288 lines
19 KiB
HTML
288 lines
19 KiB
HTML
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN"
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<title>Description of PosteriorIRF</title>
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<meta name="keywords" content="PosteriorIRF">
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<meta name="description" content="stephane.adjemian@ens.fr [09-25-2005]">
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<div><a href="../index.html">Home</a> > <a href="index.html">.</a> > PosteriorIRF.m</div>
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<!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td>
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<td align="right"><a href="index.html">Index for . <img alt=">" border="0" src="../right.png"></a></td></tr></table>-->
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<h1>PosteriorIRF
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</h1>
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<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>stephane.adjemian@ens.fr [09-25-2005]</strong></div>
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<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>function PosteriorIRF(type) </strong></div>
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<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre class="comment"> stephane.adjemian@ens.fr [09-25-2005]</pre></div>
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<!-- crossreference -->
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<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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This function calls:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a> 06-03-2005</li><li><a href="GetOneDraw.html" class="code" title="function [xparams, logpost] = GetOneDraw(type)">GetOneDraw</a> stephane.adjemian@ens.fr [09-25-2005]</li><li><a href="ReshapeMatFiles.html" class="code" title="function ReshapeMatFiles(type)">ReshapeMatFiles</a> Reshape and sort (along the mcmc simulations) the mat files generated</li><li><a href="irf.html" class="code" title="function y = irf(dr, e1, long, drop, replic, iorder)">irf</a> </li><li><a href="posterior_moments.html" class="code" title="function [post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(xx,info)">posterior_moments</a> stephane.adjemian@ens.fr [09-09-2005]</li><li><a href="resol.html" class="code" title="function [dr,info]=resol(ys,check_flag)">resol</a> Copyright (C) 2001 Michel Juillard</li><li><a href="set_parameters.html" class="code" title="function set_parameters(xparam1)">set_parameters</a> </li></ul>
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This function is called by:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="dynare_estimation.html" class="code" title="function dynare_estimation(var_list_)">dynare_estimation</a> </li></ul>
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<!-- crossreference -->
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<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre>0001 <a name="_sub0" href="#_subfunctions" class="code">function PosteriorIRF(type)</a>
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0002 <span class="comment">% stephane.adjemian@ens.fr [09-25-2005]</span>
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0003 <span class="keyword">global</span> options_ estim_params_ oo_ M_
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0004 nvx = estim_params_.nvx;
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0005 nvn = estim_params_.nvn;
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0006 ncx = estim_params_.ncx;
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0007 ncn = estim_params_.ncn;
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0008 np = estim_params_.np ;
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0009 npar = nvx+nvn+ncx+ncn+np;
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0010 offset = npar-np;
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0011 <span class="comment">%%</span>
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0012 MaxNumberOfPlotPerFigure = 9;<span class="comment">% The square root must be an integer!</span>
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0013 nn = sqrt(MaxNumberOfPlotPerFigure);
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0014 DirectoryName = <a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a>(<span class="string">'Output'</span>);
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0015 <span class="keyword">if</span> strcmpi(type,<span class="string">'posterior'</span>)
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0016 MhDirectoryName = <a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a>(<span class="string">'metropolis'</span>);
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0017 <span class="keyword">else</span>
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0018 MhDirectoryName = <a href="CheckPath.html" class="code" title="function DirectoryName = CheckPath(type)">CheckPath</a>(<span class="string">'prior'</span>);
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0019 <span class="keyword">end</span>
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0020 MAX_nirfs = ceil(options_.MaxNumberOfBytes/(options_.irf*length(oo_.steady_state)*M_.exo_nbr)/8)+50;
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0021 MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
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0022
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0023 <span class="keyword">if</span> strcmpi(type,<span class="string">'posterior'</span>)
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0024 load([ MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_mh_history'</span>])
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0025 TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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0026 NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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0027 <span class="keyword">else</span><span class="comment">% type = 'prior'</span>
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0028 NumberOfDraws = 500;
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0029 <span class="keyword">end</span>
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0030 B = min([round(.5*NumberOfDraws),500]); options_.B = B;
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0031 <span class="keyword">try</span> delete([MhDirectoryName <span class="string">'\'</span> M_.fname <span class="string">'_IRFs*'</span>]);
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0032 <span class="keyword">catch</span> disp(<span class="string">'No _IRFs files to be deleted!'</span>)
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0033 <span class="keyword">end</span>
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0034 irun = 0;
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0035 irun2 = 0;
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0036 NumberOfIRFfiles = 1;
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0037 ifil2 = 1;
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0038 <span class="keyword">if</span> strcmpi(type,<span class="string">'posterior'</span>)
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0039 h = waitbar(0,<span class="string">'Bayesian (posterior) IRFs...'</span>);
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0040 <span class="keyword">else</span>
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0041 h = waitbar(0,<span class="string">'Bayesian (prior) IRFs...'</span>);
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0042 <span class="keyword">end</span>
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0043 <span class="keyword">if</span> B <= MAX_nruns
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0044 stock_param = zeros(B, npar);
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0045 <span class="keyword">else</span>
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0046 stock_param = zeros(MAX_nruns, npar);
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0047 <span class="keyword">end</span>
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0048 <span class="keyword">if</span> B >= MAX_nirfs
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0049 stock_irf = zeros(options_.irf,M_.endo_nbr,M_.exo_nbr,MAX_nirfs);
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0050 <span class="keyword">else</span>
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0051 stock_irf = zeros(options_.irf,M_.endo_nbr,M_.exo_nbr,B);
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0052 <span class="keyword">end</span>
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0053 <span class="keyword">for</span> b=1:B
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0054 irun = irun+1;
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0055 irun2 = irun2+1;
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0056 deep = <a href="GetOneDraw.html" class="code" title="function [xparams, logpost] = GetOneDraw(type)">GetOneDraw</a>(type);
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0057 stock_param(irun2,:) = deep;
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0058 <a href="set_parameters.html" class="code" title="function set_parameters(xparam1)">set_parameters</a>(deep);
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0059 dr = <a href="resol.html" class="code" title="function [dr,info]=resol(ys,check_flag)">resol</a>(oo_.steady_state,0);
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0060 SS(M_.exo_names_orig_ord,M_.exo_names_orig_ord) = M_.Sigma_e+1e-14*eye(M_.exo_nbr);
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0061 SS = transpose(chol(SS));
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0062 <span class="keyword">for</span> i = 1:M_.exo_nbr
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0063 <span class="keyword">if</span> SS(i,i) > 1e-13
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0064 y=<a href="irf.html" class="code" title="function y = irf(dr, e1, long, drop, replic, iorder)">irf</a>(dr,SS(M_.exo_names_orig_ord,i), options_.irf, options_.drop,options_.replic,options_.order);
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0065 <span class="keyword">if</span> options_.relative_irf
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0066 y = 100*y/cs(i,i);
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0067 <span class="keyword">end</span>
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0068 <span class="keyword">for</span> j = 1:M_.endo_nbr
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0069 <span class="keyword">if</span> max(y(j,:)) - min(y(j,:)) > 1e-10
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0070 stock_irf(:,j,i,irun) = transpose(y(j,:));
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0071 <span class="keyword">end</span>
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0072 <span class="keyword">end</span>
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0073 <span class="keyword">end</span>
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0074 <span class="keyword">end</span>
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0075 <span class="keyword">if</span> irun == MAX_nirfs | irun == B | b == B
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0076 <span class="keyword">if</span> b == B
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0077 stock_irf = stock_irf(:,:,:,1:irun);
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0078 <span class="keyword">end</span>
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0079 save([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_irf'</span> int2str(NumberOfIRFfiles)],<span class="string">'stock_irf'</span>);
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0080 NumberOfIRFfiles = NumberOfIRFfiles+1;
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0081 irun = 0;
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0082 <span class="keyword">end</span>
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0083 <span class="keyword">if</span> irun2 > MAX_nruns | b == B
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0084 <span class="keyword">if</span> b == B
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0085 stock_param = stock_param(1:irun2,:);
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0086 <span class="keyword">end</span>
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0087 stock = stock_param;
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0088 save([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_param_irf'</span> int2str(ifil2)],<span class="string">'stock'</span>);
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0089 ifil2 = ifil2 + 1;
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0090 irun2 = 1;
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0091 <span class="keyword">end</span>
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0092 waitbar(b/B,h);
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0093 <span class="keyword">end</span>
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0094 NumberOfIRFfiles = NumberOfIRFfiles-1;
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0095 ifil2 = ifil2-1;
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0096 close(h);
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0097
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0098 <a href="ReshapeMatFiles.html" class="code" title="function ReshapeMatFiles(type)">ReshapeMatFiles</a>(<span class="string">'irf'</span>)
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0099
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0100 varlist = options_.varlist;
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0101 <span class="keyword">if</span> isempty(varlist)
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0102 varlist = M_.endo_names;
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0103 SelecVariables = transpose(1:M_.endo_nbr);
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0104 nvar = M_.endo_nbr;
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0105 <span class="keyword">else</span>
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0106 nvar = size(varlist,1);
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0107 SelecVariables = [];
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0108 <span class="keyword">for</span> i=1:nvar
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0109 <span class="keyword">if</span> ~isempty(strmatch(varlist(i,:),M_.endo_names,<span class="string">'exact'</span>))
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0110 SelecVariables = [SelecVariables;strmatch(varlist(i,:),M_.endo_names,<span class="string">'exact'</span>)];
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0111 <span class="keyword">end</span>
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0112 <span class="keyword">end</span>
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0113 <span class="keyword">end</span>
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0114
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0115 MeanIRF = zeros(options_.irf,nvar,M_.exo_nbr);
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0116 MedianIRF = zeros(options_.irf,nvar,M_.exo_nbr);
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0117 StdIRF = zeros(options_.irf,nvar,M_.exo_nbr);
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0118 DistribIRF = zeros(options_.irf,9,nvar,M_.exo_nbr);
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0119 HPDIRF = zeros(options_.irf,2,nvar,M_.exo_nbr);
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0120
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0121 <span class="keyword">if</span> options_.TeX
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0122 varlist_TeX = [];
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0123 <span class="keyword">for</span> i=1:nvar
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0124 varlist_TeX = strvcat(varlist_TeX,M_.endo_names_tex(SelecVariables(i),:));
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0125 <span class="keyword">end</span>
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0126 <span class="keyword">end</span>
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0127
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0128 fprintf(<span class="string">'MH: Posterior IRFs...\n'</span>);
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0129 tit(M_.exo_names_orig_ord,:) = M_.exo_names;
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0130 kdx = 0;
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0131 <span class="keyword">for</span> file = 1:NumberOfIRFfiles
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0132 load([MhDirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_IRFs'</span> int2str(file)]);
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0133 <span class="keyword">for</span> i = 1:M_.exo_nbr
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0134 <span class="keyword">for</span> j = 1:nvar
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0135 <span class="keyword">for</span> k = 1:size(STOCK_IRF,1)
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0136 kk = k+kdx;
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0137 [MeanIRF(kk,j,i),MedianIRF(kk,j,i),VarIRF(kk,j,i),HPDIRF(kk,:,j,i),DistribIRF(kk,:,j,i)] = <span class="keyword">...</span>
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0138 <a href="posterior_moments.html" class="code" title="function [post_mean, post_median, post_var, hpd_interval, post_deciles, density] = posterior_moments(xx,info)">posterior_moments</a>(squeeze(STOCK_IRF(k,SelecVariables(j),i,:)),0);
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0139 <span class="keyword">end</span>
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0140 <span class="keyword">end</span>
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0141 <span class="keyword">end</span>
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0142 kdx = kdx + size(STOCK_IRF,1);
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0143 <span class="keyword">end</span>
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0144 clear STOCK_IRF;
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0145
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0146 <span class="keyword">for</span> i = 1:M_.exo_nbr
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0147 <span class="keyword">for</span> j = 1:nvar
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0148 name = [deblank(M_.endo_names(SelecVariables(j),:)) <span class="string">'_'</span> deblank(tit(i,:))];
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0149 eval([<span class="string">'oo_.PosteriorIRF.Mean.'</span> name <span class="string">' = MeanIRF(:,j,i);'</span>]);
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0150 eval([<span class="string">'oo_.PosteriorIRF.Median.'</span> name <span class="string">' = MedianIRF(:,j,i);'</span>]);
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0151 eval([<span class="string">'oo_.PosteriorIRF.Var.'</span> name <span class="string">' = VarIRF(:,j,i);'</span>]);
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0152 eval([<span class="string">'oo_.PosteriorIRF.Distribution.'</span> name <span class="string">' = DistribIRF(:,:,j,i);'</span>]);
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0153 eval([<span class="string">'oo_.PosteriorIRF.HPDinf.'</span> name <span class="string">' = HPDIRF(:,1,j,i);'</span>]);
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0154 eval([<span class="string">'oo_.PosteriorIRF.HPDsup.'</span> name <span class="string">' = HPDIRF(:,2,j,i);'</span>]);
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0155 <span class="keyword">end</span>
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0156 <span class="keyword">end</span>
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0157 <span class="comment">%%</span>
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0158 <span class="comment">%% Finally i build the plots.</span>
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0159 <span class="comment">%%</span>
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0160 <span class="keyword">if</span> options_.TeX
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0161 fidTeX = fopen([DirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_BayesianIRF.TeX'</span>],<span class="string">'w'</span>);
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0162 fprintf(fidTeX,<span class="string">'%% TeX eps-loader file generated by PosteriorIRF.m (Dynare).\n'</span>);
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0163 fprintf(fidTeX,[<span class="string">'%% '</span> datestr(now,0) <span class="string">'\n'</span>]);
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0164 fprintf(fidTeX,<span class="string">' \n'</span>);
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0165 titTeX(M_.exo_names_orig_ord,:) = M_.exo_names_tex;
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0166 <span class="keyword">end</span>
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0167 <span class="comment">%%</span>
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0168 subplotnum = 0;
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0169 <span class="keyword">for</span> i=1:M_.exo_nbr
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0170 NAMES = [];
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0171 <span class="keyword">if</span> options_.TeX
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0172 TEXNAMES = [];
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0173 <span class="keyword">end</span>
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0174 figunumber = 0;
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0175 <span class="keyword">for</span> j=1:nvar
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0176 <span class="keyword">if</span> max(abs(MeanIRF(:,j,i))) > 10^(-6)
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0177 subplotnum = subplotnum+1;
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0178 <span class="keyword">if</span> options_.nograph
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0179 <span class="keyword">if</span> subplotnum == 1 & options_.relative_irf
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0180 hh = figure(<span class="string">'Name'</span>,[<span class="string">'Relative response to orthogonalized shock to '</span> tit(i,:)],<span class="string">'Visible'</span>,<span class="string">'off'</span>);
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0181 <span class="keyword">elseif</span> subplotnum == 1 & ~options_.relative_irf
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0182 hh = figure(<span class="string">'Name'</span>,[<span class="string">'Orthogonalized shock to '</span> tit(i,:)],<span class="string">'Visible'</span>,<span class="string">'off'</span>);
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0183 <span class="keyword">end</span>
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0184 <span class="keyword">else</span>
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0185 <span class="keyword">if</span> subplotnum == 1 & options_.relative_irf
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0186 hh = figure(<span class="string">'Name'</span>,[<span class="string">'Relative response to orthogonalized shock to '</span> tit(i,:)]);
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0187 <span class="keyword">elseif</span> subplotnum == 1 & ~options_.relative_irf
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0188 hh = figure(<span class="string">'Name'</span>,[<span class="string">'Orthogonalized shock to '</span> tit(i,:)]);
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0189 <span class="keyword">end</span>
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0190 <span class="keyword">end</span>
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0191 set(0,<span class="string">'CurrentFigure'</span>,hh)
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0192 subplot(nn,nn,subplotnum);
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0193 plot([1 options_.irf],[0 0],<span class="string">'-r'</span>,<span class="string">'linewidth'</span>,0.5);
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0194 hold on
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0195 <span class="keyword">for</span> k = 1:9
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0196 plot(1:options_.irf,DistribIRF(:,k,j,i),<span class="string">'-g'</span>,<span class="string">'linewidth'</span>,0.5)
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0197 <span class="keyword">end</span>
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0198 plot(1:options_.irf,MeanIRF(:,j,i),<span class="string">'-k'</span>,<span class="string">'linewidth'</span>,1)
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0199 xlim([1 options_.irf]);
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0200 hold off
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0201 name = deblank(varlist(j,:));
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0202 NAMES = strvcat(NAMES,name);
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0203 <span class="keyword">if</span> options_.TeX
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0204 texname = deblank(varlist_TeX(j,:));
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0205 TEXNAMES = strvcat(TEXNAMES,[<span class="string">'$'</span> texname <span class="string">'$'</span>]);
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0206 <span class="keyword">end</span>
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0207 title(name,<span class="string">'Interpreter'</span>,<span class="string">'none'</span>)
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0208 <span class="keyword">end</span>
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0209 <span class="keyword">if</span> subplotnum == MaxNumberOfPlotPerFigure | (j == nvar & subplotnum>0)
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0210 figunumber = figunumber+1;
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0211 set(hh,<span class="string">'visible'</span>,<span class="string">'on'</span>)
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0212 eval([<span class="string">'print -depsc2 '</span> DirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_Bayesian_IRF_'</span> deblank(tit(i,:)) <span class="string">'_'</span> int2str(figunumber)]);
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0213 eval([<span class="string">'print -dpdf '</span> DirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_Bayesian_IRF_'</span> deblank(tit(i,:)) <span class="string">'_'</span> int2str(figunumber)]);
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0214 saveas(hh,[DirectoryName <span class="string">'/'</span> M_.fname <span class="string">'_Bayesian_IRF_'</span> deblank(tit(i,:)) <span class="string">'_'</span> int2str(figunumber) <span class="string">'.fig'</span>]);
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0215 set(hh,<span class="string">'visible'</span>,<span class="string">'off'</span>)
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0216 <span class="keyword">if</span> options_.nograph, close(hh), <span class="keyword">end</span>
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0217 <span class="keyword">if</span> options_.TeX
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0218 fprintf(fidTeX,<span class="string">'\\begin{figure}[H]\n'</span>);
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0219 <span class="keyword">for</span> jj = 1:size(TEXNAMES,1)
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0220 fprintf(fidTeX,[<span class="string">'\\psfrag{%s}[1][][0.5][0]{%s}\n'</span>],deblank(NAMES(jj,:)),deblank(TEXNAMES(jj,:)));
|
|
0221 <span class="keyword">end</span>
|
|
0222 fprintf(fidTeX,<span class="string">'\\centering \n'</span>);
|
|
0223 fprintf(fidTeX,<span class="string">'\\includegraphics[scale=0.5]{%s_Bayesian_IRF_%s}\n'</span>,M_.fname,deblank(tit(i,:)));
|
|
0224 <span class="keyword">if</span> options_.relative_irf
|
|
0225 fprintf(fidTeX,[<span class="string">'\\caption{Bayesian relative IRF.}'</span>]);
|
|
0226 <span class="keyword">else</span>
|
|
0227 fprintf(fidTeX,<span class="string">'\\caption{Bayesian IRF.}'</span>);
|
|
0228 <span class="keyword">end</span>
|
|
0229 fprintf(fidTeX,<span class="string">'\\label{Fig:BayesianIRF:%s}\n'</span>,deblank(tit(i,:)));
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|
0230 fprintf(fidTeX,<span class="string">'\\end{figure}\n'</span>);
|
|
0231 fprintf(fidTeX,<span class="string">' \n'</span>);
|
|
0232 <span class="keyword">end</span>
|
|
0233 subplotnum = 0;
|
|
0234 <span class="keyword">end</span>
|
|
0235 <span class="keyword">end</span><span class="comment">% loop over selected endo_var</span>
|
|
0236 <span class="keyword">end</span><span class="comment">% loop over exo_var</span>
|
|
0237 <span class="comment">%%</span>
|
|
0238 <span class="keyword">if</span> options_.TeX
|
|
0239 fprintf(fidTeX,<span class="string">'%% End of TeX file.\n'</span>);
|
|
0240 fclose(fidTeX);
|
|
0241 <span class="keyword">end</span>
|
|
0242 fprintf(<span class="string">'MH: Posterior IRFs, done!\n'</span>);</pre></div>
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<hr><address>Generated on Fri 16-Jun-2006 09:09:06 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address>
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