dynare/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m

function [nvar,vartan,NumberOfConditionalDecompFiles] = ...
        dsge_posterior_theoretical_conditional_variance_decomposition(SampleSize,Steps,M_,options_,oo_)
% This function estimates the posterior distribution of the conditional variance
% decomposition of the endogenous variables (or a subset of the endogenous variables).
% 
% INPUTS 
%   SampleSize     [integer]   scalar, number of draws in the posterior distribution.
%   Steps          [integer]   1*h vector of dates.
%  
% OUTPUTS 
%   nvar                             [integer]   scalar, number of endogenous variables.
%   vartan                           [string]    array, list of endogenous variables.
%   NumberOfConditionalDecompFiles   [integer]   scalar.

% Copyright (C) 2009 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/>.

type = 'posterior';% To be defined as a input argument later...

% Set varlist (vartan)
[ivar,vartan] = set_stationary_variables_list;
nvar = length(ivar);

% Set the size of the auto-correlation function to zero.
nar = options_.ar;
options_.ar = 0;

% Get informations about the _posterior_draws files.
DrawsFiles = dir([M_.dname '/metropolis/' M_.fname '_' type '_draws*' ]);
NumberOfDrawsFiles = length(DrawsFiles);

NumberOfDrawsFiles = rows(DrawsFiles);
NumberOfSavedElementsPerSimulation = nvar*(nvar+1)/2*M_.exo_nbr*length(Steps);
MaXNumberOfConditionalDecompLines = ceil(options_.MaxNumberOfBytes/NumberOfSavedElementsPerSimulation/8);

if SampleSize<=MaXNumberOfConditionalDecompLines
    Conditional_decomposition_array = zeros(nvar*(nvar+1)/2,length(Steps),M_.exo_nbr,SampleSize);
    NumberOfConditionalDecompFiles = 1;
else
    Conditional_decomposition_array = zeros(nvar*(nvar+1)/2,length(Steps),M_.exo_nbr,MaXNumberOfConditionalDecompLines);
    NumberOfLinesInTheLastConditionalDecompFile = mod(SampleSize,MaXNumberOfConditionalDecompLines);
    NumberOfConditionalDecompFiles = ceil(SampleSize/MaXNumberOfCOnditionalDecompLines);
end

NumberOfConditionalDecompLines = rows(Conditional_decomposition_array);
ConditionalDecompFileNumber = 1;

StateSpaceModel.number_of_state_equations = M_.endo_nbr;
StateSpaceModel.number_of_state_innovations = M_.exo_nbr;

endo_nbr = M_.endo_nbr;
nstatic  = oo_.dr.nstatic;
npred    = oo_.dr.npred;
iv = (1:endo_nbr)';
ic = [ nstatic+(1:npred) endo_nbr+(1:size(oo_.dr.ghx,2)-npred) ]';
aux = oo_.dr.transition_auxiliary_variables;
k = find(aux(:,2) > npred);
aux(:,2) = aux(:,2) + nstatic;
aux(k,2) = aux(k,2) + oo_.dr.nfwrd;

linea = 0;
for file = 1:NumberOfDrawsFiles
    load([M_.dname '/metropolis/' DrawsFiles(file).name ]);
    isdrsaved = columns(pdraws)-1;
    NumberOfDraws = rows(pdraws);
    for linee = 1:NumberOfDraws
        linea = linea+1;
        if isdrsaved
            set_parameters(pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
            dr = pdraws{linee,2};
        else
            set_parameters(pdraws{linee,1});
            [dr,info] = resol(oo_.steady_state,0);
        end
        [StateSpaceModel.transition_matrix,StateSpaceModel.impulse_matrix] = kalman_transition_matrix(dr,iv,ic,aux,M_.exo_nbr);
        StateSpaceModel.state_innovations_covariance_matrix = M_.Sigma_e;
        clear('dr');
        Conditional_decomposition_array(:,:,:,linea) = conditional_variance_decomposition(StateSpaceModel, Steps, ivar);   
        if linea == NumberOfConditionalDecompLines
            save([M_.dname '/metropolis/' M_.fname '_PosteriorConditionalVarianceDecomposition' int2str(ConditionalDecompFileNumber) '.mat' ], ...
                 'Conditional_decomposition_array');
            ConditionalDecompFileNumber = ConditionalDecompFileNumber + 1;
            linea = 0;
            test = ConditionalDecompFileNumber-NumberOfConditionalDecompFiles;
            if ~test% Prepare the last round...
                Conditional_decomposition_array = zeros(nvar*(nvar+1)/2,length(Steps),M_.exo_nbr,NumberOfLinesInTheLastConditionalDecompFile);
                NumberOfConditionalDecompLines = NumberOfLinesInTheLastConditionalDecompFile;
                ConditionalDecompFileNumber = ConditionalDecompFileNumber - 1;
            elseif test<0;
                Conditional_decomposition_array = zeros(nvar*(nvar+1)/2,length(Steps),M_.exo_nbr,MaXNumberOfConditionalDecompLines);
            else
                clear('Conditional_decomposition_array');
            end
        end
    end
end

options_.ar = nar;