322 lines
11 KiB
Matlab
322 lines
11 KiB
Matlab
function myoutput=prior_posterior_statistics_core(myinputs,fpar,B,whoiam, ThisMatlab)
|
|
% PARALLEL CONTEXT
|
|
% Core functionality for prior_posterior.m function, which can be parallelized.
|
|
% See also the comment in random_walk_metropolis_hastings_core.m funtion.
|
|
%
|
|
% INPUTS
|
|
% See See the comment in random_walk_metropolis_hastings_core.m funtion.
|
|
%
|
|
% OUTPUTS
|
|
% o myoutput [struc]
|
|
% Contained OutputFileName_smooth;
|
|
% _update;
|
|
% _inno;
|
|
% _error;
|
|
% _filter_step_ahead;
|
|
% _param;
|
|
% _forc_mean;
|
|
% _forc_point
|
|
%
|
|
% ALGORITHM
|
|
% Portion of prior_posterior.m function.
|
|
% This file is part of Dynare.
|
|
%
|
|
% SPECIAL REQUIREMENTS.
|
|
% None.
|
|
|
|
% Copyright (C) 2005-2013 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/>.
|
|
|
|
global options_ oo_ M_ bayestopt_ estim_params_
|
|
|
|
if nargin<4,
|
|
whoiam=0;
|
|
end
|
|
|
|
% Reshape 'myinputs' for local computation.
|
|
% In order to avoid confusion in the name space, the instruction struct2local(myinputs) is replaced by:
|
|
|
|
type=myinputs.type;
|
|
run_smoother=myinputs.run_smoother;
|
|
gend=myinputs.gend;
|
|
Y=myinputs.Y;
|
|
data_index=myinputs.data_index;
|
|
missing_value=myinputs.missing_value;
|
|
varobs=myinputs.varobs;
|
|
irun=myinputs.irun;
|
|
endo_nbr=myinputs.endo_nbr;
|
|
nvn=myinputs.nvn;
|
|
naK=myinputs.naK;
|
|
horizon=myinputs.horizon;
|
|
iendo=myinputs.iendo;
|
|
if horizon
|
|
i_last_obs=myinputs.i_last_obs;
|
|
IdObs=myinputs.IdObs;
|
|
MAX_nforc1=myinputs.MAX_nforc1;
|
|
MAX_nforc2=myinputs.MAX_nforc2;
|
|
end
|
|
if naK
|
|
MAX_naK=myinputs.MAX_naK;
|
|
end
|
|
|
|
exo_nbr=myinputs.exo_nbr;
|
|
maxlag=myinputs.maxlag;
|
|
MAX_nsmoo=myinputs.MAX_nsmoo;
|
|
MAX_ninno=myinputs.MAX_ninno;
|
|
MAX_nerro = myinputs.MAX_nerro;
|
|
MAX_nruns=myinputs.MAX_nruns;
|
|
MAX_momentsno = myinputs.MAX_momentsno;
|
|
ifil=myinputs.ifil;
|
|
|
|
if ~strcmpi(type,'prior'),
|
|
x=myinputs.x;
|
|
if strcmpi(type,'posterior'),
|
|
logpost=myinputs.logpost;
|
|
end
|
|
end
|
|
if whoiam
|
|
Parallel=myinputs.Parallel;
|
|
end
|
|
|
|
% DirectoryName = myinputs.DirectoryName;
|
|
if strcmpi(type,'posterior')
|
|
DirectoryName = CheckPath('metropolis',M_.dname);
|
|
elseif strcmpi(type,'gsa')
|
|
if options_.opt_gsa.pprior
|
|
DirectoryName = CheckPath(['gsa',filesep,'prior'],M_.dname);
|
|
else
|
|
DirectoryName = CheckPath(['gsa',filesep,'mc'],M_.dname);
|
|
end
|
|
elseif strcmpi(type,'prior')
|
|
DirectoryName = CheckPath('prior',M_.dname);
|
|
end
|
|
|
|
RemoteFlag = 0;
|
|
if whoiam
|
|
if Parallel(ThisMatlab).Local==0,
|
|
RemoteFlag =1;
|
|
end
|
|
ifil=ifil(:,whoiam);
|
|
prct0={0,whoiam,Parallel(ThisMatlab)};
|
|
else
|
|
prct0=0;
|
|
end
|
|
h = dyn_waitbar(prct0,['Taking ',type,' subdraws...']);
|
|
|
|
if RemoteFlag==1,
|
|
OutputFileName_smooth = {};
|
|
OutputFileName_update = {};
|
|
OutputFileName_inno = {};
|
|
OutputFileName_error = {};
|
|
OutputFileName_filter_step_ahead = {};
|
|
OutputFileName_param = {};
|
|
OutputFileName_forc_mean = {};
|
|
OutputFileName_forc_point = {};
|
|
% OutputFileName_moments = {};
|
|
end
|
|
|
|
%initialize arrays
|
|
if run_smoother
|
|
stock_smooth=NaN(endo_nbr,gend,MAX_nsmoo);
|
|
stock_update=NaN(endo_nbr,gend,MAX_nsmoo);
|
|
stock_innov=NaN(M_.exo_nbr,gend,MAX_ninno);
|
|
if horizon
|
|
stock_forcst_mean= NaN(endo_nbr,horizon,MAX_nforc1);
|
|
stock_forcst_point = NaN(endo_nbr,horizon,MAX_nforc2);
|
|
end
|
|
end
|
|
if nvn
|
|
stock_error = NaN(length(varobs),gend,MAX_nerro);
|
|
end
|
|
if naK
|
|
stock_filter_step_ahead =NaN(length(options_.filter_step_ahead),endo_nbr,gend+max(options_.filter_step_ahead),MAX_naK);
|
|
end
|
|
stock_param = NaN(MAX_nruns,size(myinputs.x,2));
|
|
stock_logpo = NaN(MAX_nruns,1);
|
|
stock_ys = NaN(MAX_nruns,endo_nbr);
|
|
|
|
for b=fpar:B
|
|
if strcmpi(type,'prior')
|
|
|
|
[deep, logpo] = GetOneDraw(type);
|
|
|
|
else
|
|
deep = x(b,:);
|
|
if strcmpi(type,'posterior')
|
|
logpo = logpost(b);
|
|
else
|
|
logpo = evaluate_posterior_kernel(deep');
|
|
end
|
|
end
|
|
M_ = set_all_parameters(deep,estim_params_,M_);
|
|
|
|
if run_smoother
|
|
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
|
|
[alphahat,etahat,epsilonhat,alphatilde,SteadyState,trend_coeff,aK] = ...
|
|
DsgeSmoother(deep,gend,Y,data_index,missing_value);
|
|
|
|
if options_.loglinear
|
|
stock_smooth(dr.order_var,:,irun(1)) = alphahat(1:endo_nbr,:)+ ...
|
|
repmat(log(SteadyState(dr.order_var)),1,gend);
|
|
stock_update(dr.order_var,:,irun(1)) = alphatilde(1:endo_nbr,:)+ ...
|
|
repmat(log(SteadyState(dr.order_var)),1,gend);
|
|
else
|
|
stock_smooth(dr.order_var,:,irun(1)) = alphahat(1:endo_nbr,:)+ ...
|
|
repmat(SteadyState(dr.order_var),1,gend);
|
|
stock_update(dr.order_var,:,irun(1)) = alphatilde(1:endo_nbr,:)+ ...
|
|
repmat(SteadyState(dr.order_var),1,gend);
|
|
end
|
|
stock_innov(:,:,irun(2)) = etahat;
|
|
if nvn
|
|
stock_error(:,:,irun(3)) = epsilonhat;
|
|
end
|
|
if naK
|
|
stock_filter_step_ahead(:,dr.order_var,:,irun(4)) = aK(options_.filter_step_ahead,1:endo_nbr,:);
|
|
end
|
|
|
|
if horizon
|
|
yyyy = alphahat(iendo,i_last_obs);
|
|
yf = forcst2a(yyyy,dr,zeros(horizon,exo_nbr));
|
|
if options_.prefilter
|
|
yf(:,IdObs) = yf(:,IdObs)+repmat(bayestopt_.mean_varobs', ...
|
|
horizon+maxlag,1);
|
|
end
|
|
yf(:,IdObs) = yf(:,IdObs)+(gend+[1-maxlag:horizon]')*trend_coeff';
|
|
if options_.loglinear
|
|
yf = yf+repmat(log(SteadyState'),horizon+maxlag,1);
|
|
else
|
|
yf = yf+repmat(SteadyState',horizon+maxlag,1);
|
|
end
|
|
yf1 = forcst2(yyyy,horizon,dr,1);
|
|
if options_.prefilter == 1
|
|
yf1(:,IdObs,:) = yf1(:,IdObs,:)+ ...
|
|
repmat(bayestopt_.mean_varobs',[horizon+maxlag,1,1]);
|
|
end
|
|
yf1(:,IdObs,:) = yf1(:,IdObs,:)+repmat((gend+[1-maxlag:horizon]')* ...
|
|
trend_coeff',[1,1,1]);
|
|
if options_.loglinear
|
|
yf1 = yf1 + repmat(log(SteadyState'),[horizon+maxlag,1,1]);
|
|
else
|
|
yf1 = yf1 + repmat(SteadyState',[horizon+maxlag,1,1]);
|
|
end
|
|
|
|
stock_forcst_mean(:,:,irun(6)) = yf(maxlag+1:end,:)';
|
|
stock_forcst_point(:,:,irun(7)) = yf1(maxlag+1:end,:)';
|
|
end
|
|
else
|
|
[T,R,SteadyState,info,M_,options_,oo_] = dynare_resolve(M_,options_,oo_);
|
|
end
|
|
stock_param(irun(5),:) = deep;
|
|
stock_logpo(irun(5),1) = logpo;
|
|
stock_ys(irun(5),:) = SteadyState';
|
|
|
|
irun = irun + ones(7,1);
|
|
|
|
|
|
if run_smoother && (irun(1) > MAX_nsmoo || b == B),
|
|
stock = stock_smooth(:,:,1:irun(1)-1);
|
|
ifil(1) = ifil(1) + 1;
|
|
save([DirectoryName '/' M_.fname '_smooth' int2str(ifil(1)) '.mat'],'stock');
|
|
|
|
stock = stock_update(:,:,1:irun(1)-1);
|
|
save([DirectoryName '/' M_.fname '_update' int2str(ifil(1)) '.mat'],'stock');
|
|
if RemoteFlag==1,
|
|
OutputFileName_smooth = [OutputFileName_smooth; {[DirectoryName filesep], [M_.fname '_smooth' int2str(ifil(1)) '.mat']}];
|
|
OutputFileName_update = [OutputFileName_update; {[DirectoryName filesep], [M_.fname '_update' int2str(ifil(1)) '.mat']}];
|
|
end
|
|
irun(1) = 1;
|
|
end
|
|
|
|
if run_smoother && (irun(2) > MAX_ninno || b == B)
|
|
stock = stock_innov(:,:,1:irun(2)-1);
|
|
ifil(2) = ifil(2) + 1;
|
|
save([DirectoryName '/' M_.fname '_inno' int2str(ifil(2)) '.mat'],'stock');
|
|
if RemoteFlag==1,
|
|
OutputFileName_inno = [OutputFileName_inno; {[DirectoryName filesep], [M_.fname '_inno' int2str(ifil(2)) '.mat']}];
|
|
end
|
|
irun(2) = 1;
|
|
end
|
|
|
|
if run_smoother && nvn && (irun(3) > MAX_nerro || b == B)
|
|
stock = stock_error(:,:,1:irun(3)-1);
|
|
ifil(3) = ifil(3) + 1;
|
|
save([DirectoryName '/' M_.fname '_error' int2str(ifil(3)) '.mat'],'stock');
|
|
if RemoteFlag==1,
|
|
OutputFileName_error = [OutputFileName_error; {[DirectoryName filesep], [M_.fname '_error' int2str(ifil(3)) '.mat']}];
|
|
end
|
|
irun(3) = 1;
|
|
end
|
|
|
|
if run_smoother && naK && (irun(4) > MAX_naK || b == B)
|
|
stock = stock_filter_step_ahead(:,:,:,1:irun(4)-1);
|
|
ifil(4) = ifil(4) + 1;
|
|
save([DirectoryName '/' M_.fname '_filter_step_ahead' int2str(ifil(4)) '.mat'],'stock');
|
|
if RemoteFlag==1,
|
|
OutputFileName_filter_step_ahead = [OutputFileName_filter_step_ahead; {[DirectoryName filesep], [M_.fname '_filter_step_ahead' int2str(ifil(4)) '.mat']}];
|
|
end
|
|
irun(4) = 1;
|
|
end
|
|
|
|
if irun(5) > MAX_nruns || b == B
|
|
stock = stock_param(1:irun(5)-1,:);
|
|
stock_logpo = stock_logpo(1:irun(5)-1);
|
|
stock_ys = stock_ys(1:irun(5)-1,:);
|
|
ifil(5) = ifil(5) + 1;
|
|
save([DirectoryName '/' M_.fname '_param' int2str(ifil(5)) '.mat'],'stock','stock_logpo','stock_ys');
|
|
if RemoteFlag==1,
|
|
OutputFileName_param = [OutputFileName_param; {[DirectoryName filesep], [M_.fname '_param' int2str(ifil(5)) '.mat']}];
|
|
end
|
|
irun(5) = 1;
|
|
end
|
|
|
|
if run_smoother && horizon && (irun(6) > MAX_nforc1 || b == B)
|
|
stock = stock_forcst_mean(:,:,1:irun(6)-1);
|
|
ifil(6) = ifil(6) + 1;
|
|
save([DirectoryName '/' M_.fname '_forc_mean' int2str(ifil(6)) '.mat'],'stock');
|
|
if RemoteFlag==1,
|
|
OutputFileName_forc_mean = [OutputFileName_forc_mean; {[DirectoryName filesep], [M_.fname '_forc_mean' int2str(ifil(6)) '.mat']}];
|
|
end
|
|
irun(6) = 1;
|
|
end
|
|
|
|
if run_smoother && horizon && (irun(7) > MAX_nforc2 || b == B)
|
|
stock = stock_forcst_point(:,:,1:irun(7)-1);
|
|
ifil(7) = ifil(7) + 1;
|
|
save([DirectoryName '/' M_.fname '_forc_point' int2str(ifil(7)) '.mat'],'stock');
|
|
if RemoteFlag==1,
|
|
OutputFileName_forc_point = [OutputFileName_forc_point; {[DirectoryName filesep], [M_.fname '_forc_point' int2str(ifil(7)) '.mat']}];
|
|
end
|
|
irun(7) = 1;
|
|
end
|
|
dyn_waitbar((b-fpar+1)/(B-fpar+1),h);
|
|
end
|
|
|
|
myoutput.ifil=ifil;
|
|
if RemoteFlag==1,
|
|
myoutput.OutputFileName = [OutputFileName_smooth;
|
|
OutputFileName_update;
|
|
OutputFileName_inno;
|
|
OutputFileName_error;
|
|
OutputFileName_filter_step_ahead;
|
|
OutputFileName_param;
|
|
OutputFileName_forc_mean;
|
|
OutputFileName_forc_point];
|
|
end
|
|
|
|
dyn_waitbar_close(h);
|
|
|