110 lines
4.7 KiB
Matlab
110 lines
4.7 KiB
Matlab
function oo_ = variance_decomposition_mc_analysis(NumberOfSimulations,type,dname,fname,exonames,exo,vartan,var,mh_conf_sig,oo_,options_)
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% function oo_ = variance_decomposition_mc_analysis(NumberOfSimulations,type,dname,fname,exonames,exo,vartan,var,mh_conf_sig,oo_)
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% This function analyses the (posterior or prior) distribution of the
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% endogenous variables' variance decomposition.
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%
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% INPUTS
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% NumberOfSimulations [integer] scalar, number of simulations.
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% type [string] 'prior' or 'posterior'
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% dname [string] directory name where to save
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% fname [string] name of the mod-file
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% exonames [string] (n_exo*char_length) character array with names of exogenous variables
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% exo [string] name of current exogenous
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% variable
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% vartan [string] (n_endo*char_length) character array with name
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% of endogenous variables
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% var [integer] index of the current
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% endogenous variable
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% mh_conf_sig [double] 2 by 1 vector with upper
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% and lower bound of HPD intervals
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% oo_ [structure] Dynare structure where the results are saved.
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% options_ [structure] Dynare options structure
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%
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% OUTPUTS
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% oo_ [structure] Dynare structure where the results are saved.
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% Copyright © 2008-2017 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 <https://www.gnu.org/licenses/>.
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if strcmpi(type,'posterior')
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TYPE = 'Posterior';
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PATH = [dname '/metropolis/'];
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else
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TYPE = 'Prior';
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PATH = [dname '/prior/moments/'];
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end
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indx = check_name(vartan,var);
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if isempty(indx)
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disp([ type '_analysis:: ' var ' is not a stationary endogenous variable!'])
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return
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end
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jndx = check_name(exonames,exo);
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if isempty(jndx)
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if ~isequal(exo,'ME')
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disp([ type '_analysis:: ' exo ' is not a declared exogenous variable!'])
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end
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return
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end
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var=deblank(var);
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exo=deblank(exo);
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name = [ var '.' exo ];
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if isfield(oo_, [ TYPE 'TheoreticalMoments'])
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temporary_structure = oo_.([TYPE, 'TheoreticalMoments']);
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if isfield(temporary_structure,'dsge')
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temporary_structure = oo_.([TYPE, 'TheoreticalMoments']).dsge;
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if isfield(temporary_structure,'VarianceDecomposition')
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temporary_structure = oo_.([TYPE, 'TheoreticalMoments']).dsge.VarianceDecomposition.Mean;
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if isfield(temporary_structure,name)
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% Nothing to do.
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return
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end
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end
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end
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end
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ListOfFiles = dir([ PATH fname '_' TYPE 'VarianceDecomposition*.mat']);
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i1 = 1; tmp = zeros(NumberOfSimulations,1);
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indice = (indx-1)*rows(exonames)+jndx;
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for file = 1:length(ListOfFiles)
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load([ PATH ListOfFiles(file).name ],'Decomposition_array');
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i2 = i1 + rows(Decomposition_array) - 1;
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tmp(i1:i2) = Decomposition_array(:,indice);
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i1 = i2+1;
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end
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if options_.estimation.moments_posterior_density.indicator
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[p_mean, p_median, p_var, hpd_interval, p_deciles, density] = ...
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posterior_moments(tmp,mh_conf_sig);
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else
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[p_mean, p_median, p_var, hpd_interval, p_deciles] = ...
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posterior_moments(tmp,mh_conf_sig);
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end
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oo_.([TYPE, 'TheoreticalMoments']).dsge.VarianceDecomposition.Mean.(var).(exo) = p_mean;
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oo_.([TYPE, 'TheoreticalMoments']).dsge.VarianceDecomposition.Median.(var).(exo) = p_median;
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oo_.([TYPE, 'TheoreticalMoments']).dsge.VarianceDecomposition.Variance.(var).(exo) = p_var;
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oo_.([TYPE, 'TheoreticalMoments']).dsge.VarianceDecomposition.HPDinf.(var).(exo) = hpd_interval(1);
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oo_.([TYPE, 'TheoreticalMoments']).dsge.VarianceDecomposition.HPDsup.(var).(exo) = hpd_interval(2);
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oo_.([TYPE, 'TheoreticalMoments']).dsge.VarianceDecomposition.deciles.(var).(exo) = p_deciles;
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if options_.estimation.moments_posterior_density.indicator
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oo_.([TYPE, 'TheoreticalMoments']).dsge.VarianceDecomposition.density.(var).(exo) = density;
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end |