56 lines
2.8 KiB
Matlab
56 lines
2.8 KiB
Matlab
function oo_ = covariance_posterior_analysis(NumberOfSimulations,dname,fname,vartan,nvar,var1,var2,mh_conf_sig,oo_)
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indx1 = check_name(vartan,var1);
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if isempty(indx1)
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disp(['posterior_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(['posterior_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_,'PosteriorTheoreticalMoments')
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if isfield(oo_.PosteriorTheoreticalMoments,'dsge')
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if isfield(oo_.PosteriorTheoreticalMoments.dsge,'covariance')
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if isfield(oo_.PosteriorTheoreticalMoments.dsge.covariance.mean,var1)
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eval(['s1 = oo_.PosteriorTheoreticalMoments.dsge.covariance.mean' '.' var1 ';'])
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if isfield(s1,var2)
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% Nothing to do.
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return
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end
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else
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if isfield(oo_.PosteriorTheoreticalMoments.dsge.covariance.mean,var2)
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eval(['s2 = oo_.PosteriorTheoreticalMoments.dsge.covariance.mean' '.' var2 ';'])
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if isfield(s1,var1)
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% Nothing to do (the covariance matrix is symmetric!).
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return
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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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end
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tmp = dir([ dname '/metropolis/' fname '_Posterior2ndOrderMoments*.mat']);
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NumberOfFiles= length(tmp);
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i1 = 1; tmp = zeros(NumberOfSimulations,1);
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for file = 1:NumberOfFiles
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load([ dname '/metropolis/' fname '_Posterior2ndOrderMoments' int2str(file) '.mat']);
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i2 = i1 + rows(Covariance_matrix) - 1;
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tmp(i1:i2) = Covariance_matrix(:,symmetric_matrix_index(indx1,indx2,nvar));
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i1 = i2+1;
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end
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[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
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posterior_moments(tmp,1,mh_conf_sig);
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name = [var1 '.' var2];
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.mean.' name ' = post_mean;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.median.' name ' = post_median;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.variance.' name ' = post_var;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.hpdinf.' name ' = hpd_interval(1);']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.hpdsup.' name ' = hpd_interval(2);']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.deciles.' name ' = post_deciles;']);
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eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.density.' name ' = density;']); |