523 lines
21 KiB
Matlab
523 lines
21 KiB
Matlab
function x0=dynare_sensitivity(M_,oo_,options_,bayestopt_,estim_params_,options_gsa)
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% Frontend to the Sensitivity Analysis Toolbox for DYNARE
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% Inputs:
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% - M_ [structure] Matlab's structure describing the model
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% - oo_ [structure] Matlab's structure describing the results
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% - options_ [structure] Matlab's structure describing the current options
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% - bayestopt_ [structure] describing the priors
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% - estim_params_ [structure] characterizing parameters to be estimated
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% - options_gsa [structure] Matlab's structure describing the GSA options
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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 © 2008-2023 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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if options_.dsge_var
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error('Identification does not support DSGE-VARs at the current stage')
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end
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fname_ = M_.fname;
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x0=[];
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% check user defined options
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if isfield(options_gsa,'neighborhood_width') && options_gsa.neighborhood_width
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if isfield(options_gsa,'pprior') && options_gsa.pprior
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error('sensitivity:: neighborhood_width is incompatible with prior sampling')
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end
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if isfield(options_gsa,'ppost') && options_gsa.ppost
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error('sensitivity:: neighborhood_width is incompatible with posterior sampling')
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end
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end
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if isfield(options_gsa,'morris') && options_gsa.morris==1
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if isfield(options_gsa,'identification') && options_gsa.identification==0
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end
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if isfield(options_gsa,'ppost') && options_gsa.ppost
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error('sensitivity:: Morris is incompatible with posterior sampling')
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elseif isfield(options_gsa,'pprior') && options_gsa.pprior==0
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if ~(isfield(options_gsa,'neighborhood_width') && options_gsa.neighborhood_width)
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error('sensitivity:: Morris is incompatible with MC sampling with correlation matrix')
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end
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end
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if isfield(options_gsa,'rmse') && options_gsa.rmse
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error('sensitivity:: Morris is incompatible with rmse analysis')
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end
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if (isfield(options_gsa,'alpha2_stab') && options_gsa.alpha2_stab<1) || ...
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(isfield(options_gsa,'pvalue_ks') && options_gsa.pvalue_ks) || ...
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(isfield(options_gsa,'pvalue_corr') && options_gsa.pvalue_corr)
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error('sensitivity:: Morris is incompatible with Monte Carlo filtering')
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end
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end
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% end check user defined options
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options_gsa = set_default_option(options_gsa,'datafile',[]);
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options_gsa = set_default_option(options_gsa,'rmse',0);
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options_gsa = set_default_option(options_gsa,'useautocorr',0);
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options_gsa = set_default_option(options_gsa,'moment_calibration',options_.endogenous_prior_restrictions.moment);
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options_gsa = set_default_option(options_gsa,'irf_calibration',options_.endogenous_prior_restrictions.irf);
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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,'nodisplay')
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options_.nodisplay=options_gsa.nodisplay;
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end
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if isfield(options_gsa,'graph_format')
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options_.graph_format=options_gsa.graph_format;
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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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elseif isfield(options_gsa,'neighborhood_width') && options_gsa.neighborhood_width>0
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options_.mode_file='';
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end
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if options_.order~=1
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warning('dynare_sensitivity: dynare_sensitivity does only support order=1, resetting to order=1.')
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options_.order = 1;
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end
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if ~isempty(options_gsa.datafile) || isempty(bayestopt_) || options_gsa.rmse
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if isempty(options_gsa.datafile) && options_gsa.rmse
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disp('The data file and all relevant estimation options ')
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disp('[first_obs, nobs, presample, prefilter, loglinear, lik_init, kalman_algo, ...]')
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disp('must be specified for RMSE analysis!');
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error('Sensitivity anaysis error!')
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end
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if ~isempty(options_.nobs) && length(options_.nobs)~=1
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error('dynare_sensitivity does not support recursive estimation. Please specify nobs as a scalar, not a vector.')
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end
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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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if isfield(options_gsa,'lik_init')
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options_.lik_init=options_gsa.lik_init;
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end
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if isfield(options_gsa,'diffuse_filter')
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options_.diffuse_filter=options_gsa.diffuse_filter;
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end
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if isfield(options_gsa,'kalman_algo')
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options_.kalman_algo=options_gsa.kalman_algo;
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end
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options_.mode_compute = 0;
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options_.filtered_vars = 1;
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options_.plot_priors = 0;
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[dataset_,dataset_info,~,~, M_, options_, oo_, estim_params_, bayestopt_] = ...
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dynare_estimation_init(M_.endo_names, fname_, 1, M_, options_, oo_, estim_params_, bayestopt_);
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% computes a first linear solution to set up various variables
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else
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if isempty(options_.qz_criterium)
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options_.qz_criterium = 1+1e-6;
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end
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if options_.prior_trunc==0
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options_.prior_trunc=1.e-10;
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end
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end
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if M_.exo_nbr==0
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error('dynare_sensitivity does not support having no varexo in the model. As a workaround you could define a dummy exogenous variable.')
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end
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[~,~,~,~,oo_.dr,M_.params] = dynare_resolve(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
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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_files',0);
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options_gsa = set_default_option(options_gsa,'ar',1);
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options_.ar = options_gsa.ar;
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if options_gsa.morris==0
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disp('The option morris = 0 is no longer supported (Type I errors)')
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disp('This option is reset at morris = 2 (local identification analysis).')
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options_gsa.morris=2;
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end
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if options_gsa.morris==2
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if isfield(options_,'options_ident')
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options_.options_ident.load_ident_files = options_gsa.load_ident_files;
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options_.options_ident.useautocorr = options_gsa.useautocorr;
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options_.options_ident.ar = options_gsa.ar;
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else
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options_ident=[];
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options_ident = set_default_option(options_ident,'load_ident_files',options_gsa.load_ident_files);
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options_ident = set_default_option(options_ident,'useautocorr',options_gsa.useautocorr);
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options_ident = set_default_option(options_ident,'ar',options_gsa.ar);
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options_.options_ident = options_ident;
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end
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end
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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,'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,'neighborhood_width',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_stab',0);
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options_gsa = set_default_option(options_gsa,'alpha2_stab',0);
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options_gsa = set_default_option(options_gsa,'pvalue_ks',0.001);
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options_gsa = set_default_option(options_gsa,'pvalue_corr',1.e-5);
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% REDFORM mapping
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options_gsa = set_default_option(options_gsa,'redform',0);
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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,'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',0.001);
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options_gsa = set_default_option(options_gsa,'alpha2_redform',1.e-5);
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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_gsa = set_default_option(options_gsa,'namendo_tex',{});
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options_gsa = set_default_option(options_gsa,'namlagendo_tex',{});
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options_gsa = set_default_option(options_gsa,'namexo_tex',{});
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if strmatch(':',options_gsa.namendo,'exact')
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options_gsa.namendo = M_.endo_names(1:M_.orig_endo_nbr);
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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(1:M_.orig_endo_nbr);
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end
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if options_.TeX
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[~,Locb]=ismember(options_gsa.namendo,M_.endo_names);
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options_gsa.namendo_tex=cellfun(@(x) horzcat('$', x, '$'), M_.endo_names_tex(Locb), 'UniformOutput', false);
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[~,Locb]=ismember(options_gsa.namlagendo,M_.endo_names);
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options_gsa.namlagendo_tex=cellfun(@(x) horzcat('$', x, '$'), M_.endo_names_tex(Locb), 'UniformOutput', false);
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[~,Locb]=ismember(options_gsa.namexo,M_.exo_names);
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options_gsa.namexo_tex=cellfun(@(x) horzcat('$', x, '$'), M_.exo_names_tex(Locb), 'UniformOutput', false);
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end
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% RMSE mapping
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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,'lik_only',0);
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options_gsa = set_default_option(options_gsa,'var_rmse', options_.varobs);
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%get corresponding TeX-names;
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options_gsa.var_rmse_tex={};
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for ii=1:length(options_gsa.var_rmse)
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temp_name = M_.endo_names_tex{strmatch(options_gsa.var_rmse{ii}, M_.endo_names, 'exact')};
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options_gsa.var_rmse_tex = vertcat(options_gsa.var_rmse_tex, ['$' temp_name '$']);
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end
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options_gsa.varobs_tex = cellfun(@(x) horzcat('$', x, '$'), M_.endo_names_tex(options_.varobs_id), 'UniformOutput', false);
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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', 0.001);
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options_gsa = set_default_option(options_gsa,'alpha2_rmse', 1.e-5);
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if options_gsa.neighborhood_width
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options_gsa.pprior=0;
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options_gsa.ppost=0;
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end
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if options_gsa.redform && options_gsa.neighborhood_width==0 && isempty(options_gsa.threshold_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 options_gsa.morris>2
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disp('The option morris = 3 is no longer supported')
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disp('the option is reset at morris = 1 .')
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options_gsa.morris=1;
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end
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if options_gsa.morris==1
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if ~options_gsa.identification
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options_gsa.redform=1;
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end
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if options_gsa.neighborhood_width
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options_gsa.pprior=0;
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else
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options_gsa.pprior=1;
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end
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options_gsa.ppost=0;
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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.pvalue_ks=0;
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options_gsa.pvalue_corr=0;
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OutputDirectoryName = CheckPath('gsa/screen',M_.dname);
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else
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OutputDirectoryName = CheckPath('gsa',M_.dname);
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end
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if (options_gsa.load_stab || options_gsa.load_rmse || options_gsa.load_redform) && options_gsa.pprior
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filetoload=[OutputDirectoryName '/' fname_ '_prior.mat'];
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if ~exist(filetoload,'file')
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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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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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skipline()
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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,options_gsa,M_,oo_,options_,bayestopt_,estim_params_);
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if isempty(x0)
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skipline()
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disp('Sensitivity computations stopped: no parameter set provided a unique solution')
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return
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end
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end
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options_.opt_gsa = options_gsa;
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if ~isempty(options_gsa.moment_calibration) || ~isempty(options_gsa.irf_calibration)
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map_calibration(OutputDirectoryName, M_, options_, oo_, estim_params_,bayestopt_);
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end
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if options_gsa.identification
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map_ident_(OutputDirectoryName,options_gsa,M_,oo_,options_,estim_params_,bayestopt_);
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end
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if options_gsa.redform && ~isempty(options_gsa.namendo)
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if options_gsa.ppost
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filnam = dir([M_.dname filesep 'metropolis' filesep '*param_irf*.mat']);
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lpmat=[];
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for j=1:length(filnam)
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load ([M_.dname filesep 'metropolis' filesep M_.fname '_param_irf' int2str(j) '.mat'],'stock')
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lpmat=[lpmat; stock];
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end
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clear stock
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nshock = estim_params_.nvx;
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nshock = nshock + estim_params_.nvn;
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nshock = nshock + estim_params_.ncx;
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nshock = nshock + estim_params_.ncn;
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lpmat0=lpmat(:,1:nshock);
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lpmat=lpmat(:,nshock+1:end);
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istable=(1:size(lpmat,1));
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iunstable=[];
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iwrong=[];
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iindeterm=[];
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save([OutputDirectoryName filesep M_.fname '_mc.mat'],'lpmat','lpmat0','istable','iunstable','iwrong','iindeterm')
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options_gsa.load_stab=1;
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x0 = stab_map_(OutputDirectoryName,options_gsa,M_,oo_,options_,bayestopt_,estim_params_);
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end
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if options_gsa.morris==1
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redform_screen(OutputDirectoryName,options_gsa, estim_params_, M_, oo_.dr, options_, bayestopt_);
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else
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% check existence of the SS_ANOVA toolbox
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if isempty(options_gsa.threshold_redform) && ~(exist('gsa_sdp','file')==6 || exist('gsa_sdp','file')==2)
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fprintf('\nThe "SS-ANOVA-R: MATLAB Toolbox for the estimation of Smoothing Spline ANOVA models with Recursive algorithms" is missing.\n')
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fprintf('To obtain it, go to:\n\n')
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fprintf('https://ec.europa.eu/jrc/en/macro-econometric-statistical-software/ss-anova-r-downloads \n\n')
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fprintf('and follow the instructions there.\n')
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fprintf('After obtaining the files, you need to unpack them and set a Matlab Path to those files.\n')
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error('SS-ANOVA-R Toolbox missing!')
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end
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redform_map(OutputDirectoryName,options_gsa,M_,estim_params_,options_,bayestopt_,oo_);
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end
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end
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% RMSE mapping
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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 isoctave()
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aflag=0;
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for ja=1:length(a)
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aflag=aflag+strcmp('logpo2',a(ja).name);
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end
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if aflag==0
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a=[];
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else
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a=1;
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end
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end
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if isempty(a)
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if options_gsa.lik_only
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options_.smoother=0;
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options_.filter_step_ahead=[];
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options_.forecast=0;
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options_.filtered_vars=0;
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end
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if options_gsa.pprior
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TmpDirectoryName = ([M_.dname filesep 'gsa' filesep 'prior']);
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else
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TmpDirectoryName = ([M_.dname filesep 'gsa' filesep 'mc']);
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end
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if exist(TmpDirectoryName,'dir')
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mydelete([M_.fname '_filter_step_ahead*.mat'],[TmpDirectoryName filesep]);
|
|
mydelete([M_.fname '_inno*.mat'],[TmpDirectoryName filesep]);
|
|
mydelete([M_.fname '_smooth*.mat'],[TmpDirectoryName filesep]);
|
|
mydelete([M_.fname '_update*.mat'],[TmpDirectoryName filesep]);
|
|
filparam = dir([TmpDirectoryName filesep M_.fname '_param*.mat']);
|
|
for j=1:length(filparam)
|
|
if isempty(strmatch([M_.fname '_param_irf'],filparam(j).name))
|
|
delete([TmpDirectoryName filesep filparam(j).name]);
|
|
end
|
|
end
|
|
end
|
|
oo_=prior_posterior_statistics('gsa',dataset_, dataset_info,M_,oo_,options_,estim_params_,bayestopt_,'gsa::mcmc');
|
|
if options_.bayesian_irf
|
|
oo_=PosteriorIRF('gsa',options_,estim_params_,oo_,M_,bayestopt_,dataset_,dataset_info,'gsa::mcmc');
|
|
end
|
|
options_gsa.load_rmse=0;
|
|
end
|
|
end
|
|
clear a;
|
|
filt_mc_(OutputDirectoryName,options_gsa,dataset_,dataset_info,M_,oo_,options_,bayestopt_,estim_params_);
|
|
end
|
|
options_.opt_gsa = options_gsa;
|
|
|
|
if options_gsa.glue
|
|
dr_ = oo_.dr;
|
|
if options_gsa.ppost
|
|
load([OutputDirectoryName,'/',fname_,'_post']);
|
|
DirectoryName = CheckPath('metropolis',M_.dname);
|
|
else
|
|
if options_gsa.pprior
|
|
load([OutputDirectoryName,'/',fname_,'_prior']);
|
|
else
|
|
load([OutputDirectoryName,'/',fname_,'_mc']);
|
|
end
|
|
end
|
|
if ~exist('x','var')
|
|
disp('No RMSE analysis is available for current options')
|
|
disp('No GLUE file prepared')
|
|
return,
|
|
end
|
|
gend = options_.nobs;
|
|
rawdata = read_variables(options_.datafile,options_.varobs,[],options_.xls_sheet,options_.xls_range);
|
|
rawdata = rawdata(options_.first_obs:options_.first_obs+gend-1,:);
|
|
if options_.loglinear
|
|
rawdata = log(rawdata);
|
|
end
|
|
if options_.prefilter == 1
|
|
data = transpose(rawdata-ones(gend,1)*mean(rawdata,1));
|
|
else
|
|
data = transpose(rawdata);
|
|
end
|
|
|
|
Obs.data = data;
|
|
Obs.time = 1:gend;
|
|
Obs.num = gend;
|
|
for j=1:length(options_.varobs)
|
|
Obs.name{j} = options_.varobs{j};
|
|
vj = options_.varobs{j};
|
|
|
|
jxj = strmatch(vj,M_.endo_names(dr_.order_var),'exact');
|
|
if ~options_gsa.ppost
|
|
Out(j).data = jxj;
|
|
Out(j).time = [pwd,'/',OutputDirectoryName];
|
|
else
|
|
Out(j).data = jxj;
|
|
Out(j).time = [pwd,'/',DirectoryName];
|
|
end
|
|
Out(j).name = vj;
|
|
Out(j).ini = 'yes';
|
|
Lik(j).name = ['rmse_',vj];
|
|
Lik(j).ini = 'yes';
|
|
Lik(j).isam = 1;
|
|
Lik(j).data = rmse_MC(:,j)';
|
|
|
|
Out1=Out;
|
|
ismoo(j)=jxj;
|
|
|
|
end
|
|
jsmoo = length(options_.varobs);
|
|
for j=1:M_.endo_nbr
|
|
if ~ismember(j,ismoo)
|
|
jsmoo=jsmoo+1;
|
|
vj = M_.endo_names{dr_.order_var(j)};
|
|
if ~options_gsa.ppost
|
|
Out1(jsmoo).data = j;
|
|
Out1(jsmoo).time = [pwd,'/',OutputDirectoryName];
|
|
else
|
|
Out1(jsmoo).data = j;
|
|
Out1(jsmoo).time = [pwd,'/',DirectoryName];
|
|
end
|
|
Out1(jsmoo).name = vj;
|
|
Out1(jsmoo).ini = 'yes';
|
|
end
|
|
end
|
|
tit = M_.exo_names;
|
|
for j=1:M_.exo_nbr
|
|
Exo(j).name = tit{j};
|
|
end
|
|
if ~options_gsa.ppost
|
|
Lik(length(options_.varobs)+1).name = 'logpo';
|
|
Lik(length(options_.varobs)+1).ini = 'yes';
|
|
Lik(length(options_.varobs)+1).isam = 1;
|
|
Lik(length(options_.varobs)+1).data = -logpo2;
|
|
end
|
|
Sam.name = bayestopt_.name;
|
|
Sam.dim = [size(x) 0];
|
|
Sam.data = x;
|
|
|
|
Rem.id = 'Original';
|
|
Rem.ind= 1:size(x,1);
|
|
|
|
Info.dynare=M_.fname;
|
|
Info.order_var=dr_.order_var;
|
|
Out=Out1;
|
|
if options_gsa.ppost
|
|
Info.TypeofSample='post';
|
|
save([OutputDirectoryName,'/',fname_,'_glue_post.mat'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
|
|
else
|
|
if options_gsa.pprior
|
|
Info.TypeofSample='prior';
|
|
save([OutputDirectoryName,'/',fname_,'_glue_prior.mat'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
|
|
else
|
|
Info.TypeofSample='mc';
|
|
save([OutputDirectoryName,'/',fname_,'_glue_mc.mat'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
|
|
end
|
|
end
|
|
end |