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function oo_=pm3(M_,options_,oo_,n1,n2,ifil,B,tit1,tit2,tit_tex,names1,names2,name3,DirectoryName,var_type,dispString)
% Computes, stores and plots the posterior moment statistics.
%
% INPUTS
% n1 [scalar] size of first dimension of moment matrix
% n2 [scalar] size of second dimension of moment matrix
% ifil [scalar] number of moment files to load
% B [scalar] number of subdraws
% tit1 [string] Figure title
% tit2 [string] Save name for figure
% tit_tex [cell array] TeX-Names for Variables
% names1 [cell array] Names of all variables in the moment matrix from
% which names2 is selected
% names2 [cell array] Names of variables subset selected for moments
% names3 [string] Name of the field in oo_ structure to be set
% DirectoryName [string] Name of the directory in which to save and from
% where to read
% var_type [string] suffix of the filename from which to load moment
% matrix
% dispString [string] string to be displayes in the command window
%
% OUTPUTS
% oo_ [structure] storing the results
% PARALLEL CONTEXT
% See also the comment in posterior_sampler.m funtion.
% Copyright © 2007-2023 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 <https://www.gnu.org/licenses/>.
nn = 3;
MaxNumberOfPlotsPerFigure = nn^2; % must be square
varlist = names2;
if isempty(varlist)
varlist = names1;
SelecVariables = (1:M_.endo_nbr)';
nvar = M_.endo_nbr;
else
nvar = length(varlist);
SelecVariables = [];
for i=1:nvar
if ~isempty(strmatch(varlist{i}, names1, 'exact'))
SelecVariables = [SelecVariables; strmatch(varlist{i}, names1, 'exact')];
end
end
end
if options_.TeX
if isempty(tit_tex)
tit_tex=names1;
end
varlist_TeX = cell(nvar, 1);
for i=1:nvar
varlist_TeX(i) = {tit_tex{SelecVariables(i)}};
end
end
Mean = zeros(n2,nvar);
Median = zeros(n2,nvar);
Var = zeros(n2,nvar);
Distrib = zeros(9,n2,nvar);
HPD = zeros(2,n2,nvar);
if options_.estimation.moments_posterior_density.indicator
Density = zeros(options_.estimation.moments_posterior_density.gridpoints,2,n2,nvar);
end
fprintf(['%s: ' tit1 '\n'],dispString);
k = 0;
filter_step_ahead_indicator=0;
filter_covar_indicator=0;
state_uncert_indicator=0;
for file = 1:ifil
loaded_file=load([DirectoryName '/' M_.fname var_type int2str(file)]);
stock=loaded_file.stock;
if strcmp(var_type,'_filter_step_ahead')
if file==1 %on first run, initialize variable for storing filter_step_ahead
stock1_filter_step_ahead=NaN(n1,n2,B,length(options_.filter_step_ahead));
stock1 = zeros(n1,n2,B);
end
filter_step_ahead_indicator=1;
stock_filter_step_ahead=zeros(n1,n2,size(stock,4),length(options_.filter_step_ahead));
for ii=1:length(options_.filter_step_ahead)
K_step_ahead=options_.filter_step_ahead(ii);
stock_filter_step_ahead(:,:,:,ii)=stock(ii,:,1+K_step_ahead:n2+K_step_ahead,:);
end
stock = squeeze(stock(1,:,1+1:1+n2,:)); %1 step ahead starts at entry 2
k = k(end)+(1:size(stock,3));
stock1(:,:,k) = stock;
stock1_filter_step_ahead(:,:,k,:) = stock_filter_step_ahead;
elseif strcmp(var_type,'_filter_covar')
if file==1 %on first run, initialize variable for storing filter_step_ahead
stock1_filter_covar=NaN(n1,n2,size(stock,3),B);
end
filter_covar_indicator=1;
k = k(end)+(1:size(stock,4));
stock1_filter_covar(:,:,:,k) = stock;
elseif strcmp(var_type,'_trend_coeff')
if file==1 %on first run, initialize variable for storing filter_step_ahead
stock1_filter_step_ahead=NaN(n1,n2,B,length(options_.filter_step_ahead));
stock1 = zeros(n1,B);
end
k = k(end)+(1:size(stock,2));
stock1(:,k) = stock;
elseif strcmp(var_type,'_state_uncert')
if file==1 %on first run, initialize variable for storing filter_step_ahead
stock1_state_uncert=NaN(n1,n2,size(stock,3),B);
end
state_uncert_indicator=1;
k = k(end)+(1:size(stock,4));
stock1_state_uncert(:,:,:,k) = stock;
else
if file==1 %on first run, initialize variable for storing filter_step_ahead
stock1 = zeros(n1,n2,B);
end
k = k(end)+(1:size(stock,3));
stock1(:,:,k) = stock;
end
end
clear stock
if filter_step_ahead_indicator
clear stock_filter_step_ahead
filter_steps=length(options_.filter_step_ahead);
Mean_filter_step_ahead = zeros(filter_steps,nvar,n2);
Median_filter_step_ahead = zeros(filter_steps,nvar,n2);
Var_filter_step_ahead = zeros(filter_steps,nvar,n2);
Distrib_filter_step_ahead = zeros(9,filter_steps,nvar,n2);
HPD_filter_step_ahead = zeros(2,filter_steps,nvar,n2);
if options_.estimation.moments_posterior_density.indicator
Density_filter_step_ahead = zeros(options_.estimation.moments_posterior_density.gridpoints,2,filter_steps,nvar,n2);
end
elseif filter_covar_indicator
draw_dimension=4;
oo_.FilterCovariance.Mean = squeeze(mean(stock1_filter_covar,draw_dimension));
oo_.FilterCovariance.Median = squeeze(median(stock1_filter_covar,draw_dimension));
oo_.FilterCovariance.var = squeeze(var(stock1_filter_covar,0,draw_dimension));
if size(stock1_filter_covar,draw_dimension)>2
hpd_interval = quantile(stock1_filter_covar,[(1-options_.mh_conf_sig)/2 (1-options_.mh_conf_sig)/2+options_.mh_conf_sig],draw_dimension);
else
size_matrix=size(stock1_filter_covar);
hpd_interval=NaN([size_matrix(1:3),2]);
end
if size(stock1_filter_covar,draw_dimension)>9
post_deciles =quantile(stock1_filter_covar,0.1:0.1:0.9,draw_dimension);
else
size_matrix=size(stock1_filter_covar);
post_deciles=NaN([size_matrix(1:3),9]);
end
oo_.FilterCovariance.post_deciles=post_deciles;
oo_.FilterCovariance.HPDinf=squeeze(hpd_interval(:,:,:,1));
oo_.FilterCovariance.HPDsup=squeeze(hpd_interval(:,:,:,2));
fprintf(['%s: ' tit1 ', done!\n'],dispString);
return
elseif state_uncert_indicator
draw_dimension=4;
oo_.Smoother.State_uncertainty.Mean = squeeze(mean(stock1_state_uncert,draw_dimension));
oo_.Smoother.State_uncertainty.Median = squeeze(median(stock1_state_uncert,draw_dimension));
oo_.Smoother.State_uncertainty.var = squeeze(var(stock1_state_uncert,0,draw_dimension));
if size(stock1_state_uncert,draw_dimension)>2
hpd_interval = quantile(stock1_state_uncert,[(1-options_.mh_conf_sig)/2 (1-options_.mh_conf_sig)/2+options_.mh_conf_sig],draw_dimension);
else
size_matrix=size(stock1_state_uncert);
hpd_interval=NaN([size_matrix(1:3),2]);
end
if size(stock1_state_uncert,draw_dimension)>9
post_deciles =quantile(stock1_state_uncert,0.1:0.1:0.9,draw_dimension);
else
size_matrix=size(stock1_state_uncert);
post_deciles=NaN([size_matrix(1:3),9]);
end
oo_.Smoother.State_uncertainty.post_deciles=post_deciles;
oo_.Smoother.State_uncertainty.HPDinf=squeeze(hpd_interval(:,:,:,1));
oo_.Smoother.State_uncertainty.HPDsup=squeeze(hpd_interval(:,:,:,2));
fprintf(['%s: ' tit1 ', done!\n'],dispString);
return
end
if strcmp(var_type,'_trend_coeff') %two dimensional arrays
for i = 1:nvar
if options_.estimation.moments_posterior_density.indicator
[Mean(1,i),Median(1,i),Var(1,i),HPD(:,1,i),Distrib(:,1,i),Density(:,:,1,i)] = ...
posterior_moments(squeeze(stock1(SelecVariables(i),:)),options_.mh_conf_sig,options_.estimation.moments_posterior_density);
else
[Mean(1,i),Median(1,i),Var(1,i),HPD(:,1,i),Distrib(:,1,i)] = ...
posterior_moments(squeeze(stock1(SelecVariables(i),:)),options_.mh_conf_sig);
end
end
else %three dimensional arrays
for i = 1:nvar
for j = 1:n2
if options_.estimation.moments_posterior_density.indicator
[Mean(j,i),Median(j,i),Var(j,i),HPD(:,j,i),Distrib(:,j,i),Density(:,:,j,i)] = ...
posterior_moments(squeeze(stock1(SelecVariables(i),j,:)),options_.mh_conf_sig,options_.estimation.moments_posterior_density);
else
[Mean(j,i),Median(j,i),Var(j,i),HPD(:,j,i),Distrib(:,j,i)] = ...
posterior_moments(squeeze(stock1(SelecVariables(i),j,:)),options_.mh_conf_sig);
end
if filter_step_ahead_indicator
if options_.estimation.moments_posterior_density.indicator
for K_step = 1:length(options_.filter_step_ahead)
[Mean_filter_step_ahead(K_step,i,j),Median_filter_step_ahead(K_step,i,j),Var_filter_step_ahead(K_step,i,j),HPD_filter_step_ahead(:,K_step,i,j),Distrib_filter_step_ahead(:,K_step,i,j),Density_filter_step_ahead(:,:,K_step,i,j) ] = ...
posterior_moments(squeeze(stock1_filter_step_ahead(SelecVariables(i),j,:,K_step)),options_.mh_conf_sig,options_.estimation.moments_posterior_density);
end
else
for K_step = 1:length(options_.filter_step_ahead)
[Mean_filter_step_ahead(K_step,i,j),Median_filter_step_ahead(K_step,i,j),Var_filter_step_ahead(K_step,i,j),HPD_filter_step_ahead(:,K_step,i,j),Distrib_filter_step_ahead(:,K_step,i,j)] = ...
posterior_moments(squeeze(stock1_filter_step_ahead(SelecVariables(i),j,:,K_step)),options_.mh_conf_sig);
end
end
end
end
end
end
clear stock1
if filter_step_ahead_indicator %write matrices corresponding to ML
clear stock1_filter_step_ahead
FilteredVariablesKStepAhead=zeros(length(options_.filter_step_ahead),nvar,n2+max(options_.filter_step_ahead));
FilteredVariablesKStepAheadVariances=zeros(length(options_.filter_step_ahead),nvar,n2+max(options_.filter_step_ahead));
for K_step = 1:length(options_.filter_step_ahead)
FilteredVariablesKStepAhead(K_step,:,1+options_.filter_step_ahead(K_step):n2+options_.filter_step_ahead(K_step))=Mean_filter_step_ahead(K_step,:,:);
FilteredVariablesKStepAheadVariances(K_step,:,1+options_.filter_step_ahead(K_step):n2+options_.filter_step_ahead(K_step))=Mean_filter_step_ahead(K_step,:,:);
end
oo_.FilteredVariablesKStepAhead=FilteredVariablesKStepAhead;
oo_.FilteredVariablesKStepAheadVariances=FilteredVariablesKStepAheadVariances;
end
if strcmp(var_type,'_trend_coeff') || strcmp(var_type,'_smoothed_trend') || strcmp(var_type,'_smoothed_trend')
for i = 1:nvar
name = deblank(names1{SelecVariables(i)});
oo_.Smoother.(name3).Mean.(name) = Mean(:,i);
oo_.Smoother.(name3).Median.(name) = Median(:,i);
oo_.Smoother.(name3).Var.(name) = Var(:,i);
oo_.Smoother.(name3).deciles.(name) = Distrib(:,:,i);
oo_.Smoother.(name3).HPDinf.(name) = HPD(1,:,i)';
oo_.Smoother.(name3).HPDsup.(name) = HPD(2,:,i)';
if options_.estimation.moments_posterior_density.indicator
oo_.Smoother.(name3).density.(name) = Density(:,:,:,i);
end
end
else
for i = 1:nvar
name = deblank(names1{SelecVariables(i)});
oo_.(name3).Mean.(name) = Mean(:,i);
oo_.(name3).Median.(name) = Median(:,i);
oo_.(name3).Var.(name) = Var(:,i);
oo_.(name3).deciles.(name) = Distrib(:,:,i);
oo_.(name3).HPDinf.(name) = HPD(1,:,i)';
oo_.(name3).HPDsup.(name) = HPD(2,:,i)';
if options_.estimation.moments_posterior_density.indicator
oo_.(name3).density.(name) = Density(:,:,:,i);
end
if filter_step_ahead_indicator
for K_step = 1:length(options_.filter_step_ahead)
name4=['Filtered_Variables_',num2str(options_.filter_step_ahead(K_step)),'_step_ahead'];
oo_.(name4).Mean.(name) = squeeze(Mean_filter_step_ahead(K_step,i,:));
oo_.(name4).Median.(name) = squeeze(Median_filter_step_ahead(K_step,i,:));
oo_.(name4).Var.(name) = squeeze(Var_filter_step_ahead(K_step,i,:));
oo_.(name4).deciles.(name) = squeeze(Distrib_filter_step_ahead(:,K_step,i,:));
oo_.(name4).HPDinf.(name) = squeeze(HPD_filter_step_ahead(1,K_step,i,:));
oo_.(name4).HPDsup.(name) = squeeze(HPD_filter_step_ahead(2,K_step,i,:));
if options_.estimation.moments_posterior_density.indicator
oo_.(name4).density.(name) = squeeze(Density_filter_step_ahead(:,:,K_step,i,:));
end
end
end
end
end
if strcmp(var_type,'_trend_coeff') || max(max(abs(Mean(:,:))))<=10^(-6) || all(all(isnan(Mean)))
fprintf(['%s: ' tit1 ', done!\n'],dispString);
return %not do plots
end
%% Finally I build the plots.
if ~options_.nograph && ~options_.no_graph.posterior
% Block of code executed in parallel, with the exception of file
% .tex generation always run sequentially. This portion of code is execute in parallel by
% pm3_core1.m function.
% %%%%%%%%% PARALLEL BLOCK % %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
%
% %%% The file .TeX! are not saved in parallel.
% Store the variable mandatory for local/remote parallel computing.
localVars=[];
localVars.tit1=tit1;
localVars.nn=nn;
localVars.n2=n2;
localVars.Distrib=Distrib;
localVars.varlist=varlist;
if options_.TeX
localVars.varlist_TeX=varlist_TeX;
end
localVars.MaxNumberOfPlotsPerFigure=MaxNumberOfPlotsPerFigure;
localVars.name3=name3;
localVars.tit2=tit2;
localVars.Mean=Mean;
localVars.TeX=options_.TeX;
localVars.nodisplay=options_.nodisplay;
localVars.graph_format=options_.graph_format;
localVars.dname=M_.dname;
localVars.fname=M_.fname;
% Like sequential execution!
nvar0=nvar;
if ~isoctave
% Commenting for testing!
if isnumeric(options_.parallel) || ceil(size(varlist,1)/MaxNumberOfPlotsPerFigure)<4
fout = pm3_core(localVars,1,nvar,0);
% Parallel execution!
else
isRemoteOctave = 0;
for indPC=1:length(options_.parallel)
isRemoteOctave = isRemoteOctave + (findstr(options_.parallel(indPC).MatlabOctavePath, 'octave'));
end
if isRemoteOctave
fout = pm3_core(localVars,1,nvar,0);
else
globalVars = [];
[~, nvar0] = masterParallel(options_.parallel, 1, nvar, [],'pm3_core', localVars,globalVars, options_.parallel_info);
end
end
else
% For the time being in Octave enviroment the pm3.m is executed only in
% serial modality, to avoid problem with the plots.
fout = pm3_core(localVars,1,nvar,0);
end
subplotnum = 0;
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fidTeX = fopen([M_.dname '/Output/' M_.fname '_' name3 '.tex'],'w');
fprintf(fidTeX,'%% TeX eps-loader file generated by Dynare.\n');
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
nvar0=cumsum(nvar0);
i=0;
for j=1:length(nvar0)
nvar=nvar0(j);
while i<nvar
i=i+1;
if max(abs(Mean(:,i))) > 10^(-6)
subplotnum = subplotnum+1;
end
if subplotnum == MaxNumberOfPlotsPerFigure || i == nvar
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,['\\includegraphics[width=%2.2f\\textwidth]{%s/Output/%s_' name3 '_%s}\n'],options_.figures.textwidth*min(subplotnum/nn,1),M_.dname,M_.fname, tit2{i});
fprintf(fidTeX,'\\label{Fig:%s:%s}\n',name3,tit2{i});
fprintf(fidTeX,'\\caption{%s}\n',tit1);
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
subplotnum = 0;
end
end
end
fprintf(fidTeX,'%% End of TeX file.\n');
fclose(fidTeX);
end
end
fprintf(['%s: ' tit1 ', done!\n'],dispString);
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