stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Added prior 2nd order moments (still buggy). 

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2749 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
stepan 2009-06-09 15:29:28 +00:00
parent 271b16a879
commit 36ecf9d6bd
1 changed files with 59 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

61
matlab/get_prior_info.m
View File

@ -93,8 +93,9 @@ function get_prior_info(info)
M_.dname = M_.fname;
if info==1% Prior simulations.
if info==1% Prior simulations (BK).
results = prior_sampler(0,M_,bayestopt_,options_,oo_);
% Display prior mass info
disp(['Prior mass = ' num2str(results.prior.mass)])
disp(['BK indeterminacy share = ' num2str(results.bk.indeterminacy_share)])
disp(['BK unstability share = ' num2str(results.bk.unstability_share)])
@ -150,7 +151,63 @@ function get_prior_info(info)
end
end
if info==3% Prior simulations (BK+moments).
results = prior_sampler(1,M_,bayestopt_,options_,oo_);
% Display prior mass info.
disp(['Prior mass = ' num2str(results.prior.mass)])
disp(['BK indeterminacy share = ' num2str(results.bk.indeterminacy_share)])
disp(['BK unstability share = ' num2str(results.bk.unstability_share)])
disp(['BK singularity share = ' num2str(results.bk.singularity_share)])
disp(['Complex jacobian share = ' num2str(results.jacobian.problem_share)])
disp(['mjdgges crash share = ' num2str(results.dll.problem_share)])
disp(['Steady state problem share = ' num2str(results.ss.problem_share)])
disp(['Complex steady state share = ' num2str(results.ss.complex_share)])
disp(['Analytical steady state problem share = ' num2str(results.ass.problem_share)])
assignin('base','prior_mass_analysis',results);
% Compute prior moments.
PriorMomentsDirectoryName = CheckPath('prior/moments');
prior_draws_info = dir([ M_.dname '/prior/draws/prior_draws*.mat']);
number_of_prior_draws_files = length(prior_draws_info);
total_number_of_simulations = 0;
nvar = rows(options_.prior_analysis_endo_var_list);
if nvar == 0
nvar = M_.endo_nbr;
ivar = [1:nvar]';
else
ivar=zeros(nvar,1);
for i=1:nvar
i_tmp = strmatch(options_.prior_analysis_endo_var_list(i,:),M_.endo_names,'exact');
if isempty(i_tmp)
error (['One of the variable specified does not exist']) ;
else
ivar(i) = i_tmp;
end
end
end
for f=1:number_of_prior_draws_files
load([ M_.dname '/prior/draws/prior_draws' int2str(f) '.mat']);
number_of_simulations = length(pdraws);
total_number_of_simulations = total_number_of_simulations + number_of_simulations;
covariance_cell = cell(number_of_simulations);
correlation_cell = cell(number_of_simulations);
decomposition_cell = cell(number_of_simulations);
for s=1:number_of_simulations
dr = pdraws{s,2};
[gamma_y,ivar] = th_autocovariances(dr,ivar,M_,options_);
covariance_cell(s) = {vech(gamma_y{1})};
tmp = zeros(ivar,options_.ar);
for i=1:length(ivar)
for lag=1:options_.ar
tmp(i,lag) = gamma_y{lag+1}(i,i);
end
end
correlation_cell(s) = {tmp};
decomposition_cell(s) = {gamma_y{options_.ar+2}};
end
save([ PriorMomentsDirectoryName '/prior_moments_draws' int2str(f) '.mat' ],'covariance_cell','correlation_cell','decomposition_cell');
end
clear('covariance_cell','correlation_cell','decomposition_cell')
end
function format_string = build_format_string(bayestopt,i)
format_string = ['%s & %s & %6.4f &'];