77 lines
3.3 KiB
Matlab
77 lines
3.3 KiB
Matlab
function oo_ = variance_decomposition_posterior_analysis(NumberOfSimulations,dname,fname, ...
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exonames,exo,vartan,var,mh_conf_sig,oo_)
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% Copyright (C) 2008 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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indx = check_name(vartan,var);
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if isempty(indx)
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disp(['posterior_analysis:: ' var ' is not a stationary endogenous variable!'])
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return
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end
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jndx = check_name(exonames,exo);
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if isempty(jndx)
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disp(['posterior_analysis:: ' exo ' is not a declared exogenous variable!'])
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return
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end
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tmp = dir([ dname '/metropolis/' fname '_PosteriorVarianceDecomposition*.mat']);
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NumberOfFiles = length(tmp);
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i1 = 1; tmp = zeros(NumberOfSimulations,1);
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indice = (indx-1)*rows(exonames)+jndx;
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for file = 1:NumberOfFiles
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load([dname '/metropolis/' fname '_PosteriorVarianceDecomposition' int2str(file) '.mat']);
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i2 = i1 + rows(Decomposition_array) - 1;
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tmp(i1:i2) = Decomposition_array(:,indice);
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i1 = i2+1;
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end
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name = [ var '.' exo ];
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if isfield(oo_,'PosteriorTheoreticalMoments')
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if isfield(oo_.PosteriorTheoreticalMoments,'dsge')
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if isfield(oo_.PosteriorTheoreticalMoments.dsge,'VarianceDecomposition')
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if isfield(oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.mean,name)
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% Nothing to do.
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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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t1 = min(tmp); t2 = max(tmp);
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t3 = t2-t1;% How to normalize ? t1 and t2 may be zero...
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if t3<1.0e-12
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if t1<1.0e-12
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t1 = 0;
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end
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if abs(t1-1)<1.0e-12
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t1 = 1;
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end
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post_mean = t1;
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post_median = t1;
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post_var = 0;
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hpd_interval = NaN(2,1);
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post_deciles = NaN(9,1);
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density = NaN;
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else
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
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posterior_moments(tmp,1,mh_conf_sig);
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end
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eval(['oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.mean.' name ' = post_mean;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.median.' name ' = post_median;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.variance.' name ' = post_var;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.hpdinf.' name ' = hpd_interval(1);']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.hpdsup.' name ' = hpd_interval(2);']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.deciles.' name ' = post_deciles;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.density.' name ' = density;']); |