80 lines
2.8 KiB
Matlab
80 lines
2.8 KiB
Matlab
function [options_, oo_]=ms_compute_mdd(M_, options_, oo_)
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% function [options_, oo_]=ms_compute_mdd(M_, options_, oo_)
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% Markov-switching SBVAR: Compute Marginal Data Density
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%
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% INPUTS
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% M_: (struct) model structure
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% options_: (struct) options
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% oo_: (struct) results
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%
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% OUTPUTS
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% options_: (struct) options
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% oo_: (struct) results
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2011-2020 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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disp('MS-SBVAR Marginal Data Density');
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options_ = set_file_tags(options_);
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clean_ms_mdd_files(options_.ms.output_file_tag, options_.ms.proposal_type);
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[options_, oo_] = set_ms_estimation_file(options_.ms.file_tag, options_, oo_);
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options_ = set_ms_simulation_file(options_);
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% setup command line options
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opt = ['-mdd -seed ' num2str(options_.DynareRandomStreams.seed)];
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opt = [opt ' -ft ' options_.ms.simulation_file_tag];
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opt = [opt ' -fto ' options_.ms.output_file_tag];
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opt = [opt ' -pf ' options_.ms.mh_file];
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opt = [opt ' -d ' num2str(options_.ms.proposal_draws)];
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opt = [opt ' -pt ' num2str(options_.ms.proposal_type)];
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opt = [opt ' -l ' num2str(options_.ms.proposal_lower_bound)];
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opt = [opt ' -h ' num2str(options_.ms.proposal_upper_bound)];
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if options_.ms.use_mean_center
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opt = [opt ' -use_mean'];
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end
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% compute mdd
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ms_sbvar_command_line(opt);
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% grab the muller/bridge log mdd from the output file
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mull_exp = 'Muller \w+\(\w+\) \= (\d+.\d+e\+\d+)';
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bridge_exp = 'Bridge \w+\(\w+\) \= (\d+.\d+e\+\d+)';
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bridge_mdd = -1; muller_mdd = -1;
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mdd_filename = ['mdd_t' num2str(options_.ms.proposal_type) '_' options_.ms.output_file_tag '.out'];
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if exist(mdd_filename,'file')
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mdd_fid = fopen(mdd_filename);
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tline = fgetl(mdd_fid);
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while ischar(tline)
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mull_tok = regexp(tline,mull_exp,'tokens');
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bridge_tok = regexp(tline,bridge_exp,'tokens');
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if (~isempty(mull_tok))
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muller_mdd = str2double(mull_tok{1}{1});
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end
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if (~isempty(bridge_tok))
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bridge_mdd = str2double(bridge_tok{1}{1});
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end
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tline = fgetl(mdd_fid);
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end
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oo_.ms.mueller_log_mdd = muller_mdd;
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oo_.ms.bridged_log_mdd = bridge_mdd;
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fclose(mdd_fid);
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end
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end
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