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+ Changed compute_moments_varendo so that it can handle prior montecarlo. 

+ Bug fix.
+ Cosmetic changes.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@2766 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
stepan 2009-06-11 23:09:19 +00:00
parent 5695c1d528
commit 1c5e2df2a0
3 changed files with 65 additions and 22 deletions
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77
matlab/compute_moments_varendo.m
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@ -1,6 +1,6 @@
function oo_ = compute_moments_varendo(options_,M_,oo_,var_list_)
function oo_ = compute_moments_varendo(type,options_,M_,oo_,var_list_)
% Computes the second order moments (autocorrelation function, covariance
% matrix and variance decomposition) for all the endogenous variables selected in
% matrix and variance decomposition) distributions for all the endogenous variables selected in
% var_list_. The results are saved in oo_
%
% INPUTS:
@ -15,7 +15,7 @@ function oo_ = compute_moments_varendo(options_,M_,oo_,var_list_)
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2008 Dynare Team
% Copyright (C) 2008-2009 Dynare Team
%
% This file is part of Dynare.
%
@ -31,34 +31,79 @@ function oo_ = compute_moments_varendo(options_,M_,oo_,var_list_)
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
if strcmpi(type,'posterior')
posterior = 1;
elseif strcmpi(type,'prior')
posterior = 0;
else
disp('compute_moments_varendo:: Unknown type!')
error()
end
NumberOfEndogenousVariables = rows(var_list_);
NumberOfExogenousVariables = M_.exo_nbr;
list_of_exogenous_variables = M_.exo_names;
NumberOfLags = options_.ar;
Steps = options_.conditional_variance_decomposition_dates;
% COVARIANCE MATRIX.
for i=1:NumberOfEndogenousVariables
for j=i:NumberOfEndogenousVariables
oo_ = posterior_analysis('variance',var_list_(i,:),var_list_(j,:),[],options_,M_,oo_);
if posterior
for i=1:NumberOfEndogenousVariables
for j=i:NumberOfEndogenousVariables
oo_ = posterior_analysis('variance',var_list_(i,:),var_list_(j,:),[],options_,M_,oo_);
end
end
else
for i=1:NumberOfEndogenousVariables
for j=i:NumberOfEndogenousVariables
oo_ = prior_analysis('variance',var_list_(i,:),var_list_(j,:),[],options_,M_,oo_);
end
end
end
% CORRELATION FUNCTION.
for h=NumberOfLags:-1:1
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfEndogenousVariables
oo_ = posterior_analysis('correlation',var_list_(i,:),var_list_(j,:),h,options_,M_,oo_);
if posterior
for h=NumberOfLags:-1:1
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfEndogenousVariables
oo_ = posterior_analysis('correlation',var_list_(i,:),var_list_(j,:),h,options_,M_,oo_);
end
end
end
else
for h=NumberOfLags:-1:1
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfEndogenousVariables
oo_ = prior_analysis('correlation',var_list_(i,:),var_list_(j,:),h,options_,M_,oo_);
end
end
end
end
% VARIANCE DECOMPOSITION.
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = posterior_analysis('decomposition',var_list_(i,:),M_.exo_names(j,:),[],options_,M_,oo_);
if posterior
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = posterior_analysis('decomposition',var_list_(i,:),M_.exo_names(j,:),[],options_,M_,oo_);
end
end
else
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = prior_analysis('decomposition',var_list_(i,:),M_.exo_names(j,:),[],options_,M_,oo_);
end
end
end
% CONDITIONAL VARIANCE DECOMPOSITION.
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = posterior_analysis('conditional decomposition',var_list_(i,:),M_.exo_names(j,:),Steps,options_,M_,oo_);
if posterior
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = posterior_analysis('conditional decomposition',var_list_(i,:),M_.exo_names(j,:),Steps,options_,M_,oo_);
end
end
else
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = prior_analysis('conditional decomposition',var_list_(i,:),M_.exo_names(j,:),Steps,options_,M_,oo_);
end
end
end

8
matlab/covariance_mc_analysis.m
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@ -21,12 +21,10 @@ function oo_ = covariance_mc_analysis(NumberOfSimulations,type,dname,fname,varta
if strcmpi(type,'posterior')
TYPE = 'Posterior';
PATH = [dname '/metropolis/']
posterior = 1;
PATH = [dname '/metropolis/'];
else
TYPE = 'Prior';
PATH = [dname '/prior/moments/']
posterior = 0;
PATH = [dname '/prior/moments/'];
end
indx1 = check_name(vartan,var1);
@ -37,7 +35,7 @@ function oo_ = covariance_mc_analysis(NumberOfSimulations,type,dname,fname,varta
if ~isempty(var2)
indx2 = check_name(vartan,var2);
if isempty(indx2)
disp([ prior '_analysis:: ' var2 ' is not a stationary endogenous variable!'])
disp([ type '_analysis:: ' var2 ' is not a stationary endogenous variable!'])
return
end
else

2
matlab/dynare_estimation_1.m
View File

@ -1040,7 +1040,7 @@ if (any(bayestopt_.pshape >0 ) & options_.mh_replic) | ...
PosteriorIRF('posterior');
end
if options_.moments_varendo
oo_ = compute_moments_varendo(options_,M_,oo_,var_list_);
oo_ = compute_moments_varendo('posterior',options_,M_,oo_,var_list_);
end
if options_.smoother | ~isempty(options_.filter_step_ahead) | options_.forecast
prior_posterior_statistics('posterior',data,gend,data_index,missing_value);