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