75 lines
2.1 KiB
Matlab
75 lines
2.1 KiB
Matlab
function r = get_posterior_covariance(endo1, endo2)
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% Copyright © 2020 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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global M_ options_
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id1 = find(strcmp(endo1, M_.endo_names));
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if nargin < 2
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id2 = id1;
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else
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id2 = find(strcmp(endo2, M_.endo_names));
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end
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ivar = get_variables_list(options_,M_);
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if ~ismember(id1, ivar)
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error('Posterior moments have not been computed for %s', endo1)
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end
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if ~ismember(id2, ivar)
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error('Posterior moments have not been computed for %s', endo2)
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end
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r = struct('draw', [], 'moment', []);
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% Fetch parameter draws
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NumberDrawsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_posterior_draws*' ]));
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if NumberDrawsFiles == 0
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error('Can''t find posterior draws file(s)')
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end
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idx = 1;
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for file = 1:NumberDrawsFiles
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load([M_.dname '/metropolis/' M_.fname '_posterior_draws' int2str(file) ],'pdraws');
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for i = 1:size(pdraws, 1)
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r(idx).draw = pdraws{i, 1};
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idx = idx+1;
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end
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end
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% Fetch moments
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symidx = symmetric_matrix_index(find(ivar==id1), find(ivar==id2), length(ivar));
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NumberMomentsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_Posterior2ndOrderMoments*']));
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if NumberMomentsFiles == 0
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error('Can''t find posterior 2nd order moments file(s)')
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end
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idx = 1;
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for file = 1:NumberMomentsFiles
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load([M_.dname '/metropolis/' M_.fname '_Posterior2ndOrderMoments' int2str(file) ],'Covariance_matrix');
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for i = 1:size(Covariance_matrix, 1)
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r(idx).moment = Covariance_matrix(i, symidx);
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idx = idx+1;
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end
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end
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