98 lines
4.2 KiB
Matlab
98 lines
4.2 KiB
Matlab
function oo_ = covariance_mc_analysis(NumberOfSimulations,type,dname,fname,vartan,nvar,var1,var2,mh_conf_sig,oo_)
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% This function analyses the (posterior or prior) distribution of the
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% endogenous variables covariance matrix.
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% Copyright (C) 2008-2013 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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if strcmpi(type,'posterior')
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TYPE = 'Posterior';
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PATH = [dname '/metropolis/'];
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else
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TYPE = 'Prior';
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PATH = [dname '/prior/moments/'];
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end
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indx1 = check_name(vartan,var1);
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if isempty(indx1)
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disp([ type '_analysis:: ' var1 ' is not a stationary endogenous variable!'])
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return
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end
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if ~isempty(var2)
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indx2 = check_name(vartan,var2);
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if isempty(indx2)
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disp([ type '_analysis:: ' var2 ' is not a stationary endogenous variable!'])
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return
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end
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else
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indx2 = indx1;
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var2 = var1;
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end
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if isfield(oo_,[ TYPE 'TheoreticalMoments'])
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eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments;'])
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if isfield(temporary_structure,'dsge')
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eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments.dsge;'])
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if isfield(temporary_structure,'covariance')
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eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Mean;'])
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if isfield(temporary_structure,var1)
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eval(['temporary_structure_1 = oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Mean.' var1 ';'])
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if isfield(temporary_structure_1,var2)
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% Nothing to do (the covariance matrix is symmetric!).
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return
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end
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else
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if isfield(temporary_structure,var2)
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eval(['temporary_structure_2 = oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Mean.' var2 ';'])
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if isfield(temporary_structure_2,var1)
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% Nothing to do (the covariance matrix is symmetric!).
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return
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end
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end
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end
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end
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end
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end
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ListOfFiles = dir([ PATH fname '_' TYPE '2ndOrderMoments*.mat']);
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i1 = 1; tmp = zeros(NumberOfSimulations,1);
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for file = 1:length(ListOfFiles)
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load([ PATH ListOfFiles(file).name ]);
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i2 = i1 + rows(Covariance_matrix) - 1;
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tmp(i1:i2) = Covariance_matrix(:,symmetric_matrix_index(indx1,indx2,nvar));
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i1 = i2+1;
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end
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name = [var1 '.' var2];
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if ~isconst(tmp)
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[p_mean, p_median, p_var, hpd_interval, p_deciles, density] = ...
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posterior_moments(tmp,1,mh_conf_sig);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Mean.' name ' = p_mean;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Median.' name ' = p_median;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Variance.' name ' = p_var;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.HPDinf.' name ' = hpd_interval(1);']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.HPDsup.' name ' = hpd_interval(2);']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.deciles.' name ' = p_deciles;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.density.' name ' = density;']);
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else
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Mean.' name ' = NaN;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Median.' name ' = NaN;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Variance.' name ' = NaN;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.HPDinf.' name ' = NaN;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.HPDsup.' name ' = NaN;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.deciles.' name ' = NaN;']);
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eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.density.' name ' = NaN;']);
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end |