ms-sbvar: ms_simulation: add option to save mcmc draws

doc/dynare.texi

@@ -7004,6 +7004,13 @@ The total number of draws is equal to
 @item adaptive_mh_draws = @var{INTEGER}
 Tuning period for Metropolis-Hasting draws. Default: @code{30,000}
 
+@item save_draws
+Save all elements of @math{A^0}, @math{A^+}, @math{\xi}, and the
+transition matrix to a file named @code{draws_<<file_tag>>.out} with
+each draw on a separate line. A file that describes how these matrices
+are laid out is contained in
+@code{draws_header_<<file_tag>>.out}. Default: @code{off}
+
 @end table
 @end deffn
 

matlab/ms-sbvar/clean_ms_simulation_files.m

@@ -30,4 +30,6 @@ function clean_ms_simulation_files(file_tag)
 
 delete_if_exists(['simulation_' file_tag '.out']);
 delete_if_exists(['simulation_info_' file_tag '.out']);
+delete_if_exists(['draws_test_' file_tag '.out']);
+delete_if_exists(['draws_header_' file_tag '.out']);
 end

matlab/ms-sbvar/initialize_ms_sbvar_options.m

@@ -73,6 +73,7 @@ options_.ms.mh_replic = 10000; % default differs from Dan's code
 options_.ms.thinning_factor = 1;
 options_.ms.drop = 0.1*options_.ms.mh_replic*options_.ms.thinning_factor;
 options_.ms.adaptive_mh_draws = 30000;
+options_.ms.save_draws = 0;
 % mdd
 options_.ms.proposal_draws = 100000;
 options_.ms.use_mean_center = 0;

matlab/ms-sbvar/ms_simulation.m

@@ -45,6 +45,10 @@ opt = [opt ' -burnin ' num2str(options_.ms.drop)];
 opt = [opt ' -thin ' num2str(options_.ms.thinning_factor)];
 opt = [opt ' -mh ' num2str(options_.ms.adaptive_mh_draws)];
 
+if options_.ms.save_draws
+    opt = [opt ' -flat '];
+end
+
 % simulation
 [err] = ms_sbvar_command_line(opt);
 mexErrCheck('ms_simulation',err);

preprocessor/DynareBison.yy

@@ -116,7 +116,7 @@ class ParsingDriver;
 %token MODEL_DIAGNOSTICS MODIFIEDHARMONICMEAN MOMENTS_VARENDO DIFFUSE_FILTER SUB_DRAWS TAPER_STEPS GEWEKE_INTERVAL
 %token <string_val> NAME
 %token NAN_CONSTANT NO_STATIC NOBS NOCONSTANT NODISPLAY NOCORR NODIAGNOSTIC NOFUNCTIONS
-%token NOGRAPH NOMOMENTS NOPRINT NORMAL_PDF
+%token NOGRAPH NOMOMENTS NOPRINT NORMAL_PDF SAVE_DRAWS
 %token OBSERVATION_TRENDS OPTIM OPTIM_WEIGHTS ORDER OSR OSR_PARAMS MAX_DIM_COVA_GROUP ADVANCED
 %token PARALLEL_LOCAL_FILES PARAMETERS PARAMETER_SET PARTIAL_INFORMATION PERFECT_FORESIGHT PERIODS PLANNER_OBJECTIVE PLOT_CONDITIONAL_FORECAST PLOT_PRIORS PREFILTER PRESAMPLE
 %token PRINT PRIOR_MC PRIOR_TRUNC PRIOR_MODE PRIOR_MEAN POSTERIOR_MODE POSTERIOR_MEAN POSTERIOR_MEDIAN PRUNING
@@ -1991,6 +1991,7 @@ ms_simulation_option : o_output_file_tag
                      | o_ms_drop
                      | o_thinning_factor
                      | o_adaptive_mh_draws
+                     | o_save_draws
                      ;
 
 ms_simulation_options_list : ms_simulation_option COMMA ms_simulation_options_list
@@ -2652,6 +2653,7 @@ o_random_parameter_convergence_criterion : RANDOM_PARAMETER_CONVERGENCE_CRITERIO
                                            { driver.option_num("ms.random_parameter_convergence_criterion",$3); };
 o_thinning_factor : THINNING_FACTOR EQUAL INT_NUMBER { driver.option_num("ms.thinning_factor",$3); };
 o_adaptive_mh_draws : ADAPTIVE_MH_DRAWS EQUAL INT_NUMBER { driver.option_num("ms.adaptive_mh_draws",$3); };
+o_save_draws : SAVE_DRAWS { driver.option_num("ms.save_draws","1"); };
 o_proposal_draws : PROPOSAL_DRAWS EQUAL INT_NUMBER { driver.option_num("ms.proposal_draws",$3); };
 o_use_mean_center : USE_MEAN_CENTER { driver.option_num("ms.use_mean_center","1"); };
 o_proposal_type : PROPOSAL_TYPE EQUAL INT_NUMBER { driver.option_num("ms.proposal_type",$3); }

preprocessor/DynareFlex.ll

@@ -473,6 +473,7 @@ string eofbuff;
 <DYNARE_STATEMENT>filter_decomposition {return token::FILTER_DECOMPOSITION; }
 <DYNARE_STATEMENT>selected_variables_only {return token::SELECTED_VARIABLES_ONLY; }
 <DYNARE_STATEMENT>pruning {return token::PRUNING; }
+<DYNARE_STATEMENT>save_draws {return token::SAVE_DRAWS; }
 <DYNARE_STATEMENT>deflator {return token::DEFLATOR;}
 <DYNARE_STATEMENT>log_deflator {return token::LOG_DEFLATOR;}
 <DYNARE_STATEMENT>growth_factor {return token::GROWTH_FACTOR;}