dynare/matlab/covariance_posterior_analys...

84 lines
4.1 KiB
Matlab

function oo_ = covariance_posterior_analysis(NumberOfSimulations,dname,fname,vartan,nvar,var1,var2,mh_conf_sig,oo_)
% Copyright (C) 2008 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
indx1 = check_name(vartan,var1);
if isempty(indx1)
disp(['posterior_analysis:: ' var1 ' is not a stationary endogenous variable!'])
return
end
if ~isempty(var2)
indx2 = check_name(vartan,var2);
if isempty(indx2)
disp(['posterior_analysis:: ' var2 ' is not a stationary endogenous variable!'])
return
end
else
indx2 = indx1;
var2 = var1;
end
if isfield(oo_,'PosteriorTheoreticalMoments')
if isfield(oo_.PosteriorTheoreticalMoments,'dsge')
if isfield(oo_.PosteriorTheoreticalMoments.dsge,'covariance')
if isfield(oo_.PosteriorTheoreticalMoments.dsge.covariance.mean,var1)
eval(['s1 = oo_.PosteriorTheoreticalMoments.dsge.covariance.mean' '.' var1 ';'])
if isfield(s1,var2)
% Nothing to do.
return
end
else
if isfield(oo_.PosteriorTheoreticalMoments.dsge.covariance.mean,var2)
eval(['s2 = oo_.PosteriorTheoreticalMoments.dsge.covariance.mean' '.' var2 ';'])
if isfield(s1,var1)
% Nothing to do (the covariance matrix is symmetric!).
return
end
end
end
end
end
end
tmp = dir([ dname '/metropolis/' fname '_Posterior2ndOrderMoments*.mat']);
NumberOfFiles = length(tmp);
i1 = 1; tmp = zeros(NumberOfSimulations,1);
for file = 1:NumberOfFiles
load([ dname '/metropolis/' fname '_Posterior2ndOrderMoments' int2str(file) '.mat']);
i2 = i1 + rows(Covariance_matrix) - 1;
tmp(i1:i2) = Covariance_matrix(:,symmetric_matrix_index(indx1,indx2,nvar));
i1 = i2+1;
end
name = [var1 '.' var2];
if ~isconst(tmp)
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
posterior_moments(tmp,1,mh_conf_sig);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.mean.' name ' = post_mean;']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.median.' name ' = post_median;']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.variance.' name ' = post_var;']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.hpdinf.' name ' = hpd_interval(1);']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.hpdsup.' name ' = hpd_interval(2);']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.deciles.' name ' = post_deciles;']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.density.' name ' = density;']);
else
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.mean.' name ' = NaN;']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.median.' name ' = NaN;']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.variance.' name ' = NaN;']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.hpdinf.' name ' = NaN;']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.hpdsup.' name ' = NaN;']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.deciles.' name ' = NaN;']);
eval(['oo_.PosteriorTheoreticalMoments.dsge.covariance.density.' name ' = NaN;']);
end