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40 results

dynare_sensitivity.m

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  • Forked from Dynare / dynare
    14289 commits behind, 352 commits ahead of the upstream repository.
    dynare_sensitivity.m 15.93 KiB
    function x0=dynare_sensitivity(options_gsa)
    % Frontend to the Sensitivity Analysis Toolbox for DYNARE
    %
    % Reference:
    % M. Ratto, Global Sensitivity Analysis for Macroeconomic models, MIMEO, 2006.
    
    % Copyright (C) 2008-2011 Dynare Team
    %
    % This file is part of Dynare.
    %
    % Dynare is free software: you can redistribute it and/or modify
    % it under the terms of the GNU General Public License as published by
    % the Free Software Foundation, either version 3 of the License, or
    % (at your option) any later version.
    %
    % Dynare is distributed in the hope that it will be useful,
    % but WITHOUT ANY WARRANTY; without even the implied warranty of
    % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
    % GNU General Public License for more details.
    %
    % You should have received a copy of the GNU General Public License
    % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
    
    global M_ options_ oo_ bayestopt_ estim_params_
    
    fname_ = M_.fname;
    if ~isfield(M_,'dname'),
        M_.dname = M_.fname;
    end
    lgy_ = M_.endo_names;
    x0=[];
    
    options_gsa = set_default_option(options_gsa,'datafile',[]);
    if isfield(options_gsa,'nograph'),
        options_.nograph=options_gsa.nograph;
    end
    if isfield(options_gsa,'mode_file'),
        options_.mode_file=options_gsa.mode_file;
    end
    
    options_.order = 1;
    
    if ~isempty(options_gsa.datafile) || isempty(bayestopt_),
        options_.datafile = options_gsa.datafile;
        if isfield(options_gsa,'first_obs'),
            options_.first_obs=options_gsa.first_obs;
        end
        if isfield(options_gsa,'nobs'),
            options_.nobs=options_gsa.nobs;
        end
        if isfield(options_gsa,'presample'),
            options_.presample=options_gsa.presample;
        end
        if isfield(options_gsa,'prefilter'),
            options_.prefilter=options_gsa.prefilter;
        end
        if isfield(options_gsa,'loglinear'),
            options_.loglinear=options_gsa.loglinear;
        end
        if isfield(options_gsa,'lik_init'),
            options_.lik_init=options_gsa.lik_init;
        end
        options_.mode_compute = 0;
        options_.filtered_vars = 1;
        options_.plot_priors = 0;
        [data,rawdata,xparam1,data_info]=dynare_estimation_init(M_.endo_names,fname_,1);
        % computes a first linear solution to set up various variables
    else
        if isempty(options_.qz_criterium)
            options_.qz_criterium = 1+1e-6;
        end    
    end
    dynare_resolve;
    
    options_gsa = set_default_option(options_gsa,'identification',0);
    if options_gsa.identification,
        options_gsa.redform=0;
        options_gsa = set_default_option(options_gsa,'morris',1);
        options_gsa = set_default_option(options_gsa,'trans_ident',0);
        options_gsa = set_default_option(options_gsa,'load_ident_files',0);
        options_gsa = set_default_option(options_gsa,'ar',1);
        options_gsa = set_default_option(options_gsa,'useautocorr',0);
        options_.ar = options_gsa.ar;
        if options_gsa.morris==2,
            if isfield(options_,'options_ident'),
                options_.options_ident.load_ident_files = options_gsa.load_ident_files;
                options_.options_ident.useautocorr = options_gsa.useautocorr;
                options_.options_ident.ar = options_gsa.ar;            
                options_ident=options_.options_ident;
            else
                options_ident=[];
                options_ident = set_default_option(options_ident,'load_ident_files',options_gsa.load_ident_files);
                options_ident = set_default_option(options_ident,'useautocorr',options_gsa.useautocorr);
                options_ident = set_default_option(options_ident,'ar',options_gsa.ar);
                options_.options_ident = options_ident;
            end
        end
    end
    
    % map stability
    options_gsa = set_default_option(options_gsa,'stab',1);
    options_gsa = set_default_option(options_gsa,'redform',0);
    options_gsa = set_default_option(options_gsa,'pprior',1);
    options_gsa = set_default_option(options_gsa,'prior_range',1);
    options_gsa = set_default_option(options_gsa,'ppost',0);
    options_gsa = set_default_option(options_gsa,'neighborhood_width',0);
    options_gsa = set_default_option(options_gsa,'ilptau',1);
    options_gsa = set_default_option(options_gsa,'morris',0);
    options_gsa = set_default_option(options_gsa,'glue',0);
    options_gsa = set_default_option(options_gsa,'morris_nliv',6);
    options_gsa = set_default_option(options_gsa,'morris_ntra',20);
    options_gsa = set_default_option(options_gsa,'Nsam',2048);
    options_gsa = set_default_option(options_gsa,'load_redform',0);
    options_gsa = set_default_option(options_gsa,'load_rmse',0);
    options_gsa = set_default_option(options_gsa,'load_stab',0);
    options_gsa = set_default_option(options_gsa,'alpha2_stab',0.3);
    options_gsa = set_default_option(options_gsa,'ksstat',0.1);
    options_gsa = set_default_option(options_gsa,'pvalue_ks',0.001);
    options_gsa = set_default_option(options_gsa,'pvalue_corr',0.001);
    %options_gsa = set_default_option(options_gsa,'load_mh',0);
    
    if options_gsa.redform,
        options_gsa.pprior=1;
        options_gsa.ppost=0;
    end
    
    if ~(exist('stab_map_','file')==6 || exist('stab_map_','file')==2),
        dynare_root = strrep(which('dynare.m'),'dynare.m','');
        gsa_path = [dynare_root 'gsa'];
        if exist(gsa_path)
            addpath(gsa_path,path)
        else
            disp('Download Dynare sensitivity routines at:')
            disp('http://eemc.jrc.ec.europa.eu/softwareDYNARE-Dowload.htm')
            disp(' ' )
            error('GSA routines missing!')
        end
    end
    
    
    if options_gsa.morris==1 || options_gsa.morris==3,
        if ~options_gsa.identification,
            options_gsa.redform=1;
        end
        options_gsa.pprior=1;
        options_gsa.ppost=0;
        %options_gsa.stab=1;
        options_gsa.glue=0;
        options_gsa.rmse=0;
        options_gsa.load_rmse=0;
        options_gsa.alpha2_stab=1;
        options_gsa.ksstat=1;
        if options_gsa.morris==3,
            options_gsa = set_default_option(options_gsa,'Nsam',256);
            OutputDirectoryName = CheckPath('gsa/identif');
        else
            OutputDirectoryName = CheckPath('gsa/screen');
        end
    else
        OutputDirectoryName = CheckPath('gsa');
    end
    
    options_.opt_gsa = options_gsa;
    
    if (options_gsa.load_stab || options_gsa.load_rmse || options_gsa.load_redform) ...
            && options_gsa.pprior,
        filetoload=[OutputDirectoryName '/' fname_ '_prior.mat'];
        if ~exist(filetoload),
            disp([filetoload,' not found!'])
            disp(['You asked to load a non existent analysis'])
            %options_gsa.load_stab=0;
            return,
        else
            if isempty(strmatch('bkpprior',who('-file', filetoload),'exact')),
                disp('Warning! Missing prior info for saved sample') % trap for files previous 
                disp('The saved files are generated with previous version of GSA package') % trap for files previous 
            else
                load(filetoload,'bkpprior'),
                if any(bayestopt_.pshape~=bkpprior.pshape) || ...
                        any(bayestopt_.p1~=bkpprior.p1) || ...
                        any(bayestopt_.p2~=bkpprior.p2) || ...
                        any(bayestopt_.p3(~isnan(bayestopt_.p3))~=bkpprior.p3(~isnan(bkpprior.p3))) || ...
                        any(bayestopt_.p4(~isnan(bayestopt_.p4))~=bkpprior.p4(~isnan(bkpprior.p4))),
                    disp('WARNING!')
                    disp('The saved sample has different priors w.r.t. to current ones!!')
                    disp('')
                    disp('Press ENTER to continue')
                    pause;
                end
            end
        end
    end
    
    if options_gsa.stab && ~options_gsa.ppost,
        x0 = stab_map_(OutputDirectoryName);
    end
    
    % reduced form
    % redform_map(namendo, namlagendo, namexo, icomp, pprior, ilog, threshold)
    options_gsa = set_default_option(options_gsa,'logtrans_redform',0);
    options_gsa = set_default_option(options_gsa,'threshold_redform',[]);
    options_gsa = set_default_option(options_gsa,'ksstat_redform',0.1);
    options_gsa = set_default_option(options_gsa,'alpha2_redform',0.3);
    options_gsa = set_default_option(options_gsa,'namendo',[]);
    options_gsa = set_default_option(options_gsa,'namlagendo',[]);
    options_gsa = set_default_option(options_gsa,'namexo',[]);
    
    options_.opt_gsa = options_gsa;
    if options_gsa.identification,
        map_ident_(OutputDirectoryName);
    end
    
    if options_gsa.redform && ~isempty(options_gsa.namendo) ...
            && ~options_gsa.ppost,
        if strmatch(':',options_gsa.namendo,'exact'),
            options_gsa.namendo=M_.endo_names;
        end
        if strmatch(':',options_gsa.namexo,'exact'),
            options_gsa.namexo=M_.exo_names;
        end
        if strmatch(':',options_gsa.namlagendo,'exact'),
            options_gsa.namlagendo=M_.endo_names;
        end
        options_.opt_gsa = options_gsa;
        if options_gsa.morris==1,
            redform_screen(OutputDirectoryName);
        else
            % check existence of the SS_ANOVA toolbox
            if ~(exist('gsa_sdp','file')==6 || exist('gsa_sdp','file')==2),
                disp('Download Mapping routines at:')
                disp('http://eemc.jrc.ec.europa.eu/softwareDYNARE-Dowload.htm')
                disp(' ' )
                error('Mapping routines missing!')
            end
    
            redform_map(OutputDirectoryName);
        end
    end
    % RMSE mapping
    % function [rmse_MC, ixx] = filt_mc_(vvarvecm, loadSA, pfilt, alpha, alpha2)
    options_gsa = set_default_option(options_gsa,'rmse',0);
    options_gsa = set_default_option(options_gsa,'lik_only',0);
    options_gsa = set_default_option(options_gsa,'var_rmse',options_.varobs);
    options_gsa = set_default_option(options_gsa,'pfilt_rmse',0.1);
    options_gsa = set_default_option(options_gsa,'istart_rmse',options_.presample+1);
    options_gsa = set_default_option(options_gsa,'alpha_rmse',0.002);
    options_gsa = set_default_option(options_gsa,'alpha2_rmse',1);
    options_.opt_gsa = options_gsa;
    if options_gsa.rmse,
        if ~options_gsa.ppost
            if options_gsa.pprior
                a=whos('-file',[OutputDirectoryName,'/',fname_,'_prior'],'logpo2');
            else
                a=whos('-file',[OutputDirectoryName,'/',fname_,'_mc'],'logpo2');
            end
            if exist('OCTAVE_VERSION'),
                aflag=0;
                for ja=1:length(a),
                    aflag=aflag+strcmp('logpo2',a(ja).name);
                end
                if aflag==0,
                    a=[];
                else
                    a=1;
                end
            end
            if isempty(a),
    %             dynare_MC([],OutputDirectoryName,data,rawdata,data_info);
                prior_posterior_statistics('gsa',data,data_info.gend,data_info.data_index,data_info.missing_value);
                if options_.bayesian_irf
                    PosteriorIRF('gsa');
                end
                options_gsa.load_rmse=0;
                %   else
                %     if options_gsa.load_rmse==0,
                %       disp('You already saved a MC filter/smoother analysis ')
                %       disp('Do you want to overwrite ?')
                %       pause;
                %       if options_gsa.pprior
                %         delete([OutputDirectoryName,'/',fname_,'_prior_*.mat'])
                %       else
                %         delete([OutputDirectoryName,'/',fname_,'_mc_*.mat'])
                %       end
                %       dynare_MC([],OutputDirectoryName);
                %       options_gsa.load_rmse=0;
                %     end    
                
            end
        end
        clear a;
    %     filt_mc_(OutputDirectoryName,data_info);
        filt_mc_(OutputDirectoryName);
    end
    
    
    if options_gsa.glue,
        dr_ = oo_.dr;
        if options_gsa.ppost
            load([OutputDirectoryName,'/',fname_,'_post']);
            DirectoryName = CheckPath('metropolis');
        else
            if options_gsa.pprior
                load([OutputDirectoryName,'/',fname_,'_prior']);
            else
                load([OutputDirectoryName,'/',fname_,'_mc']);
            end
        end
        if ~exist('x'),
            disp(['No RMSE analysis is available for current options'])
            disp(['No GLUE file prepared'])
            return,
        end
        nruns=size(x,1);
        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 == 1
            rawdata = log(rawdata);
        end
        if options_.prefilter == 1
            %data = transpose(rawdata-ones(gend,1)*bayestopt_.mean_varobs);
            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:size(options_.varobs,1)
            Obs.name{j} = deblank(options_.varobs(j,:));
            vj=deblank(options_.varobs(j,:));
            
            jxj = strmatch(vj,lgy_(dr_.order_var,:),'exact');
            js = strmatch(vj,lgy_,'exact');
            if ~options_gsa.ppost
                %       y0=zeros(gend+1,nruns);
                %       nb = size(stock_filter,3);
                %       y0 = squeeze(stock_filter(:,jxj,:)) + ...
                %         kron(stock_ys(js,:),ones(size(stock_filter,1),1));
                %       Out(j).data = y0';
                %       Out(j).time = [1:size(y0,1)];
                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)';
            
            if ~options_gsa.ppost
                %       y0 = squeeze(stock_smooth(:,jxj,:)) + ...
                %         kron(stock_ys(js,:),ones(size(stock_smooth,1),1));
                %       Out1(j).name = vj;
                %       Out1(j).ini  = 'yes';
                %       Out1(j).time = [1:size(y0,1)];
                %       Out1(j).data = y0';
                Out1=Out;
            else
                Out1=Out;
            end
            ismoo(j)=jxj;
            
        end
        jsmoo = size(options_.varobs,1);
        for j=1:M_.endo_nbr,
            if ~ismember(j,ismoo),
                jsmoo=jsmoo+1;
                vj=deblank(M_.endo_names(dr_.order_var(j),:));
                if ~options_gsa.ppost        
                    %         y0 = squeeze(stock_smooth(:,j,:)) + ...
                    %           kron(stock_ys(j,:),ones(size(stock_smooth,1),1));
                    %         Out1(jsmoo).time = [1:size(y0,1)];
                    %         Out1(jsmoo).data = y0';
                    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_orig_ord,:) = M_.exo_names;
        for j=1:M_.exo_nbr,
            Exo(j).name = deblank(tit(j,:));    
        end
        if ~options_gsa.ppost
            Lik(size(options_.varobs,1)+1).name = 'logpo';
            Lik(size(options_.varobs,1)+1).ini  = 'yes';
            Lik(size(options_.varobs,1)+1).isam = 1;
            Lik(size(options_.varobs,1)+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.dynare=M_.fname;
            %     Info.order_var=dr_.order_var;
            %     Out=Out1;
            Info.TypeofSample='post';
            save([OutputDirectoryName,'/',fname_,'_glue_post.mat'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
            %save([fname_,'_post_glue_smooth'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info')
            
        else
            if options_gsa.pprior
                Info.TypeofSample='prior';
                save([OutputDirectoryName,'/',fname_,'_glue_prior.mat'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
                %       save([OutputDirectoryName,'/',fname_,'_prior_glue'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
                %       Out=Out1;
                %       save([OutputDirectoryName,'/',fname_,'_prior_glue_smooth'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
            else
                Info.TypeofSample='mc';
                save([OutputDirectoryName,'/',fname_,'_glue_mc.mat'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem','Info', 'Exo')
                %       save([OutputDirectoryName,'/',fname_,'_mc_glue'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
                %       Out=Out1;
                %       save([OutputDirectoryName,'/',fname_,'_mc_glue_smooth'], 'Out', 'Sam', 'Lik', 'Obs', 'Rem')
            end
        end
        
    end