129 lines
4.3 KiB
Matlab
129 lines
4.3 KiB
Matlab
function [nvar,vartan,CorrFileNumber] = dsge_simulated_theoretical_correlation(SampleSize,nar,M_,options_,oo_,type)
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% This function computes the posterior or prior distribution of the endogenous
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% variables second order moments.
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%
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% INPUTS
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% SampleSize [integer]
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% nar [integer]
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% M_ [structure]
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% options_ [structure]
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% oo_ [structure]
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% type [string]
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%
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% OUTPUTS
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% nvar [integer]
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% vartan [char]
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% CorrFileNumber [integer]
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% Copyright (C) 2007-2009 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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nodecomposition = 1;
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% Get informations about the _posterior_draws files.
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if strcmpi(type,'posterior')
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DrawsFiles = dir([M_.dname '/metropolis/' M_.fname '_' type '_draws*' ]);
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posterior = 1;
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elseif strcmpi(type,'prior')
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DrawsFiles = dir([M_.dname '/prior/draws/' type '_draws*' ]);
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CheckPath('prior/moments');
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posterior = 0;
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else
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disp('dsge_simulated_theoretical_correlation:: Unknown type!');
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error()
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end
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NumberOfDrawsFiles = length(DrawsFiles);
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% Set varlist (vartan)
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if ~posterior
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if isfield(options_,'varlist')
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temp = options_.varlist;
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end
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options_.varlist = options_.prior_analysis_endo_var_list;
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end
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[ivar,vartan, options_] = set_stationary_variables_list(options_, M_);
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if ~posterior
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if exist('temp','var')
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options_.varlist = temp;
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end
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end
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nvar = length(ivar);
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% Set the size of the auto-correlation function to nar.
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oldnar = options_.ar;
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options_.ar = nar;
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% Number of lines in posterior data files.
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MaXNumberOfCorrLines = ceil(options_.MaxNumberOfBytes/(nvar*nvar*nar)/8);
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if SampleSize<=MaXNumberOfCorrLines
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Correlation_array = zeros(SampleSize,nvar,nvar,nar);
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NumberOfCorrFiles = 1;
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else
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Correlation_array = zeros(MaXNumberOfCorrLines,nvar,nvar,nar);
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NumberOfLinesInTheLastCorrFile = mod(SampleSize,MaXNumberOfCorrLines);
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NumberOfCorrFiles = ceil(SampleSize/MaXNumberOfCorrLines);
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end
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NumberOfCorrLines = rows(Correlation_array);
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CorrFileNumber = 1;
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% Compute 2nd order moments and save them in *_[Posterior, Prior]Correlations* files
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linea = 0;
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for file = 1:NumberOfDrawsFiles
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if posterior
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load([M_.dname '/metropolis/' DrawsFiles(file).name ]);
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else
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load([M_.dname '/prior/draws/' DrawsFiles(file).name]);
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end
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NumberOfDraws = rows(pdraws);
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isdrsaved = columns(pdraws)-1;
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for linee = 1:NumberOfDraws
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linea = linea+1;
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if isdrsaved
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dr = pdraws{linee,2};
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else
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set_parameters(pdraws{linee,1});
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[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
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end
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tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
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for i=1:nar
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Correlation_array(linea,:,:,i) = tmp{i+1};
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end
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if linea == NumberOfCorrLines
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if posterior
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save([ M_.dname '/metropolis/' M_.fname '_PosteriorCorrelations' int2str(CorrFileNumber) '.mat' ],'Correlation_array');
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else
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save([ M_.dname '/prior/moments/' M_.fname '_PriorCorrelations' int2str(CorrFileNumber) '.mat' ],'Correlation_array');
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end
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CorrFileNumber = CorrFileNumber + 1;
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linea = 0;
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test = CorrFileNumber-NumberOfCorrFiles;
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if ~test% Prepare the last round...
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Correlation_array = zeros(NumberOfLinesInTheLastCorrFile,nvar,nvar,nar);
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NumberOfCorrLines = NumberOfLinesInTheLastCorrFile;
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CorrFileNumber = CorrFileNumber - 1;
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elseif test<0;
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Correlation_array = zeros(MaXNumberOfCorrLines,nvar,nvar,nar);
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else
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clear('Correlation_array');
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end
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end
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end
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end
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options_.ar = oldnar; |