138 lines
4.9 KiB
Matlab
138 lines
4.9 KiB
Matlab
function [nvar,vartan,NumberOfDecompFiles] = ...
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dsge_simulated_theoretical_variance_decomposition(SampleSize,M_,options_,oo_,type)
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% This function computes the posterior or prior distribution of the variance
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% decomposition of the observed endogenous variables.
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%
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% INPUTS
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% SampleSize [integer] scalar, number of simulations.
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% M_ [structure] Dynare structure describing the model.
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% options_ [structure] Dynare structure defining global options.
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% oo_ [structure] Dynare structure where the results are saved.
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% type [string] 'prior' or 'posterior'
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%
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%
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% OUTPUTS
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% nvar [integer] nvar is the number of stationary variables.
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% vartan [char] array of characters (with nvar rows).
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% CovarFileNumber [integer] scalar, number of prior or posterior data files (for covariance).
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% Copyright (C) 2007-2009 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 <http://www.gnu.org/licenses/>.
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nodecomposition = 0;
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% Get informations about the _posterior_draws files.
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if strcmpi(type,'posterior')
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DrawsFiles = dir([M_.dname '/metropolis/' M_.fname '_' type '_draws*' ]);
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posterior = 1;
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elseif strcmpi(type,'prior')
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DrawsFiles = dir([M_.dname '/prior/draws/' type '_draws*' ]);
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CheckPath('prior/moments');
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posterior = 0;
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else
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disp('dsge_simulated_theoretical_variance_decomposition:: Unknown type!')
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error()
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end
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NumberOfDrawsFiles = length(DrawsFiles);
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% Set varlist (vartan)
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if ~posterior
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if isfield(options_,'varlist')
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temp = options_.varlist;
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end
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options_.varlist = options_.prior_analysis_endo_var_list;
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end
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[ivar,vartan,options_] = set_stationary_variables_list(options_,M_);
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if ~posterior
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if exist('temp','var')
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options_.varlist = temp;
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end
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end
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nvar = length(ivar);
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% Set the size of the auto-correlation function to zero.
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nar = options_.ar;
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options_.ar = 0;
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nexo = M_.exo_nbr;
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NumberOfDrawsFiles = rows(DrawsFiles);
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NumberOfSavedElementsPerSimulation = nvar*(nexo+1);
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MaXNumberOfDecompLines = ceil(options_.MaxNumberOfBytes/NumberOfSavedElementsPerSimulation/8);
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if SampleSize<=MaXNumberOfDecompLines
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Decomposition_array = zeros(SampleSize,nvar*nexo);
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NumberOfDecompFiles = 1;
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else
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Decomposition_array = zeros(MaXNumberOfDecompLines,nvar*nexo);
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NumberOfLinesInTheLastDecompFile = mod(SampleSize,MaXNumberOfDecompLines);
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NumberOfDecompFiles = ceil(SampleSize/MaXNumberOfDecompLines);
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end
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NumberOfDecompLines = rows(Decomposition_array);
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DecompFileNumber = 1;
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% Compute total variances (covariances are not saved) and variances
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% implied by each structural shock.
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linea = 0;
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for file = 1:NumberOfDrawsFiles
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if posterior
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load([M_.dname '/metropolis/' DrawsFiles(file).name ]);
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else
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load([M_.dname '/prior/draws/' DrawsFiles(file).name ]);
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end
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isdrsaved = columns(pdraws)-1;
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NumberOfDraws = rows(pdraws);
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for linee = 1:NumberOfDraws
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linea = linea+1;
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if isdrsaved
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dr = pdraws{linee,2};
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else
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set_parameters(pdraws{linee,1});
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[dr,info] = resol(oo_.steady_state,0);
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end
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tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
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for i=1:nvar
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for j=1:nexo
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Decomposition_array(linea,(i-1)*nexo+j) = tmp{2}(i,j);
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end
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end
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if linea == NumberOfDecompLines
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if posterior
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save([M_.dname '/metropolis/' M_.fname '_PosteriorVarianceDecomposition' int2str(DecompFileNumber) '.mat' ],'Decomposition_array');
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else
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save([M_.dname '/prior/moments/' M_.fname '_PriorVarianceDecomposition' int2str(DecompFileNumber) '.mat' ],'Decomposition_array');
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end
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DecompFileNumber = DecompFileNumber + 1;
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linea = 0;
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test = DecompFileNumber-NumberOfDecompFiles;
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if ~test% Prepare the last round...
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Decomposition_array = zeros(NumberOfLinesInTheLastDecompFile,nvar*nexo);
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NumberOfDecompLines = NumberOfLinesInTheLastDecompFile;
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DecompFileNumber = DecompFileNumber - 1;
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elseif test<0;
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Decomposition_array = zeros(MaXNumberOfDecompLines,nvar*nexo);
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else
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clear('Decomposition_array');
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end
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end
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end
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end
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options_.ar = nar; |