152 lines
7.0 KiB
Matlab
152 lines
7.0 KiB
Matlab
function oo_ = correlation_mc_analysis(SampleSize,type,dname,fname,vartan,nvar,var1,var2,nar,mh_conf_sig,oo_,M_,options_)
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% This function analyses the (posterior or prior) distribution of the
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% endogenous variables correlation function.
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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,'correlation')
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eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments.dsge.correlation.Mean;'])
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if isfield(temporary_structure,deblank(var1))
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eval(['temporary_structure_1 = oo_.' TYPE 'TheoreticalMoments.dsge.correlation.Mean.' var1 ';'])
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if isfield(temporary_structure_1,deblank(var2))
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eval(['temporary_structure_2 = temporary_structure_1.' var2 ';'])
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l1 = length(temporary_structure_2);
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if l1<nar
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% INITIALIZATION:
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oo_ = initialize_output_structure(var1,var2,nar,type,oo_);
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delete([PATH fname '_' TYPE 'Correlations*'])
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[nvar,vartan,NumberOfFiles] = ...
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dsge_simulated_theoretical_correlation(SampleSize,nar,M_,options_,oo_,type);
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else
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if ~isnan(temporary_structure_2(nar))
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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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else
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oo_ = initialize_output_structure(var1,var2,nar,TYPE,oo_);
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end
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else
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oo_ = initialize_output_structure(var1,var2,nar,TYPE,oo_);
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end
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else
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oo_ = initialize_output_structure(var1,var2,nar,TYPE,oo_);
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end
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else
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oo_ = initialize_output_structure(var1,var2,nar,TYPE,oo_);
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end
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else
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oo_ = initialize_output_structure(var1,var2,nar,TYPE,oo_);
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end
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ListOfFiles = dir([ PATH fname '_' TYPE 'Correlations*.mat']);
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i1 = 1; tmp = zeros(SampleSize,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(Correlation_array) - 1;
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tmp(i1:i2) = Correlation_array(:,indx1,indx2,nar);
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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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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,'correlation')
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'Mean',nar,p_mean);
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'Median',nar,p_median);
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'Variance',nar,p_var);
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'HPDinf',nar,hpd_interval(1));
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'HPDsup',nar,hpd_interval(2));
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'deciles',nar,p_deciles);
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'density',nar,density);
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end
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end
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end
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else
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if isfield(oo_,'PosteriorTheoreticalMoments')
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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,'correlation')
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'Mean',nar,NaN);
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'Median',nar,NaN);
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'Variance',nar,NaN);
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'HPDinf',nar,NaN);
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'HPDsup',nar,NaN);
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'deciles',nar,NaN);
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oo_ = fill_output_structure(var1,var2,TYPE,oo_,'density',nar,NaN);
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end
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end
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end
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end
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function oo_ = initialize_output_structure(var1,var2,nar,type,oo_)
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name = [ var1 '.' var2 ];
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.Mean.' name ' = NaN(' int2str(nar) ',1);']);
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.Median.' name ' = NaN(' int2str(nar) ',1);']);
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.Variance.' name ' = NaN(' int2str(nar) ',1);']);
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.HPDinf.' name ' = NaN(' int2str(nar) ',1);']);
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.HPDsup.' name ' = NaN(' int2str(nar) ',1);']);
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.deciles.' name ' = cell(' int2str(nar) ',1);']);
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.density.' name ' = cell(' int2str(nar) ',1);']);
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for i=1:nar
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.density.' name '(' int2str(i) ',1) = {NaN};']);
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.deciles.' name '(' int2str(i) ',1) = {NaN};']);
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end
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function oo_ = fill_output_structure(var1,var2,type,oo_,moment,lag,result)
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name = [ var1 '.' var2 ];
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switch moment
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case {'Mean','Median','Variance','HPDinf','HPDsup'}
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.' moment '.' name '(' int2str(lag) ',1) = result;']);
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case {'deciles','density'}
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eval(['oo_.' type 'TheoreticalMoments.dsge.correlation.' moment '.' name '(' int2str(lag) ',1) = {result};']);
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otherwise
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disp('fill_output_structure:: Unknown field!')
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end |