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added updated variables (a_t|t) and reverted the change in name for filtered_variables 

various bug corrections for posterior statistics


git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2031 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2008-09-04 01:16:50 +00:00
parent 3d2b9c7e7b
commit 70d8a84490
1 changed files with 16 additions and 17 deletions
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33
matlab/prior_posterior_statistics.m
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@ -124,7 +124,7 @@ 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);
stock_update = zeros(endo_nbr,gend,MAX_nsmoo);
run_smoother = 1;
end
@ -145,21 +145,23 @@ for b=1:B
[deep, logpo] = GetOneDraw(type);
set_all_parameters(deep);
dr = resol(oo_.steady_state,0);
%if moments_varendo
% stock_moments{irun(8)} = compute_model_moments(dr,M_,options_);
%end
if run_smoother
[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,:)+ ...
stock_update(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,:)+ ...
stock_update(dr.order_var,:,irun(1)) = alphatilde(1:endo_nbr,:)+ ...
repmat(dr.ys(dr.order_var),1,gend);
end
stock_innov(:,:,irun(2)) = etahat;
@ -211,8 +213,8 @@ 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 '_filter' int2str(ifil(1)) '.mat'],'stock');
stock = stock_update(:,:,1:irun(1)-1);
save([DirectoryName '/' M_.fname '_update' int2str(ifil(1)) '.mat'],'stock');
irun(1) = 1;
end
@ -286,10 +288,10 @@ 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,'tit_tex',M_.endo_names,...
varlist,'smoothed_variables',[M_.fname '/metropolis'],'_smooth');
varlist,'SmoothedVariables',[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');
M_.exo_names,'SmoothedShocks',[M_.fname '/metropolis'],'_inno');
if nvn
% needs to be fixed
% pm3(endo_nbr,gend,ifil(3),B,'Smoothed measurement errors',...
@ -299,23 +301,20 @@ if options_.smoother
end
if options_.filtered_vars
pm3(endo_nbr,gend,ifil(1),B,'Filtered variables',...
pm3(endo_nbr,gend,ifil(1),B,'Updated 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',...
varlist,'UpdatedVariables',[M_.fname '/metropolis'], ...
'_update');
pm3(endo_nbr,gend+1,ifil(4),B,'One step ahead forecast',...
'',M_.endo_names,'tit_tex',M_.endo_names,...
varlist,'one_step_ahead',[M_.fname '/metropolis'],'_filter_step_ahead');
varlist,'FilteredVariables',[M_.fname '/metropolis'],'_filter_step_ahead');
end
if options_.forecast
pm3(endo_nbr,horizon+maxlag,ifil(6),B,'Forecasted variables (mean)',...
'',M_.endo_names,'tit_tex',M_.endo_names,...
varlist,'mean_forecast',[M_.fname '/metropolis'],'_forc_mean');
varlist,'MeanForecast',[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');
varlist,'PointForecast',[M_.fname '/metropolis'],'_forc_point');
end