2009-06-12 00:55:37 +02:00
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function oo_ = variance_decomposition_mc_analysis(NumberOfSimulations,type,dname,fname,exonames,exo,vartan,var,mh_conf_sig,oo_)
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2015-05-09 15:13:59 +02:00
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% function oo_ = variance_decomposition_mc_analysis(NumberOfSimulations,type,dname,fname,exonames,exo,vartan,var,mh_conf_sig,oo_)
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2009-06-12 00:55:37 +02:00
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% This function analyses the (posterior or prior) distribution of the
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2015-05-09 15:13:59 +02:00
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% endogenous variables' variance decomposition.
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%
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% INPUTS
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% NumberOfSimulations [integer] scalar, number of simulations.
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% type [string] 'prior' or 'posterior'
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% dname [string] directory name where to save
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% fname [string] name of the mod-file
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% exonames [string] (n_exo*char_length) character array with names of exogenous variables
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% exo [string] name of current exogenous
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% variable
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% vartan [string] (n_endo*char_length) character array with name
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% of endogenous variables
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% var [integer] index of the current
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% endogenous variable
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% mh_conf_sig [double] 2 by 1 vector with upper
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% and lower bound of HPD intervals
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% oo_ [structure] Dynare structure where the results are saved.
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%
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% OUTPUTS
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% oo_ [structure] Dynare structure where the results are saved.
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2009-06-12 00:55:37 +02:00
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2013-06-12 16:42:09 +02:00
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% Copyright (C) 2008-2013 Dynare Team
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2009-06-12 00:55:37 +02:00
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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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2009-12-16 18:17:34 +01:00
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if strcmpi(type,'posterior')
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TYPE = 'Posterior';
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PATH = [dname '/metropolis/'];
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else
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TYPE = 'Prior';
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PATH = [dname '/prior/moments/'];
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end
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2009-06-12 00:55:37 +02:00
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2009-12-16 18:17:34 +01:00
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indx = check_name(vartan,var);
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if isempty(indx)
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disp([ type '_analysis:: ' var ' is not a stationary endogenous variable!'])
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return
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end
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jndx = check_name(exonames,exo);
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if isempty(jndx)
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disp([ type '_analysis:: ' exo ' is not a declared exogenous variable!'])
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return
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end
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2009-06-12 00:55:37 +02:00
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2009-12-16 18:17:34 +01:00
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name = [ var '.' exo ];
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if isfield(oo_, [ TYPE 'TheoreticalMoments'])
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eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments;'])
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if isfield(temporary_structure,'dsge')
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eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments.dsge;'])
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if isfield(temporary_structure,'VarianceDecomposition')
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2013-03-17 22:47:47 +01:00
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eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments.dsge.VarianceDecomposition.Mean;'])
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2009-12-16 18:17:34 +01:00
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if isfield(temporary_structure,name)
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% Nothing to do.
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return
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2009-06-12 00:55:37 +02:00
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end
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end
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end
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2009-12-16 18:17:34 +01:00
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end
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2009-06-12 00:55:37 +02:00
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2009-12-16 18:17:34 +01:00
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ListOfFiles = dir([ PATH fname '_' TYPE 'VarianceDecomposition*.mat']);
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i1 = 1; tmp = zeros(NumberOfSimulations,1);
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indice = (indx-1)*rows(exonames)+jndx;
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for file = 1:length(ListOfFiles)
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load([ PATH ListOfFiles(file).name ]);
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i2 = i1 + rows(Decomposition_array) - 1;
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tmp(i1:i2) = Decomposition_array(:,indice);
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i1 = i2+1;
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end
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2009-06-12 00:55:37 +02:00
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2009-12-16 18:17:34 +01:00
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t1 = min(tmp); t2 = max(tmp);
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t3 = t2-t1;% How to normalize ? t1 and t2 may be zero...
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if t3<1.0e-12
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if t1<1.0e-12
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t1 = 0;
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2009-06-12 00:55:37 +02:00
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end
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2009-12-16 18:17:34 +01:00
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if abs(t1-1)<1.0e-12
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t1 = 1;
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end
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p_mean = t1;
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p_median = t1;
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p_var = 0;
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hpd_interval = NaN(2,1);
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p_deciles = NaN(9,1);
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density = NaN;
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else
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[p_mean, p_median, p_var, hpd_interval, p_deciles, density] = ...
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posterior_moments(tmp,1,mh_conf_sig);
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end
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2013-03-17 22:47:47 +01:00
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.VarianceDecomposition.Mean.' name ' = p_mean;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.VarianceDecomposition.Median.' name ' = p_median;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.VarianceDecomposition.Variance.' name ' = p_var;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.VarianceDecomposition.HPDinf.' name ' = hpd_interval(1);']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.VarianceDecomposition.HPDsup.' name ' = hpd_interval(2);']);
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2009-12-16 18:17:34 +01:00
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.VarianceDecomposition.deciles.' name ' = p_deciles;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.VarianceDecomposition.density.' name ' = density;']);
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