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Dynare saves only the (posterior) IRFs associated to endogenous variables declared in options_.varlist (the default is the subset of observed variables). This allows to run bayesian_irf with (very) big models. 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1299 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
adjemian 2007-06-04 14:26:49 +00:00
parent 77d6a24cf7
commit 1a4ca385a3
2 changed files with 154 additions and 162 deletions
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314
matlab/PosteriorIRF.m
View File

@ -19,9 +19,27 @@ function PosteriorIRF(type)
% part of DYNARE, copyright S. Adjemian, M. Juillard (2006)
% Gnu Public License.
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;
@ -31,9 +49,15 @@ npar = nvx+nvn+ncx+ncn+np;
offset = npar-np;
nvobs = size(options_.varobs,1);
gend = options_.nobs;
%
MaxNumberOfPlotPerFigure = 9;% The square root must be an integer!
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');
@ -42,13 +66,6 @@ elseif strcmpi(type,'gsa')
else
MhDirectoryName = CheckPath('prior');
end
MAX_nirfs_dsge = ceil(options_.MaxNumberOfBytes/(options_.irf*length(oo_.steady_state)*M_.exo_nbr)/8)+50;
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)+50;
else
MAX_nirfs_dsgevar = 0;
end
if strcmpi(type,'posterior')
load([ MhDirectoryName '/' M_.fname '_mh_history'])
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
@ -84,15 +101,16 @@ elseif strcmpi(type,'gsa')
else
h = waitbar(0,'Bayesian (prior) IRFs...');
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,M_.endo_nbr,M_.exo_nbr,MAX_nirfs_dsge);
stock_irf_dsge = zeros(options_.irf,nvar,M_.exo_nbr,MAX_nirfs_dsge);
else
stock_irf_dsge = zeros(options_.irf,M_.endo_nbr,M_.exo_nbr,B);
stock_irf_dsge = zeros(options_.irf,nvar,M_.exo_nbr,B);
end
if MAX_nirfs_dsgevar
if B >= MAX_nirfs_dsgevar
@ -106,113 +124,131 @@ if MAX_nirfs_dsgevar
NumberOfLagsTimesNvobs = NumberOfLags*nvobs;
COMP_draw = diag(ones(nvobs*(NumberOfLags-1),1),-nvobs);
end
for b=1:B
irun = irun+1;
irun2 = irun2+1;
if ~strcmpi(type,'gsa')
deep = GetOneDraw(type);
else
deep = x(b,:);
end
stock_param(irun2,:) = deep;
set_parameters(deep);
dr = resol(oo_.steady_state,0);
SS(M_.exo_names_orig_ord,M_.exo_names_orig_ord) = M_.Sigma_e+1e-14*eye(M_.exo_nbr);
SS = transpose(chol(SS));
for i = 1:M_.exo_nbr
if SS(i,i) > 1e-13
y=irf(dr,SS(M_.exo_names_orig_ord,i), options_.irf, options_.drop,options_.replic,options_.order);
if options_.relative_irf
y = 100*y/cs(i,i);
end
for j = 1:M_.endo_nbr
if max(y(j,:)) - min(y(j,:)) > 1e-10
stock_irf_dsge(:,j,i,irun) = transpose(y(j,:));
b = 0;
while b<=B
b = b + 1;
irun = irun+1;
irun2 = irun2+1;
if ~strcmpi(type,'gsa')
deep = GetOneDraw(type);
else
deep = x(b,:);
end
stock_param(irun2,:) = deep;
set_parameters(deep);
[dr,info] = resol(oo_.steady_state,0);
if info(1)
b = b - 1;
if info(1) == 1
errordef = 'Static variables are not uniquely defined';
elseif info(1) == 2
errordef = 'Dll problem';
elseif info(1) == 3
errordef = 'No stable trajectory';
elseif info(1) == 4
errordef = 'Indeterminacy';
elseif info(1) == 5
errordef = 'Rank condition is not satisfied';
end
end
disp(['PosteriorIRF :: Dynare is unable to solve the model (' errordef ')'])
continue
end
end
if MAX_nirfs_dsgevar
IRUN = IRUN+1;
tmp_dsgevar = zeros(options_.irf,nvobs*M_.exo_nbr);
[fval,cost_flag,ys,trend_coeff,info,PHI,SIGMAu,iXX] = DsgeVarLikelihood(deep',gend);
dsge_prior_weight = M_.params(strmatch('dsge_prior_weight',M_.param_names));
DSGE_PRIOR_WEIGHT = floor(gend*(1+dsge_prior_weight));
tmp1 = SIGMAu*gend*(dsge_prior_weight+1);
val = 1;
tmp1 = chol(inv(tmp1))';
while val;
% draw from the marginal posterior of sig
tmp2 = tmp1*randn(nvobs,DSGE_PRIOR_WEIGHT-NumberOfLagsTimesNvobs);
SIGMAu_draw = inv(tmp2*tmp2');
% draw from the conditional posterior of PHI
VARvecPHI = kron(SIGMAu_draw,iXX);
PHI_draw = PHI(:) + chol(VARvecPHI)'*randn(nvobs*NumberOfLagsTimesNvobs,1);
COMP_draw(1:nvobs,:) = reshape(PHI_draw,NumberOfLagsTimesNvobs,nvobs)';
% Check for stationarity
tests = find(abs(eig(COMP_draw))>0.9999999999);
if isempty(tests)
val=0;
end
end
% Get rotation
if dsge_prior_weight > 0
Atheta(oo_.dr.order_var,M_.exo_names_orig_ord) = oo_.dr.ghu*sqrt(M_.Sigma_e);
A0 = Atheta(bayestopt_.mfys,:);
[OMEGAstar,SIGMAtr] = qr2(A0');
end
SIGMAu_chol = chol(SIGMAu_draw)';
SIGMAtrOMEGA = SIGMAu_chol*OMEGAstar';
PHIpower = eye(NumberOfLagsTimesNvobs);
irfs = zeros (options_.irf,nvobs*M_.exo_nbr);
tmp3 = PHIpower(1:nvobs,1:nvobs)*SIGMAtrOMEGA;
irfs(1,:) = tmp3(:)';
for t = 2:options_.irf
PHIpower = COMP_draw*PHIpower;
tmp3 = PHIpower(1:nvobs,1:nvobs)*SIGMAtrOMEGA;
irfs(t,:) = tmp3(:)';
end
for j = 1:(nvobs*M_.exo_nbr)
if max(irfs(:,j)) - min(irfs(:,j)) > 1e-10
tmp_dsgevar(:,j) = (irfs(:,j));
end
end
if IRUN < MAX_nirfs_dsgevar
stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,nvobs,M_.exo_nbr);
else
stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,nvobs,M_.exo_nbr);
instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' int2str(NumberOfIRFfiles_dsgevar) ' stock_irf_bvardsge;'];,
eval(['save ' instr]);
NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1;
IRUN =0;
stock_irf_dsgevar = zeros(options_.irf,nvobs,M_.exo_nbr,MAX_nirfs_dsgevar);
end
end
if irun == MAX_nirfs_dsge | irun == B | b == B
if b == B
stock_irf_dsge = stock_irf_dsge(:,:,:,1:irun);
if MAX_nirfs_dsgevar & (b == B | IRUN == B)
stock_irf_bvardsge = stock_irf_bvardsge(:,:,:,1:IRUN);
instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' int2str(NumberOfIRFfiles_dsgevar) ' stock_irf_bvardsge;'];,
eval(['save ' instr]);
NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1;
irun = 0;
end
SS(M_.exo_names_orig_ord,M_.exo_names_orig_ord) = M_.Sigma_e+1e-14*eye(M_.exo_nbr);
SS = transpose(chol(SS));
for i = 1:M_.exo_nbr
if SS(i,i) > 1e-13
y=irf(dr,SS(M_.exo_names_orig_ord,i), options_.irf, options_.drop,options_.replic,options_.order);
if options_.relative_irf
y = 100*y/cs(i,i);
end
for j = 1:nvar
if max(y(j,:)) - min(y(j,:)) > 1e-10
stock_irf_dsge(:,j,i,irun) = transpose(y(IndxVariables(j),:));
end
end
end
end
save([MhDirectoryName '/' M_.fname '_irf_dsge' int2str(NumberOfIRFfiles_dsge)],'stock_irf_dsge');
NumberOfIRFfiles_dsge = NumberOfIRFfiles_dsge+1;
irun = 0;
end
if irun2 == MAX_nruns | b == B
if b == B
stock_param = stock_param(1:irun2,:);
if MAX_nirfs_dsgevar
IRUN = IRUN+1;
tmp_dsgevar = zeros(options_.irf,nvobs*M_.exo_nbr);
[fval,cost_flag,ys,trend_coeff,info,PHI,SIGMAu,iXX] = DsgeVarLikelihood(deep',gend);
dsge_prior_weight = M_.params(strmatch('dsge_prior_weight',M_.param_names));
DSGE_PRIOR_WEIGHT = floor(gend*(1+dsge_prior_weight));
tmp1 = SIGMAu*gend*(dsge_prior_weight+1);
val = 1;
tmp1 = chol(inv(tmp1))';
while val;
% draw from the marginal posterior of sig
tmp2 = tmp1*randn(nvobs,DSGE_PRIOR_WEIGHT-NumberOfLagsTimesNvobs);
SIGMAu_draw = inv(tmp2*tmp2');
% draw from the conditional posterior of PHI
VARvecPHI = kron(SIGMAu_draw,iXX);
PHI_draw = PHI(:) + chol(VARvecPHI)'*randn(nvobs*NumberOfLagsTimesNvobs,1);
COMP_draw(1:nvobs,:) = reshape(PHI_draw,NumberOfLagsTimesNvobs,nvobs)';
% Check for stationarity
tests = find(abs(eig(COMP_draw))>0.9999999999);
if isempty(tests)
val=0;
end
end
% Get rotation
if dsge_prior_weight > 0
Atheta(oo_.dr.order_var,M_.exo_names_orig_ord) = oo_.dr.ghu*sqrt(M_.Sigma_e);
A0 = Atheta(bayestopt_.mfys,:);
[OMEGAstar,SIGMAtr] = qr2(A0');
end
SIGMAu_chol = chol(SIGMAu_draw)';
SIGMAtrOMEGA = SIGMAu_chol*OMEGAstar';
PHIpower = eye(NumberOfLagsTimesNvobs);
irfs = zeros (options_.irf,nvobs*M_.exo_nbr);
tmp3 = PHIpower(1:nvobs,1:nvobs)*SIGMAtrOMEGA;
irfs(1,:) = tmp3(:)';
for t = 2:options_.irf
PHIpower = COMP_draw*PHIpower;
tmp3 = PHIpower(1:nvobs,1:nvobs)*SIGMAtrOMEGA;
irfs(t,:) = tmp3(:)';
end
for j = 1:(nvobs*M_.exo_nbr)
if max(irfs(:,j)) - min(irfs(:,j)) > 1e-10
tmp_dsgevar(:,j) = (irfs(:,j));
end
end
if IRUN < MAX_nirfs_dsgevar
stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,nvobs,M_.exo_nbr);
else
stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,nvobs,M_.exo_nbr);
instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' int2str(NumberOfIRFfiles_dsgevar) ' stock_irf_bvardsge;'];,
eval(['save ' instr]);
NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1;
IRUN =0;
stock_irf_dsgevar = zeros(options_.irf,nvobs,M_.exo_nbr,MAX_nirfs_dsgevar);
end
end
stock = stock_param;
save([MhDirectoryName '/' M_.fname '_param_irf' int2str(ifil2)],'stock');
ifil2 = ifil2 + 1;
irun2 = 0;
end
waitbar(b/B,h);
if irun == MAX_nirfs_dsge | irun == B | b == B
if b == B
stock_irf_dsge = stock_irf_dsge(:,:,:,1:irun);
if MAX_nirfs_dsgevar & (b == B | IRUN == B)
stock_irf_bvardsge = stock_irf_bvardsge(:,:,:,1:IRUN);
instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' int2str(NumberOfIRFfiles_dsgevar) ' stock_irf_bvardsge;'];,
eval(['save ' instr]);
NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1;
irun = 0;
end
end
save([MhDirectoryName '/' M_.fname '_irf_dsge' int2str(NumberOfIRFfiles_dsge)],'stock_irf_dsge');
NumberOfIRFfiles_dsge = NumberOfIRFfiles_dsge+1;
irun = 0;
end
if irun2 == MAX_nruns | b == B
if b == B
stock_param = stock_param(1:irun2,:);
end
stock = stock_param;
save([MhDirectoryName '/' M_.fname '_param_irf' int2str(ifil2)],'stock');
ifil2 = ifil2 + 1;
irun2 = 0;
end
waitbar(b/B,h);
end
NumberOfIRFfiles_dsge = NumberOfIRFfiles_dsge-1;
NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar-1;
@ -227,53 +263,8 @@ end
if strcmpi(type,'gsa')
return
end
varlist = options_.varlist;
if isempty(varlist)
if MAX_nirfs_dsgevar
varlist = options_.varobs;
nvar = size(varlist,1);
SelecVariables = [];
for i=1:nvar
if ~isempty(strmatch(varlist(i,:),M_.endo_names,'exact'))
SelecVariables = [SelecVariables;strmatch(varlist(i,:),M_.endo_names,'exact')];
end
end
else
varlist = M_.endo_names;
SelecVariables = transpose(1:M_.endo_nbr);
nvar = M_.endo_nbr;
end
else
nvar = size(varlist,1);
SelecVariables = [];
for i=1:nvar
if ~isempty(strmatch(varlist(i,:),M_.endo_names,'exact'))
SelecVariables = [SelecVariables;strmatch(varlist(i,:),M_.endo_names,'exact')];
end
end
if MAX_nirfs_dsgevar% Here I test if declared variables are observed variables.
SelecVariables = [];
varlistbis = [];
for i=1:nvar
if ~isempty(strmatch(varlist(i,:),options_.varobs,'exact'))
SelecVariables = [SelecVariables;strmatch(varlist(i,:),M_.endo_names,'exact')];
varlistbis = strvcat(varlistbis,varlist(i,:));
else
disp(' ')
disp(['Warning :: ' varlist(i,:) 'is not an observed variable!'])
disp(['This variable will not be considered for the IRFs.'])
disp(' ')
end
end
varlist = varlistbis;
end
end
MeanIRF = zeros(options_.irf,nvar,M_.exo_nbr);
MedianIRF = zeros(options_.irf,nvar,M_.exo_nbr);
VarIRF = zeros(options_.irf,nvar,M_.exo_nbr);
@ -297,17 +288,18 @@ for file = 1:NumberOfIRFfiles_dsge
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,SelecVariables(j),i,:)),0);
posterior_moments(squeeze(STOCK_IRF_DSGE(k,j,:)),0);
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(SelecVariables(j),:)) '_' deblank(tit(i,:))];
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);']);

2
matlab/ReshapeMatFiles.m
View File

@ -28,7 +28,7 @@ end
switch type
case 'irf_dsge'
CAPtype = 'IRF_DSGE';
TYPEsize = [ options_.irf , M_.endo_nbr , M_.exo_nbr ];
TYPEsize = [ options_.irf , size(options_.varlist,1) , M_.exo_nbr ];
TYPEarray = 4;
case 'irf_bvardsge'
CAPtype = 'IRF_BVARDSGE';