110 lines
5.0 KiB
Matlab
110 lines
5.0 KiB
Matlab
function oo_=execute_prior_posterior_function(posterior_function_name,M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info,type)
|
|
%[oo_] = execute_prior_posterior_function(posterior_function_name,M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info,type)
|
|
% This function executes a given function on draws of the posterior or prior distribution
|
|
%
|
|
% INPUTS
|
|
% functionhandle Handle to the function to be executed
|
|
% M_ [structure] Matlab/Octave structure describing the Model (initialized by dynare, see @ref{M_}).
|
|
% options_ [structure] Matlab/Octave structure describing the options (initialized by dynare, see @ref{options_}).
|
|
% oo_ [structure] Matlab/Octave structure gathering the results (initialized by dynare, see @ref{oo_}).
|
|
% estim_params_[structure] Matlab/Octave structure describing the estimated_parameters (initialized by dynare, see @ref{estim_params_}).
|
|
% bayestopt_ [structure] Matlab/Octave structure describing the parameter options (initialized by dynare, see @ref{bayestopt_}).
|
|
% dataset_ [structure] Matlab/Octave structure storing the dataset
|
|
% dataset_info [structure] Matlab/Octave structure storing the information about the dataset
|
|
% type [string] 'prior' or 'posterior'
|
|
%
|
|
%
|
|
% OUTPUTS
|
|
% oo_ [structure] Matlab/Octave structure gathering the results (initialized by dynare, see @ref{oo_}).
|
|
|
|
% Copyright © 2013-2015 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 <https://www.gnu.org/licenses/>.
|
|
|
|
[directory,basename,extension] = fileparts(posterior_function_name);
|
|
if isempty(extension)
|
|
extension = '.m';
|
|
end
|
|
fullname = [basename extension];
|
|
if ~strcmp(extension,'.m') %if not m-file
|
|
error('The Posterior Function is not an m-file.')
|
|
elseif ~exist(fullname,'file') %if m-file, but does not exist
|
|
error(['The Posterior Function ', fullname ,' was not found. Check the spelling.']);
|
|
end
|
|
%Create function handle
|
|
functionhandle=str2func(posterior_function_name);
|
|
|
|
prior = true;
|
|
n_draws=options_.sampling_draws;
|
|
% Get informations about the _posterior_draws files.
|
|
if strcmpi(type,'posterior')
|
|
%% discard first mh_drop percent of the draws:
|
|
CutSample(M_, options_, estim_params_);
|
|
%% initialize metropolis draws
|
|
options_.sub_draws=n_draws; %set draws for sampling; changed value is not returned to base workspace
|
|
[error_flag,~,options_]= metropolis_draw(1,options_,estim_params_,M_);
|
|
if error_flag
|
|
error('EXECUTE_POSTERIOR_FUNCTION: The draws could not be initialized')
|
|
end
|
|
n_draws=options_.sub_draws;
|
|
prior = false;
|
|
elseif strcmpi(type,'prior')
|
|
if isempty(bayestopt_)
|
|
if ~isempty(estim_params_) && ~(isfield(estim_params_,'nvx') && (size(estim_params_.var_exo,1)+size(estim_params_.var_endo,1)+size(estim_params_.corrx,1)+size(estim_params_.corrn,1)+size(estim_params_.param_vals,1))==0)
|
|
[xparam1,estim_params_,bayestopt_,lb,ub,M_] = set_prior(estim_params_,M_,options_);
|
|
else
|
|
error('The prior distributions are not properly set up.')
|
|
end
|
|
end
|
|
if exist([M_.fname '_prior_restrictions.m'])
|
|
warning('prior_function currently does not support endogenous prior restrictions. They will be ignored. Consider using a prior_function with nobs=1.')
|
|
end
|
|
prior_draw(bayestopt_, options_.prior_trunc);
|
|
else
|
|
error('EXECUTE_POSTERIOR_FUNCTION: Unknown type!')
|
|
end
|
|
|
|
%get draws for later use
|
|
first_draw=GetOneDraw(type,M_,estim_params_,oo_,options_,bayestopt_);
|
|
parameter_mat=NaN(n_draws,length(first_draw));
|
|
parameter_mat(1,:)=first_draw;
|
|
for draw_iter=2:n_draws
|
|
parameter_mat(draw_iter,:) = GetOneDraw(type,M_,estim_params_,oo_,options_,bayestopt_);
|
|
end
|
|
|
|
% get output size
|
|
try
|
|
junk=functionhandle(parameter_mat(1,:),M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info);
|
|
catch err
|
|
fprintf('\nEXECUTE_POSTERIOR_FUNCTION: Execution of prior/posterior function led to an error. Execution cancelled.\n')
|
|
rethrow(err)
|
|
end
|
|
|
|
%initialize cell with number of columns
|
|
results_cell=cell(n_draws,size(junk,2));
|
|
|
|
%% compute function on draws
|
|
for draw_iter = 1:n_draws
|
|
M_ = set_all_parameters(parameter_mat(draw_iter,:),estim_params_,M_);
|
|
[results_cell(draw_iter,:)]=functionhandle(parameter_mat(draw_iter,:),M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info);
|
|
end
|
|
|
|
if prior
|
|
oo_.prior_function_results = results_cell;
|
|
else
|
|
oo_.posterior_function_results = results_cell;
|
|
end
|