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 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163
|
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;
|