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function [nvar,vartan,CorrFileNumber] = dsge_simulated_theoretical_correlation(SampleSize,nar,M_,options_,oo_,type)
% function [nvar,vartan,CorrFileNumber] = dsge_simulated_theoretical_correlation(SampleSize,nar,M_,options_,oo_,type)
% This function computes the posterior or prior distribution of the endogenous
% variables' second order moments.
%
% INPUTS
% SampleSize [integer] scalar, number of simulations.
% nar [integer] maximum number of autocorrelations to
% consider
% 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).
% CorrFileNumber [integer] scalar, number of prior or posterior data files (for correlation).
% Copyright (C) 2007-2017 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/>.
nodecomposition = 1;
% 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_correlation:: Unknown type!');
error()
end
NumberOfDrawsFiles = length(DrawsFiles);
%delete old stale files before creating new ones
if posterior
delete_stale_file([M_.dname '/metropolis/' M_.fname '_PosteriorCorrelations*']);
else
delete_stale_file([M_.dname '/prior/moments/' M_.fname '_PriorCorrelations*']);
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, options_] = 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 nar.
oldnar = options_.ar;
options_.ar = nar;
% Number of lines in posterior data files.
MaXNumberOfCorrLines = ceil(options_.MaxNumberOfBytes/(nvar*nvar*nar)/8);
if SampleSize<=MaXNumberOfCorrLines
Correlation_array = zeros(SampleSize,nvar,nvar,nar);
NumberOfCorrFiles = 1;
else
Correlation_array = zeros(MaXNumberOfCorrLines,nvar,nvar,nar);
NumberOfLinesInTheLastCorrFile = mod(SampleSize,MaXNumberOfCorrLines);
NumberOfCorrFiles = ceil(SampleSize/MaXNumberOfCorrLines);
end
NumberOfCorrLines = rows(Correlation_array);
CorrFileNumber = 1;
% Compute 2nd order moments and save them in *_[Posterior, Prior]Correlations* files
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
NumberOfDraws = rows(pdraws);
isdrsaved = columns(pdraws)-1;
for linee = 1:NumberOfDraws
linea = linea+1;
if isdrsaved
M_=set_parameters_locally(M_,pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
dr = pdraws{linee,2};
else
M_=set_parameters_locally(M_,pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
for i=1:nar
Correlation_array(linea,:,:,i) = tmp{i+1};
end
if linea == NumberOfCorrLines
if posterior
save([ M_.dname '/metropolis/' M_.fname '_PosteriorCorrelations' int2str(CorrFileNumber) '.mat' ],'Correlation_array');
else
save([ M_.dname '/prior/moments/' M_.fname '_PriorCorrelations' int2str(CorrFileNumber) '.mat' ],'Correlation_array');
end
CorrFileNumber = CorrFileNumber + 1;
linea = 0;
test = CorrFileNumber-NumberOfCorrFiles;
if ~test% Prepare the last round...
Correlation_array = zeros(NumberOfLinesInTheLastCorrFile,nvar,nvar,nar);
NumberOfCorrLines = NumberOfLinesInTheLastCorrFile;
CorrFileNumber = CorrFileNumber - 1;
elseif test<0
Correlation_array = zeros(MaXNumberOfCorrLines,nvar,nvar,nar);
else
clear('Correlation_array');
end
end
end
end
options_.ar = oldnar;
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