93 lines
3.3 KiB
Matlab
93 lines
3.3 KiB
Matlab
function [nvar,vartan,CovarFileNumber] = dsge_posterior_theoretical_covariance(SampleSize,M_,options_,oo_)
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% This function estimates the posterior density of the endogenous
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% variables second order moments.
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%
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% INPUTS
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% SampleSize [integer]
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%
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%
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%
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% OUTPUTS
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% None.
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%
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% SPECIAL REQUIREMENTS
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% Other matlab routines distributed with Dynare: set_stationary_variables_list.m
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% CheckPath.m
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% selec_posterior_draws.m
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% set_parameters.m
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% resol.m
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% th_autocovariances.m
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% posterior_moments.m
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%
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%
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% part of DYNARE, copyright Dynare Team (2007-2008)
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% Gnu Public License.
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type = 'posterior';
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% Set varlist (vartan)
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[ivar,vartan] = set_stationary_variables_list;
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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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% Get informations about the _posterior_draws files.
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DrawsFiles = dir([M_.dname '/metropolis/' M_.fname '_' type '_draws*' ]);
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NumberOfDrawsFiles = length(DrawsFiles);
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% Number of lines in posterior data files.
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MaXNumberOfCovarLines = ceil(options_.MaxNumberOfBytes/(nvar*(nvar+1)/2)/8);
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if SampleSize<=MaXNumberOfCovarLines
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Covariance_matrix = zeros(SampleSize,nvar*(nvar+1)/2);
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NumberOfCovarFiles = 1;
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else
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Covariance_matrix = zeros(MaXNumberOfCovarLines,nvar*(nvar+1)/2);
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NumberOfLinesInTheLastCovarFile = mod(SampleSize,MaXNumberOfCovarLines);
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NumberOfCovarFiles = ceil(SampleSize/MaXNumberOfCovarLines);
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end
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NumberOfCovarLines = rows(Covariance_matrix);
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CovarFileNumber = 1;
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% Compute 2nd order moments and save them in *_Posterior2ndOrderMoments* files
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linea = 0;
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for file = 1:NumberOfDrawsFiles
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load([M_.dname '/metropolis/' DrawsFiles(file).name '.mat']);
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NumberOfDraws = rows(pdraws);
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isdrsaved = cols(pdraws)-1;
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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_);
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for i=1:nvar
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for j=i:nvar
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Covariance_matrix(linea,symmetric_matrix_index(i,j,nvar)) = tmp{1}(i,j);
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end
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end
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if linea == NumberOfCovarLines
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save([ M_.dname '/metropolis/' M_.fname '_Posterior2ndOrderMoments' int2str(CovarFileNumber) '.mat' ],'Covariance_matrix');
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CovarFileNumber = CovarFileNumber + 1;
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linea = 0;
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test = CovarFileNumber-NumberOfCovarFiles;
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if ~test% Prepare the last round...
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Covariance_matrix = zeros(NumberOfLinesInTheLastCovarFile,nvar*(nvar+1)/2);
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NumberOfCovarLines = NumberOfLinesInTheLastCovarFile;
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CovarFileNumber = CovarFileNumber - 1;
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elseif test<0;
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Covariance_matrix = zeros(MaXNumberOfCovarLines,nvar*(nvar+1)/2);
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else
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clear('Covariance_matrix');
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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; |