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stock parameter values, steady state values and log-posterior values for sensitivity analysis purposes 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@733 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
ratto 2006-05-04 08:57:37 +00:00
parent 282204481d
commit e3c3a878cc
1 changed files with 18 additions and 7 deletions
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25
matlab/PosteriorSmoother.m
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@ -1,4 +1,4 @@
function PosteriorSmoother(Y,gend)
function PosteriorSmoother(Y,gend, type)
% stephane.adjemian@ens.fr [09-25-2005]
global options_ estim_params_ oo_ M_
@ -63,8 +63,12 @@ ifil5 = 1;
h = waitbar(0,'Bayesian smoother...');
if B <= MAX_nruns
stock_param = zeros(B, npar);
stock_logpo = zeros(B,1);
stock_ys = zeros(B,endo_nbr);
else
stock_param = zeros(MAX_nruns, npar);
stock_logpo = zeros(MAX_nruns,1);
stock_ys = zeros(MAX_nruns,endo_nbr);
end
if options_.smoother
if B <= MAX_nsmoo
@ -85,19 +89,19 @@ if options_.smoother
end
if options_.filter_step_ahead ~= 0
if B <= MAX_naK
stock_filter = zeros(naK,endo_nbr,gend+1,B);
stock_filter = zeros(naK,endo_nbr,gend+options_.filter_step_ahead(end),B);
else
stock_filter = zeros(naK,endo_nbr,gend+1,MAX_naK);
stock_filter = zeros(naK,endo_nbr,gend+options_.filter_step_ahead(end),MAX_naK);
end
end
for b=1:B
%deep = GetOneDraw(NumberOfDraws,FirstMhFile,LastMhFile,FirstLine,MAX_nruns,DirectoryName);
deep = GetOneDraw('posterior');
[deep, logpo] = GetOneDraw(type);
set_all_parameters(deep);
dr = resol(oo_.steady_state,0);
[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoother(deep,gend,Y);
stock_smooth(:,:,irun1) = alphahat;
stock_smooth(:,:,irun1) = alphahat(1:endo_nbr,:);
if nvx
stock_innov(:,:,irun2) = etahat;
end
@ -105,9 +109,11 @@ for b=1:B
stock_error(:,:,irun3) = epsilonhat;
end
if naK
stock_filter(:,:,:,irun4) = aK;
stock_filter(:,:,:,irun4) = aK(options_.filter_step_ahead,1:endo_nbr,:);
end
stock_param(irun5,:) = deep;
stock_logpo(irun5,1) = logpo;
stock_ys(irun5,:) = SteadyState';
irun1 = irun1 + 1;
irun2 = irun2 + 1;
@ -158,9 +164,11 @@ for b=1:B
if irun5 > MAX_nruns | b == B
if b == B
stock_param = stock_param(1:irun5-1,:);
stock_logpo = stock_logpo(1:irun5-1,1);
stock_ys = stock_ys(1:irun5-1,:);
end
stock = stock_param;
save([DirectoryName '/' M_.fname '_param' int2str(ifil5)],'stock');
save([DirectoryName '/' M_.fname '_param' int2str(ifil5)],'stock','stock_logpo','stock_ys');
ifil5 = ifil5 + 1;
irun5 = 1;
end
@ -169,3 +177,6 @@ for b=1:B
end
close(h)
stock_gend=gend;
stock_data=Y;
save([DirectoryName '/' M_.fname '_data'],'stock_gend','stock_data');