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@#include "ls2003_model.inc"
estimated_params;
psi1 , gamma_pdf,1.5,0.5;
psi2 , gamma_pdf,0.25,0.125;
psi3 , gamma_pdf,0.25,0.125;
rho_R ,beta_pdf,0.5,0.2;
alpha ,beta_pdf,0.3,0.1;
rr ,gamma_pdf,2.5,1;
k , gamma_pdf,0.5,0.25;
tau ,gamma_pdf,0.5,0.2;
rho_q ,beta_pdf,0.4,0.2;
rho_A ,beta_pdf,0.5,0.2;
rho_ys ,beta_pdf,0.8,0.1;
rho_pies,beta_pdf,0.7,0.15;
stderr e_R,inv_gamma_pdf,1.2533,0.6551;
stderr e_q,inv_gamma_pdf,2.5066,1.3103;
stderr e_A,inv_gamma_pdf,1.2533,0.6551;
stderr e_ys,inv_gamma_pdf,1.2533,0.6551;
stderr e_pies,inv_gamma_pdf,1.88,0.9827;
end;
options_.TeX=true;
disp(' ');
disp('NOW I DO STABILITY MAPPING and prepare sample for Reduced form Mapping');
disp(' ');
% disp('Press ENTER to continue'); pause(5);
sensitivity(redform=1,nodisplay,Nsam=512); //create sample of reduced form coefficients
// NOTE: since namendo is empty by default,
// this call does not perform the mapping of reduced form coefficient: just prepares the sample
disp(' ');
disp('ANALYSIS OF REDUCED FORM COEFFICIENTS');
disp(' ');
% disp('Press ENTER to continue'); pause(5);
sensitivity(nodisplay, load_stab=1, // load previously generated sample analysed for stability
redform=1, // do the reduced form mapping
threshold_redform=[-1 0], // filter reduced form coefficients (default=[])
namendo=(pie,R), // evaluate relationships for pie and R (namendo=(:) for all variables)
namexo=(e_R), // evaluate relationships with exogenous e_R (use namexo=(:) for all shocks)
namlagendo=(R), // evaluate relationships with lagged R (use namlagendo=(:) for all lagged endogenous)
stab=0, // don't repeat again the stability mapping
Nsam=512);
disp(' ');
disp('THE PREVIOUS TWO CALLS COULD BE DONE TOGETHER');
disp('BY USING THE COMBINED CALL');
disp(' ');
disp('sensitivity(redform=1,')
disp('threshold_redform=[-1 0], namendo=(pie,R), namexo=(e_R), namlagendo=(R));')
disp(' ');
% disp('Press ENTER to continue'); pause(5);
//sensitivity(
//redform=1, //create sample of reduced form coefficients
//logtrans_redform=1, // estimate log-transformed reduced form coefficients (default=0)
//namendo=(pie,R), // evaluate relationships for pie and R (namendo=(:) for all variables)
//namexo=(e_R), // evaluate relationships with exogenous e_R (use namexo=(:) for all shocks)
//namlagendo=(R) // evaluate relationships with lagged R (use namlagendo=(:) for all lagged endogenous)
//);
disp(' ');
disp('MC FILTERING(rmse=1), TO MAP THE FIT FROM PRIORS');
%disp('Press ENTER to continue'); pause(5);
sensitivity(nodisplay, datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1, // also presample=2,loglinear, are admissible
load_stab=1, // load prior sample
istart_rmse=2, //start computing rmse from second observation (i.e. rmse does not inlude initial big error)
stab=0, // don't plot again stability analysis results
rmse=1, // do rmse analysis
Nsam=512);
disp(' ');
disp('THE PREVIOUS THREE CALLS COULD BE DONE TOGETHER');
disp('BY USING THE COMBINED CALL');
disp(' ');
disp('sensitivity(redform=1,')
disp('logtrans_redform=1, namendo=(pie,R), namexo=(e_R), namlagendo=(R),')
disp('datafile=data_ca1.m,first_obs=8,nobs=79,prefilter=1,')
disp('istart_rmse=2, rmse=1);')
disp(' ');
% disp('Press ENTER to continue'); pause(5);
//sensitivity(
//redform=1, //create sample of reduced form coefficients
//logtrans_redform=1, // estimate log-transformed reduced form coefficients (default=0)
//namendo=(pie,R), // evaluate relationships for pie and R (namendo=(:) for all variables)
//namexo=(e_R), // evaluate relationships with exogenous e_R (use namexo=(:) for all shocks)
//namlagendo=(R), // evaluate relationships with lagged R (use namlagendo=(:) for all lagged endogenous)
//datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
//istart_rmse=2, //start computing rmse from second observation (i.e. rmse does not inlude initial big error)
//rmse=1, // do rmse analysis
//);
disp(' ');
disp('I ESTIMATE THE MODEL');
disp(' ');
% disp('Press ENTER to continue'); pause(5);
// run this to generate posterior mode and Metropolis files if not yet done
estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=1,
prefilter=1,mh_jscale=0.5,mh_replic=5000,silent_optimizer, mode_compute=4, mh_drop=0.6, nodisplay,
bayesian_irf, filtered_vars, smoother) y_obs R_obs pie_obs dq de;
// run this to produce posterior samples of filtered, smoothed and irf variables, if not yet done
//estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=2,prefilter=1,mh_jscale=0.3,
// mh_replic=0, mode_file='ls2003/Output/ls2003_mode', mode_compute=0, load_mh_file, bayesian_irf,
// filtered_vars, smoother, mh_drop=0.6);
disp(' ');
disp('WE DO STABILITY MAPPING AGAIN, EXPLORING AROUND THE MODE BY A WIDTH +- 0.2 times the mode');
disp('THEN WE DO RMSE analysis in this neighborhood');
disp('Typical for ML estimation, also feasible for posterior mode');
disp(' ');
% disp('Press ENTER to continue'); pause(5);
sensitivity(nodisplay, pprior=0,Nsam=512,neighborhood_width=0.2,
mode_file='ls2003/Output/ls2003_mode', // specifies the mode file where the mode and Hessian are stored
datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
rmse=1);
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(5);
sensitivity(nodisplay, pprior=0,Nsam=512,
mode_file='ls2003/Output/ls2003_mode' // specifies the mode file where the mode and Hessian are stored
);
disp(' ');
disp('RMSE ANALYSIS FOR MULTIVARIATE SAMPLE AT THE POSTERIOR MODE');
disp(' ');
disp('Press ENTER to continue'); % pause(5);
sensitivity(nodisplay, mode_file='ls2003/Output/ls2003_mode',
datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
pprior=0,
stab=0,
rmse=1,
alpha2_rmse=0, // no correlation analysis
alpha_rmse=0, // no Smirnov sensitivity analysis
Nsam=512);
disp(' ');
disp('THE LAST TWO CALLS COULD BE DONE TOGETHER');
disp('BY USING THE COMBINED CALL');
disp(' ');
disp('sensitivity(pprior=0,Nsam=512,alpha2_stab=0.4,mode_file=ls2003_mode,')
disp('datafile=data_ca1.m,first_obs=8,nobs=79,prefilter=1,')
disp('rmse=1, alpha2_rmse=0, alpha_rmse=0);')
disp(' ');
% disp('Press ENTER to continue'); pause(5);
//sensitivity(pprior=0,Nsam=2048,alpha2_stab=0.4,mode_file='ls2003/Output/ls2003_mode',
//datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
//rmse=1pae
//alpha2_rmse=0, // no correlation analysis
//alpha_rmse=0 // no Smirnov sensitivity analysis
//);
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(5);
//estimation(datafile='data_ca1.m',first_obs=8,nobs=79,mh_nblocks=2, mode_file='ls2003/Output/ls2003_mode', load_mh_file,
// prefilter=1,mh_jscale=0.5,mh_replic=0, mode_compute=0, mh_drop=0.6);
sensitivity(nodisplay, stab=0, // no need for stability analysis since the posterior sample is surely OK
datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,
alpha2_rmse=0, // no correlation analysis
rmse=1,ppost=1,Nsam=512);
collect_latex_files;
[status, cmdout]=system(['pdflatex -halt-on-error -interaction=nonstopmode ' M_.fname '_TeX_binder.tex']);
if status
cmdout
error('TeX-File did not compile.')
end
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