From 0f3b68ee0a7bec4b58315dcc8e145e15eeedad54 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Tue, 3 Oct 2017 15:32:17 +0200 Subject: [PATCH] Fix get_posterior_parameters Get rid of setting variables from the base workspace in the function, making the function read-only (as the name suggests) --- matlab/GetOneDraw.m | 11 ++++++++--- matlab/PosteriorIRF.m | 2 +- matlab/PosteriorIRF_core1.m | 2 +- matlab/dynare_estimation_1.m | 2 +- matlab/dynare_identification.m | 6 +++--- matlab/evaluate_likelihood.m | 18 ++++++++++-------- matlab/evaluate_posterior_kernel.m | 18 ++++++++++++------ matlab/evaluate_prior.m | 15 +++++++++------ matlab/evaluate_smoother.m | 8 ++++---- matlab/execute_prior_posterior_function.m | 4 ++-- matlab/get_all_parameters.m | 2 +- matlab/get_posterior_parameters.m | 22 +++++++--------------- matlab/imcforecast.m | 8 ++++---- matlab/prior_posterior_statistics.m | 2 +- matlab/prior_posterior_statistics_core.m | 4 ++-- 15 files changed, 66 insertions(+), 58 deletions(-) diff --git a/matlab/GetOneDraw.m b/matlab/GetOneDraw.m index f8e2a0d63..e4fba3a43 100644 --- a/matlab/GetOneDraw.m +++ b/matlab/GetOneDraw.m @@ -1,10 +1,15 @@ -function [xparams, logpost] = GetOneDraw(type) -% function [xparams, logpost] = GetOneDraw(type) +function [xparams, logpost] = GetOneDraw(type,M_,estim_params_,oo_,options_,bayestopt_) +% function [xparams, logpost] = GetOneDraw(type,M_,estim_params_,oo_,options_,bayestopt_) % draws one parameter vector and its posterior from MCMC or the prior % % INPUTS % type: [string] 'posterior': draw from MCMC draws % 'prior': draw from prior +% M_ [structure] Definition of the model +% estim_params_ [structure] characterizing parameters to be estimated +% oo_ [structure] Storage of results +% options_ [structure] Options +% bayestopt_ [structure] describing the priors % % OUTPUTS % xparams: vector of estimated parameters (drawn from posterior or prior distribution) @@ -36,6 +41,6 @@ switch type case 'prior' xparams = prior_draw(); if nargout>1 - logpost = evaluate_posterior_kernel(xparams'); + logpost = evaluate_posterior_kernel(xparams',M_,estim_params_,oo_,options_,bayestopt_); end end \ No newline at end of file diff --git a/matlab/PosteriorIRF.m b/matlab/PosteriorIRF.m index de0f625d2..476b721b6 100644 --- a/matlab/PosteriorIRF.m +++ b/matlab/PosteriorIRF.m @@ -174,7 +174,7 @@ localVars.type=type; if strcmpi(type,'posterior') while b0 ) && options_.mh_replic) || ... end prior_posterior_statistics('posterior',dataset_,dataset_info); end - xparam1 = get_posterior_parameters('mean'); + xparam1 = get_posterior_parameters('mean',M_,estim_params_,oo_,options_); M_ = set_all_parameters(xparam1,estim_params_,M_); end end diff --git a/matlab/dynare_identification.m b/matlab/dynare_identification.m index 7b5c1e556..bc16725fa 100644 --- a/matlab/dynare_identification.m +++ b/matlab/dynare_identification.m @@ -271,15 +271,15 @@ if iload <=0 case 'posterior_mode' parameters_TeX = 'Posterior mode'; disp('Testing posterior mode') - params(1,:) = get_posterior_parameters('mode'); + params(1,:) = get_posterior_parameters('mode',M_,estim_params_,oo_,options_); case 'posterior_mean' parameters_TeX = 'Posterior mean'; disp('Testing posterior mean') - params(1,:) = get_posterior_parameters('mean'); + params(1,:) = get_posterior_parameters('mean',M_,estim_params_,oo_,options_); case 'posterior_median' parameters_TeX = 'Posterior median'; disp('Testing posterior median') - params(1,:) = get_posterior_parameters('median'); + params(1,:) = get_posterior_parameters('median',M_,estim_params_,oo_,options_); case 'prior_mode' parameters_TeX = 'Prior mode'; disp('Testing prior mode') diff --git a/matlab/evaluate_likelihood.m b/matlab/evaluate_likelihood.m index a76534adf..20da8eb4c 100644 --- a/matlab/evaluate_likelihood.m +++ b/matlab/evaluate_likelihood.m @@ -1,10 +1,14 @@ -function [llik,parameters] = evaluate_likelihood(parameters) +function [llik,parameters] = evaluate_likelihood(parameters,M_,estim_params_,oo_,options_,bayestopt_) % Evaluate the logged likelihood at parameters. % % INPUTS % o parameters a string ('posterior mode','posterior mean','posterior median','prior mode','prior mean') or a vector of values for % the (estimated) parameters of the model. -% +% o M_ [structure] Definition of the model +% o estim_params_ [structure] characterizing parameters to be estimated +% o oo_ [structure] Storage of results +% o options_ [structure] Options +% o bayestopt_ [structure] describing the priors % % OUTPUTS % o ldens [double] value of the sample logged density at parameters. @@ -35,8 +39,6 @@ function [llik,parameters] = evaluate_likelihood(parameters) % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . -global options_ M_ bayestopt_ oo_ estim_params_ - persistent dataset dataset_info if nargin==0 @@ -46,11 +48,11 @@ end if ischar(parameters) switch parameters case 'posterior mode' - parameters = get_posterior_parameters('mode'); + parameters = get_posterior_parameters('mode',M_,estim_params_,oo_,options_); case 'posterior mean' - parameters = get_posterior_parameters('mean'); + parameters = get_posterior_parameters('mean',M_,estim_params_,oo_,options_); case 'posterior median' - parameters = get_posterior_parameters('median'); + parameters = get_posterior_parameters('median',M_,estim_params_,oo_,options_); case 'prior mode' parameters = bayestopt_.p5(:); case 'prior mean' @@ -72,5 +74,5 @@ end options_=select_qz_criterium_value(options_); llik = -dsge_likelihood(parameters,dataset,dataset_info,options_,M_,estim_params_,bayestopt_,prior_bounds(bayestopt_,options_.prior_trunc),oo_); -ldens = evaluate_prior(parameters); +ldens = evaluate_prior(parameters,M_,estim_params_,oo_,options_,bayestopt_); llik = llik - ldens; \ No newline at end of file diff --git a/matlab/evaluate_posterior_kernel.m b/matlab/evaluate_posterior_kernel.m index 997962127..c4132fb38 100644 --- a/matlab/evaluate_posterior_kernel.m +++ b/matlab/evaluate_posterior_kernel.m @@ -1,10 +1,16 @@ -function lpkern = evaluate_posterior_kernel(parameters,llik) -% Evaluate the prior density at parameters. +function lpkern = evaluate_posterior_kernel(parameters,M_,estim_params_,oo_,options_,bayestopt_,llik) +% Evaluate the evaluate_posterior_kernel at parameters. % % INPUTS % o parameters a string ('posterior mode','posterior mean','posterior median','prior mode','prior mean') or a vector of values for % the (estimated) parameters of the model. -% +% o M_ [structure] Definition of the model +% o estim_params_ [structure] characterizing parameters to be estimated +% o oo_ [structure] Storage of results +% o options_ [structure] Options +% o bayestopt_ [structure] describing the priors +% o llik [double] value of the logged likelihood if it +% should not be computed % % OUTPUTS % o lpkern [double] value of the logged posterior kernel. @@ -34,8 +40,8 @@ function lpkern = evaluate_posterior_kernel(parameters,llik) % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . -[ldens,parameters] = evaluate_prior(parameters); -if nargin==1 - llik = evaluate_likelihood(parameters); +[ldens,parameters] = evaluate_prior(parameters,M_,estim_params_,oo_,options_,bayestopt_); +if nargin==6 %llik provided as an input + llik = evaluate_likelihood(parameters,M_,estim_params_,oo_,options_,bayestopt_); end lpkern = ldens+llik; \ No newline at end of file diff --git a/matlab/evaluate_prior.m b/matlab/evaluate_prior.m index 01cede921..e340667c3 100644 --- a/matlab/evaluate_prior.m +++ b/matlab/evaluate_prior.m @@ -1,9 +1,14 @@ -function [ldens,parameters] = evaluate_prior(parameters) +function [ldens,parameters] = evaluate_prior(parameters,M_,estim_params_,oo_,options_,bayestopt_) % Evaluate the prior density at parameters. % % INPUTS % o parameters a string ('posterior mode','posterior mean','posterior median','prior mode','prior mean') or a vector of values for % the (estimated) parameters of the model. +% o M_ [structure] Definition of the model +% o oo_ [structure] Storage of results +% o options_ [structure] Options +% o bayestopt_ [structure] describing the priors +% o estim_params_ [structure] characterizing parameters to be estimated % % % OUTPUTS @@ -33,8 +38,6 @@ function [ldens,parameters] = evaluate_prior(parameters) % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . -global bayestopt_ - if nargin==0 parameters = 'posterior mode'; end @@ -42,11 +45,11 @@ end if ischar(parameters) switch parameters case 'posterior mode' - parameters = get_posterior_parameters('mode'); + parameters = get_posterior_parameters('mode',M_,estim_params_,oo_,options_); case 'posterior mean' - parameters = get_posterior_parameters('mean'); + parameters = get_posterior_parameters('mean',M_,estim_params_,oo_,options_); case 'posterior median' - parameters = get_posterior_parameters('median'); + parameters = get_posterior_parameters('median',M_,estim_params_,oo_,options_); case 'prior mode' parameters = bayestopt_.p5(:); case 'prior mean' diff --git a/matlab/evaluate_smoother.m b/matlab/evaluate_smoother.m index c6d3d7113..c22cc0635 100644 --- a/matlab/evaluate_smoother.m +++ b/matlab/evaluate_smoother.m @@ -73,13 +73,13 @@ end if ischar(parameters) switch parameters case 'posterior_mode' - parameters = get_posterior_parameters('mode'); + parameters = get_posterior_parameters('mode',M_,estim_params_,oo_,options_); case 'posterior_mean' - parameters = get_posterior_parameters('mean'); + parameters = get_posterior_parameters('mean',M_,estim_params_,oo_,options_); case 'posterior_median' - parameters = get_posterior_parameters('median'); + parameters = get_posterior_parameters('median',M_,estim_params_,oo_,options_); case 'mle_mode' - parameters = get_posterior_parameters('mode','mle_'); + parameters = get_posterior_parameters('mode',M_,estim_params_,oo_,options_,'mle_'); case 'prior_mode' parameters = bayestopt_.p5(:); case 'prior_mean' diff --git a/matlab/execute_prior_posterior_function.m b/matlab/execute_prior_posterior_function.m index 7e77a6ae8..9cd5eece2 100644 --- a/matlab/execute_prior_posterior_function.m +++ b/matlab/execute_prior_posterior_function.m @@ -68,11 +68,11 @@ else end %get draws for later use -first_draw=GetOneDraw(type); +first_draw=GetOneDraw(type,M_,estim_params_,oo_,options_,bayestopt_); parameter_mat=NaN(n_draws,length(first_draw)); parameter_mat(1,:)=first_draw; for draw_iter=2:n_draws - parameter_mat(draw_iter,:) = GetOneDraw(type); + parameter_mat(draw_iter,:) = GetOneDraw(type,M_,estim_params_,oo_,options_,bayestopt_); end % get output size diff --git a/matlab/get_all_parameters.m b/matlab/get_all_parameters.m index 289b6a679..d2aa30c61 100644 --- a/matlab/get_all_parameters.m +++ b/matlab/get_all_parameters.m @@ -6,7 +6,7 @@ function xparam1=get_all_parameters(estim_params_,M_) % parameter values % % INPUTS -% estim_params_: Dynare structure describing the estimated parameters. +% estim_params_: Dynare structure describing the estimated parameters. % M_: Dynare structure describing the model. % % OUTPUTS diff --git a/matlab/get_posterior_parameters.m b/matlab/get_posterior_parameters.m index e10616d20..0417956ed 100644 --- a/matlab/get_posterior_parameters.m +++ b/matlab/get_posterior_parameters.m @@ -1,11 +1,13 @@ -function xparam = get_posterior_parameters(type,field1) +function xparam = get_posterior_parameters(type,M_,estim_params_,oo_,options_,field1) -% function xparam = get_posterior_parameters(type) +% function xparam = get_posterior_parameters(type,M_,estim_params_,oo_,options_,field1) % Selects (estimated) parameters (posterior mode or posterior mean). % % INPUTS -% o type [char] = 'mode' or 'mean'. -% o field_1 [char] optional field like 'mle_'. +% o type [char] = 'mode' or 'mean'. +% o M_: [structure] Dynare structure describing the model. +% o estim_params_: [structure] Dynare structure describing the estimated parameters. +% o field_1 [char] optional field like 'mle_'. % % OUTPUTS % o xparam vector of estimated parameters @@ -30,9 +32,7 @@ function xparam = get_posterior_parameters(type,field1) % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . -global estim_params_ oo_ options_ M_ - -if nargin<2 +if nargin<6 field1='posterior_'; end nvx = estim_params_.nvx; @@ -48,7 +48,6 @@ for i=1:nvx k1 = estim_params_.var_exo(i,1); name1 = deblank(M_.exo_names(k1,:)); xparam(m) = oo_.([field1 type]).shocks_std.(name1); - M_.Sigma_e(k1,k1) = xparam(m)^2; m = m+1; end @@ -65,8 +64,6 @@ for i=1:ncx name1 = deblank(M_.exo_names(k1,:)); name2 = deblank(M_.exo_names(k2,:)); xparam(m) = oo_.([field1 type]).shocks_corr.([name1 '_' name2]); - M_.Sigma_e(k1,k2) = xparam(m); - M_.Sigma_e(k2,k1) = xparam(m); m = m+1; end @@ -84,10 +81,5 @@ FirstDeep = m; for i=1:np name1 = deblank(M_.param_names(estim_params_.param_vals(i,1),:)); xparam(m) = oo_.([field1 type]).parameters.(name1); - %assignin('base',name1,xparam(m));% Useless with version 4 (except maybe for users) m = m+1; -end - -if np - M_.params(estim_params_.param_vals(:,1)) = xparam(FirstDeep:end); end \ No newline at end of file diff --git a/matlab/imcforecast.m b/matlab/imcforecast.m index 66841319a..3f77a3f2f 100644 --- a/matlab/imcforecast.m +++ b/matlab/imcforecast.m @@ -80,16 +80,16 @@ if estimated_model if ischar(options_cond_fcst.parameter_set) switch options_cond_fcst.parameter_set case 'posterior_mode' - xparam = get_posterior_parameters('mode'); + xparam = get_posterior_parameters('mode',M_,estim_params_,oo_,options_); graph_title='Posterior Mode'; case 'posterior_mean' - xparam = get_posterior_parameters('mean'); + xparam = get_posterior_parameters('mean',M_,estim_params_,oo_,options_); graph_title='Posterior Mean'; case 'posterior_median' - xparam = get_posterior_parameters('median'); + xparam = get_posterior_parameters('median',M_,estim_params_,oo_,options_); graph_title='Posterior Median'; case 'mle_mode' - xparam = get_posterior_parameters('mode','mle_'); + xparam = get_posterior_parameters('mode',M_,estim_params_,oo_,options_,'mle_'); graph_title='ML Mode'; case 'prior_mode' xparam = bayestopt_.p5(:); diff --git a/matlab/prior_posterior_statistics.m b/matlab/prior_posterior_statistics.m index f08a18d85..1836d4a7f 100644 --- a/matlab/prior_posterior_statistics.m +++ b/matlab/prior_posterior_statistics.m @@ -226,7 +226,7 @@ if strcmpi(type,'posterior') else logpost=NaN(B,1); for b=1:B - [x(b,:), logpost(b)] = GetOneDraw(type); + [x(b,:), logpost(b)] = GetOneDraw(type,M_,estim_params_,oo_,options_,bayestopt_); end end localVars.logpost=logpost; diff --git a/matlab/prior_posterior_statistics_core.m b/matlab/prior_posterior_statistics_core.m index 8e39e5ae2..7fa6832d2 100644 --- a/matlab/prior_posterior_statistics_core.m +++ b/matlab/prior_posterior_statistics_core.m @@ -190,14 +190,14 @@ end for b=fpar:B if strcmpi(type,'prior') - [deep, logpo] = GetOneDraw(type); + [deep, logpo] = GetOneDraw(type,M_,estim_params_,oo_,options_,bayestopt_); else deep = x(b,:); if strcmpi(type,'posterior') logpo = logpost(b); else - logpo = evaluate_posterior_kernel(deep'); + logpo = evaluate_posterior_kernel(deep',M_,estim_params_,oo_,options_,bayestopt_); end end M_ = set_all_parameters(deep,estim_params_,M_); -- 2.24.1