183 lines
5.1 KiB
Matlab
183 lines
5.1 KiB
Matlab
function PosteriorSmoother(Y,gend, type)
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% stephane.adjemian@ens.fr [09-25-2005]
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global options_ estim_params_ oo_ M_
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nvx = estim_params_.nvx;
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nvn = estim_params_.nvn;
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ncx = estim_params_.ncx;
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ncn = estim_params_.ncn;
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np = estim_params_.np ;
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npar = nvx+nvn+ncx+ncn+np;
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offset = npar-np;
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naK = length(options_.filter_step_ahead);
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%%
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MaxNumberOfPlotPerFigure = 4;% The square root must be an integer!
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MaxNumberOfBytes=options_.MaxNumberOfBytes;
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endo_nbr=M_.endo_nbr;
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exo_nbr=M_.exo_nbr;
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nvobs = size(options_.varobs,1);
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nn = sqrt(MaxNumberOfPlotPerFigure);
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%%
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CheckPath('Plots/');
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DirectoryName = CheckPath('metropolis');
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load([ DirectoryName '/' M_.fname '_mh_history'])
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FirstMhFile = record.KeepedDraws.FirstMhFile;
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FirstLine = record.KeepedDraws.FirstLine;
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TotalNumberOfMhFiles = sum(record.MhDraws(:,2)); LastMhFile = TotalNumberOfMhFiles;
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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clear record;
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MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
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MAX_nsmoo = ceil(MaxNumberOfBytes/((endo_nbr)*gend)/8);
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MAX_ninno = ceil(MaxNumberOfBytes/(exo_nbr*gend)/8);
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MAX_nerro = ceil(MaxNumberOfBytes/(size(options_.varobs,1)*gend)/8);
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MAX_naK = ceil(MaxNumberOfBytes/(size(options_.varobs,1)*length(options_.filter_step_ahead)*gend)/8);
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%%
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B = round(0.25*NumberOfDraws);
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%%
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varlist = options_.varlist;
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if isempty(varlist)
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varlist = M_.endo_names;
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SelecVariables = transpose(1:M_.endo_nbr);
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nvar = M_.endo_nbr;
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else
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nvar = size(varlist,1);
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SelecVariables = [];
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for i=1:nvar
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if ~isempty(strmatch(varlist(i,:),M_.endo_names,'exact'))
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SelecVariables = [SelecVariables;strmatch(varlist(i,:),M_.endo_names,'exact')];
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end
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end
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end
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irun1 = 1;
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irun2 = 1;
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irun3 = 1;
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irun4 = 1;
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irun5 = 1;
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ifil1 = 1;
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ifil2 = 1;
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ifil3 = 1;
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ifil4 = 1;
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ifil5 = 1;
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h = waitbar(0,'Bayesian smoother...');
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if B <= MAX_nruns
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stock_param = zeros(B, npar);
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stock_logpo = zeros(B,1);
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stock_ys = zeros(B,endo_nbr);
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else
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stock_param = zeros(MAX_nruns, npar);
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stock_logpo = zeros(MAX_nruns,1);
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stock_ys = zeros(MAX_nruns,endo_nbr);
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end
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if options_.smoother
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if B <= MAX_nsmoo
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stock_smooth = zeros(endo_nbr,gend,B);
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else
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stock_smooth = zeros(endo_nbr,gend,MAX_nsmoo);
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end
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if B <= MAX_ninno
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stock_innov = zeros(exo_nbr,gend,B);
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else
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stock_innov = zeros(exo_nbr,gend,MAX_ninno);
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end
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if nvn & B <= MAX_nerro
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stock_error = zeros(nvobs,gend,B);
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else nvn & B > MAX_nerro
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stock_error = zeros(nvobs,gend,MAX_nerro);
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end
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end
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if options_.filter_step_ahead ~= 0
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if B <= MAX_naK
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stock_filter = zeros(naK,endo_nbr,gend+options_.filter_step_ahead(end),B);
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else
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stock_filter = zeros(naK,endo_nbr,gend+options_.filter_step_ahead(end),MAX_naK);
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end
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end
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for b=1:B
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%deep = GetOneDraw(NumberOfDraws,FirstMhFile,LastMhFile,FirstLine,MAX_nruns,DirectoryName);
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[deep, logpo] = GetOneDraw(type);
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set_all_parameters(deep);
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dr = resol(oo_.steady_state,0);
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[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK] = DsgeSmoother(deep,gend,Y);
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stock_smooth(:,:,irun1) = alphahat(1:endo_nbr,:);
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if nvx
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stock_innov(:,:,irun2) = etahat;
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end
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if nvn
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stock_error(:,:,irun3) = epsilonhat;
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end
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if naK
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stock_filter(:,:,:,irun4) = aK(options_.filter_step_ahead,1:endo_nbr,:);
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end
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stock_param(irun5,:) = deep;
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stock_logpo(irun5,1) = logpo;
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stock_ys(irun5,:) = SteadyState';
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irun1 = irun1 + 1;
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irun2 = irun2 + 1;
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irun3 = irun3 + 1;
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irun4 = irun4 + 1;
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irun5 = irun5 + 1;
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if irun1 > MAX_nsmoo | b == B
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if b == B
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stock_smooth = stock_smooth(:,:,1:irun1-1);
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end
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stock = stock_smooth;
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save([DirectoryName '/' M_.fname '_smooth' int2str(ifil1)],'stock');
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ifil1 = ifil1 + 1;
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irun1 = 1;
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end
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if nvx & (irun2 > MAX_ninno | b == B)
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if b == B
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stock_innov = stock_innov(:,:,1:irun2-1);
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end
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stock = stock_innov;
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save([DirectoryName '/' M_.fname '_inno' int2str(ifil2)],'stock');
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ifil2 = ifil2 + 1;
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irun2 = 1;
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end
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if nvn & (irun3 > MAX_error | b == B)
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if b == B
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stock_error = stock_error(:,:,1:irun3-1);
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end
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stock = stock_error;
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save([DirectoryName '/' M_.fname '_error' int2str(ifil3)],'stock');
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ifil3 = ifil3 + 1;
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irun3 = 1;
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end
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if naK & (irun4 > MAX_naK | b == B)
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if b == B
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stock_filter = stock_filter(:,:,:,1:irun4-1);
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end
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stock = stock_filter;
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save([DirectoryName '/' M_.fname '_filter' int2str(ifil4)],'stock');
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ifil4 = ifil4 + 1;
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irun4 = 1;
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end
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if irun5 > MAX_nruns | b == B
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if b == B
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stock_param = stock_param(1:irun5-1,:);
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stock_logpo = stock_logpo(1:irun5-1,1);
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stock_ys = stock_ys(1:irun5-1,:);
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end
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stock = stock_param;
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save([DirectoryName '/' M_.fname '_param' int2str(ifil5)],'stock','stock_logpo','stock_ys');
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ifil5 = ifil5 + 1;
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irun5 = 1;
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end
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waitbar(b/B,h);
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end
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close(h)
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stock_gend=gend;
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stock_data=Y;
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save([DirectoryName '/' M_.fname '_data'],'stock_gend','stock_data');
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