2009-12-16 18:17:34 +01:00
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function PosteriorFilterSmootherAndForecast(Y,gend, type,data_index)
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% function PosteriorFilterSmootherAndForecast(Y,gend, type)
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% Computes posterior filter smoother and forecasts
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%
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% INPUTS
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% Y: data
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2011-09-17 12:33:07 +02:00
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% gend: number of observations
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2009-12-16 18:17:34 +01:00
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% type: posterior
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% prior
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% gsa
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2011-09-17 12:33:07 +02:00
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%
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2009-12-16 18:17:34 +01:00
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% OUTPUTS
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% none
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2011-09-17 12:33:07 +02:00
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%
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2009-12-16 18:17:34 +01:00
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% SPECIAL REQUIREMENTS
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% none
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2011-02-10 17:23:22 +01:00
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% Copyright (C) 2005-2011 Dynare Team
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2009-12-16 18:17:34 +01:00
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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 <http://www.gnu.org/licenses/>.
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global options_ estim_params_ oo_ M_ bayestopt_
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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np = estim_params_.np ;
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npar = nvx+nvn+ncx+ncn+np;
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offset = npar-np;
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naK = length(options_.filter_step_ahead);
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%%
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MaxNumberOfPlotPerFigure = 4;% The square root must be an integer!
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MaxNumberOfBytes=options_.MaxNumberOfBytes;
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endo_nbr=M_.endo_nbr;
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exo_nbr=M_.exo_nbr;
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nvobs = size(options_.varobs,1);
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nn = sqrt(MaxNumberOfPlotPerFigure);
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iendo = 1:endo_nbr;
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i_last_obs = gend+(1-M_.maximum_endo_lag:0);
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horizon = options_.forecast;
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maxlag = M_.maximum_endo_lag;
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%%
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2011-12-15 11:56:23 +01:00
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CheckPath('Plots/',M_.dname);
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DirectoryName = CheckPath('metropolis',M_.dname);
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2009-12-16 18:17:34 +01:00
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load([ DirectoryName '/' M_.fname '_mh_history.mat'])
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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2011-09-17 12:33:07 +02:00
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2)); LastMhFile = TotalNumberOfMhFiles;
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2009-12-16 18:17:34 +01:00
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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clear record;
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B = min(1200, round(0.25*NumberOfDraws));
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B = 200;
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%%
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MAX_nruns = min(B,ceil(options_.MaxNumberOfBytes/(npar+2)/8));
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MAX_nsmoo = min(B,ceil(MaxNumberOfBytes/((endo_nbr)*gend)/8));
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MAX_ninno = min(B,ceil(MaxNumberOfBytes/(exo_nbr*gend)/8));
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MAX_nerro = min(B,ceil(MaxNumberOfBytes/(size(options_.varobs,1)*gend)/8));
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if naK
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MAX_naK = min(B,ceil(MaxNumberOfBytes/(size(options_.varobs,1)* ...
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length(options_.filter_step_ahead)*gend)/8));
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end
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if horizon
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MAX_nforc1 = min(B,ceil(MaxNumberOfBytes/((endo_nbr)*(horizon+maxlag))/8));
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MAX_nforc2 = min(B,ceil(MaxNumberOfBytes/((endo_nbr)*(horizon+maxlag))/ ...
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8));
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IdObs = bayestopt_.mfys;
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end
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%%
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varlist = options_.varlist;
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if isempty(varlist)
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varlist = M_.endo_names;
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SelecVariables = transpose(1:M_.endo_nbr);
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nvar = M_.endo_nbr;
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else
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nvar = size(varlist,1);
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SelecVariables = [];
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for i=1:nvar
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if ~isempty(strmatch(varlist(i,:),M_.endo_names,'exact'))
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SelecVariables = [SelecVariables;strmatch(varlist(i,:),M_.endo_names,'exact')];
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end
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end
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end
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irun1 = 1;
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irun2 = 1;
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irun3 = 1;
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irun4 = 1;
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irun5 = 1;
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irun6 = 1;
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irun7 = 1;
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ifil1 = 0;
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ifil2 = 0;
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ifil3 = 0;
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ifil4 = 0;
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ifil5 = 0;
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ifil6 = 0;
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ifil7 = 0;
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h = waitbar(0,'Bayesian smoother...');
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stock_param = zeros(MAX_nruns, npar);
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stock_logpo = zeros(MAX_nruns,1);
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stock_ys = zeros(MAX_nruns,endo_nbr);
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if options_.smoother
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stock_smooth = zeros(endo_nbr,gend,MAX_nsmoo);
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stock_innov = zeros(exo_nbr,gend,B);
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stock_error = zeros(nvobs,gend,MAX_nerro);
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end
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if options_.filter_step_ahead
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stock_filter = zeros(naK,endo_nbr,gend+options_.filter_step_ahead(end),MAX_naK);
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end
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if options_.forecast
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stock_forcst_mean = zeros(endo_nbr,horizon+maxlag,MAX_nforc1);
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stock_forcst_total = zeros(endo_nbr,horizon+maxlag,MAX_nforc2);
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end
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for b=1:B
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%deep = GetOneDraw(NumberOfDraws,FirstMhFile,LastMhFile,FirstLine,MAX_nruns,DirectoryName);
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[deep, logpo] = GetOneDraw(type);
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set_all_parameters(deep);
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2011-09-17 12:33:07 +02:00
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[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
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2009-12-16 18:17:34 +01:00
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[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = ...
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DsgeSmoother(deep,gend,Y,data_index);
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2011-09-17 12:33:07 +02:00
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2009-12-16 18:17:34 +01:00
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if options_.loglinear
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stock_smooth(dr.order_var,:,irun1) = alphahat(1:endo_nbr,:)+ ...
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repmat(log(dr.ys(dr.order_var)),1,gend);
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else
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stock_smooth(dr.order_var,:,irun1) = alphahat(1:endo_nbr,:)+ ...
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repmat(dr.ys(dr.order_var),1,gend);
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2011-09-17 12:33:07 +02:00
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end
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2009-12-16 18:17:34 +01:00
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if nvx
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stock_innov(:,:,irun2) = etahat;
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end
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if nvn
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stock_error(:,:,irun3) = epsilonhat;
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end
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if naK
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stock_filter(:,dr.order_var,:,irun4) = aK(options_.filter_step_ahead,1:endo_nbr,:);
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end
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stock_param(irun5,:) = deep;
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stock_logpo(irun5,1) = logpo;
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stock_ys(irun5,:) = SteadyState';
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if horizon
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yyyy = alphahat(iendo,i_last_obs);
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yf = forcst2a(yyyy,dr,zeros(horizon,exo_nbr));
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if options_.prefilter == 1
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yf(:,IdObs) = yf(:,IdObs)+repmat(bayestopt_.mean_varobs', ...
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horizon+maxlag,1);
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end
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yf(:,IdObs) = yf(:,IdObs)+(gend+[1-maxlag:horizon]')*trend_coeff';
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if options_.loglinear == 1
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yf = yf+repmat(log(SteadyState'),horizon+maxlag,1);
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% yf = exp(yf);
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else
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yf = yf+repmat(SteadyState',horizon+maxlag,1);
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end
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yf1 = forcst2(yyyy,horizon,dr,1);
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if options_.prefilter == 1
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yf1(:,IdObs,:) = yf1(:,IdObs,:)+ ...
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repmat(bayestopt_.mean_varobs',[horizon+maxlag,1,1]);
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end
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yf1(:,IdObs,:) = yf1(:,IdObs,:)+repmat((gend+[1-maxlag:horizon]')* ...
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trend_coeff',[1,1,1]);
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if options_.loglinear == 1
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yf1 = yf1 + repmat(log(SteadyState'),[horizon+maxlag,1,1]);
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% yf1 = exp(yf1);
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else
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yf1 = yf1 + repmat(SteadyState',[horizon+maxlag,1,1]);
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end
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stock_forcst_mean(:,:,irun6) = yf';
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stock_forcst_total(:,:,irun7) = yf1';
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end
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2011-09-17 12:33:07 +02:00
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2009-12-16 18:17:34 +01:00
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irun1 = irun1 + 1;
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irun2 = irun2 + 1;
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irun3 = irun3 + 1;
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irun4 = irun4 + 1;
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irun5 = irun5 + 1;
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irun6 = irun6 + 1;
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irun7 = irun7 + 1;
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2011-02-10 17:23:22 +01:00
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if irun1 > MAX_nsmoo || b == B
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2009-12-16 18:17:34 +01:00
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stock = stock_smooth(:,:,1:irun1-1);
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ifil1 = ifil1 + 1;
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save([DirectoryName '/' M_.fname '_smooth' int2str(ifil1) '.mat'],'stock');
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irun1 = 1;
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end
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2011-09-17 12:33:07 +02:00
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2011-02-10 17:23:22 +01:00
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if nvx && (irun2 > MAX_ninno || b == B)
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2009-12-16 18:17:34 +01:00
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stock = stock_innov(:,:,1:irun2-1);
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ifil2 = ifil2 + 1;
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save([DirectoryName '/' M_.fname '_inno' int2str(ifil2) '.mat'],'stock');
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irun2 = 1;
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end
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2011-09-17 12:33:07 +02:00
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2011-02-10 17:23:22 +01:00
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if nvn && (irun3 > MAX_error || b == B)
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2009-12-16 18:17:34 +01:00
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stock = stock_error(:,:,1:irun3-1);
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ifil3 = ifil3 + 1;
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save([DirectoryName '/' M_.fname '_error' int2str(ifil3) '.mat'],'stock');
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irun3 = 1;
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end
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2011-09-17 12:33:07 +02:00
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2011-02-10 17:23:22 +01:00
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if naK && (irun4 > MAX_naK || b == B)
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2009-12-16 18:17:34 +01:00
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stock = stock_filter(:,:,:,1:irun4-1);
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ifil4 = ifil4 + 1;
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save([DirectoryName '/' M_.fname '_filter' int2str(ifil4) '.mat'],'stock');
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irun4 = 1;
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end
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2011-09-17 12:33:07 +02:00
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2011-02-10 17:23:22 +01:00
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if irun5 > MAX_nruns || b == B
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2009-12-16 18:17:34 +01:00
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stock = stock_param(1:irun5-1,:);
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ifil5 = ifil5 + 1;
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save([DirectoryName '/' M_.fname '_param' int2str(ifil5) '.mat'],'stock','stock_logpo','stock_ys');
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irun5 = 1;
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end
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2011-02-10 17:23:22 +01:00
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if horizon && (irun6 > MAX_nforc1 || b == B)
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2009-12-16 18:17:34 +01:00
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stock = stock_forcst_mean(:,:,1:irun6-1);
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ifil6 = ifil6 + 1;
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save([DirectoryName '/' M_.fname '_forc_mean' int2str(ifil6) '.mat'],'stock');
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irun6 = 1;
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end
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2011-02-10 17:23:22 +01:00
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if horizon && (irun7 > MAX_nforc2 || b == B)
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2009-12-16 18:17:34 +01:00
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stock = stock_forcst_total(:,:,1:irun7-1);
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ifil7 = ifil7 + 1;
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save([DirectoryName '/' M_.fname '_forc_total' int2str(ifil7) '.mat'],'stock');
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irun7 = 1;
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end
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waitbar(b/B,h);
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end
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close(h)
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stock_gend=gend;
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stock_data=Y;
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save([DirectoryName '/' M_.fname '_data.mat'],'stock_gend','stock_data');
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if options_.smoother
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pm3(endo_nbr,gend,ifil1,B,'Smoothed variables',...
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2010-01-05 11:46:10 +01:00
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M_.endo_names(SelecVariables),M_.endo_names,'tit_tex',M_.endo_names,...
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'names2','smooth',[M_.fname '/metropolis'],'_smooth')
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2009-12-16 18:17:34 +01:00
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end
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if options_.forecast
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pm3(endo_nbr,horizon+maxlag,ifil6,B,'Forecasted variables (mean)',...
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2010-01-05 11:46:10 +01:00
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M_.endo_names(SelecVariables),M_.endo_names,'tit_tex',M_.endo_names,...
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'names2','smooth',[M_.fname '/metropolis'],'_forc_mean')
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2009-12-16 18:17:34 +01:00
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pm3(endo_nbr,horizon+maxlag,ifil6,B,'Forecasted variables (total)',...
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2010-01-05 11:46:10 +01:00
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M_.endo_names(SelecVariables),M_.endo_names,'tit_tex',M_.endo_names,...
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'names2','smooth',[M_.fname '/metropolis'],'_forc_total')
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2009-12-16 18:17:34 +01:00
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end
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