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Estimation of BVAR models 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1188 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
adjemian 2007-02-13 16:38:51 +00:00
parent c19e59857f
commit 9f0ce4ac18
2 changed files with 28 additions and 20 deletions
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5
matlab/global_initialization.m
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@ -137,4 +137,7 @@ function global_initialization()
oo_.exo_det_simul = [];
% Variance matrix for measurement errors
M_.H = 0;
M_.H = 0;
% BVAR
M_.bvar = [];

43
matlab/metropolis.m
View File

@ -25,6 +25,11 @@ function metropolis(TargetFun,xparam1,vv,mh_bounds,varargin)
% Gnu Public License.
global M_ options_ bayestopt_
ModelName = M_.fname;
if ~isempty(M_.bvar)
ModelName = [M_.fname '_bvar'];
end
bayestopt_.penalty = 1e8;
MhDirectoryName = CheckPath('metropolis');
@ -46,9 +51,9 @@ if options_.load_mh_file == 0
disp('MH: One Chain mode.')
end
%% Delete old mh files...
files = dir([ MhDirectoryName '/' M_.fname '_mh*_blck*.mat']);
files = dir([ MhDirectoryName '/' ModelName '_mh*_blck*.mat']);
if length(files)
delete([ MhDirectoryName '/' M_.fname '_mh*_blck*.mat']);
delete([ MhDirectoryName '/' ModelName '_mh*_blck*.mat']);
disp('MH: Old _mh files succesfully erased!')
end
file = dir([ MhDirectoryName '/metropolis.log']);
@ -133,9 +138,9 @@ if options_.load_mh_file == 0
%%
%% Creation of the mh-history file:
%%
file = dir([MhDirectoryName '/' M_.fname '_mh_history.mat']);
file = dir([MhDirectoryName '/' ModelName '_mh_history.mat']);
if length(files)
delete([ MhDirectoryName '/' M_.fname '_mh_history.mat']);
delete([ MhDirectoryName '/' ModelName '_mh_history.mat']);
disp('MH: Old mh_history file succesfully erased!')
end
AnticipatedNumberOfFiles = ceil(nruns(1)/MAX_nruns);
@ -154,7 +159,7 @@ if options_.load_mh_file == 0
record.LastLogLiK = zeros(nblck,1);
record.LastFileNumber = AnticipatedNumberOfFiles ;
record.LastLineNumber = AnticipatedNumberOfLinesInTheLastFile;
save([MhDirectoryName '/' M_.fname '_mh_history'],'record');
save([MhDirectoryName '/' ModelName '_mh_history'],'record');
fprintf(fidlog,[' CREATION OF THE MH HISTORY FILE!\n\n']);
fprintf(fidlog,[' Expected number of files per block.......: ' int2str(AnticipatedNumberOfFiles) '.\n']);
fprintf(fidlog,[' Expected number of lines in the last file: ' ...
@ -172,8 +177,8 @@ if options_.load_mh_file == 0
elseif options_.load_mh_file == 1
%% Here we consider previous mh files (previous mh did not crash).
disp('MH: I''m loading past metropolis-hastings simulations...')
file = dir([ MhDirectoryName '/' M_.fname '_mh_history.mat' ]);
files = dir([ MhDirectoryName '/' M_.fname '_mh*.mat']);
file = dir([ MhDirectoryName '/' ModelName '_mh_history.mat' ]);
files = dir([ MhDirectoryName '/' ModelName '_mh*.mat']);
if ~length(files)
disp('MH:: FAILURE! there is no MH file to load here!')
return
@ -182,7 +187,7 @@ elseif options_.load_mh_file == 1
disp('MH:: FAILURE! there is no MH-history file!')
return
else
load([ MhDirectoryName '/' M_.fname '_mh_history'])
load([ MhDirectoryName '/' ModelName '_mh_history'])
end
fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
fprintf(fidlog,'\n');
@ -226,7 +231,7 @@ elseif options_.load_mh_file == 1
record.MhDraws(end,3) = AnticipatedNumberOfLinesInTheLastFile;
randn('state',record.Seeds.Normal);
rand('state',record.Seeds.Unifor);
save([MhDirectoryName '/' M_.fname '_mh_history'],'record');
save([MhDirectoryName '/' ModelName '_mh_history'],'record');
disp(['MH: ... It''s done. I''ve loaded ' int2str(NumberOfPreviousSimulations) ' simulations.'])
disp(' ')
elseif options_.mh_recover == 1
@ -234,12 +239,12 @@ elseif options_.mh_recover == 1
%% recover the saved draws...
disp('MH: Recover mode!')
disp(' ')
file = dir([MhDirectoryName '/' M_.fname '_mh_history.mat']);
file = dir([MhDirectoryName '/' ModelName '_mh_history.mat']);
if ~length(file)
disp('MH:: FAILURE! there is no MH-history file!')
return
else
load([ MhDirectoryName '/' M_.fname '_mh_history'])
load([ MhDirectoryName '/' ModelName '_mh_history'])
end
nblck = record.Nblck;
options_.mh_nblck = nblck;
@ -280,12 +285,12 @@ elseif options_.mh_recover == 1
ExpectedNumberOfMhFilesPerBlock = sum(record.MhDraws(:,2),1);
ExpectedNumberOfMhFiles = ExpectedNumberOfMhFilesPerBlock*nblck;
%% I count the total number of saved mh files...
AllMhFiles = dir([MhDirectoryName '/' M_.fname '_mh*_blck*.mat']);
AllMhFiles = dir([MhDirectoryName '/' ModelName '_mh*_blck*.mat']);
TotalNumberOfMhFiles = length(AllMhFiles);
%% I count the number of saved mh files per block
NumberOfMhFilesPerBlock = zeros(nblck,1);
for i = 1:nblck
BlckMhFiles = dir([ MhDirectoryName '/' M_.fname '_mh*_blck' int2str(i) '.mat']);
BlckMhFiles = dir([ MhDirectoryName '/' ModelName '_mh*_blck' int2str(i) '.mat']);
NumberOfMhFilesPerBlock(i) = length(BlckMhFiles);
end
tmp = NumberOfMhFilesPerBlock(1);
@ -319,7 +324,7 @@ elseif options_.mh_recover == 1
%% Is the last mh-file of the previous session full ?
%% (if there was a complete session before the crash)
if OldMh && ~NumberOfSavedMhFilesInTheCrashedBlck
load([MhDirectoryName '/' M_.fname '_mh' int2str(ante) '_blck' int2str(CrashedBlck) '.mat'],'logpo2');
load([MhDirectoryName '/' ModelName '_mh' int2str(ante) '_blck' int2str(CrashedBlck) '.mat'],'logpo2');
if length(logpo2) == MAX_nruns
IsTheLastFileOfThePreviousMhFull = 1;
NumberOfCompletedMhFiles = NumberOfMhFilesPerBlock(CrashedBlck);
@ -351,12 +356,12 @@ elseif options_.mh_recover == 1
%% I've got all the needed information... I can initialize the MH:
if OldMh
if NumberOfSavedMhFilesInTheCrashedBlck
load([MhDirectoryName '/' M_.fname '_mh' ...
load([MhDirectoryName '/' ModelName '_mh' ...
int2str(NumberOfCompletedMhFiles) '_blck' int2str(CrashedBlck) '.mat']);
fline(CrashedBlck,1) = 1;
NewFile(CrashedBlck) = NumberOfCompletedMhFiles+1;% NumberOfSavedMhFilesInTheCrashedBlck+1;
else
load([MhDirectoryName '/' M_.fname '_mh' ...
load([MhDirectoryName '/' ModelName '_mh' ...
int2str(ante) '_blck' int2str(CrashedBlck) '.mat']);
if reste
fline(CrashedBlck,1) = length(logpo2)+1;
@ -377,7 +382,7 @@ fclose(fidlog);
InitSizeArray = min([MAX_nruns*ones(nblck) nruns],[],2);
for b = fblck:nblck
if (options_.load_mh_file~=0) & (fline(b)>1) & OpenOldFile(b)
load(['./' MhDirectoryName '/' M_.fname '_mh' int2str(NewFile(b)) ...
load(['./' MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) ...
'_blck' int2str(b) '.mat'])
x2 = [x2;zeros(InitSizeArray(b)-fline(b)+1,npar)];
logpo2 = [logpo2;zeros(InitSizeArray(b)-fline(b)+1,1)];
@ -414,7 +419,7 @@ for b = fblck:nblck
prtfrc = j/nruns(b);
waitbar(prtfrc,hh,[ '(' int2str(b) '/' int2str(nblck) ') ' sprintf('%f done, acceptation rate %f',prtfrc,isux/j)]);
if (irun == InitSizeArray(b)) | (j == nruns(b)) % Now I save the simulations
save([MhDirectoryName '/' M_.fname '_mh' int2str(NewFile(b)) '_blck' int2str(b)],'x2','logpo2');
save([MhDirectoryName '/' ModelName '_mh' int2str(NewFile(b)) '_blck' int2str(b)],'x2','logpo2');
InitSizeArray(b) = min(nruns(b)-j,MAX_nruns);
fidlog = fopen([MhDirectoryName '/metropolis.log'],'a');
fprintf(fidlog,['\n']);
@ -461,7 +466,7 @@ for b = fblck:nblck
end% End of the loop over the mh-blocks.
record.Seeds.Normal = randn('state');
record.Seeds.Unifor = rand('state');
save([MhDirectoryName '/' M_.fname '_mh_history'],'record');
save([MhDirectoryName '/' ModelName '_mh_history'],'record');
disp(['MH: Number of mh files : ' int2str(NewFile(1)) ' per block.'])
disp(['MH: Total number of generated files : ' int2str(NewFile(1)*nblck) '.'])
disp(['MH: Total number of iterations : ' int2str((NewFile(1)-1)*MAX_nruns+irun-1) '.'])