function dynare_MC(var_list_,OutDir,data,rawdata,data_info) % % Adapted by M. Ratto from dynare_estimation.m and posteriorsmoother.m % (dynare_estimation.m and posteriorsmoother.m are part of DYNARE, % copyright M. Juillard) % % Part of the Sensitivity Analysis Toolbox for DYNARE % % Written by Marco Ratto, 2006 % Joint Research Centre, The European Commission, % (http://eemc.jrc.ec.europa.eu/), % marco.ratto@jrc.it % % Disclaimer: This software is not subject to copyright protection and is in the public domain. % It is an experimental system. The Joint Research Centre of European Commission % assumes no responsibility whatsoever for its use by other parties % and makes no guarantees, expressed or implied, about its quality, reliability, or any other % characteristic. We would appreciate acknowledgement if the software is used. % Reference: % M. Ratto, Global Sensitivity Analysis for Macroeconomic models, MIMEO, 2006. % global M_ options_ oo_ estim_params_ global bayestopt_ % if options_.filtered_vars ~= 0 & options_.filter_step_ahead == 0 % options_.filter_step_ahead = 1; % end % if options_.filter_step_ahead ~= 0 % options_.nk = max(options_.filter_step_ahead); % else % options_.nk = 0; % end % options_.filter_step_ahead=1; options_.nk = 1; nvx = estim_params_.nvx; nvn = estim_params_.nvn; ncx = estim_params_.ncx; ncn = estim_params_.ncn; np = estim_params_.np ; npar = nvx+nvn+ncx+ncn+np; if isempty(options_.datafile) error('ESTIMATION: datafile option is missing') end if isempty(options_.varobs) error('ESTIMATION: VAROBS is missing') end gend = data_info.gend; n_varobs = size(options_.varobs,1); data_index = data_info.data_index; number_of_observations = data_info.number_of_observations; no_more_missing_observations = data_info.no_more_missing_observations; missing_value = data_info.missing_value; offset = npar-np; fname_=M_.fname; options_ = set_default_option(options_,'opt_gsa',1); options_gsa_ = options_.opt_gsa; if options_gsa_.pprior, namfile=[fname_,'_prior']; else namfile=[fname_,'_mc']; end load([OutDir,'/',namfile],'lpmat', 'lpmat0', 'istable') % load(options_.mode_file) %% %% %% x=[lpmat0(istable,:) lpmat(istable,:)]; clear lpmat lpmat0 istable %iunstable egg yys T B = size(x,1); [atT,innov,measurement_error,updated_variables,ys,trend_coeff, aK] = DsgeSmoother(x(1,:)',gend,data,data_index,missing_value); n1=size(atT,1); nfil=B/40; stock_smooth = zeros(M_.endo_nbr,gend,40); stock_filter = zeros(M_.endo_nbr,gend+1,40); stock_ys = zeros(40, M_.endo_nbr); logpo2=zeros(B,1); %% h = waitbar(0,'MC smoother ...'); delete([OutDir,'/',namfile,'_*.mat']) ib=0; ifil=0; opt_gsa=options_.opt_gsa; for b=1:B ib=ib+1; deep = x(b,:)'; set_all_parameters(deep); dr = resol(oo_.steady_state,0); %deep(1:offset) = xparam1(1:offset); logpo2(b,1) = DsgeLikelihood(deep,gend,data,data_index,number_of_observations,no_more_missing_observations); if opt_gsa.lik_only==0, [atT,innov,measurement_error,updated_variables,ys,trend_coeff, aK] = DsgeSmoother(deep,gend,data,data_index,missing_value); stock_smooth(:,:,ib)=atT(1:M_.endo_nbr,:); % stock_filter(:,:,ib)=updated_variables(1:M_.endo_nbr,:); stock_filter(:,:,ib)=aK(1,1:M_.endo_nbr,:); stock_ys(ib,:)=ys'; if ib==40, ib=0; ifil=ifil+1; save([OutDir,'/',namfile,'_',num2str(ifil)],'stock_smooth','stock_filter','stock_ys') stock_smooth = zeros(M_.endo_nbr,gend,40); stock_filter = zeros(M_.endo_nbr,gend+1,40); stock_ys = zeros(40, M_.endo_nbr); end end waitbar(b/B,h,['MC smoother ...',num2str(b),'/',num2str(B)]); end close(h) if opt_gsa.lik_only==0, if ib>0, ifil=ifil+1; stock_smooth = stock_smooth(:,:,1:ib); stock_filter = stock_filter(:,:,1:ib); stock_ys = stock_ys(1:ib,:); save([OutDir,'/',namfile,'_',num2str(ifil)],'stock_smooth','stock_filter','stock_ys') end end stock_gend=gend; stock_data=data; save([OutDir,'/',namfile],'x','logpo2','stock_gend','stock_data','-append')