PosteriorSmoother

 stephane.adjemian@ens.fr [09-25-2005]

0001 function PosteriorSmoother(Y,gend, type)
0002 % stephane.adjemian@ens.fr [09-25-2005]
0003 global options_ estim_params_ oo_ M_
0004 
0005 nvx  = estim_params_.nvx;
0006 nvn  = estim_params_.nvn;
0007 ncx  = estim_params_.ncx;
0008 ncn  = estim_params_.ncn;
0009 np   = estim_params_.np ;
0010 npar = nvx+nvn+ncx+ncn+np;
0011 offset = npar-np;
0012 naK = length(options_.filter_step_ahead);
0013 %%
0014 MaxNumberOfPlotPerFigure = 4;% The square root must be an integer!
0015 MaxNumberOfBytes=options_.MaxNumberOfBytes;
0016 endo_nbr=M_.endo_nbr;
0017 exo_nbr=M_.exo_nbr;
0018 nvobs     = size(options_.varobs,1);
0019 nn = sqrt(MaxNumberOfPlotPerFigure);
0020 %%
0021 CheckPath('Plots/');
0022 DirectoryName = CheckPath('metropolis');
0023 load([ DirectoryName '/'  M_.fname '_mh_history'])
0024 FirstMhFile = record.KeepedDraws.FirstMhFile;
0025 FirstLine = record.KeepedDraws.FirstLine; 
0026 TotalNumberOfMhFiles = sum(record.MhDraws(:,2)); LastMhFile = TotalNumberOfMhFiles; 
0027 TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
0028 NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
0029 clear record;
0030 MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
0031 MAX_nsmoo = ceil(MaxNumberOfBytes/((endo_nbr)*gend)/8);
0032 MAX_ninno = ceil(MaxNumberOfBytes/(exo_nbr*gend)/8);
0033 MAX_nerro = ceil(MaxNumberOfBytes/(size(options_.varobs,1)*gend)/8);
0034 MAX_naK   = ceil(MaxNumberOfBytes/(size(options_.varobs,1)*length(options_.filter_step_ahead)*gend)/8);
0035 %%
0036 B = round(0.25*NumberOfDraws);
0037 %%
0038 varlist = options_.varlist;
0039 if isempty(varlist)
0040   varlist = M_.endo_names;
0041   SelecVariables = transpose(1:M_.endo_nbr);
0042   nvar = M_.endo_nbr;
0043 else
0044   nvar = size(varlist,1);
0045   SelecVariables = [];
0046   for i=1:nvar
0047     if ~isempty(strmatch(varlist(i,:),M_.endo_names,'exact'))
0048       SelecVariables = [SelecVariables;strmatch(varlist(i,:),M_.endo_names,'exact')];
0049     end
0050   end
0051 end
0052 
0053 irun1 = 1;
0054 irun2 = 1;
0055 irun3 = 1;
0056 irun4 = 1;
0057 irun5 = 1;
0058 ifil1 = 1;
0059 ifil2 = 1;
0060 ifil3 = 1;
0061 ifil4 = 1;
0062 ifil5 = 1;
0063 h = waitbar(0,'Bayesian smoother...');
0064 if B <= MAX_nruns
0065   stock_param = zeros(B, npar);
0066   stock_logpo = zeros(B,1);
0067   stock_ys = zeros(B,endo_nbr);
0068 else
0069   stock_param = zeros(MAX_nruns, npar);
0070   stock_logpo = zeros(MAX_nruns,1);
0071   stock_ys = zeros(MAX_nruns,endo_nbr);
0072 end
0073 if options_.smoother
0074   if B <= MAX_nsmoo
0075     stock_smooth = zeros(endo_nbr,gend,B);
0076   else
0077     stock_smooth = zeros(endo_nbr,gend,MAX_nsmoo);
0078   end
0079   if B <= MAX_ninno 
0080     stock_innov  = zeros(exo_nbr,gend,B);
0081   else
0082     stock_innov  = zeros(exo_nbr,gend,MAX_ninno);
0083   end
0084   if nvn & B <= MAX_nerro
0085     stock_error = zeros(nvobs,gend,B);
0086   else nvn & B > MAX_nerro
0087     stock_error = zeros(nvobs,gend,MAX_nerro);
0088   end
0089 end
0090 if options_.filter_step_ahead ~= 0
0091   if B <= MAX_naK
0092     stock_filter = zeros(naK,endo_nbr,gend+options_.filter_step_ahead(end),B);
0093   else
0094     stock_filter = zeros(naK,endo_nbr,gend+options_.filter_step_ahead(end),MAX_naK);
0095   end
0096 end
0097 for b=1:B
0098   %deep = GetOneDraw(NumberOfDraws,FirstMhFile,LastMhFile,FirstLine,MAX_nruns,DirectoryName);
0099   [deep, logpo] = GetOneDraw(type);
0100   set_all_parameters(deep);
0101   dr = resol(oo_.steady_state,0);
0102   [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoother(deep,gend,Y);
0103   
0104   stock_smooth(:,:,irun1) = alphahat(1:endo_nbr,:);
0105   if nvx
0106     stock_innov(:,:,irun2)  = etahat;
0107   end
0108   if nvn
0109     stock_error(:,:,irun3)  = epsilonhat;
0110   end
0111   if naK
0112     stock_filter(:,:,:,irun4) = aK(options_.filter_step_ahead,1:endo_nbr,:);
0113   end
0114   stock_param(irun5,:) = deep;
0115   stock_logpo(irun5,1) = logpo;
0116   stock_ys(irun5,:) = SteadyState';
0117 
0118   irun1 = irun1 + 1;
0119   irun2 = irun2 + 1;
0120   irun3 = irun3 + 1;
0121   irun4 = irun4 + 1;
0122   irun5 = irun5 + 1;
0123 
0124   if irun1 > MAX_nsmoo | b == B
0125     if b == B
0126       stock_smooth = stock_smooth(:,:,1:irun1-1);
0127     end
0128     stock = stock_smooth;
0129     save([DirectoryName '/' M_.fname '_smooth' int2str(ifil1)],'stock');
0130     ifil1 = ifil1 + 1;
0131     irun1 = 1;
0132   end
0133   
0134   if nvx & (irun2 > MAX_ninno | b == B)
0135     if b == B
0136       stock_innov = stock_innov(:,:,1:irun2-1);
0137     end
0138     stock = stock_innov;
0139     save([DirectoryName '/' M_.fname '_inno' int2str(ifil2)],'stock');
0140     ifil2 = ifil2 + 1;
0141     irun2 = 1;
0142   end
0143     
0144   if nvn & (irun3 > MAX_error | b == B)
0145     if b == B
0146       stock_error = stock_error(:,:,1:irun3-1);
0147     end
0148     stock = stock_error;
0149     save([DirectoryName '/' M_.fname '_error' int2str(ifil3)],'stock');
0150     ifil3 = ifil3 + 1;
0151     irun3 = 1;
0152   end
0153     
0154   if naK & (irun4 > MAX_naK | b == B)
0155     if b == B
0156       stock_filter = stock_filter(:,:,:,1:irun4-1);
0157     end
0158     stock = stock_filter;
0159     save([DirectoryName '/' M_.fname '_filter' int2str(ifil4)],'stock');
0160     ifil4 = ifil4 + 1;
0161     irun4 = 1;
0162   end
0163     
0164   if irun5 > MAX_nruns | b == B
0165     if b == B
0166       stock_param = stock_param(1:irun5-1,:);
0167       stock_logpo = stock_logpo(1:irun5-1,1);
0168       stock_ys = stock_ys(1:irun5-1,:);
0169     end
0170     stock = stock_param;
0171     save([DirectoryName '/' M_.fname '_param' int2str(ifil5)],'stock','stock_logpo','stock_ys');
0172     ifil5 = ifil5 + 1;
0173     irun5 = 1;
0174   end
0175 
0176   waitbar(b/B,h);
0177 end
0178 close(h)
0179 
0180 stock_gend=gend;
0181 stock_data=Y;
0182 save([DirectoryName '/' M_.fname '_data'],'stock_gend','stock_data');