243 lines
8.0 KiB
Matlab
243 lines
8.0 KiB
Matlab
function PosteriorIRF(type)
|
|
% stephane.adjemian@ens.fr [09-25-2005]
|
|
global options_ estim_params_ oo_ M_
|
|
nvx = estim_params_.nvx;
|
|
nvn = estim_params_.nvn;
|
|
ncx = estim_params_.ncx;
|
|
ncn = estim_params_.ncn;
|
|
np = estim_params_.np ;
|
|
npar = nvx+nvn+ncx+ncn+np;
|
|
offset = npar-np;
|
|
%%
|
|
MaxNumberOfPlotPerFigure = 9;% The square root must be an integer!
|
|
nn = sqrt(MaxNumberOfPlotPerFigure);
|
|
DirectoryName = CheckPath('Output');
|
|
if strcmpi(type,'posterior')
|
|
MhDirectoryName = CheckPath('metropolis');
|
|
else
|
|
MhDirectoryName = CheckPath('prior');
|
|
end
|
|
MAX_nirfs = ceil(options_.MaxNumberOfBytes/(options_.irf*length(oo_.steady_state)*M_.exo_nbr)/8)+50;
|
|
MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
|
|
|
|
if strcmpi(type,'posterior')
|
|
load([ MhDirectoryName '/' M_.fname '_mh_history'])
|
|
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
|
|
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
|
|
else% type = 'prior'
|
|
NumberOfDraws = 500;
|
|
end
|
|
B = min([round(.5*NumberOfDraws),500]); options_.B = B;
|
|
try delete([MhDirectoryName '\' M_.fname '_IRFs*']);
|
|
catch disp('No _IRFs files to be deleted!')
|
|
end
|
|
irun = 0;
|
|
irun2 = 0;
|
|
NumberOfIRFfiles = 1;
|
|
ifil2 = 1;
|
|
if strcmpi(type,'posterior')
|
|
h = waitbar(0,'Bayesian (posterior) IRFs...');
|
|
else
|
|
h = waitbar(0,'Bayesian (prior) IRFs...');
|
|
end
|
|
if B <= MAX_nruns
|
|
stock_param = zeros(B, npar);
|
|
else
|
|
stock_param = zeros(MAX_nruns, npar);
|
|
end
|
|
if B >= MAX_nirfs
|
|
stock_irf = zeros(options_.irf,M_.endo_nbr,M_.exo_nbr,MAX_nirfs);
|
|
else
|
|
stock_irf = zeros(options_.irf,M_.endo_nbr,M_.exo_nbr,B);
|
|
end
|
|
for b=1:B
|
|
irun = irun+1;
|
|
irun2 = irun2+1;
|
|
deep = GetOneDraw(type);
|
|
stock_param(irun2,:) = deep;
|
|
set_parameters(deep);
|
|
dr = resol(oo_.steady_state,0);
|
|
SS(M_.exo_names_orig_ord,M_.exo_names_orig_ord) = M_.Sigma_e+1e-14*eye(M_.exo_nbr);
|
|
SS = transpose(chol(SS));
|
|
for i = 1:M_.exo_nbr
|
|
if SS(i,i) > 1e-13
|
|
y=irf(dr,SS(M_.exo_names_orig_ord,i), options_.irf, options_.drop,options_.replic,options_.order);
|
|
if options_.relative_irf
|
|
y = 100*y/cs(i,i);
|
|
end
|
|
for j = 1:M_.endo_nbr
|
|
if max(y(j,:)) - min(y(j,:)) > 1e-10
|
|
stock_irf(:,j,i,irun) = transpose(y(j,:));
|
|
end
|
|
end
|
|
end
|
|
end
|
|
if irun == MAX_nirfs | irun == B | b == B
|
|
if b == B
|
|
stock_irf = stock_irf(:,:,:,1:irun);
|
|
end
|
|
save([MhDirectoryName '/' M_.fname '_irf' int2str(NumberOfIRFfiles)],'stock_irf');
|
|
NumberOfIRFfiles = NumberOfIRFfiles+1;
|
|
irun = 0;
|
|
end
|
|
if irun2 > MAX_nruns | b == B
|
|
if b == B
|
|
stock_param = stock_param(1:irun2,:);
|
|
end
|
|
stock = stock_param;
|
|
save([MhDirectoryName '/' M_.fname '_param_irf' int2str(ifil2)],'stock');
|
|
ifil2 = ifil2 + 1;
|
|
irun2 = 1;
|
|
end
|
|
waitbar(b/B,h);
|
|
end
|
|
NumberOfIRFfiles = NumberOfIRFfiles-1;
|
|
ifil2 = ifil2-1;
|
|
close(h);
|
|
|
|
ReshapeMatFiles('irf')
|
|
|
|
varlist = options_.varlist;
|
|
if isempty(varlist)
|
|
varlist = M_.endo_names;
|
|
SelecVariables = transpose(1:M_.endo_nbr);
|
|
nvar = M_.endo_nbr;
|
|
else
|
|
nvar = size(varlist,1);
|
|
SelecVariables = [];
|
|
for i=1:nvar
|
|
if ~isempty(strmatch(varlist(i,:),M_.endo_names,'exact'))
|
|
SelecVariables = [SelecVariables;strmatch(varlist(i,:),M_.endo_names,'exact')];
|
|
end
|
|
end
|
|
end
|
|
|
|
MeanIRF = zeros(options_.irf,nvar,M_.exo_nbr);
|
|
MedianIRF = zeros(options_.irf,nvar,M_.exo_nbr);
|
|
StdIRF = zeros(options_.irf,nvar,M_.exo_nbr);
|
|
DistribIRF = zeros(options_.irf,9,nvar,M_.exo_nbr);
|
|
HPDIRF = zeros(options_.irf,2,nvar,M_.exo_nbr);
|
|
|
|
if options_.TeX
|
|
varlist_TeX = [];
|
|
for i=1:nvar
|
|
varlist_TeX = strvcat(varlist_TeX,M_.endo_names_tex(SelecVariables(i),:));
|
|
end
|
|
end
|
|
|
|
fprintf('MH: Posterior IRFs...\n');
|
|
tit(M_.exo_names_orig_ord,:) = M_.exo_names;
|
|
kdx = 0;
|
|
for file = 1:NumberOfIRFfiles
|
|
load([MhDirectoryName '/' M_.fname '_IRFs' int2str(file)]);
|
|
for i = 1:M_.exo_nbr
|
|
for j = 1:nvar
|
|
for k = 1:size(STOCK_IRF,1)
|
|
kk = k+kdx;
|
|
[MeanIRF(kk,j,i),MedianIRF(kk,j,i),VarIRF(kk,j,i),HPDIRF(kk,:,j,i),DistribIRF(kk,:,j,i)] = ...
|
|
posterior_moments(squeeze(STOCK_IRF(k,SelecVariables(j),i,:)),0);
|
|
end
|
|
end
|
|
end
|
|
kdx = kdx + size(STOCK_IRF,1);
|
|
end
|
|
clear STOCK_IRF;
|
|
|
|
for i = 1:M_.exo_nbr
|
|
for j = 1:nvar
|
|
name = [deblank(M_.endo_names(SelecVariables(j),:)) '_' deblank(tit(i,:))];
|
|
eval(['oo_.PosteriorIRF.Mean.' name ' = MeanIRF(:,j,i);']);
|
|
eval(['oo_.PosteriorIRF.Median.' name ' = MedianIRF(:,j,i);']);
|
|
eval(['oo_.PosteriorIRF.Var.' name ' = VarIRF(:,j,i);']);
|
|
eval(['oo_.PosteriorIRF.Distribution.' name ' = DistribIRF(:,:,j,i);']);
|
|
eval(['oo_.PosteriorIRF.HPDinf.' name ' = HPDIRF(:,1,j,i);']);
|
|
eval(['oo_.PosteriorIRF.HPDsup.' name ' = HPDIRF(:,2,j,i);']);
|
|
end
|
|
end
|
|
%%
|
|
%% Finally i build the plots.
|
|
%%
|
|
if options_.TeX
|
|
fidTeX = fopen([DirectoryName '/' M_.fname '_BayesianIRF.TeX'],'w');
|
|
fprintf(fidTeX,'%% TeX eps-loader file generated by PosteriorIRF.m (Dynare).\n');
|
|
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
|
|
fprintf(fidTeX,' \n');
|
|
titTeX(M_.exo_names_orig_ord,:) = M_.exo_names_tex;
|
|
end
|
|
%%
|
|
subplotnum = 0;
|
|
for i=1:M_.exo_nbr
|
|
NAMES = [];
|
|
if options_.TeX
|
|
TEXNAMES = [];
|
|
end
|
|
figunumber = 0;
|
|
for j=1:nvar
|
|
if max(abs(MeanIRF(:,j,i))) > 10^(-6)
|
|
subplotnum = subplotnum+1;
|
|
if options_.nograph
|
|
if subplotnum == 1 & options_.relative_irf
|
|
hh = figure('Name',['Relative response to orthogonalized shock to ' tit(i,:)],'Visible','off');
|
|
elseif subplotnum == 1 & ~options_.relative_irf
|
|
hh = figure('Name',['Orthogonalized shock to ' tit(i,:)],'Visible','off');
|
|
end
|
|
else
|
|
if subplotnum == 1 & options_.relative_irf
|
|
hh = figure('Name',['Relative response to orthogonalized shock to ' tit(i,:)]);
|
|
elseif subplotnum == 1 & ~options_.relative_irf
|
|
hh = figure('Name',['Orthogonalized shock to ' tit(i,:)]);
|
|
end
|
|
end
|
|
set(0,'CurrentFigure',hh)
|
|
subplot(nn,nn,subplotnum);
|
|
plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
|
|
hold on
|
|
for k = 1:9
|
|
plot(1:options_.irf,DistribIRF(:,k,j,i),'-g','linewidth',0.5)
|
|
end
|
|
plot(1:options_.irf,MeanIRF(:,j,i),'-k','linewidth',1)
|
|
xlim([1 options_.irf]);
|
|
hold off
|
|
name = deblank(varlist(j,:));
|
|
NAMES = strvcat(NAMES,name);
|
|
if options_.TeX
|
|
texname = deblank(varlist_TeX(j,:));
|
|
TEXNAMES = strvcat(TEXNAMES,['$' texname '$']);
|
|
end
|
|
title(name,'Interpreter','none')
|
|
end
|
|
if subplotnum == MaxNumberOfPlotPerFigure | (j == nvar & subplotnum>0)
|
|
figunumber = figunumber+1;
|
|
set(hh,'visible','on')
|
|
eval(['print -depsc2 ' DirectoryName '/' M_.fname '_Bayesian_IRF_' deblank(tit(i,:)) '_' int2str(figunumber)]);
|
|
eval(['print -dpdf ' DirectoryName '/' M_.fname '_Bayesian_IRF_' deblank(tit(i,:)) '_' int2str(figunumber)]);
|
|
saveas(hh,[DirectoryName '/' M_.fname '_Bayesian_IRF_' deblank(tit(i,:)) '_' int2str(figunumber) '.fig']);
|
|
set(hh,'visible','off')
|
|
if options_.nograph, close(hh), end
|
|
if options_.TeX
|
|
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
|
for jj = 1:size(TEXNAMES,1)
|
|
fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{%s}\n'],deblank(NAMES(jj,:)),deblank(TEXNAMES(jj,:)));
|
|
end
|
|
fprintf(fidTeX,'\\centering \n');
|
|
fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_Bayesian_IRF_%s}\n',M_.fname,deblank(tit(i,:)));
|
|
if options_.relative_irf
|
|
fprintf(fidTeX,['\\caption{Bayesian relative IRF.}']);
|
|
else
|
|
fprintf(fidTeX,'\\caption{Bayesian IRF.}');
|
|
end
|
|
fprintf(fidTeX,'\\label{Fig:BayesianIRF:%s}\n',deblank(tit(i,:)));
|
|
fprintf(fidTeX,'\\end{figure}\n');
|
|
fprintf(fidTeX,' \n');
|
|
end
|
|
subplotnum = 0;
|
|
end
|
|
end% loop over selected endo_var
|
|
end% loop over exo_var
|
|
%%
|
|
if options_.TeX
|
|
fprintf(fidTeX,'%% End of TeX file.\n');
|
|
fclose(fidTeX);
|
|
end
|
|
fprintf('MH: Posterior IRFs, done!\n');
|