97 lines
3.4 KiB
Matlab
97 lines
3.4 KiB
Matlab
function [nvar,vartan,NumberOfDecompFiles] = ...
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dsge_posterior_theoretical_variance_decomposition(SampleSize,M_,options_,oo_)
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% This function estimates the posterior 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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% None.
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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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% part of DYNARE, copyright Dynare Team (2007-2008).
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% Gnu Public License.
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type = 'posterior';% To be defined as a input argument later...
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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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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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load([M_.dname '/metropolis/' DrawsFiles(file).name ]);
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isdrsaved = cols(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_);
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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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save([M_.dname '/metropolis/' M_.fname '_PosteriorVarianceDecomposition' int2str(DecompFileNumber) '.mat' ],'Decomposition_array');
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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; |