dynare/matlab/PosteriorIRF.m

function PosteriorIRF(type)
% Builds posterior IRFs after the MH algorithm. 
% 
% INPUTS 
%   o type       [char]     string specifying the joint density of the
%                           deep parameters ('prior','posterior'). 
%  
% OUTPUTS 
%   None                    (oo_ and plots).
%
% SPECIAL REQUIREMENTS
%   None

% Copyright (C) 2006-2008 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 options_ estim_params_ oo_ M_ bayestopt_
% Set the number of periods
if isempty(options_.irf) | ~options_.irf 
    options_.irf = 40;
end
% Set varlist if necessary
varlist = options_.varlist;
if isempty(varlist)
    varlist = options_.varobs;
end
options_.varlist = varlist;
nvar = size(varlist,1);
IndxVariables = [];
for i=1:nvar
    idx = strmatch(deblank(varlist(i,:)),M_.endo_names,'exact');
    if isempty(idx)
        disp(['PosteriorIRF :: ' deblank(varlist(i,:)) 'is not a declared endogenous variable!'])
    else
        IndxVariables = [IndxVariables,idx];
    end
end
% Set various parameters & Check or create directories
nvx  = estim_params_.nvx;
nvn  = estim_params_.nvn;
ncx  = estim_params_.ncx;
ncn  = estim_params_.ncn;
np   = estim_params_.np ;
npar = nvx+nvn+ncx+ncn+np;
offset = npar-np;
clear('nvx','nvn','ncx','ncn','np');
nvobs = size(options_.varobs,1);
gend = options_.nobs;
MaxNumberOfPlotPerFigure = 9;
nn = sqrt(MaxNumberOfPlotPerFigure);
MAX_nirfs_dsge = ceil(options_.MaxNumberOfBytes/(options_.irf*nvar*M_.exo_nbr)/8);
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
if ~isempty(strmatch('dsge_prior_weight',M_.param_names))
    MAX_nirfs_dsgevar = ceil(options_.MaxNumberOfBytes/(options_.irf*nvobs*M_.exo_nbr)/8);
else
    MAX_nirfs_dsgevar = 0;
end
DirectoryName = CheckPath('Output');
if strcmpi(type,'posterior')
  MhDirectoryName = CheckPath('metropolis');
elseif strcmpi(type,'gsa')
  MhDirectoryName = CheckPath('GSA');
else
  MhDirectoryName = CheckPath('prior');
end
if strcmpi(type,'posterior')
  load([ MhDirectoryName '/'  M_.fname '_mh_history.mat'])
  TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
  NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
elseif strcmpi(type,'gsa')
  load([ MhDirectoryName '/'  M_.fname '_prior.mat'],'lpmat0','lpmat','istable')
  x=[lpmat0(istable,:) lpmat(istable,:)];
  clear lpmat istable
  NumberOfDraws=size(x,1);
  B=NumberOfDraws; options_.B = B;
else% type = 'prior'
  NumberOfDraws = 500;
end
if ~strcmpi(type,'gsa')
  B = min([round(.5*NumberOfDraws),500]); options_.B = B;
end
try delete([MhDirectoryName '/' M_.fname '_irf_dsge*.mat'])
catch disp('No _IRFs (dsge) files to be deleted!')
end
try delete([MhDirectoryName '/' M_.fname '_irf_bvardsge*.mat'])
catch disp('No _IRFs (bvar-dsge) files to be deleted!')
end
irun = 0;
IRUN = 0;
irun2 = 0;
NumberOfIRFfiles_dsge = 1;
NumberOfIRFfiles_dsgevar = 1;
ifil2 = 1;
if strcmpi(type,'posterior')
    if isnumeric(options_.parallel)
        h = waitbar(0,'Bayesian (posterior) IRFs...');
      % h = waitbar(0,'Please Wait ...');
        set(h,'Name','Bayesian (posterior) IRFs.');
    end
elseif strcmpi(type,'gsa')
    if isnumeric(options_.parallel)
  h = waitbar(0,'GSA (prior) IRFs...');
    end
else
    if isnumeric(options_.parallel)
  h = waitbar(0,'Bayesian (prior) IRFs...');
    end
end
% Create arrays
if B <= MAX_nruns
  stock_param = zeros(B, npar);
else
  stock_param = zeros(MAX_nruns, npar);
end
if B >= MAX_nirfs_dsge
  stock_irf_dsge = zeros(options_.irf,nvar,M_.exo_nbr,MAX_nirfs_dsge);
else
  stock_irf_dsge = zeros(options_.irf,nvar,M_.exo_nbr,B);
end
if MAX_nirfs_dsgevar
    if B >= MAX_nirfs_dsgevar
        stock_irf_bvardsge = zeros(options_.irf,nvobs,M_.exo_nbr,MAX_nirfs_dsgevar);
    else
        stock_irf_bvardsge = zeros(options_.irf,nvobs,M_.exo_nbr,B);
    end
    [mYY,mXY,mYX,mXX,Ydata,Xdata] = ...
        var_sample_moments(options_.first_obs,options_.first_obs+options_.nobs-1,...
                           options_.varlag,-1,options_.datafile,options_.varobs,...
                           options_.xls_sheet,options_.xls_range);
    NumberOfLags = options_.varlag;
    NumberOfLagsTimesNvobs = NumberOfLags*nvobs;
    if options_.noconstant
        NumberOfParametersPerEquation = NumberOfLagsTimesNvobs;
    else
        NumberOfParametersPerEquation = NumberOfLagsTimesNvobs+1;
    end
    Companion_matrix = diag(ones(nvobs*(NumberOfLags-1),1),-nvobs);
end

%%%%%%%%% START the FIRST BLOCK of CODE EXECUTED in PARALLEL! %%%%%%%%%
%
%   This portion of code is execute in parallel by PosteriorIRF_core1.m
%   function.

b = 0;
nosaddle = 0;

localVars=[];

% Save the local variables.

localVars.irun = irun;
localVars.irun2=irun2;
localVars.nosaddle=nosaddle;

% It is necessary to rename 'type' to avoid conflict with
%  a native matlab funtion.

localVars.typee=type;

if strcmpi(type,'posterior'),
while b<=B 
    b = b + 1;
    x(b,:) = GetOneDraw(type);
end
end

if ~strcmpi(type,'prior'),
   localVars.x=x;
end

b=0;

localVars.nvar=nvar;
localVars.IndxVariables=IndxVariables;
localVars.MAX_nirfs_dsgevar=MAX_nirfs_dsgevar;
localVars.MAX_nirfs_dsge=MAX_nirfs_dsge;
localVars.MAX_nruns=MAX_nruns;

if isnumeric(options_.parallel)
    localVars.h=h;
end

localVars.NumberOfIRFfiles_dsge=NumberOfIRFfiles_dsge;
localVars.NumberOfIRFfiles_dsgevar=NumberOfIRFfiles_dsgevar;
localVars.ifil2=ifil2;



if isnumeric(options_.parallel),% | isunix, % for the moment exclude unix platform from parallel implementation
    [fout] = PosteriorIRF_core1(localVars,1,B,0);
else
   
    [nCPU, totCPU, nBlockPerCPU] = distributeJobs(options_.parallel, 1, B);
    for j=1:totCPU-1,
        nfiles = ceil(nBlockPerCPU(j)/MAX_nirfs_dsge);
        NumberOfIRFfiles_dsge(j+1) =NumberOfIRFfiles_dsge(j)+nfiles;
        nfiles = ceil(nBlockPerCPU(j)/MAX_nirfs_dsgevar);
        NumberOfIRFfiles_dsgevar(j+1) =NumberOfIRFfiles_dsgevar(j)+nfiles;
        nfiles = ceil(nBlockPerCPU(j)/MAX_nruns);
        ifil2(j+1) =ifil2(j)+nfiles;
    end
    localVars.NumberOfIRFfiles_dsge=NumberOfIRFfiles_dsge;
    localVars.NumberOfIRFfiles_dsgevar=NumberOfIRFfiles_dsgevar;
    localVars.ifil2=ifil2;
    
    globalVars = struct('M_',M_, ...
      'options_', options_, ...
      'bayestopt_', bayestopt_, ...
      'estim_params_', estim_params_, ...
      'oo_', oo_);
    
    % which files have to be copied to run remotely
    NamFileInput(1,:) = {'',[M_.fname '_static.m']};
    NamFileInput(2,:) = {'',[M_.fname '_dynamic.m']};
    if options_.steadystate_flag,
        NamFileInput(length(NamFileInput)+1,:)={'',[M_.fname '_steadystate.m']};
    end
   [fout] = masterParallel(options_.parallel, 1, B,NamFileInput,'PosteriorIRF_core1', localVars, globalVars);
    
end


% END parallel code!
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%


if nosaddle
   disp(['PosteriorIRF :: Percentage of discarded posterior draws = ' num2str(nosaddle/(B+nosaddle))]) 
end

% if isnumeric(options_.parallel)
%    close(h);
% end

ReshapeMatFiles('irf_dsge')
if MAX_nirfs_dsgevar
    ReshapeMatFiles('irf_bvardsge')
end

if strcmpi(type,'gsa')
  return
end

IRF_DSGEs = dir([MhDirectoryName '/' M_.fname '_IRF_DSGEs*.mat']);
NumberOfIRFfiles_dsge = length(IRF_DSGEs);

IRF_BVARDSGEs = dir([MhDirectoryName '/' M_.fname '_IRF_BVARDSGEs*.mat']);
NumberOfIRFfiles_dsgevar = length(IRF_BVARDSGEs);



MeanIRF = zeros(options_.irf,nvar,M_.exo_nbr);
MedianIRF = zeros(options_.irf,nvar,M_.exo_nbr);
VarIRF = zeros(options_.irf,nvar,M_.exo_nbr);
DistribIRF = zeros(options_.irf,9,nvar,M_.exo_nbr);
HPDIRF = zeros(options_.irf,2,nvar,M_.exo_nbr);

if options_.TeX
  varlist_TeX = [];
  for i=1:nvar
    varlist_TeX = strvcat(varlist_TeX,M_.endo_names_tex(IndxVariables(i),:));
  end
end

fprintf('MH: Posterior (dsge) IRFs...\n');
tit(M_.exo_names_orig_ord,:) = M_.exo_names;
kdx = 0;

for file = 1:NumberOfIRFfiles_dsge
  load([MhDirectoryName '/' M_.fname '_IRF_DSGEs' int2str(file) '.mat']);
  for i = 1:M_.exo_nbr
    for j = 1:nvar
        for k = 1:size(STOCK_IRF_DSGE,1)
            kk = k+kdx;
            [MeanIRF(kk,j,i),MedianIRF(kk,j,i),VarIRF(kk,j,i),HPDIRF(kk,:,j,i),...
             DistribIRF(kk,:,j,i)] = posterior_moments(squeeze(STOCK_IRF_DSGE(k,j,i,:)),0,options_.mh_conf_sig);
        end
    end
  end
  kdx = kdx + size(STOCK_IRF_DSGE,1);

end

clear STOCK_IRF_DSGE;

for i = 1:M_.exo_nbr
  for j = 1:nvar
    name = [deblank(M_.endo_names(IndxVariables(j),:)) '_' deblank(tit(i,:))];
    eval(['oo_.PosteriorIRF.dsge.Mean.' name ' = MeanIRF(:,j,i);']);
    eval(['oo_.PosteriorIRF.dsge.Median.' name ' = MedianIRF(:,j,i);']);
    eval(['oo_.PosteriorIRF.dsge.Var.' name ' = VarIRF(:,j,i);']);
    eval(['oo_.PosteriorIRF.dsge.Distribution.' name ' = DistribIRF(:,:,j,i);']);
    eval(['oo_.PosteriorIRF.dsge.HPDinf.' name ' = HPDIRF(:,1,j,i);']);
    eval(['oo_.PosteriorIRF.dsge.HPDsup.' name ' = HPDIRF(:,2,j,i);']);
  end
end


if MAX_nirfs_dsgevar
    MeanIRFdsgevar = zeros(options_.irf,nvar,M_.exo_nbr);
    MedianIRFdsgevar = zeros(options_.irf,nvar,M_.exo_nbr);
    VarIRFdsgevar = zeros(options_.irf,nvar,M_.exo_nbr);
    DistribIRFdsgevar = zeros(options_.irf,9,nvar,M_.exo_nbr);
    HPDIRFdsgevar = zeros(options_.irf,2,nvar,M_.exo_nbr);    
    fprintf('MH: Posterior (bvar-dsge) IRFs...\n');
    tit(M_.exo_names_orig_ord,:) = M_.exo_names;
    kdx = 0;
    for file = 1:NumberOfIRFfiles_dsgevar
        load([MhDirectoryName '/' M_.fname '_IRF_BVARDSGEs' int2str(file) '.mat']);
        for i = 1:M_.exo_nbr
            for j = 1:nvar
                for k = 1:size(STOCK_IRF_BVARDSGE,1)
                    kk = k+kdx;
                    [MeanIRFdsgevar(kk,j,i),MedianIRFdsgevar(kk,j,i),VarIRFdsgevar(kk,j,i),...
                     HPDIRFdsgevar(kk,:,j,i),DistribIRFdsgevar(kk,:,j,i)] = ...
                        posterior_moments(squeeze(STOCK_IRF_BVARDSGE(k,j,i,:)),0,options_.mh_conf_sig);
                end
            end
        end
        kdx = kdx + size(STOCK_IRF_BVARDSGE,1);
    end
    clear STOCK_IRF_BVARDSGE; 
    for i = 1:M_.exo_nbr
        for j = 1:nvar
            name = [deblank(M_.endo_names(IndxVariables(j),:)) '_' deblank(tit(i,:))];
            eval(['oo_.PosteriorIRF.bvardsge.Mean.' name ' = MeanIRFdsgevar(:,j,i);']);
            eval(['oo_.PosteriorIRF.bvardsge.Median.' name ' = MedianIRFdsgevar(:,j,i);']);
            eval(['oo_.PosteriorIRF.bvardsge.Var.' name ' = VarIRFdsgevar(:,j,i);']);
            eval(['oo_.PosteriorIRF.bvardsge.Distribution.' name ' = DistribIRFdsgevar(:,:,j,i);']);
            eval(['oo_.PosteriorIRF.bvardsge.HPDinf.' name ' = HPDIRFdsgevar(:,1,j,i);']);
            eval(['oo_.PosteriorIRF.bvardsge.HPDsup.' name ' = HPDIRFdsgevar(:,2,j,i);']);
        end
    end
end
%%
%% 	Finally I build the plots.
%%



%%%%%%%%% START the SECOND BLOCK of CODE EXECUTED in PARALLEL! %%%%%%%%%
%
%   This portion of code is execute in parallel by PosteriorIRF_core2.m
%   function.

% Save the local variables.
localVars=[];

localVars.options_.TeX=options_.TeX;

 Check=options_.TeX
 if (Check)
   localVars.varlist_TeX=varlist_TeX;
 end
 
localVars.M_.exo_names_tex=M_.exo_names_tex;
localVars.M_.exo_names_orig_ord=M_.exo_names_orig_ord;


localVars.nvar=nvar;
localVars.MeanIRF=MeanIRF;
localVars.options_.nograph=options_.nograph;
localVars.options_.relative_irf=options_.relative_irf;
localVars.tit=tit;
localVars.nn=nn;
localVars.MAX_nirfs_dsgevar=MAX_nirfs_dsgevar;
localVars.options_.irf=options_.irf;
localVars.HPDIRF=HPDIRF;
localVars.varlist=varlist;
localVars.MaxNumberOfPlotPerFigure=MaxNumberOfPlotPerFigure;
localVars.M_.fname=M_.fname;


%%% The files .TeX are genereted in sequential way!

if options_.TeX
  fidTeX = fopen([DirectoryName '/' M_.fname '_BayesianIRF.TeX'],'w');
  fprintf(fidTeX,'%% TeX eps-loader file generated by PosteriorIRF.m (Dynare).\n');
  fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
  fprintf(fidTeX,' \n');
  titTeX(M_.exo_names_orig_ord,:) = M_.exo_names_tex;
  
  for i=1:M_.exo_nbr
        NAMES = [];
        TEXNAMES = [];
  
        for j=1:nvar
          if max(abs(MeanIRF(:,j,i))) > 10^(-6)  
            
            name = deblank(varlist(j,:));
            NAMES = strvcat(NAMES,name);
            
            texname = deblank(varlist_TeX(j,:));
            TEXNAMES = strvcat(TEXNAMES,['$' texname '$']);
          end
          
         end
            fprintf(fidTeX,'\\begin{figure}[H]\n');
            for jj = 1:size(TEXNAMES,1)
                fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{%s}\n'],deblank(NAMES(jj,:)),deblank(TEXNAMES(jj,:)));
            end
            fprintf(fidTeX,'\\centering \n');
            fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_Bayesian_IRF_%s}\n',M_.fname,deblank(tit(i,:)));
            if options_.relative_irf
                fprintf(fidTeX,['\\caption{Bayesian relative IRF.}']);
            else
                fprintf(fidTeX,'\\caption{Bayesian IRF.}');
            end
            fprintf(fidTeX,'\\label{Fig:BayesianIRF:%s}\n',deblank(tit(i,:)));
            fprintf(fidTeX,'\\end{figure}\n');
            fprintf(fidTeX,' \n');
  end
  
  fprintf(fidTeX,'%% End of TeX file.\n');
  fclose(fidTeX);
  
end

% The others format in parallel by PosteriorIRF_core2!


if isnumeric(options_.parallel) || (M_.exo_nbr*ceil(size(varlist,1)/MaxNumberOfPlotPerFigure))<8,% | isunix, % for the moment exclude unix platform from parallel implementation
    [fout] = PosteriorIRF_core2(localVars,1,M_.exo_nbr,0);
else
    
   [fout] = masterParallel(options_.parallel, 1, M_.exo_nbr,NamFileInput,'PosteriorIRF_core2', localVars, globalVars);
    
end

% END parallel code!
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%


fprintf('MH: Posterior IRFs, done!\n');

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%