1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
|
function [nvar,vartan,NumberOfConditionalDecompFiles] = ...
dsge_simulated_theoretical_conditional_variance_decomposition(SampleSize,Steps,M_,options_,oo_,type)
% This function computes the posterior or prior distribution of the conditional variance
% decomposition of the endogenous variables (or a subset of the endogenous variables).
%
% INPUTS
% SampleSize [integer] scalar, number of simulations.
% M_ [structure] Dynare structure describing the model.
% options_ [structure] Dynare structure defining global options.
% oo_ [structure] Dynare structure where the results are saved.
% type [string] 'prior' or 'posterior'
%
%
% OUTPUTS
% nvar [integer] nvar is the number of stationary variables.
% vartan [char] array of characters (with nvar rows).
% NumberOfConditionalDecompFiles [integer] scalar, number of prior or posterior data files (for covariance).
% Copyright (C) 2009-2012 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/>.
% Get informations about the _posterior_draws files.
if strcmpi(type,'posterior')
DrawsFiles = dir([M_.dname '/metropolis/' M_.fname '_' type '_draws*' ]);
posterior = 1;
elseif strcmpi(type,'prior')
DrawsFiles = dir([M_.dname '/prior/draws/' type '_draws*' ]);
CheckPath('prior/moments',M_.dname);
posterior = 0;
else
disp('dsge_simulated_theoretical_conditional_variance_decomposition:: Unknown type!')
error()
end
% Set varlist (vartan)
if ~posterior
if isfield(options_,'varlist')
temp = options_.varlist;
end
options_.varlist = options_.prior_analysis_endo_var_list;
end
[ivar,vartan ] = get_variables_list(options_, M_);
if ~posterior
if exist('temp','var')
options_.varlist = temp;
end
end
nvar = length(ivar);
% Set the size of the auto-correlation function to zero.
nar = options_.ar;
options_.ar = 0;
NumberOfDrawsFiles = rows(DrawsFiles);
NumberOfSavedElementsPerSimulation = nvar*M_.exo_nbr*length(Steps);
MaXNumberOfConditionalDecompLines = ceil(options_.MaxNumberOfBytes/NumberOfSavedElementsPerSimulation/8);
if SampleSize<=MaXNumberOfConditionalDecompLines
Conditional_decomposition_array = zeros(nvar,length(Steps),M_.exo_nbr,SampleSize);
NumberOfConditionalDecompFiles = 1;
else
Conditional_decomposition_array = zeros(nvar,length(Steps),M_.exo_nbr,MaXNumberOfConditionalDecompLines);
NumberOfLinesInTheLastConditionalDecompFile = mod(SampleSize,MaXNumberOfConditionalDecompLines);
NumberOfConditionalDecompFiles = ceil(SampleSize/MaXNumberOfConditionalDecompLines);
end
NumberOfConditionalDecompLines = size(Conditional_decomposition_array,4);
ConditionalDecompFileNumber = 0;
StateSpaceModel.number_of_state_equations = M_.endo_nbr;
StateSpaceModel.number_of_state_innovations = M_.exo_nbr;
first_call = 1;
linea = 0;
for file = 1:NumberOfDrawsFiles
if posterior
load([M_.dname '/metropolis/' DrawsFiles(file).name ]);
else
load([M_.dname '/prior/draws/' DrawsFiles(file).name ]);
end
isdrsaved = columns(pdraws)-1;
NumberOfDraws = rows(pdraws);
for linee = 1:NumberOfDraws
linea = linea+1;
if isdrsaved
set_parameters(pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
dr = pdraws{linee,2};
else
set_parameters(pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
if first_call
endo_nbr = M_.endo_nbr;
nstatic = M_.nstatic;
nspred = M_.nspred;
iv = (1:endo_nbr)';
ic = [ nstatic+(1:nspred) endo_nbr+(1:size(dr.ghx,2)-nspred) ]';
StateSpaceModel.number_of_state_equations = M_.endo_nbr;
StateSpaceModel.number_of_state_innovations = M_.exo_nbr;
StateSpaceModel.sigma_e_is_diagonal = M_.sigma_e_is_diagonal;
StateSpaceModel.order_var = dr.order_var;
first_call = 0;
clear('endo_nbr','nstatic','nspred','k');
end
[StateSpaceModel.transition_matrix,StateSpaceModel.impulse_matrix] = kalman_transition_matrix(dr,iv,ic,M_.exo_nbr);
StateSpaceModel.state_innovations_covariance_matrix = M_.Sigma_e;
clear('dr');
Conditional_decomposition_array(:,:,:,linea) = conditional_variance_decomposition(StateSpaceModel, Steps, ivar);
if linea == NumberOfConditionalDecompLines
ConditionalDecompFileNumber = ConditionalDecompFileNumber + 1;
linea = 0;
if posterior
save([M_.dname '/metropolis/' M_.fname '_PosteriorConditionalVarianceDecomposition' int2str(ConditionalDecompFileNumber) '.mat' ], ...
'Conditional_decomposition_array');
else
save([M_.dname '/prior/moments/' M_.fname '_PriorConditionalVarianceDecomposition' int2str(ConditionalDecompFileNumber) '.mat' ], ...
'Conditional_decomposition_array');
end
if (ConditionalDecompFileNumber==NumberOfConditionalDecompFiles-1)% Prepare last round.
Conditional_decomposition_array = zeros(nvar, length(Steps),M_.exo_nbr,NumberOfLinesInTheLastConditionalDecompFile) ;
NumberOfConditionalDecompLines = NumberOfLinesInTheLastConditionalDecompFile;
elseif ConditionalDecompFileNumber<NumberOfConditionalDecompFiles-1
Conditional_decomposition_array = zeros(nvar,length(Steps),M_.exo_nbr,MaXNumberOfConditionalDecompLines);
else
clear('Conditional_decomposition_array');
end
end
end
end
options_.ar = nar;
|
