200 lines
7.1 KiB
Matlab
200 lines
7.1 KiB
Matlab
function x0=dynare_sensitivity()
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% copyright Marco Ratto 2006
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global M_ options_ oo_ bayestopt_
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fname_ = M_.fname;
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lgy_ = M_.endo_names;
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x0=[];
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options_ = set_default_option(options_,'opt_gsa',1);
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options_gsa_ = options_.opt_gsa;
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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_,'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_,'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',0.3);
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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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OutputDirectoryName = CheckPath('GSA');
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if options_gsa_.stab & ~options_gsa_.ppost,
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x0 = stab_map_(options_gsa_.Nsam, options_gsa_.load_stab, options_gsa_.ksstat, options_gsa_.alpha2_stab, ...
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options_gsa_.redform, options_gsa_.pprior, options_gsa_.ilptau, 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_,'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',0.1);
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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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if options_gsa_.redform & ~isempty(options_gsa_.namendo) & ~options_gsa_.ppost,
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redform_map(options_gsa_.namendo, options_gsa_.namlagendo, options_gsa_.namexo, ...
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options_gsa_.load_redform, options_gsa_.pprior, options_gsa_.logtrans_redform, ...
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options_gsa_.threshold_redform, options_gsa_.ksstat_redform, ...
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options_gsa_.alpha2_redform, OutputDirectoryName);
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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_,'var_rmse',options_.varobs);
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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_,'pfilt_rmse',0.1);
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options_gsa_ = set_default_option(options_gsa_,'istart_rmse',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=load([OutputDirectoryName,'\',fname_,'_prior']);
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else
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a=load([OutputDirectoryName,'\',fname_,'_mc']);
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end
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if ~isfield(a,'stock_filter'),
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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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filt_mc_(options_gsa_.var_rmse, options_gsa_.load_rmse, options_gsa_.pfilt_rmse, ...
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options_gsa_.alpha_rmse, options_gsa_.alpha2_rmse, OutputDirectoryName, ...
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options_gsa_.istart_rmse);
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end
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options_gsa_ = set_default_option(options_gsa_,'glue',0);
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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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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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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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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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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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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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save([OutputDirectoryName,'\',fname_,'_post_glue'], '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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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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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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