Estimation of the posterior theoretical 2nd order moments. Results are saved in oo_. This function can be called directly from the *.mod file by the user (no input argument needed).
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1393 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
adjemian
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function dsge_posterior_theoretical_covariance()
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% This function estimates the posterior density of the endogenous
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% variables second order moments.
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%
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% INPUTS
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% None.
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%
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% OUTPUTS
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% None.
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%
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% ALGORITHM
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% None.
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%
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% SPECIAL REQUIREMENTS
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% None.
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%
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%
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% part of DYNARE, copyright S. Adjemian, M. Juillard (2007)
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% Gnu Public License.
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global M_ options_ oo_
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type = 'posterior';% To be defined as a input argument later...
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NumberOfSimulations = 800;% To be defined in a global structure...
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% Set varlist (vartan) if necessary
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varlist = options_.varlist;
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if isempty(varlist)
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varlist = options_.varobs;
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options_.varlist = varlist;
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end
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nvar = rows(varlist);
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if ~isempty(options_.unit_root_vars)
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vartan = [];
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for i=1:nvar
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if isempty(strmatch(deblank(varlist(i,:)),options_.unit_root_vars,'exact'))
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vartan = strvcat(vartan,varlist(i,:));
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end
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end
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else
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vartan = varlist;
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end
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nvar = rows(vartan);
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ivar = zeros(nvar,1);
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for i = 1:nvar
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ivar(i) = strmatch(deblank(vartan(i,:)),M_.endo_names,'exact');
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end
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% Set various parameters & Check or create files and directories
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if strcmpi(type,'posterior')
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MhDirectoryName = CheckPath('metropolis');
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else
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MhDirectoryName = CheckPath('prior');
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end
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fname = [ MhDirectoryName '/' M_.fname];
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%save([fname '_Posterior2ndOrder'],'varlist');
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DrawsFiles = dir([fname '_' type '_draws*' ]);
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if ~rows(DrawsFiles)
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if strcmpi(type,'posterior')
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SampleAddress = selec_posterior_draws(NumberOfSimulations,1);
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else% (samples from the prior) To be done later...
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end
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DrawsFiles = dir([fname '_' type '_draws*']);
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end
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nar = options_.ar;% Saves size of the auto-correlation function.
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options_.ar = 0;% Set the size of the auto-correlation function.
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NumberOfDrawsFiles = rows(DrawsFiles);
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MaXNumberOfCovarLines = ceil(options_.MaxNumberOfBytes/(nvar*(nvar+1)/2)/8);
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if NumberOfSimulations<=MaXNumberOfCovarLines
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Covariance_matrix = zeros(NumberOfSimulations,nvar*(nvar+1)/2);
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NumberOfCovarFiles = 1;
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else
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Covariance_matrix = zeros(MaXNumberOfCovarLines,nvar*(nvar+1)/2);
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NumberOfLinesInTheLastCovarFile = mod(NumberOfSimulations,MaXNumberOfCovarLines);
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NumberOfCovarFiles = ceil(NumberOfSimulations/MaXNumberOfCovarLines);
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end
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NumberOfCovarLines = rows(Covariance_matrix);
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CovarFileNumber = 1;
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% Compute 2nd order moments and save them in *_Posterior2ndOrderMoments* files
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linea = 0;
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for file = 1:NumberOfDrawsFiles
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load([MhDirectoryName '/' DrawsFiles(file).name]);
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NumberOfDraws = rows(pdraws);
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for linee = 1:NumberOfDraws
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linea = linea+1;
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draw = pdraws(linee,:);
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set_parameters(draw);
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[dr,info] = resol(oo_.steady_state,0);
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tmp = th_autocovariances(dr,ivar);
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for i=1:nvar
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for j=i:nvar
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Covariance_matrix(linea,idx(i,j,nvar)) = tmp{1}(i,j);
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end
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end
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if linea == NumberOfCovarLines
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save([fname '_Posterior2ndOrderMoments' int2str(CovarFileNumber)],'Covariance_matrix');
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CovarFileNumber = CovarFileNumber + 1;
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linea = 0;
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test = CovarFileNumber-NumberOfCovarFiles;
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if ~(CovarFileNumber-NumberOfCovarFiles)% Prepare the last round...
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Covariance_matrix = zeros(NumberOfLinesInTheLastCovarFile,nvar*(nvar+1)/2);
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NumberOfCovarLines = NumberOfLinesInTheLastCovarFile;
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elseif CovarFileNumber-NumberOfCovarFiles<0;
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Covariance_matrix = zeros(MaXNumberOfCovarLines,nvar*(nvar+1)/2);
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else
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clear('Covariance_matrix');
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end
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end
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end
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end
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options_.ar = nar; clear('pdraws','tmp');
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% Compute statistics and save in oo_
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for i=1:nvar
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for j=i:nvar
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i1 = 1;
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tmp = zeros(NumberOfSimulations,1);
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for file = 1:NumberOfDrawsFiles
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load([fname '_Posterior2ndOrderMoments' int2str(file)]);
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i2 = i1 + rows(Covariance_matrix) - 1;
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tmp(i1:i2) = Covariance_matrix(:,idx(i,j,nvar));
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i1 = i2+1;
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end
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(tmp,1);
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name = fieldname(i,j,vartan);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.mean.' name ' = post_mean;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.median.' name ' = post_median;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.variance.' name ' = post_var;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.hpdinf.' name ' = hpd_interval(1);']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.hpdsup.' name ' = hpd_interval(2);']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.deciles.' name ' = post_deciles;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.density.' name ' = density;']);
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end
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end
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function k = idx(i,j,n)
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k = (i-1)*n+j-i*(i-1)/2;
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function r = rows(M)
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r = size(M,1);
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function name = fieldname(i,j,vlist)
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n1 = deblank(vlist(i,:));
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n2 = deblank(vlist(j,:));
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name = [n1 '.' n2];
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