190 lines
9.1 KiB
Matlab
190 lines
9.1 KiB
Matlab
function [nvar,vartan,NumberOfConditionalDecompFiles] = ...
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dsge_simulated_theoretical_conditional_variance_decomposition(SampleSize,Steps,M_,options_,oo_,type)
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% function [nvar,vartan,NumberOfConditionalDecompFiles] = ...
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% dsge_simulated_theoretical_conditional_variance_decomposition(SampleSize,Steps,M_,options_,oo_,type)
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% This function computes the posterior or prior distribution of the conditional variance
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% decomposition of the endogenous variables (or a subset of the endogenous variables).
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%
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% INPUTS
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% SampleSize [integer] scalar, number of simulations.
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% Steps [integers] horizons at which to conduct decomposition
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% M_ [structure] Dynare structure describing the model.
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% options_ [structure] Dynare structure defining global options.
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% oo_ [structure] Dynare structure where the results are saved.
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% type [string] 'prior' or 'posterior'
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%
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%
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% OUTPUTS
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% nvar [integer] nvar is the number of stationary variables.
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% vartan [char] array of characters (with nvar rows).
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% NumberOfConditionalDecompFiles [integer] scalar, number of prior or posterior data files (for covariance).
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% Copyright © 2009-2023 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 <https://www.gnu.org/licenses/>.
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% Get informations about the _posterior_draws files.
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if strcmpi(type,'posterior')
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NumberOfDrawsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_' type '_draws*' ]));
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posterior = 1;
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elseif strcmpi(type,'prior')
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NumberOfDrawsFiles = length(dir([M_.dname '/prior/draws/' type '_draws*' ]));
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CheckPath('prior/moments',M_.dname);
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posterior = 0;
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else
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error('dsge_simulated_theoretical_conditional_variance_decomposition:: Unknown type requested!')
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end
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%delete old stale files before creating new ones
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if posterior
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delete_stale_file([M_.dname '/metropolis/' M_.fname '_PosteriorConditionalVarianceDecomposition*'])
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delete_stale_file([M_.dname '/metropolis/' M_.fname '_PosteriorConditionalVarianceDecompositionME*'])
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else
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delete_stale_file([M_.dname '/prior/moments/' M_.fname '_PriorConditionalVarianceDecomposition*'])
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delete_stale_file([M_.dname '/prior/moments/' M_.fname '_PriorConditionalVarianceDecompositionME*'])
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end
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% Set varlist (vartan)
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if ~posterior
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if isfield(options_,'varlist')
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temp = options_.varlist;
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end
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options_.varlist = options_.prior_analysis_endo_var_list;
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end
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endo_names=options_.varlist;
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[ivar,vartan ] = get_variables_list(options_, M_);
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if ~posterior
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if exist('temp','var')
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options_.varlist = temp;
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end
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end
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nvar = length(ivar);
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% Set the size of the auto-correlation function to zero.
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nar = options_.ar;
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options_.ar = 0;
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NumberOfSavedElementsPerSimulation = nvar*M_.exo_nbr*length(Steps);
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MaXNumberOfConditionalDecompLines = ceil(options_.MaxNumberOfBytes/NumberOfSavedElementsPerSimulation/8);
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[ME_present,observable_pos_requested_vars] = check_measurement_error_requested_vars(M_,options_,ivar);
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if ME_present && ~isempty(observable_pos_requested_vars)
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nobs_ME=length(observable_pos_requested_vars);
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NumberOfSavedElementsPerSimulation_ME = nobs_ME*(M_.exo_nbr+1)*length(Steps);
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MaXNumberOfConditionalDecompLines_ME = ceil(options_.MaxNumberOfBytes/NumberOfSavedElementsPerSimulation_ME/8);
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end
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if SampleSize<=MaXNumberOfConditionalDecompLines
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Conditional_decomposition_array = zeros(nvar,length(Steps),M_.exo_nbr,SampleSize);
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NumberOfConditionalDecompFiles = 1;
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else
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Conditional_decomposition_array = zeros(nvar,length(Steps),M_.exo_nbr,MaXNumberOfConditionalDecompLines);
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NumberOfLinesInTheLastConditionalDecompFile = mod(SampleSize,MaXNumberOfConditionalDecompLines);
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NumberOfConditionalDecompFiles = ceil(SampleSize/MaXNumberOfConditionalDecompLines);
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end
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if ME_present
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if SampleSize<=MaXNumberOfConditionalDecompLines_ME
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Conditional_decomposition_array_ME = zeros(nobs_ME,length(Steps),M_.exo_nbr+1,SampleSize);
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NumberOfConditionalDecompFiles_ME = 1;
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else
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Conditional_decomposition_array_ME = zeros(nobs_ME,length(Steps),M_.exo_nbr+1,SampleSize);
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NumberOfLinesInTheLastConditionalDecompFile_ME = mod(SampleSize,MaXNumberOfConditionalDecompLines_ME);
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NumberOfConditionalDecompFiles_ME = ceil(SampleSize/MaXNumberOfConditionalDecompLines_ME);
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end
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NumberOfConditionalDecompLines_ME = size(Conditional_decomposition_array_ME,4);
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ConditionalDecompFileNumber_ME = 0;
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end
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NumberOfConditionalDecompLines = size(Conditional_decomposition_array,4);
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ConditionalDecompFileNumber = 0;
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linea = 0;
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linea_ME = 0;
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for file = 1:NumberOfDrawsFiles
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if posterior
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temp=load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
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else
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temp=load([M_.dname '/prior/draws/' type '_draws' num2str(file) ]);
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end
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isdrsaved = columns(temp.pdraws)-1;
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NumberOfDraws = rows(temp.pdraws);
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for linee = 1:NumberOfDraws
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linea = linea+1;
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linea_ME = linea_ME+1;
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if isdrsaved
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M_=set_parameters_locally(M_,temp.pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
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dr = temp.pdraws{linee,2};
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else
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M_=set_parameters_locally(M_,temp.pdraws{linee,1});
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[dr,~,M_.params] = compute_decision_rules(M_,options_,oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
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end
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M_ = set_measurement_errors(temp.pdraws{linee,1},temp.estim_params_,M_);
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[ConditionalVarianceDecomposition, ConditionalVarianceDecomposition_ME] = ...
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conditional_variance_decomposition(M_,options_,dr, Steps, ivar);
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Conditional_decomposition_array(:,:,:,linea) =ConditionalVarianceDecomposition;
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if ME_present
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Conditional_decomposition_array_ME(:,:,:,linea) =ConditionalVarianceDecomposition_ME;
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end
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if linea == NumberOfConditionalDecompLines
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ConditionalDecompFileNumber = ConditionalDecompFileNumber + 1;
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linea = 0;
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if posterior
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save([M_.dname '/metropolis/' M_.fname '_PosteriorConditionalVarianceDecomposition' int2str(ConditionalDecompFileNumber) '.mat' ], ...
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'Conditional_decomposition_array','endo_names');
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else
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save([M_.dname '/prior/moments/' M_.fname '_PriorConditionalVarianceDecomposition' int2str(ConditionalDecompFileNumber) '.mat' ], ...
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'Conditional_decomposition_array','endo_names');
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end
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if (ConditionalDecompFileNumber==NumberOfConditionalDecompFiles-1)% Prepare last round.
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Conditional_decomposition_array = zeros(nvar, length(Steps),M_.exo_nbr,NumberOfLinesInTheLastConditionalDecompFile) ;
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NumberOfConditionalDecompLines = NumberOfLinesInTheLastConditionalDecompFile;
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elseif ConditionalDecompFileNumber<NumberOfConditionalDecompFiles-1
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Conditional_decomposition_array = zeros(nvar,length(Steps),M_.exo_nbr,MaXNumberOfConditionalDecompLines);
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else
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clear('Conditional_decomposition_array');
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end
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end
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%with measurement error
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if ME_present
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if linea_ME == NumberOfConditionalDecompLines_ME
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ConditionalDecompFileNumber_ME = ConditionalDecompFileNumber_ME + 1;
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linea_ME = 0;
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if posterior
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save([M_.dname '/metropolis/' M_.fname '_PosteriorConditionalVarianceDecompME' int2str(ConditionalDecompFileNumber_ME) '.mat' ], ...
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'Conditional_decomposition_array_ME','endo_names');
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else
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save([M_.dname '/prior/moments/' M_.fname '_PriorConditionalVarianceDecompME' int2str(ConditionalDecompFileNumber_ME) '.mat' ], ...
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'Conditional_decomposition_array_ME','endo_names');
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end
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if (ConditionalDecompFileNumber_ME==NumberOfConditionalDecompFiles_ME-1)% Prepare last round.
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Conditional_decomposition_array_ME = zeros(nobs_ME, length(Steps),M_.exo_nbr+1,NumberOfLinesInTheLastConditionalDecompFile_ME) ;
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NumberOfConditionalDecompLines_ME = NumberOfLinesInTheLastConditionalDecompFile_ME;
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elseif ConditionalDecompFileNumber_ME<NumberOfConditionalDecompFiles_ME-1
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Conditional_decomposition_array_ME = zeros(nobs_ME,length(Steps),M_.exo_nbr+1,MaXNumberOfConditionalDecompLines_ME);
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else
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clear('Conditional_decomposition_array_ME');
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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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options_.ar = nar;
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