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surgibbs: add thinning option

time-shift
Houtan Bastani 2018-01-12 14:43:18 +01:00
parent 23a251e7d7
commit 82a01c251e
2 changed files with 21 additions and 7 deletions
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26
matlab/surgibbs.m
View File

@ -1,5 +1,5 @@
function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws)
%function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws)
function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws, thin)
%function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws, thin)
% Implements Gibbs Samipling for SUR
%
% INPUTS
@ -10,6 +10,7 @@ function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws)
% param_names)
% ndraws [int] number of draws
% discarddraws [int] number of draws to discard
% thin [int] if thin == N, save every Nth draw
%
% OUTPUTS
% none
@ -43,7 +44,7 @@ function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws)
global M_ oo_
%% Check input
assert(nargin == 5 || nargin == 6, 'Incorrect number of arguments passed to surgibbs');
assert(nargin == 5 || nargin == 6 || nargin == 7, 'Incorrect number of arguments passed to surgibbs');
assert(isdseries(ds), 'The 1st argument must be a dseries');
assert(iscellstr(param_names), 'The 2nd argument must be a cellstr');
assert(isvector(beta0) && length(beta0) == length(param_names), ...
@ -59,6 +60,11 @@ if nargin == 5
else
assert(isint(discarddraws), 'The 6th argument, if provided, must be an integer');
end
if nargin == 6
thin = 1;
else
assert(isint(thin), 'The 7th argument, if provided, must be an integer');
end
%% Estimation
[nobs, pidxs, X, Y, m] = sur(ds);
@ -71,7 +77,9 @@ end
X = X(:, pidxs);
beta = beta0;
A = inv(A);
oo_.surgibbs.betadraws = zeros(ndraws-discarddraws, nparams);
thinidx = 1;
drawidx = 1;
oo_.surgibbs.betadraws = zeros(floor((ndraws-discarddraws)/thin), nparams);
for i = 1:ndraws
% Draw Omega, given X, Y, Beta
resid = reshape(Y - X*beta, nobs, m);
@ -85,12 +93,18 @@ for i = 1:ndraws
betabar = Omegabar*(tmp1*betahat+A*beta0);
beta = rand_multivariate_normal(betabar', chol(Omegabar), nparams)';
if i > discarddraws
oo_.surgibbs.betadraws(i-discarddraws, :) = beta';
if thinidx == thin
oo_.surgibbs.betadraws(drawidx, :) = beta';
thinidx = 1;
drawidx = drawidx + 1;
else
thinidx = thinidx + 1;
end
end
end
% save parameter values
oo_.surgibbs.beta = (sum(oo_.surgibbs.betadraws)/(ndraws-discarddraws))';
oo_.surgibbs.beta = (sum(oo_.surgibbs.betadraws)/rows(oo_.surgibbs.betadraws))';
M_.params(pidxs, 1) = oo_.surgibbs.beta;
%% Print Output

2
tests/ecb/SURGibbs/fulton_fish.mod
View File

@ -30,4 +30,4 @@ estparams = {'bq1' 'bq0'};
estparamsval = [bq1 bq0];
A = 0.0005.*eye(length(estparams));
surgibbs(dseries('fishdata.csv'), estparams, estparamsval, A, 10000, 5000);
surgibbs(dseries('fishdata.csv'), estparams, estparamsval, A, 20000, 5000, 7);