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surgibbs: fix up and make work with sur changes

time-shift
Houtan Bastani 2019-01-11 16:00:20 +01:00
parent f8c0282b01
commit ef391b1304
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1 changed files with 25 additions and 15 deletions
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40
matlab/surgibbs.m
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@ -20,7 +20,7 @@ function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws, thin, eqtags)
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2017-2018 Dynare Team
% Copyright (C) 2017-2019 Dynare Team
%
% This file is part of Dynare.
%
@ -79,12 +79,16 @@ if nargin == 8
else
[nobs, pidxs, X, Y, m] = sur(ds, param_names);
end
beta = beta0;
A = inv(A);
thinidx = 1;
drawidx = 1;
nparams = length(param_names);
oo_.surgibbs.betadraws = zeros(floor((ndraws-discarddraws)/thin), nparams);
if ~options_.noprint
disp('surgibbs: estimating...please wait...')
end
for i = 1:ndraws
% Draw Omega, given X, Y, Beta
resid = reshape(Y - X*beta, nobs, m);
@ -113,21 +117,27 @@ oo_.surgibbs.beta = (sum(oo_.surgibbs.betadraws)/rows(oo_.surgibbs.betadraws))';
M_.params(pidxs) = oo_.surgibbs.beta;
%% Print Output
dyn_table('Gibbs Sampling on SUR', {}, {}, param_names, ...
{'Parameter Value'}, 4, oo_.surgibbs.beta);
if ~options_.noprint
dyn_table('Gibbs Sampling on SUR', {}, {}, param_names, ...
{'Parameter Value'}, 4, oo_.surgibbs.beta);
end
%% Plot
figure
nrows = 5;
ncols = floor(nparams/nrows);
if mod(nparams, nrows) ~= 0
ncols = ncols + 1;
if ~options_.nograph
figure
nrows = 5;
ncols = floor(nparams/nrows);
if mod(nparams, nrows) ~= 0
ncols = ncols + 1;
end
for j = 1:length(param_names)
M_.params(strmatch(param_names{j}, M_.param_names, 'exact')) = oo_.surgibbs.beta(j);
subplot(nrows, ncols, j)
histogram(oo_.surgibbs.betadraws(:, j))
hc = histcounts(oo_.surgibbs.betadraws(:, j));
line([oo_.surgibbs.beta(j) oo_.surgibbs.beta(j)], [min(hc) max(hc)], 'Color', 'red');
title(param_names{j}, 'Interpreter', 'none')
end
end
for j = 1:length(param_names)
M_.params(strmatch(param_names{j}, M_.param_names, 'exact')) = oo_.surgibbs.beta(j);
subplot(nrows, ncols, j)
histogram(oo_.surgibbs.betadraws(:, j))
hc = histcounts(oo_.surgibbs.betadraws(:, j));
line([oo_.surgibbs.beta(j) oo_.surgibbs.beta(j)], [min(hc) max(hc)], 'Color', 'red');
title(param_names{j}, 'Interpreter', 'none')
end