499 lines
18 KiB
Matlab
499 lines
18 KiB
Matlab
function PosteriorIRF(type)
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% Builds posterior IRFs after the MH algorithm.
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%
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% INPUTS
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% o type [char] string specifying the joint density of the
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% deep parameters ('prior','posterior').
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%
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% OUTPUTS
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% None (oo_ and plots).
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%
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% SPECIAL REQUIREMENTS
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% None
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% Copyright (C) 2006-2008 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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global options_ estim_params_ oo_ M_ bayestopt_
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% Set the number of periods
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if isempty(options_.irf) | ~options_.irf
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options_.irf = 40;
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end
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% Set varlist if necessary
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varlist = options_.varlist;
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if isempty(varlist)
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varlist = options_.varobs;
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end
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options_.varlist = varlist;
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nvar = size(varlist,1);
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IndxVariables = [];
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for i=1:nvar
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idx = strmatch(deblank(varlist(i,:)),M_.endo_names,'exact');
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if isempty(idx)
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disp(['PosteriorIRF :: ' deblank(varlist(i,:)) 'is not a declared endogenous variable!'])
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else
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IndxVariables = [IndxVariables,idx];
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end
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end
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% Set various parameters & Check or create directories
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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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clear('nvx','nvn','ncx','ncn','np');
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nvobs = size(options_.varobs,1);
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gend = options_.nobs;
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MaxNumberOfPlotPerFigure = 9;
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nn = sqrt(MaxNumberOfPlotPerFigure);
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MAX_nirfs_dsge = ceil(options_.MaxNumberOfBytes/(options_.irf*nvar*M_.exo_nbr)/8);
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MAX_nruns = ceil(options_.MaxNumberOfBytes/(npar+2)/8);
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if ~isempty(strmatch('dsge_prior_weight',M_.param_names))
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MAX_nirfs_dsgevar = ceil(options_.MaxNumberOfBytes/(options_.irf*nvobs*M_.exo_nbr)/8);
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else
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MAX_nirfs_dsgevar = 0;
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end
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DirectoryName = CheckPath('Output');
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if strcmpi(type,'posterior')
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MhDirectoryName = CheckPath('metropolis');
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elseif strcmpi(type,'gsa')
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MhDirectoryName = CheckPath('GSA');
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else
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MhDirectoryName = CheckPath('prior');
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end
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if strcmpi(type,'posterior')
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load([ MhDirectoryName '/' M_.fname '_mh_history.mat'])
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TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
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NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
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elseif strcmpi(type,'gsa')
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load([ MhDirectoryName '/' M_.fname '_prior.mat'],'lpmat0','lpmat','istable')
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x=[lpmat0(istable,:) lpmat(istable,:)];
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clear lpmat istable
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NumberOfDraws=size(x,1);
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B=NumberOfDraws; options_.B = B;
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else% type = 'prior'
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NumberOfDraws = 500;
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end
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if ~strcmpi(type,'gsa')
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B = min([round(.5*NumberOfDraws),500]); options_.B = B;
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end
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try delete([MhDirectoryName '/' M_.fname '_irf_dsge*.mat'])
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catch disp('No _IRFs (dsge) files to be deleted!')
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end
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try delete([MhDirectoryName '/' M_.fname '_irf_bvardsge*.mat'])
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catch disp('No _IRFs (bvar-dsge) files to be deleted!')
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end
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irun = 0;
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IRUN = 0;
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irun2 = 0;
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NumberOfIRFfiles_dsge = 1;
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NumberOfIRFfiles_dsgevar = 1;
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ifil2 = 1;
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if strcmpi(type,'posterior')
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h = waitbar(0,'Bayesian (posterior) IRFs...');
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elseif strcmpi(type,'gsa')
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h = waitbar(0,'GSA (prior) IRFs...');
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else
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h = waitbar(0,'Bayesian (prior) IRFs...');
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end
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% Create arrays
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if B <= MAX_nruns
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stock_param = zeros(B, npar);
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else
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stock_param = zeros(MAX_nruns, npar);
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end
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if B >= MAX_nirfs_dsge
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stock_irf_dsge = zeros(options_.irf,nvar,M_.exo_nbr,MAX_nirfs_dsge);
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else
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stock_irf_dsge = zeros(options_.irf,nvar,M_.exo_nbr,B);
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end
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if MAX_nirfs_dsgevar
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if B >= MAX_nirfs_dsgevar
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stock_irf_bvardsge = zeros(options_.irf,nvobs,M_.exo_nbr,MAX_nirfs_dsgevar);
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else
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stock_irf_bvardsge = zeros(options_.irf,nvobs,M_.exo_nbr,B);
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end
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[mYY,mXY,mYX,mXX,Ydata,Xdata] = ...
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var_sample_moments(options_.first_obs,options_.first_obs+options_.nobs-1,...
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options_.varlag,-1,options_.datafile,options_.varobs,...
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options_.xls_sheet,options_.xls_range);
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NumberOfLags = options_.varlag;
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NumberOfLagsTimesNvobs = NumberOfLags*nvobs;
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if options_.noconstant
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NumberOfParametersPerEquation = NumberOfLagsTimesNvobs;
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else
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NumberOfParametersPerEquation = NumberOfLagsTimesNvobs+1;
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end
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Companion_matrix = diag(ones(nvobs*(NumberOfLags-1),1),-nvobs);
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end
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b = 0;
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nosaddle = 0;
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while b<=B
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b = b + 1;
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irun = irun+1;
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irun2 = irun2+1;
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if ~strcmpi(type,'gsa')
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deep = GetOneDraw(type);
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else
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deep = x(b,:);
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end
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stock_param(irun2,:) = deep;
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set_parameters(deep);
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[dr,info] = resol(oo_.steady_state,0);
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if info(1)
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nosaddle = nosaddle + 1;
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b = b - 1;
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irun = irun-1;
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irun2 = irun2-1;
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if info(1) == 1
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errordef = 'Static variables are not uniquely defined';
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elseif info(1) == 2
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errordef = 'Dll problem';
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elseif info(1) == 3
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errordef = 'No stable trajectory';
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elseif info(1) == 4
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errordef = 'Indeterminacy';
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elseif info(1) == 5
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errordef = 'Rank condition is not satisfied';
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end
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disp(['PosteriorIRF :: Dynare is unable to solve the model (' errordef ')'])
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continue
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end
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SS(M_.exo_names_orig_ord,M_.exo_names_orig_ord) = M_.Sigma_e+1e-14*eye(M_.exo_nbr);
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SS = transpose(chol(SS));
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for i = 1:M_.exo_nbr
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if SS(i,i) > 1e-13
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y=irf(dr,SS(M_.exo_names_orig_ord,i), options_.irf, options_.drop,options_.replic,options_.order);
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if options_.relative_irf
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y = 100*y/cs(i,i);
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end
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for j = 1:nvar
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if max(y(IndxVariables(j),:)) - min(y(IndxVariables(j),:)) > 1e-12
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stock_irf_dsge(:,j,i,irun) = transpose(y(IndxVariables(j),:));
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end
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end
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end
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end
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if MAX_nirfs_dsgevar
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IRUN = IRUN+1;
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%tmp_dsgevar = zeros(options_.irf,nvobs*M_.exo_nbr);
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[fval,cost_flag,info,PHI,SIGMAu,iXX] = DsgeVarLikelihood(deep',gend);
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dsge_prior_weight = M_.params(strmatch('dsge_prior_weight',M_.param_names));
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DSGE_PRIOR_WEIGHT = floor(gend*(1+dsge_prior_weight));
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SIGMA_inv_upper_chol = chol(inv(SIGMAu*gend*(dsge_prior_weight+1)));
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explosive_var = 1;
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while explosive_var
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% draw from the marginal posterior of SIGMA
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SIGMAu_draw = rand_inverse_wishart(nvobs, DSGE_PRIOR_WEIGHT-NumberOfParametersPerEquation, ...
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SIGMA_inv_upper_chol);
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% draw from the conditional posterior of PHI
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PHI_draw = rand_matrix_normal(NumberOfParametersPerEquation,nvobs, PHI, ...
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chol(SIGMAu_draw)', chol(iXX)');
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Companion_matrix(1:nvobs,:) = transpose(PHI_draw(1:NumberOfLagsTimesNvobs,:));
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% Check for stationarity
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explosive_var = any(abs(eig(Companion_matrix))>1.000000001);
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end
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% Get the mean
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% $$$ if options_.noconstant
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mu = zeros(1,nvobs);
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% $$$ else
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% $$$ AA = eye(nvobs);
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% $$$ for lag=1:NumberOfLags
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% $$$ AA = AA-PHI_draw((lag-1)*nvobs+1:lag*nvobs,:);
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% $$$ end
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% $$$ mu = transpose(AA\transpose(PHI_draw(end,:)));
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% $$$ end
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% Get rotation
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if dsge_prior_weight > 0
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Atheta(oo_.dr.order_var,M_.exo_names_orig_ord) = oo_.dr.ghu*sqrt(M_.Sigma_e);
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A0 = Atheta(bayestopt_.mfys,:);
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[OMEGAstar,SIGMAtr] = qr2(A0');
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end
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SIGMAu_chol = chol(SIGMAu_draw)';
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SIGMAtrOMEGA = SIGMAu_chol*OMEGAstar';
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PHIpower = eye(NumberOfLagsTimesNvobs);
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irfs = zeros (options_.irf,nvobs*M_.exo_nbr);
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tmp3 = PHIpower(1:nvobs,1:nvobs)*SIGMAtrOMEGA;
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irfs(1,:) = tmp3(:)';
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for t = 2:options_.irf
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PHIpower = Companion_matrix*PHIpower;
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tmp3 = PHIpower(1:nvobs,1:nvobs)*SIGMAtrOMEGA;
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irfs(t,:) = tmp3(:)'+kron(ones(1,M_.exo_nbr),mu);
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end
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tmp_dsgevar = kron(ones(options_.irf,1),mu);
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for j = 1:(nvobs*M_.exo_nbr)
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if max(irfs(:,j)) - min(irfs(:,j)) > 1e-10
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tmp_dsgevar(:,j) = (irfs(:,j));
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end
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end
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if IRUN < MAX_nirfs_dsgevar
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stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,nvobs,M_.exo_nbr);
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else
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stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,nvobs,M_.exo_nbr);
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instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' ...
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int2str(NumberOfIRFfiles_dsgevar) '.mat stock_irf_bvardsge;'];,
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eval(['save ' instr]);
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NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1;
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IRUN =0;
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stock_irf_dsgevar = zeros(options_.irf,nvobs,M_.exo_nbr,MAX_nirfs_dsgevar);
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end
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end
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if irun == MAX_nirfs_dsge | irun == B | b == B
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if b == B
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stock_irf_dsge = stock_irf_dsge(:,:,:,1:irun);
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if MAX_nirfs_dsgevar & (b == B | IRUN == B)
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stock_irf_bvardsge = stock_irf_bvardsge(:,:,:,1:IRUN);
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instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' ...
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int2str(NumberOfIRFfiles_dsgevar) ' stock_irf_bvardsge;'];,
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eval(['save ' instr]);
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NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1;
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irun = 0;
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end
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end
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save([MhDirectoryName '/' M_.fname '_irf_dsge' int2str(NumberOfIRFfiles_dsge) '.mat'],'stock_irf_dsge');
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NumberOfIRFfiles_dsge = NumberOfIRFfiles_dsge+1;
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irun = 0;
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end
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if irun2 == MAX_nruns | b == B
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if b == B
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stock_param = stock_param(1:irun2,:);
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end
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stock = stock_param;
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save([MhDirectoryName '/' M_.fname '_param_irf' int2str(ifil2) '.mat'],'stock');
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ifil2 = ifil2 + 1;
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irun2 = 0;
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end
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waitbar(b/B,h);
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end
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if nosaddle
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disp(['PosteriorIRF :: Percentage of discarded posterior draws = ' num2str(nosaddle/(B+nosaddle))])
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end
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close(h);
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ReshapeMatFiles('irf_dsge')
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if MAX_nirfs_dsgevar
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ReshapeMatFiles('irf_bvardsge')
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end
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if strcmpi(type,'gsa')
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return
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end
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IRF_DSGEs = dir([MhDirectoryName '/' M_.fname '_IRF_DSGEs*.mat']);
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NumberOfIRFfiles_dsge = length(IRF_DSGEs);
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IRF_BVARDSGEs = dir([MhDirectoryName '/' M_.fname '_IRF_BVARDSGEs*.mat']);
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NumberOfIRFfiles_dsgevar = length(IRF_BVARDSGEs);
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MeanIRF = zeros(options_.irf,nvar,M_.exo_nbr);
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MedianIRF = zeros(options_.irf,nvar,M_.exo_nbr);
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VarIRF = zeros(options_.irf,nvar,M_.exo_nbr);
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DistribIRF = zeros(options_.irf,9,nvar,M_.exo_nbr);
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HPDIRF = zeros(options_.irf,2,nvar,M_.exo_nbr);
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if options_.TeX
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varlist_TeX = [];
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for i=1:nvar
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varlist_TeX = strvcat(varlist_TeX,M_.endo_names_tex(IndxVariables(i),:));
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end
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end
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fprintf('MH: Posterior (dsge) IRFs...\n');
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tit(M_.exo_names_orig_ord,:) = M_.exo_names;
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kdx = 0;
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for file = 1:NumberOfIRFfiles_dsge
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load([MhDirectoryName '/' M_.fname '_IRF_DSGEs' int2str(file) '.mat']);
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for i = 1:M_.exo_nbr
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for j = 1:nvar
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for k = 1:size(STOCK_IRF_DSGE,1)
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kk = k+kdx;
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[MeanIRF(kk,j,i),MedianIRF(kk,j,i),VarIRF(kk,j,i),HPDIRF(kk,:,j,i),...
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DistribIRF(kk,:,j,i)] = posterior_moments(squeeze(STOCK_IRF_DSGE(k,j,i,:)),0,options_.mh_conf_sig);
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end
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end
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end
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kdx = kdx + size(STOCK_IRF_DSGE,1);
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end
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clear STOCK_IRF_DSGE;
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for i = 1:M_.exo_nbr
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for j = 1:nvar
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name = [deblank(M_.endo_names(IndxVariables(j),:)) '_' deblank(tit(i,:))];
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eval(['oo_.PosteriorIRF.dsge.Mean.' name ' = MeanIRF(:,j,i);']);
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eval(['oo_.PosteriorIRF.dsge.Median.' name ' = MedianIRF(:,j,i);']);
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eval(['oo_.PosteriorIRF.dsge.Var.' name ' = VarIRF(:,j,i);']);
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eval(['oo_.PosteriorIRF.dsge.Distribution.' name ' = DistribIRF(:,:,j,i);']);
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eval(['oo_.PosteriorIRF.dsge.HPDinf.' name ' = HPDIRF(:,1,j,i);']);
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eval(['oo_.PosteriorIRF.dsge.HPDsup.' name ' = HPDIRF(:,2,j,i);']);
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end
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end
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if MAX_nirfs_dsgevar
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MeanIRFdsgevar = zeros(options_.irf,nvar,M_.exo_nbr);
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MedianIRFdsgevar = zeros(options_.irf,nvar,M_.exo_nbr);
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VarIRFdsgevar = zeros(options_.irf,nvar,M_.exo_nbr);
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DistribIRFdsgevar = zeros(options_.irf,9,nvar,M_.exo_nbr);
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HPDIRFdsgevar = zeros(options_.irf,2,nvar,M_.exo_nbr);
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fprintf('MH: Posterior (bvar-dsge) IRFs...\n');
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tit(M_.exo_names_orig_ord,:) = M_.exo_names;
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kdx = 0;
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for file = 1:NumberOfIRFfiles_dsgevar
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load([MhDirectoryName '/' M_.fname '_IRF_BVARDSGEs' int2str(file) '.mat']);
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for i = 1:M_.exo_nbr
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for j = 1:nvar
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for k = 1:size(STOCK_IRF_BVARDSGE,1)
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kk = k+kdx;
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[MeanIRFdsgevar(kk,j,i),MedianIRFdsgevar(kk,j,i),VarIRFdsgevar(kk,j,i),...
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HPDIRFdsgevar(kk,:,j,i),DistribIRFdsgevar(kk,:,j,i)] = ...
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posterior_moments(squeeze(STOCK_IRF_BVARDSGE(k,j,i,:)),0,options_.mh_conf_sig);
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end
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end
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end
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kdx = kdx + size(STOCK_IRF_BVARDSGE,1);
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end
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clear STOCK_IRF_BVARDSGE;
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for i = 1:M_.exo_nbr
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for j = 1:nvar
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name = [deblank(M_.endo_names(IndxVariables(j),:)) '_' deblank(tit(i,:))];
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eval(['oo_.PosteriorIRF.bvardsge.Mean.' name ' = MeanIRFdsgevar(:,j,i);']);
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eval(['oo_.PosteriorIRF.bvardsge.Median.' name ' = MedianIRFdsgevar(:,j,i);']);
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eval(['oo_.PosteriorIRF.bvardsge.Var.' name ' = VarIRFdsgevar(:,j,i);']);
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eval(['oo_.PosteriorIRF.bvardsge.Distribution.' name ' = DistribIRFdsgevar(:,:,j,i);']);
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eval(['oo_.PosteriorIRF.bvardsge.HPDinf.' name ' = HPDIRFdsgevar(:,1,j,i);']);
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eval(['oo_.PosteriorIRF.bvardsge.HPDsup.' name ' = HPDIRFdsgevar(:,2,j,i);']);
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end
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end
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end
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%%
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%% Finally I build the plots.
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%%
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if options_.TeX
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fidTeX = fopen([DirectoryName '/' M_.fname '_BayesianIRF.TeX'],'w');
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fprintf(fidTeX,'%% TeX eps-loader file generated by PosteriorIRF.m (Dynare).\n');
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fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
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fprintf(fidTeX,' \n');
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titTeX(M_.exo_names_orig_ord,:) = M_.exo_names_tex;
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end
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%%
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subplotnum = 0;
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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);
|
|
if ~MAX_nirfs_dsgevar
|
|
h1 = area(1:options_.irf,HPDIRF(:,2,j,i));
|
|
set(h1,'FaceColor',[.9 .9 .9]);
|
|
set(h1,'BaseValue',min(HPDIRF(:,1,j,i)));
|
|
hold on
|
|
h2 = area(1:options_.irf,HPDIRF(:,1,j,i),'FaceColor',[1 1 1],'BaseValue',min(HPDIRF(:,1,j,i)));
|
|
set(h2,'FaceColor',[1 1 1]);
|
|
set(h2,'BaseValue',min(HPDIRF(:,1,j,i)));
|
|
plot(1:options_.irf,MeanIRF(:,j,i),'-k','linewidth',3)
|
|
% plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
|
|
box on
|
|
axis tight
|
|
xlim([1 options_.irf]);
|
|
hold off
|
|
else
|
|
h1 = area(1:options_.irf,HPDIRF(:,2,j,i));
|
|
set(h1,'FaceColor',[.9 .9 .9]);
|
|
set(h1,'BaseValue',min([min(HPDIRF(:,1,j,i)),min(HPDIRFdsgevar(:,1,j,i))]));
|
|
hold on;
|
|
h2 = area(1:options_.irf,HPDIRF(:,1,j,i));
|
|
set(h2,'FaceColor',[1 1 1]);
|
|
set(h2,'BaseValue',min([min(HPDIRF(:,1,j,i)),min(HPDIRFdsgevar(:,1,j,i))]));
|
|
plot(1:options_.irf,MeanIRF(:,j,i),'-k','linewidth',3)
|
|
% plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
|
|
plot(1:options_.irf,MeanIRFdsgevar(:,j,i),'--k','linewidth',2)
|
|
plot(1:options_.irf,HPDIRFdsgevar(:,1,j,i),'--k','linewidth',1)
|
|
plot(1:options_.irf,HPDIRFdsgevar(:,2,j,i),'--k','linewidth',1)
|
|
box on
|
|
axis tight
|
|
xlim([1 options_.irf]);
|
|
hold off
|
|
end
|
|
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) '.eps']);
|
|
if ~exist('OCTAVE_VERSION')
|
|
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']);
|
|
end
|
|
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'); |