dynare/matlab/priordens.m

154 lines
4.6 KiB
Matlab

function [logged_prior_density, dlprior, d2lprior] = priordens(x, pshape, p6, p7, p3, p4,initialization)
% Computes a prior density for the structural parameters of DSGE models
%
% INPUTS
% x [double] vector with n elements.
% pshape [integer] vector with n elements (bayestopt_.pshape).
% p6: [double] vector with n elements, first parameter of the prior distribution (bayestopt_.p6).
% p7: [double] vector with n elements, second parameter of the prior distribution (bayestopt_.p7).
% p3: [double] vector with n elements, lower bounds of the untruncated standard or generalized distribution
% p4: [double] vector with n elements, upper bound of the untruncated standard or generalized distribution
% initialization [integer] if 1: initialize persistent variables
%
% OUTPUTS
% logged_prior_density [double] scalar, log of the prior density evaluated at x.
%
% Copyright (C) 2003-2012 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
persistent id1 id2 id3 id4 id5 id6
persistent tt1 tt2 tt3 tt4 tt5 tt6
if nargin > 6 && initialization == 1
% Beta indices.
tt1 = 1;
id1 = find(pshape==1);
if isempty(id1)
tt1 = 0;
end
% Gamma indices.
tt2 = 1;
id2 = find(pshape==2);
if isempty(id2)
tt2 = 0;
end
% Gaussian indices.
tt3 = 1;
id3 = find(pshape==3);
if isempty(id3)
tt3 = 0;
end
% Inverse-Gamma-1 indices.
tt4 = 1;
id4 = find(pshape==4);
if isempty(id4)
tt4 = 0;
end
% Uniform indices.
tt5 = 1;
id5 = find(pshape==5);
if isempty(id5)
tt5 = 0;
end
% Inverse-Gamma-2 indices.
tt6 = 1;
id6 = find(pshape==6);
if isempty(id6)
tt6 = 0;
end
pflag = 1;
end
logged_prior_density = 0.0;
dlprior = 0.0;
d2lprior = 0.0;
if tt1
logged_prior_density = logged_prior_density + sum(lpdfgbeta(x(id1),p6(id1),p7(id1),p3(id1),p4(id1))) ;
if isinf(logged_prior_density)
return
end
if nargout == 2,
[tmp, dlprior(id1)]=lpdfgbeta(x(id1),p6(id1),p7(id1),p3(id1),p4(id1));
elseif nargout == 3
[tmp, dlprior(id1), d2lprior(id1)]=lpdfgbeta(x(id1),p6(id1),p7(id1),p3(id1),p4(id1));
end
end
if tt2
logged_prior_density = logged_prior_density + sum(lpdfgam(x(id2)-p3(id2),p6(id2),p7(id2))) ;
if isinf(logged_prior_density)
return
end
if nargout == 2,
[tmp, dlprior(id2)]=lpdfgam(x(id2)-p3(id2),p6(id2),p7(id2));
elseif nargout == 3
[tmp, dlprior(id2), d2lprior(id2)]=lpdfgam(x(id2)-p3(id2),p6(id2),p7(id2));
end
end
if tt3
logged_prior_density = logged_prior_density + sum(lpdfnorm(x(id3),p6(id3),p7(id3))) ;
if nargout == 2,
[tmp, dlprior(id3)]=lpdfnorm(x(id3),p6(id3),p7(id3));
elseif nargout == 3
[tmp, dlprior(id3), d2lprior(id3)]=lpdfnorm(x(id3),p6(id3),p7(id3));
end
end
if tt4
logged_prior_density = logged_prior_density + sum(lpdfig1(x(id4)-p3(id4),p6(id4),p7(id4))) ;
if isinf(logged_prior_density)
return
end
if nargout == 2,
[tmp, dlprior(id4)]=lpdfig1(x(id4)-p3(id4),p6(id4),p7(id4));
elseif nargout == 3
[tmp, dlprior(id4), d2lprior(id4)]=lpdfig1(x(id4)-p3(id4),p6(id4),p7(id4));
end
end
if tt5
if any(x(id5)-p3(id5)<0) || any(x(id5)-p4(id5)>0)
logged_prior_density = -Inf ;
return
end
logged_prior_density = logged_prior_density + sum(log(1./(p4(id5)-p3(id5)))) ;
if nargout >1,
dlprior(id5)=zeros(length(id5),1);
end
if nargout == 3
d2lprior(id5)=zeros(length(id5),1);
end
end
if tt6
logged_prior_density = logged_prior_density + sum(lpdfig2(x(id6)-p3(id6),p6(id6),p7(id6))) ;
if isinf(logged_prior_density)
return
end
if nargout == 2,
[tmp, dlprior(id6)]=lpdfig2(x(id6)-p3(id6),p6(id6),p7(id6));
elseif nargout == 3
[tmp, dlprior(id6), d2lprior(id6)]=lpdfig2(x(id6)-p3(id6),p6(id6),p7(id6));
end
end
if nargout==3,
d2lprior = diag(d2lprior);
end