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function [nvar,vartan,NumberOfDecompFiles] = ...
dsge_simulated_theoretical_variance_decomposition(SampleSize,M_,options_,oo_,type)
% function [nvar,vartan,NumberOfDecompFiles] = ...
% dsge_simulated_theoretical_variance_decomposition(SampleSize,M_,options_,oo_,type)
% This function computes the posterior or prior distribution of the variance
% decomposition of the observed 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).
% CovarFileNumber [integer] scalar, number of prior or posterior data files (for covariance).
% 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 = 0;
% 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_variance_decomposition:: Unknown type!')
error()
end
%delete old stale files before creating new ones
if posterior
delete_stale_file([M_.dname '/metropolis/' M_.fname '_PosteriorVarianceDecomposition*']);
else
delete_stale_file([M_.dname '/prior/moments/' M_.fname '_PriorVarianceDecomposition*']);
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 zero.
nar = options_.ar;
options_.ar = 0;
nexo = M_.exo_nbr;
NumberOfDrawsFiles = rows(DrawsFiles);
NumberOfSavedElementsPerSimulation = nvar*(nexo+1);
MaXNumberOfDecompLines = ceil(options_.MaxNumberOfBytes/NumberOfSavedElementsPerSimulation/8);
if SampleSize<=MaXNumberOfDecompLines
Decomposition_array = zeros(SampleSize,nvar*nexo);
NumberOfDecompFiles = 1;
else
Decomposition_array = zeros(MaXNumberOfDecompLines,nvar*nexo);
NumberOfLinesInTheLastDecompFile = mod(SampleSize,MaXNumberOfDecompLines);
NumberOfDecompFiles = ceil(SampleSize/MaXNumberOfDecompLines);
end
NumberOfDecompLines = rows(Decomposition_array);
DecompFileNumber = 1;
% Compute total variances (covariances are not saved) and variances
% implied by each structural shock.
linea = 0;
only_non_stationary_vars=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
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
if file==1 && linee==1
[tmp, stationary_vars] = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
if isempty(stationary_vars)
fprintf('\ndsge_simulated_theoretical_variance_decomposition:: All requested endogenous variables have a unit root and thus infinite variance.\n')
fprintf('dsge_simulated_theoretical_variance_decomposition:: No decomposition is performed.\n')
only_non_stationary_vars=1;
end
end
if only_non_stationary_vars
for i=1:nvar
for j=1:nexo
Decomposition_array(linea,(i-1)*nexo+j) = NaN;
end
end
else
tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
for i=1:nvar
for j=1:nexo
Decomposition_array(linea,(i-1)*nexo+j) = tmp{2}(i,j);
end
end
end
if linea == NumberOfDecompLines
if posterior
save([M_.dname '/metropolis/' M_.fname '_PosteriorVarianceDecomposition' int2str(DecompFileNumber) '.mat' ],'Decomposition_array');
else
save([M_.dname '/prior/moments/' M_.fname '_PriorVarianceDecomposition' int2str(DecompFileNumber) '.mat' ],'Decomposition_array');
end
DecompFileNumber = DecompFileNumber + 1;
linea = 0;
test = DecompFileNumber-NumberOfDecompFiles;
if ~test% Prepare the last round...
Decomposition_array = zeros(NumberOfLinesInTheLastDecompFile,nvar*nexo);
NumberOfDecompLines = NumberOfLinesInTheLastDecompFile;
elseif test<0
Decomposition_array = zeros(MaXNumberOfDecompLines,nvar*nexo);
else
clear('Decomposition_array');
end
end
end
end
options_.ar = nar;
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