114 lines
5.2 KiB
Matlab
114 lines
5.2 KiB
Matlab
function oo_ = covariance_mc_analysis(NumberOfSimulations,type,dname,fname,vartan,nvar,var1,var2,mh_conf_sig,oo_)
|
|
% This function analyses the (posterior or prior) distribution of the
|
|
% endogenous variables' covariance matrix.
|
|
%
|
|
% INPUTS
|
|
% NumberOfSimulations [integer] scalar, number of simulations.
|
|
% type [string] 'prior' or 'posterior'
|
|
% dname [string] directory name where to save
|
|
% fname [string] name of the mod-file
|
|
% vartan [char] array of characters (with nvar rows).
|
|
% nvar [integer] nvar is the number of stationary variables.
|
|
% var1 [string] name of the first variable
|
|
% var2 [string] name of the second variable
|
|
% mh_conf_sig [double] 2 by 1 vector with upper
|
|
% and lower bound of HPD intervals
|
|
% oo_ [structure] Dynare structure where the results are saved.
|
|
%
|
|
% OUTPUTS
|
|
% oo_ [structure] Dynare structure where the results are saved.
|
|
|
|
% Copyright (C) 2008-2015 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/>.
|
|
|
|
if strcmpi(type,'posterior')
|
|
TYPE = 'Posterior';
|
|
PATH = [dname '/metropolis/'];
|
|
else
|
|
TYPE = 'Prior';
|
|
PATH = [dname '/prior/moments/'];
|
|
end
|
|
|
|
indx1 = check_name(vartan,var1);
|
|
if isempty(indx1)
|
|
disp([ type '_analysis:: ' var1 ' is not a stationary endogenous variable!'])
|
|
return
|
|
end
|
|
if ~isempty(var2)
|
|
indx2 = check_name(vartan,var2);
|
|
if isempty(indx2)
|
|
disp([ type '_analysis:: ' var2 ' is not a stationary endogenous variable!'])
|
|
return
|
|
end
|
|
else
|
|
indx2 = indx1;
|
|
var2 = var1;
|
|
end
|
|
|
|
if isfield(oo_,[ TYPE 'TheoreticalMoments'])
|
|
eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments;'])
|
|
if isfield(temporary_structure,'dsge')
|
|
eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments.dsge;'])
|
|
if isfield(temporary_structure,'covariance')
|
|
eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Mean;'])
|
|
if isfield(temporary_structure,var1)
|
|
eval(['temporary_structure_1 = oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Mean.' var1 ';'])
|
|
if isfield(temporary_structure_1,var2)
|
|
% Nothing to do (the covariance matrix is symmetric!).
|
|
return
|
|
end
|
|
else
|
|
if isfield(temporary_structure,var2)
|
|
eval(['temporary_structure_2 = oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Mean.' var2 ';'])
|
|
if isfield(temporary_structure_2,var1)
|
|
% Nothing to do (the covariance matrix is symmetric!).
|
|
return
|
|
end
|
|
end
|
|
end
|
|
end
|
|
end
|
|
end
|
|
|
|
ListOfFiles = dir([ PATH fname '_' TYPE '2ndOrderMoments*.mat']);
|
|
i1 = 1; tmp = zeros(NumberOfSimulations,1);
|
|
for file = 1:length(ListOfFiles)
|
|
load([ PATH ListOfFiles(file).name ]);
|
|
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)
|
|
[p_mean, p_median, p_var, hpd_interval, p_deciles, density] = ...
|
|
posterior_moments(tmp,1,mh_conf_sig);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Mean.' name ' = p_mean;']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Median.' name ' = p_median;']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Variance.' name ' = p_var;']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.HPDinf.' name ' = hpd_interval(1);']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.HPDsup.' name ' = hpd_interval(2);']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.deciles.' name ' = p_deciles;']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.density.' name ' = density;']);
|
|
else
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Mean.' name ' = NaN;']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Median.' name ' = NaN;']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.Variance.' name ' = NaN;']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.HPDinf.' name ' = NaN;']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.HPDsup.' name ' = NaN;']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.deciles.' name ' = NaN;']);
|
|
eval(['oo_.' TYPE 'TheoreticalMoments.dsge.covariance.density.' name ' = NaN;']);
|
|
end |