+ Added trace plots.
+ Correction of a bug related to ferhat's recent commits (options_.model_mode has to be declared somewhere). git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2013 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
adjemian
parent
7ab0fab21c
commit
fb3899018e
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@ -1,4 +1,4 @@
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function Draws = GetAllPosteriorDraws(column,FirstMhFile,FirstLine,TotalNumberOfMhFile,NumberOfDraws)
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function Draws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFile, NumberOfDraws, blck)
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% function Draws = GetAllPosteriorDraws(column,FirstMhFile,FirstLine,TotalNumberOfMhFile,NumberOfDraws)
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% Gets all posterior draws
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@ -35,30 +35,57 @@ function Draws = GetAllPosteriorDraws(column,FirstMhFile,FirstLine,TotalNumberOf
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global M_ options_
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nblck = options_.mh_nblck;
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iline = FirstLine;
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nblck = options_.mh_nblck;
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iline = FirstLine;
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linee = 1;
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DirectoryName = CheckPath('metropolis');
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Draws = zeros(NumberOfDraws*nblck,1);
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logpo = zeros(NumberOfDraws*nblck,1);
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ipost=0;
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if column<=0,
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column=1;
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ipost=1;
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end
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iline0=iline;
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for blck = 1:nblck
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iline=iline0;
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for file = FirstMhFile:TotalNumberOfMhFile
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'x2','logpo2')
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NumberOfLines = size(x2(iline:end,:),1);
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Draws(linee:linee+NumberOfLines-1) = x2(iline:end,column);
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logpo(linee:linee+NumberOfLines-1) = logpo2(iline:end);
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linee = linee+NumberOfLines;
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iline = 1;
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end
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end
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if ipost,
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Draws=logpo;
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if nblck>1 && nargin<6
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Draws = zeros(NumberOfDraws*nblck,1);
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iline0=iline;
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if column>0
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for blck = 1:nblck
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iline=iline0;
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for file = FirstMhFile:TotalNumberOfMhFile
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'x2')
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NumberOfLines = size(x2(iline:end,:),1);
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Draws(linee:linee+NumberOfLines-1) = x2(iline:end,column);
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linee = linee+NumberOfLines;
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iline = 1;
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end
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end
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else
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for blck = 1:nblck
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iline=iline0;
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for file = FirstMhFile:TotalNumberOfMhFile
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'logpo2')
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NumberOfLines = size(logpo2(iline:end),1);
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Draws(linee:linee+NumberOfLines-1) = logpo2(iline:end);
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linee = linee+NumberOfLines;
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iline = 1;
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end
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end
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end
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else
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if nblck==1
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blck=1;
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end
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if column>0
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for file = FirstMhFile:TotalNumberOfMhFile
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'x2')
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NumberOfLines = size(x2(iline:end,:),1);
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Draws(linee:linee+NumberOfLines-1) = x2(iline:end,column);
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linee = linee+NumberOfLines;
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iline = 1;
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end
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else
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for file = FirstMhFile:TotalNumberOfMhFile
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load([DirectoryName '/' M_.fname '_mh' int2str(file) '_blck' int2str(blck)],'logpo2')
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NumberOfLines = size(logpo2(iline:end,:),1);
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Draws(linee:linee+NumberOfLines-1) = logpo2(iline:end);
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linee = linee+NumberOfLines;
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iline = 1;
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end
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end
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end
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@ -114,6 +114,7 @@ function global_initialization()
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options_.replic = 50;
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options_.drop = 100;
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options_.simul_algo = 0;
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options_.model_mode = 0;
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% if mjdgges.dll (or .mexw32 or ....) doesn't exit, matlab/qz is added to the path.
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% There exists now qz/mjdgges.m that contains the calls to the old Sims code
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% Hence, if mjdgges.m is visible exist(...)==2,
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@ -180,6 +181,8 @@ function global_initialization()
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options_.posterior_sampling_method = 'random_walk_metropolis_hastings';
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options_.proposal_distribution = 'rand_multivariate_normal';
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options_.student_degrees_of_freedom = 3;
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options_.trace_plot_ma = 50;
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% Misc
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options_.conf_sig = 0.6;
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@ -0,0 +1,117 @@
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function i = name2index(options_, M_, estim_params_, type, name1, name2 )
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% Returns the index associated to an estimated object (deep parameter,
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% variance of a structural shock or measurement error, covariance between
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% two structural shocks, covariance between two measurement errors).
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%
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% INPUTS:
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% options_ [structure] Dynare structure.
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% M_ [structure] Dynare structure (related to model definition).
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% estim_params_ [structure] Dynare structure (related to estimation).
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% type [string] 'DeepParameter', 'MeasurementError' (for measurement equation error) or 'StructuralShock' (for structural shock).
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% name1 [string]
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% name2 [string]
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% OUTPUTS
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% i [integer] column index (in x2, an array of mh draws) associated to name1[,name2].
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2008 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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npa = estim_params_.np ;
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nnn = nvx+nvn+ncx+ncn+npa;
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i = [];
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if strcmpi(type,'DeepParameter')
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i = nvx + nvn + ncx + ncn + ...
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strmatch(name1,M_.param_names(estim_params_.param_vals(:,1),:),'exact');
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if nargin>5
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disp('The last input argument is useless!')
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end
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if isempty(i)
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disp([name1 ' is not an estimated deep parameter!'])
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end
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return
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end
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if strcmpi(type,'StructuralShock')
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if nargin<6% Covariance matrix diagonal term.
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i = strmatch(name1,M_.exo_names(estim_params_.var_exo(:,1),:),'exact');
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if isempty(i)
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disp(['The standard deviation of ' name1 ' is not an estimated parameter!'])
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return
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end
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else% Covariance matrix off-diagonal term
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offset = nvx+nvn;
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try
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list_of_structural_shocks = [ M_.exo_names(estim_params_.corrx(:,1),:) , M_.exo_names(estim_params_.corrx(:,2),:) ];
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k1 = strmatch(name1,list_of_structural_shocks(:,1),'exact');
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k2 = strmatch(name2,list_of_structural_shocks(:,2),'exact');
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i = offset+intersect(k1,k2);
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if isempty(i)
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k1 = strmatch(name1,list_of_structural_shocks(:,2),'exact');
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k2 = strmatch(name2,list_of_structural_shocks(:,1),'exact');
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i = offset+intersect(k1,k2);
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end
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if isempty(i)
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if isempty(i)
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disp(['The correlation between' name1 ' and ' name2 ' is not an estimated parameter!'])
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return
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end
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end
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catch
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disp(['Off diagonal terms of the covariance matrix are not estimated (state equation)'])
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end
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end
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end
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if strcmpi(type,'MeasurementError')
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if nargin<6% Covariance matrix diagonal term
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i = nvx + strmatch(name1,M_.endo_names(estim_params_.var_endo(:,1),:),'exact');
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if isempty(i)
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disp(['The standard deviation of the measurement error on ' name1 ' is not an estimated parameter!'])
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return
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end
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else% Covariance matrix off-diagonal term
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offset = nvx+nvn+ncx;
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try
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list_of_measurement_errors = [ M_.endo_names(estim_params_.corrn(:,1),:) , M_.endo_names(estim_params_.corrn(:,2),:) ];
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k1 = strmatch(name1,list_of_measurement_errors(:,1),'exact');
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k2 = strmatch(name2,list_of_measurement_errors(:,2),'exact');
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i = offset+intersect(k1,k2);
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if isempty(i)
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k1 = strmatch(name1,list_of_measurement_errors(:,2),'exact');
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k2 = strmatch(name2,list_of_measurement_errors(:,1),'exact');
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i = offset+intersect(k1,k2);
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end
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if isempty(i)
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if isempty(i)
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disp(['The correlation between the measurement errors on ' name1 ' and ' name2 ' is not an estimated parameter!'])
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return
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end
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end
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catch
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disp('Off diagonal terms of the covariance matrix are not estimated (measurement equation)')
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end
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end
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end
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@ -0,0 +1,109 @@
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function trace_plot(options_,M_,estim_params_,type,blck,name1,name2)
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% This function build trace plot for the metropolis hastings draws.
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%
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%
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% INPUTS
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%
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% name
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%
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% OUTPUTS
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% density [double] density
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%
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% SPECIAL REQUIREMENTS
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% Copyright (C) 2003-2008 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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% Cet the column index:
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if nargin<7
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column = name2index(options_, M_, estim_params_, type, name1);
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else
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column = name2index(options_, M_, estim_params_, type, name1, name2);
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end
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if isempty(column)
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return
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end
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% Get informations about the posterior draws:
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DirectoryName = CheckPath('metropolis');
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try
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load([DirectoryName '/' M_.fname '_mh_history.mat']);
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catch
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disp(['trace_plot:: I can''t find ' M_.fname '_results.mat !'])
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disp(['trace_plot:: Did you run a metropolis?'])
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return
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end
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FirstMhFile = 1;
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FirstLine = 1;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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clear record;
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% Get all the posterior draws:
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PosteriorDraws = GetAllPosteriorDraws(column, FirstMhFile, FirstLine, TotalNumberOfMhFiles, TotalNumberOfMhDraws, blck);
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% Plot the posterior draws:
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if strcmpi(type,'DeepParameter')
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TYPE = 'parameter ';
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elseif strcmpi(type,'StructuralShock')
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if nargin<7
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TYPE = 'the standard deviation of structural shock ';
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else
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TYPE = 'the correlation between structural shocks ';
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end
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elseif strcmpi(type,'MeasurementError')
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if nargin<7
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TYPE = 'the standard deviation of measurement error ';
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else
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TYPE = 'the correlation between measurement errors ';
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end
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end
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if nargin<7
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FigureName = ['trace plot for ' TYPE name1];
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else
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FigureName = ['trace plot for ' TYPE name1 ' and ' name2];
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end
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if options_.mh_nblck>1
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FigureName = [ FigureName , ' (block number' int2str(blck) ').'];
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end
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figure('Name',FigureName)
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plot(1:TotalNumberOfMhDraws,PosteriorDraws,'Color',[.8 .8 .8]);
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% Compute the moving average of the posterior draws:
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N = options_.trace_plot_ma;
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MovingAverage = NaN(TotalNumberOfMhDraws,1);
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first = N+1;
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last = TotalNumberOfMhDraws-N;
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for t=first:last
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MovingAverage(t) = mean(PosteriorDraws(t-N:t+N));
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end
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hold on
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plot(1:TotalNumberOfMhDraws,MovingAverage,'-k','linewidth',2)
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hold off
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axis tight
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