% save([OutputDirectoryName,'\',fname_,'_mc_glue'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
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% Out=Out1;
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% save([OutputDirectoryName,'\',fname_,'_mc_glue_smooth'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
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end
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end
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end
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