function prior_posterior_statistics(type,dataset,dataset_info) % function prior_posterior_statistics(type,dataset) % Computes Monte Carlo filter smoother and forecasts % % INPUTS % type: posterior % prior % gsa % dataset: data structure % % OUTPUTS % none % % SPECIAL REQUIREMENTS % none % % PARALLEL CONTEXT % See the comments in the random_walk_metropolis_hastings.m funtion. % % % Copyright (C) 2005-2013 Dynare Team % % This file is part of Dynare. % % Dynare is free software: you can redistribute it and/or modify % it under the terms of the GNU General Public License as published by % the Free Software Foundation, either version 3 of the License, or % (at your option) any later version. % % Dynare is distributed in the hope that it will be useful, % but WITHOUT ANY WARRANTY; without even the implied warranty of % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % GNU General Public License for more details. % % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . global options_ estim_params_ oo_ M_ bayestopt_ localVars=[]; Y = transpose(dataset.data); gend = dataset.nobs; data_index = dataset_info.missing.aindex; missing_value = dataset_info.missing.state; bayestopt_.mean_varobs = dataset_info.descriptive.mean'; 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; offset = npar-np; naK = length(options_.filter_step_ahead); MaxNumberOfBytes=options_.MaxNumberOfBytes; endo_nbr=M_.endo_nbr; exo_nbr=M_.exo_nbr; meas_err_nbr=length(M_.Correlation_matrix_ME); nvobs = length(options_.varobs); iendo = 1:endo_nbr; horizon = options_.forecast; filtered_vars = options_.filtered_vars; if horizon i_last_obs = gend+(1-M_.maximum_endo_lag:0); end maxlag = M_.maximum_endo_lag; if strcmpi(type,'posterior') DirectoryName = CheckPath('metropolis',M_.dname); B = options_.sub_draws; elseif strcmpi(type,'gsa') RootDirectoryName = CheckPath('gsa',M_.dname); if options_.opt_gsa.pprior DirectoryName = CheckPath(['gsa',filesep,'prior'],M_.dname); load([ RootDirectoryName filesep M_.fname '_prior.mat'],'lpmat0','lpmat','istable') else DirectoryName = CheckPath(['gsa',filesep,'mc'],M_.dname); load([ RootDirectoryName filesep M_.fname '_mc.mat'],'lpmat0','lpmat','istable') end if ~isempty(lpmat0), x=[lpmat0(istable,:) lpmat(istable,:)]; else x=lpmat(istable,:); end clear lpmat lpmat0 istable B = size(x,1); elseif strcmpi(type,'prior') DirectoryName = CheckPath('prior',M_.dname); B = options_.prior_draws; end MAX_nruns = min(B,ceil(MaxNumberOfBytes/(npar+2)/8)); MAX_nsmoo = min(B,ceil(MaxNumberOfBytes/((endo_nbr)*gend)/8)); MAX_ninno = min(B,ceil(MaxNumberOfBytes/(exo_nbr*gend)/8)); MAX_nerro = min(B,ceil(MaxNumberOfBytes/(size(options_.varobs,1)*gend)/8)); if naK MAX_naK = min(B,ceil(MaxNumberOfBytes/(endo_nbr* ... length(options_.filter_step_ahead)*(gend+max(options_.filter_step_ahead)))/8)); end if horizon MAX_nforc1 = min(B,ceil(MaxNumberOfBytes/((endo_nbr)*(horizon+maxlag))/8)); MAX_nforc2 = min(B,ceil(MaxNumberOfBytes/((endo_nbr)*(horizon+maxlag))/ ... 8)); IdObs = bayestopt_.mfys; end MAX_momentsno = min(B,ceil(MaxNumberOfBytes/(get_moments_size(options_)*8))); varlist = options_.varlist; if isempty(varlist) varlist = M_.endo_names(1:M_.orig_endo_nbr, :); end nvar = size(varlist,1); SelecVariables = []; for i=1:nvar if ~isempty(strmatch(varlist(i,:),M_.endo_names,'exact')) SelecVariables = [SelecVariables;strmatch(varlist(i,:),M_.endo_names,'exact')]; end end irun = ones(7,1); ifil = zeros(7,1); stock_param = zeros(MAX_nruns, npar); stock_logpo = zeros(MAX_nruns,1); stock_ys = zeros(MAX_nruns,endo_nbr); run_smoother = 0; if options_.smoother stock_smooth = zeros(endo_nbr,gend,MAX_nsmoo); stock_innov = zeros(exo_nbr,gend,B); stock_error = zeros(nvobs,gend,MAX_nerro); stock_update = zeros(endo_nbr,gend,MAX_nsmoo); run_smoother = 1; end if options_.filter_step_ahead stock_filter_step_ahead = zeros(naK,endo_nbr,gend+ ... options_.filter_step_ahead(end),MAX_naK); run_smoother = 1; end if options_.forecast stock_forcst_mean = zeros(endo_nbr,horizon,MAX_nforc1); stock_forcst_point = zeros(endo_nbr,horizon,MAX_nforc2); run_smoother = 1; end % Store the variable mandatory for local/remote parallel computing. localVars.type=type; localVars.run_smoother=run_smoother; localVars.gend=gend; localVars.Y=Y; localVars.data_index=data_index; localVars.missing_value=missing_value; localVars.varobs=options_.varobs; localVars.irun=irun; localVars.endo_nbr=endo_nbr; localVars.nvn=nvn; localVars.naK=naK; localVars.horizon=horizon; localVars.iendo=iendo; if horizon localVars.i_last_obs=i_last_obs; localVars.IdObs=IdObs; localVars.MAX_nforc1=MAX_nforc1; localVars.MAX_nforc2=MAX_nforc2; end localVars.exo_nbr=exo_nbr; localVars.maxlag=maxlag; localVars.MAX_nsmoo=MAX_nsmoo; localVars.MAX_ninno=MAX_ninno; localVars.MAX_nerro = MAX_nerro; if naK localVars.MAX_naK=MAX_naK; end localVars.MAX_nruns=MAX_nruns; localVars.MAX_momentsno = MAX_momentsno; localVars.ifil=ifil; localVars.DirectoryName = DirectoryName; if strcmpi(type,'posterior'), b=0; while b<=B b = b + 1; [x(b,:), logpost(b,1)] = GetOneDraw(type); end localVars.logpost=logpost; end if ~strcmpi(type,'prior'), localVars.x=x; end % Like sequential execution! if isnumeric(options_.parallel), [fout] = prior_posterior_statistics_core(localVars,1,B,0); % Parallel execution! else [nCPU, totCPU, nBlockPerCPU] = distributeJobs(options_.parallel, 1, B); ifil=zeros(7,totCPU); for j=1:totCPU-1, if run_smoother nfiles = ceil(nBlockPerCPU(j)/MAX_nsmoo); ifil(1,j+1) =ifil(1,j)+nfiles; nfiles = ceil(nBlockPerCPU(j)/MAX_ninno); ifil(2,j+1) =ifil(2,j)+nfiles; nfiles = ceil(nBlockPerCPU(j)/MAX_nerro); ifil(3,j+1) =ifil(3,j)+nfiles; end if naK nfiles = ceil(nBlockPerCPU(j)/MAX_naK); ifil(4,j+1) =ifil(4,j)+nfiles; end nfiles = ceil(nBlockPerCPU(j)/MAX_nruns); ifil(5,j+1) =ifil(5,j)+nfiles; if horizon nfiles = ceil(nBlockPerCPU(j)/MAX_nforc1); ifil(6,j+1) =ifil(6,j)+nfiles; nfiles = ceil(nBlockPerCPU(j)/MAX_nforc2); ifil(7,j+1) =ifil(7,j)+nfiles; end end localVars.ifil = ifil; globalVars = struct('M_',M_, ... 'options_', options_, ... 'bayestopt_', bayestopt_, ... 'estim_params_', estim_params_, ... 'oo_', oo_); % which files have to be copied to run remotely NamFileInput(1,:) = {'',[M_.fname '_static.m']}; NamFileInput(2,:) = {'',[M_.fname '_dynamic.m']}; if options_.steadystate_flag, NamFileInput(length(NamFileInput)+1,:)={'',[M_.fname '_steadystate.m']}; end [fout] = masterParallel(options_.parallel, 1, B,NamFileInput,'prior_posterior_statistics_core', localVars,globalVars, options_.parallel_info); end ifil = fout(end).ifil; stock_gend=gend; stock_data=Y; save([DirectoryName '/' M_.fname '_data.mat'],'stock_gend','stock_data'); if strcmpi(type,'gsa') return end if ~isnumeric(options_.parallel), leaveSlaveOpen = options_.parallel_info.leaveSlaveOpen; if options_.parallel_info.leaveSlaveOpen == 0, % Commenting for testing!!! options_.parallel_info.leaveSlaveOpen = 1; % Force locally to leave open remote matlab sessions (repeated pm3 calls) end end if options_.smoother pm3(endo_nbr,gend,ifil(1),B,'Smoothed variables',... '',M_.endo_names(1:M_.orig_endo_nbr, :),M_.endo_names_tex,M_.endo_names,... varlist,'SmoothedVariables',DirectoryName,'_smooth'); pm3(exo_nbr,gend,ifil(2),B,'Smoothed shocks',... '',M_.exo_names,M_.exo_names_tex,M_.exo_names,... M_.exo_names,'SmoothedShocks',DirectoryName,'_inno'); if nvn for obs_iter=1:length(options_.varobs) meas_error_names{obs_iter,1}=['SE_EOBS_' M_.endo_names(strmatch(options_.varobs{obs_iter},M_.endo_names,'exact'),:)]; texnames{obs_iter,1}=['SE_EOBS_' M_.endo_names_tex(strmatch(options_.varobs{obs_iter},M_.endo_names,'exact'),:)]; end meas_error_names=char(meas_error_names); texnames=char(texnames); pm3(meas_err_nbr,gend,ifil(3),B,'Smoothed measurement errors',... '',meas_error_names,texnames,meas_error_names,... meas_error_names,'SmoothedMeasurementErrors',DirectoryName,'_error') end end if options_.filtered_vars pm3(endo_nbr,gend,ifil(1),B,'Updated Variables',... '',varlist,M_.endo_names_tex,M_.endo_names,... varlist,'UpdatedVariables',DirectoryName, ... '_update'); pm3(endo_nbr,gend,ifil(4),B,'One step ahead forecast (filtered variables)',... '',varlist,M_.endo_names_tex,M_.endo_names,... varlist,'FilteredVariables',DirectoryName,'_filter_step_ahead'); end if options_.forecast pm3(endo_nbr,horizon,ifil(6),B,'Forecasted variables (mean)',... '',varlist,M_.endo_names_tex,M_.endo_names,... varlist,'MeanForecast',DirectoryName,'_forc_mean'); pm3(endo_nbr,horizon,ifil(6),B,'Forecasted variables (point)',... '',varlist,M_.endo_names_tex,M_.endo_names,... varlist,'PointForecast',DirectoryName,'_forc_point'); end if ~isnumeric(options_.parallel), options_.parallel_info.leaveSlaveOpen = leaveSlaveOpen; if leaveSlaveOpen == 0, closeSlave(options_.parallel,options_.parallel_info.RemoteTmpFolder), end end