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Commit 1825d266 authored by Sébastien Villemot's avatar Sébastien Villemot
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Merge remote-tracking branch 'ratto/master'

parents 762f31ba 509b34aa
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matlab/DsgeLikelihood.m
View file @ 1825d266
......@@ -476,10 +476,10 @@ if ((kalman_algo==1) || (kalman_algo==3))% Multivariate Kalman Filter
end
if analytic_derivation
if no_DLIK==0
[DLIK] = score(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,mf,kalman_tol,riccati_tol);
[DLIK] = score(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,Z,kalman_tol,riccati_tol);
end
if nargout==7
[AHess] = AHessian(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,mf,kalman_tol,riccati_tol);
if nargout==11
[AHess] = AHessian(T,R,Q,H,Pstar,Y,DT,DYss,DOm,DH,DP,start,Z,kalman_tol,riccati_tol);
end
end
else
......
matlab/dynare_estimation_init.m
View file @ 1825d266
......@@ -312,9 +312,9 @@ end % if ~isempty(options_.unit_root_vars)
% Test if the data file is declared.
if isempty(options_.datafile)
if gsa_flag
data = [];
rawdata = [];
data_info = [];
dataset_ = [];
% rawdata = [];
% data_info = [];
return
else
error('datafile option is missing')
......
matlab/dynare_identification.m
View file @ 1825d266
......@@ -114,14 +114,26 @@ options_.nomoments=0;
options_ = set_default_option(options_,'datafile',[]);
options_.mode_compute = 0;
options_.plot_priors = 0;
[data,rawdata,xparam1,data_info]=dynare_estimation_init(M_.endo_names,fname_,1);
if isempty(data_info),
data_info.gend = periods;
data_info.data = [];
data_info.data_index = [];
data_info.number_of_observations = periods*size(options_.varobs,1);
data_info.no_more_missing_observations = 0;
data_info.missing_value = 0;
[dataset_,xparam1, M_, options_, oo_, estim_params_,bayestopt_]=dynare_estimation_init(M_.endo_names,fname_,1, M_, options_, oo_, estim_params_, bayestopt_);
if isempty(dataset_),
dataset_.info.ntobs = periods;
dataset_.info.nvobs = rows(options_.varobs);
dataset_.info.varobs = options_.varobs;
dataset_.rawdata = [];
dataset_.missing.state = 0;
dataset_.missing.aindex = [];
dataset_.missing.vindex = [];
dataset_.missing.number_of_observations = [];
dataset_.missing.no_more_missing_observations = [];
dataset_.descriptive.mean = [];
dataset_.data = [];
% data_info.gend = periods;
% data_info.data = [];
% data_info.data_index = [];
% data_info.number_of_observations = periods*size(options_.varobs,1);
% data_info.no_more_missing_observations = 0;
% data_info.missing_value = 0;
end
% results = prior_sampler(0,M_,bayestopt_,options_,oo_);
......@@ -240,7 +252,7 @@ if iload <=0,
disp('Testing current parameter values')
end
[idehess_point, idemoments_point, idemodel_point, idelre_point, derivatives_info_point] = ...
identification_analysis(params,indx,indexo,options_ident,data_info, prior_exist, name_tex,1);
identification_analysis(params,indx,indexo,options_ident,dataset_, prior_exist, name_tex,1);
idehess_point.params=params;
% siH = idemodel_point.siH;
% siJ = idemoments_point.siJ;
......@@ -274,7 +286,7 @@ if iload <=0,
params = prior_draw();
end
[dum1, ideJ, ideH, ideGP, dum2 , info] = ...
identification_analysis(params,indx,indexo,options_MC,data_info, prior_exist, name_tex,0);
identification_analysis(params,indx,indexo,options_MC,dataset_, prior_exist, name_tex,0);
if iteration==0,
MAX_tau = min(SampleSize,ceil(MaxNumberOfBytes/(size(ideH.siH,1)*nparam)/8));
stoH = zeros([size(ideH.siH,1),nparam,MAX_tau]);
......@@ -429,10 +441,10 @@ if SampleSize > 1,
fprintf('\n')
tittxt = 'Draw with HIGHEST condition number';
fprintf('\n')
disp(['Testing ',tittxt, '. Press ENTER']), pause,
disp(['Testing ',tittxt, '. Press ENTER']), pause(5),
if ~iload,
[idehess_max, idemoments_max, idemodel_max, idelre_max, derivatives_info_max] = ...
identification_analysis(pdraws(jmax,:),indx,indexo,options_ident,data_info, prior_exist, name_tex,1);
identification_analysis(pdraws(jmax,:),indx,indexo,options_ident,dataset_, prior_exist, name_tex,1);
save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'idehess_max', 'idemoments_max','idemodel_max', 'idelre_max', 'jmax', '-append');
end
disp_identification(pdraws(jmax,:), idemodel_max, idemoments_max, name);
......@@ -442,10 +454,10 @@ if SampleSize > 1,
fprintf('\n')
tittxt = 'Draw with SMALLEST condition number';
fprintf('\n')
disp(['Testing ',tittxt, '. Press ENTER']), pause,
disp(['Testing ',tittxt, '. Press ENTER']), pause(5),
if ~iload,
[idehess_min, idemoments_min, idemodel_min, idelre_min, derivatives_info_min] = ...
identification_analysis(pdraws(jmin,:),indx,indexo,options_ident,data_info, prior_exist, name_tex,1);
identification_analysis(pdraws(jmin,:),indx,indexo,options_ident,dataset_, prior_exist, name_tex,1);
save([IdentifDirectoryName '/' M_.fname '_identif.mat'], 'idehess_min', 'idemoments_min','idemodel_min', 'idelre_min', 'jmin', '-append');
end
disp_identification(pdraws(jmin,:), idemodel_min, idemoments_min, name);
......@@ -455,10 +467,10 @@ if SampleSize > 1,
for j=1:length(jcrit),
tittxt = ['Rank deficient draw n. ',int2str(j)];
fprintf('\n')
disp(['Testing ',tittxt, '. Press ENTER']), pause,
disp(['Testing ',tittxt, '. Press ENTER']), pause(5),
if ~iload,
[idehess_(j), idemoments_(j), idemodel_(j), idelre_(j), derivatives_info_(j)] = ...
identification_analysis(pdraws(jcrit(j),:),indx,indexo,options_ident,data_info, prior_exist, name_tex,1);
identification_analysis(pdraws(jcrit(j),:),indx,indexo,options_ident,dataset_, prior_exist, name_tex,1);
end
disp_identification(pdraws(jcrit(j),:), idemodel_(j), idemoments_(j), name);
close all,
......
matlab/dynare_sensitivity.m
View file @ 1825d266
......@@ -24,6 +24,9 @@ function x0=dynare_sensitivity(options_gsa)
global M_ options_ oo_ bayestopt_ estim_params_
fname_ = M_.fname;
if ~isfield(M_,'dname'),
M_.dname = M_.fname;
end
lgy_ = M_.endo_names;
x0=[];
......@@ -57,7 +60,8 @@ if ~isempty(options_gsa.datafile) || isempty(bayestopt_),
options_.mode_compute = 0;
options_.filtered_vars = 1;
options_.plot_priors = 0;
[data,rawdata,xparam1,data_info]=dynare_estimation_init([],fname_,1);
% [data,rawdata,xparam1,data_info]=dynare_estimation_init([],fname_,1);
[dataset_,xparam1, M_, options_, oo_, estim_params_,bayestopt_]=dynare_estimation_init(M_.endo_names,fname_,1, M_, options_, oo_, estim_params_, bayestopt_);
% computes a first linear solution to set up various variables
else
if isempty(options_.qz_criterium)
......
matlab/identification_analysis.m
View file @ 1825d266
......@@ -129,13 +129,14 @@ if info(1)==0,
options_.irf = 0;
options_.noprint = 1;
options_.order = 1;
options_.periods = data_info.gend+100;
options_.periods = data_info.info.ntobs+100;
options_.kalman_algo = 1;
info = stoch_simul(options_.varobs);
datax=oo_.endo_simul(options_.varobs_id,100+1:end);
data_info.data=oo_.endo_simul(options_.varobs_id,100+1:end);
% datax=data;
derivatives_info.no_DLIK=1;
[fval,cost_flag,ys,trend_coeff,info,DLIK,AHess] = DsgeLikelihood(params',data_info.gend,datax,data_info.data_index,data_info.number_of_observations,data_info.no_more_missing_observations,derivatives_info);
[fval,cost_flag,ys,trend_coeff,info,M_,options_,bayestopt_,oo_,DLIK,AHess] = DsgeLikelihood(params',data_info,options_,M_,estim_params_,bayestopt_,oo_,derivatives_info);
% fval = DsgeLikelihood(xparam1,data_info,options_,M_,estim_params_,bayestopt_,oo_);
AHess=-AHess;
ide_hess.AHess= AHess;
deltaM = sqrt(diag(AHess));
......
matlab/plot_identification.m
View file @ 1825d266
......@@ -94,7 +94,7 @@ if SampleSize == 1,
if advanced,
disp(' ')
disp('Press ENTER to display advanced diagnostics'), pause,
disp('Press ENTER to display advanced diagnostics'), pause(5),
figure('Name',[tittxt, ' - Sensitivity plot']),
subplot(211)
mmm = (siJnorm)'./max(siJnorm);
......@@ -258,7 +258,7 @@ else
if options_.nograph, close(gcf); end
if advanced,
disp(' ')
disp('Press ENTER to display advanced diagnostics'), pause,
disp('Press ENTER to display advanced diagnostics'), pause(5),
options_.nograph=1;
figure('Name','MC Condition Number'),
subplot(221)
......
tests/Makefile.am
View file @ 1825d266
......@@ -74,6 +74,9 @@ MODFILES = \
external_function/example1_no_deriv_functions_provided.mod \
external_function/example1_no_deriv_functions_provided_dll.mod \
seeds.mod \
gsa/ls2003.mod \
identificaton/kim/kim2.mod \
identificaton/as2007/as2007.mod \
simul/example1.mod \
conditional_forecasts/fs2000_cal.mod \
conditional_forecasts/fs2000_est.mod \
......
tests/gsa/ls2003.mod
View file @ 1825d266
......@@ -65,7 +65,7 @@ end;
disp(' ');
disp('NOW I DO STABILITY MAPPING and prepare sample for Reduced form Mapping');
disp(' ');
disp('Press ENTER to continue'); pause;
disp('Press ENTER to continue'); pause(5);
dynare_sensitivity(redform=1, //create sample of reduced form coefficients
alpha2_stab=0.4,
......@@ -76,7 +76,7 @@ ksstat=0);
disp(' ');
disp('ANALYSIS OF REDUCED FORM COEFFICIENTS');
disp(' ');
disp('Press ENTER to continue'); pause;
disp('Press ENTER to continue'); pause(5);
dynare_sensitivity(load_stab=1, // loead previously generated sample analysed for stability
redform=1, // do the reduced form mapping
......@@ -94,7 +94,7 @@ disp(' ');
disp('dynare_sensitivity(alpha2_stab=0.4, ksstat=0, redform=1,')
disp('logtrans_redform=1, namendo=(pie,R), namexo=(e_R), namlagendo=(R));')
disp(' ');
disp('Press ENTER to continue'); pause;
disp('Press ENTER to continue'); pause(5);
//dynare_sensitivity(
//alpha2_stab=0.4,
//ksstat=0,
......@@ -109,7 +109,7 @@ disp('Press ENTER to continue'); pause;
disp(' ');
disp('MC FILTERING(rmse=1), TO MAP THE FIT FROM PRIORS');
disp('Press ENTER to continue'); pause;
disp('Press ENTER to continue'); pause(5);
dynare_sensitivity(datafile=data_ca1,first_obs=8,nobs=79,prefilter=1, // also presample=2,loglinear, are admissible
load_stab=1, // load prior sample
......@@ -132,7 +132,7 @@ disp('logtrans_redform=1, namendo=(pie,R), namexo=(e_R), namlagendo=(R),')
disp('datafile=data_ca1,first_obs=8,nobs=79,prefilter=1,')
disp('istart_rmse=2, rmse=1, pfilt_rmse=0.1, alpha2_rmse=0.3, alpha_rmse=1);')
disp(' ');
disp('Press ENTER to continue'); pause;
disp('Press ENTER to continue'); pause(5);
//dynare_sensitivity(
//alpha2_stab=0.4,
//ksstat=0,
......@@ -156,7 +156,7 @@ disp('Press ENTER to continue'); pause;
disp(' ');
disp('I ESTIMATE THE MODEL');
disp(' ');
disp('Press ENTER to continue'); pause;
disp('Press ENTER to continue'); pause(5);
// run this to generate posterior mode and Metropolis files if not yet done
//estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=2,
......@@ -173,7 +173,7 @@ disp(' ');
disp('WE DO STABILITY MAPPING AGAIN, BUT FOR MULTIVARIATE SAMPLE AT THE POSTERIOR MODE (or ML) and Hessian (pprior=0 & ppost=0)');
disp('Typical for ML estimation, also feasible for posterior mode');
disp(' ');
disp('Press ENTER to continue'); pause;
disp('Press ENTER to continue'); pause(5);
dynare_sensitivity(pprior=0,Nsam=2048,alpha2_stab=0.4,
mode_file=ls2003_mode // specifies the mode file where the mode and Hessian are stored
......@@ -183,7 +183,7 @@ mode_file=ls2003_mode // specifies the mode file where the mode and Hessian are
disp(' ');
disp('RMSE ANALYSIS FOR MULTIVARIATE SAMPLE AT THE POSTERIOR MODE');
disp(' ');
disp('Press ENTER to continue'); pause;
disp('Press ENTER to continue'); pause(5);
dynare_sensitivity(mode_file=ls2003_mode,
datafile=data_ca1,first_obs=8,nobs=79,prefilter=1,
pprior=0,
......@@ -201,7 +201,7 @@ disp('dynare_sensitivity(pprior=0,Nsam=2048,alpha2_stab=0.4,mode_file=ls2003_mod
disp('datafile=data_ca1,first_obs=8,nobs=79,prefilter=1,')
disp('rmse=1, alpha2_rmse=1, alpha_rmse=1);')
disp(' ');
disp('Press ENTER to continue'); pause;
disp('Press ENTER to continue'); pause(5);
//dynare_sensitivity(pprior=0,Nsam=2048,alpha2_stab=0.4,mode_file=ls2003_mode,
//datafile=data_ca1,first_obs=8,nobs=79,prefilter=1,
//rmse=1,
......@@ -212,7 +212,7 @@ disp('Press ENTER to continue'); pause;
disp(' ');
disp('RMSE ANALYSIS FOR POSTERIOR MCMC sample (ppost=1)');
disp('Needs a call to dynare_estimation to load all MH environment');
disp('Press ENTER to continue'); pause;
disp('Press ENTER to continue'); pause(5);
estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=2, mode_file=ls2003_mode, load_mh_file,
prefilter=1,mh_jscale=0.5,mh_replic=0, mode_compute=0, nograph, mh_drop=0.6);
......
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