fixing posterior analysis output. filtered_vars and step_ahead_filter still don't work correctly
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1992 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
michel
parent
1a1281bd07
commit
4f3d871b77
14
matlab/pm3.m
14
matlab/pm3.m
|
|
@ -21,21 +21,22 @@ function pm3(n1,n2,ifil,B,tit1,tit2,tit3,tit_tex,names1,names2,name3,DirectoryNa
|
|||
|
||||
nn = 3;
|
||||
MaxNumberOfPlotsPerFigure = nn^2; % must be square
|
||||
varlist = options_.varlist;
|
||||
varlist = names2;
|
||||
if isempty(varlist)
|
||||
varlist = M_.endo_names;
|
||||
varlist = names1;
|
||||
SelecVariables = (1:M_.endo_nbr)';
|
||||
nvar = M_.endo_nbr;
|
||||
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')];
|
||||
if ~isempty(strmatch(varlist(i,:),names1,'exact'))
|
||||
SelecVariables = [SelecVariables;strmatch(varlist(i,:),names1,'exact')];
|
||||
end
|
||||
end
|
||||
end
|
||||
if options_.TeX
|
||||
% needs to be fixed
|
||||
varlist_TeX = [];
|
||||
for i=1:nvar
|
||||
varlist_TeX = strvcat(varlist_TeX,M_.endo_names_tex(SelecVariables(i),:));
|
||||
|
|
@ -51,6 +52,9 @@ function pm3(n1,n2,ifil,B,tit1,tit2,tit3,tit_tex,names1,names2,name3,DirectoryNa
|
|||
k = 0;
|
||||
for file = 1:ifil
|
||||
load([DirectoryName '/' M_.fname var_type int2str(file)]);
|
||||
if size(size(stock),2) == 4
|
||||
stock = squeeze(stock(1,:,:,:));
|
||||
end
|
||||
k = k(end)+(1:size(stock,3));
|
||||
stock1(:,:,k) = stock;
|
||||
end
|
||||
|
|
@ -84,7 +88,7 @@ function pm3(n1,n2,ifil,B,tit1,tit2,tit3,tit_tex,names1,names2,name3,DirectoryNa
|
|||
%%
|
||||
figunumber = 0;
|
||||
subplotnum = 0;
|
||||
hh = figure('Name',[name3 ' ' int2str(figunumber+1)]);
|
||||
hh = figure('Name',[tit1 ' ' int2str(figunumber+1)]);
|
||||
for i=1:nvar
|
||||
NAMES = [];
|
||||
if options_.TeX
|
||||
|
|
|
|||
|
|
@ -51,6 +51,7 @@ nvobs = size(options_.varobs,1);
|
|||
iendo = 1:endo_nbr;
|
||||
horizon = options_.forecast;
|
||||
moments_varendo = options_.moments_varendo;
|
||||
filtered_vars = options_.filtered_vars;
|
||||
if horizon
|
||||
i_last_obs = gend+(1-M_.maximum_endo_lag:0);
|
||||
end
|
||||
|
|
@ -123,16 +124,18 @@ if options_.smoother
|
|||
stock_smooth = zeros(endo_nbr,gend,MAX_nsmoo);
|
||||
stock_innov = zeros(exo_nbr,gend,B);
|
||||
stock_error = zeros(nvobs,gend,MAX_nerro);
|
||||
stock_filter = zeros(endo_nbr,gend,MAX_nsmoo);
|
||||
run_smoother = 1;
|
||||
end
|
||||
|
||||
if options_.filter_step_ahead
|
||||
stock_filter = zeros(naK,endo_nbr,gend+ ...
|
||||
stock_filter_step_ahead = zeros(naK,endo_nbr,gend+ ...
|
||||
options_.filter_step_ahead(end),MAX_naK);
|
||||
run_smoother = 1;
|
||||
end
|
||||
if options_.forecast
|
||||
stock_forcst_mean = zeros(endo_nbr,horizon+maxlag,MAX_nforc1);
|
||||
stock_forcst_total = zeros(endo_nbr,horizon+maxlag,MAX_nforc2);
|
||||
stock_forcst_point = zeros(endo_nbr,horizon+maxlag,MAX_nforc2);
|
||||
run_smoother = 1;
|
||||
end
|
||||
if moments_varendo
|
||||
|
|
@ -146,23 +149,25 @@ for b=1:B
|
|||
stock_moments{irun(8)} = compute_model_moments(dr,M_,options_);
|
||||
end
|
||||
if run_smoother
|
||||
[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = ...
|
||||
[alphahat,etahat,epsilonhat,alphatilde,SteadyState,trend_coeff,aK] = ...
|
||||
DsgeSmoother(deep,gend,Y);
|
||||
if options_.loglinear
|
||||
stock_smooth(dr.order_var,:,irun(1)) = alphahat(1:endo_nbr,:)+ ...
|
||||
repmat(log(dr.ys(dr.order_var)),1,gend);
|
||||
stock_filter(dr.order_var,:,irun(1)) = alphatilde(1:endo_nbr,:)+ ...
|
||||
repmat(log(dr.ys(dr.order_var)),1,gend);
|
||||
else
|
||||
stock_smooth(dr.order_var,:,irun(1)) = alphahat(1:endo_nbr,:)+ ...
|
||||
repmat(dr.ys(dr.order_var),1,gend);
|
||||
stock_filter(dr.order_var,:,irun(1)) = alphatilde(1:endo_nbr,:)+ ...
|
||||
repmat(dr.ys(dr.order_var),1,gend);
|
||||
end
|
||||
if nvx
|
||||
stock_innov(:,:,irun(2)) = etahat;
|
||||
end
|
||||
stock_innov(:,:,irun(2)) = etahat;
|
||||
if nvn
|
||||
stock_error(:,:,irun(3)) = epsilonhat;
|
||||
end
|
||||
if naK
|
||||
stock_filter(:,dr.order_var,:,irun(4)) = aK(options_.filter_step_ahead,1:endo_nbr,:);
|
||||
stock_filter_steap_ahead(:,dr.order_var,:,irun(4)) = aK(options_.filter_step_ahead,1:endo_nbr,:);
|
||||
end
|
||||
|
||||
if horizon
|
||||
|
|
@ -192,7 +197,7 @@ for b=1:B
|
|||
end
|
||||
|
||||
stock_forcst_mean(:,:,irun(6)) = yf';
|
||||
stock_forcst_total(:,:,irun(7)) = yf1';
|
||||
stock_forcst_point(:,:,irun(7)) = yf1';
|
||||
end
|
||||
|
||||
end
|
||||
|
|
@ -206,10 +211,12 @@ for b=1:B
|
|||
stock = stock_smooth(:,:,1:irun(1)-1);
|
||||
ifil(1) = ifil(1) + 1;
|
||||
save([DirectoryName '/' M_.fname '_smooth' int2str(ifil(1)) '.mat'],'stock');
|
||||
stock = stock_filter(:,:,1:irun(1)-1);
|
||||
save([DirectoryName '/' M_.fname '_smooth' int2str(ifil(1)) '.mat'],'stock');
|
||||
irun(1) = 1;
|
||||
end
|
||||
|
||||
if nvx && (irun(2) > MAX_ninno || b == B)
|
||||
if irun(2) > MAX_ninno || b == B
|
||||
stock = stock_innov(:,:,1:irun(2)-1);
|
||||
ifil(2) = ifil(2) + 1;
|
||||
save([DirectoryName '/' M_.fname '_inno' int2str(ifil(2)) '.mat'],'stock');
|
||||
|
|
@ -224,9 +231,9 @@ for b=1:B
|
|||
end
|
||||
|
||||
if naK && (irun(4) > MAX_naK || b == B)
|
||||
stock = stock_filter(:,:,:,1:irun(4)-1);
|
||||
stock = stock_filter_step_ahead(:,:,:,1:irun(4)-1);
|
||||
ifil(4) = ifil(4) + 1;
|
||||
save([DirectoryName '/' M_.fname '_filter' int2str(ifil(4)) '.mat'],'stock');
|
||||
save([DirectoryName '/' M_.fname '_filter_step_ahead' int2str(ifil(4)) '.mat'],'stock');
|
||||
irun(4) = 1;
|
||||
end
|
||||
|
||||
|
|
@ -245,9 +252,9 @@ for b=1:B
|
|||
end
|
||||
|
||||
if horizon && (irun(7) > MAX_nforc2 || b == B)
|
||||
stock = stock_forcst_total(:,:,1:irun(7)-1);
|
||||
stock = stock_forcst_point(:,:,1:irun(7)-1);
|
||||
ifil(7) = ifil(7) + 1;
|
||||
save([DirectoryName '/' M_.fname '_forc_total' int2str(ifil(7)) '.mat'],'stock');
|
||||
save([DirectoryName '/' M_.fname '_forc_point' int2str(ifil(7)) '.mat'],'stock');
|
||||
irun(7) = 1;
|
||||
end
|
||||
|
||||
|
|
@ -278,15 +285,37 @@ save([DirectoryName '/' M_.fname '_data.mat'],'stock_gend','stock_data');
|
|||
|
||||
if options_.smoother
|
||||
pm3(endo_nbr,gend,ifil(1),B,'Smoothed variables',...
|
||||
M_.endo_names(SelecVariables),M_.endo_names,'tit_tex',M_.endo_names,...
|
||||
'names2','smooth',[M_.fname '/metropolis'],'_smooth')
|
||||
'',M_.endo_names,'tit_tex',M_.endo_names,...
|
||||
varlist,'smoothed_variables',[M_.fname '/metropolis'],'_smooth');
|
||||
pm3(exo_nbr,gend,ifil(2),B,'Smoothed shocks',...
|
||||
'',M_.exo_names,'tit_tex',M_.exo_names,...
|
||||
M_.exo_names,'smoothed_shocks',[M_.fname '/metropolis'],'_inno');
|
||||
if nvn
|
||||
% needs to be fixed
|
||||
% pm3(endo_nbr,gend,ifil(3),B,'Smoothed measurement errors',...
|
||||
% M_.endo_names(SelecVariables),M_.endo_names,'tit_tex',M_.endo_names,...
|
||||
% 'names2','smooth_errors',[M_.fname '/metropolis'],'_error')
|
||||
end
|
||||
end
|
||||
|
||||
if options_.filtered_vars
|
||||
pm3(endo_nbr,gend+1,ifil(1),B,'Filtered variables',...
|
||||
'',M_.endo_names,'tit_tex',M_.endo_names,...
|
||||
varlist,'filtered_current_variables',[M_.fname '/metropolis'], ...
|
||||
'_filter');
|
||||
end
|
||||
|
||||
if options_.filter_step_ahead
|
||||
pm3(endo_nbr,gend+1,ifil(1),B,'One step ahead forecast',...
|
||||
'',M_.endo_names,'tit_tex',M_.endo_names,...
|
||||
varlist,'one_step_ahead',[M_.fname '/metropolis'],'_filter_step_ahead');
|
||||
end
|
||||
|
||||
if options_.forecast
|
||||
pm3(endo_nbr,horizon+maxlag,ifil(6),B,'Forecasted variables (mean)',...
|
||||
M_.endo_names(SelecVariables),M_.endo_names,'tit_tex',M_.endo_names,...
|
||||
'names2','smooth',[M_.fname '/metropolis'],'_forc_mean')
|
||||
pm3(endo_nbr,horizon+maxlag,ifil(6),B,'Forecasted variables (total)',...
|
||||
M_.endo_names(SelecVariables),M_.endo_names,'tit_tex',M_.endo_names,...
|
||||
'names2','smooth',[M_.fname '/metropolis'],'_forc_total')
|
||||
'',M_.endo_names,'tit_tex',M_.endo_names,...
|
||||
varlist,'mean_forecast',[M_.fname '/metropolis'],'_forc_mean');
|
||||
pm3(endo_nbr,horizon+maxlag,ifil(6),B,'Forecasted variables (point)',...
|
||||
'',M_.endo_names,'tit_tex',M_.endo_names,...
|
||||
varlist,'point_forecast',[M_.fname '/metropolis'],'_forc_point');
|
||||
end
|
||||
Loading…
Reference in New Issue