From 5231fc04c14574cbb0ff826cb15cf5426afb8d04 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Thu, 14 Sep 2023 20:17:01 +0200
Subject: [PATCH] Remove global variables from prior_posterior_statistics.m and
PosteriorIRF.m
---
matlab/PosteriorIRF.m | 112 ++++++++------------
matlab/PosteriorIRF_core1.m | 17 +--
matlab/PosteriorIRF_core2.m | 17 ++-
matlab/ReshapeMatFiles.m | 83 +++++++--------
matlab/dynare_estimation_1.m | 108 +++++++++----------
matlab/dynare_sensitivity.m | 4 +-
matlab/pm3.m | 32 +++---
matlab/pm3_core.m | 40 ++++---
matlab/prior_posterior_statistics.m | 129 ++++++++++-------------
matlab/prior_posterior_statistics_core.m | 7 +-
tests/estimation/fs2000.mod | 2 +-
11 files changed, 257 insertions(+), 294 deletions(-)
diff --git a/matlab/PosteriorIRF.m b/matlab/PosteriorIRF.m
index 61f7361d97..c07fc92313 100644
--- a/matlab/PosteriorIRF.m
+++ b/matlab/PosteriorIRF.m
@@ -1,10 +1,18 @@
-function PosteriorIRF(type,dispString)
+function oo_=PosteriorIRF(type,options_,estim_params_,oo_,M_,bayestopt_,dataset_,dataset_info,dispString)
+% PosteriorIRF(type,options_,estim_params_,oo_,M_,bayestopt_,dataset_,dataset_info,dispString)
% Builds posterior IRFs after the MH algorithm.
%
% INPUTS
-% o type [char] string specifying the joint density of the
-% deep parameters ('prior','posterior').
-% o dispString [char] string to display in the console.
+% o type [char] string specifying the joint density of the
+% deep parameters ('prior','posterior').
+% o options_ [structure] storing the options
+% o estim_params_ [structure] storing information about estimated parameters
+% o oo_ [structure] storing the results
+% o M_ [structure] storing the model information
+% o bayestopt_ [structure] storing information about priors
+% o dataset_ [structure] storing the dataset
+% o dataset_info [structure] Various information about the dataset
+% o dispString [char] string to display in the console.
%
% OUTPUTS
% None (oo_ and plots).
@@ -34,9 +42,6 @@ function PosteriorIRF(type,dispString)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-
-global options_ estim_params_ oo_ M_ bayestopt_ dataset_ dataset_info
-
% Set the number of periods
if isempty(options_.irf) || ~options_.irf
options_.irf = 40;
@@ -62,13 +67,7 @@ end
irf_shocks_indx = getIrfShocksIndx(M_, options_);
% Set various parameters & Check or create directories
-nvx = estim_params_.nvx;
-nvn = estim_params_.nvn;
-ncx = estim_params_.ncx;
-ncn = estim_params_.ncn;
-np = estim_params_.np ;
-npar = nvx+nvn+ncx+ncn+np;
-offset = npar-np; clear('nvx','nvn','ncx','ncn','np');
+npar = estim_params_.nvx+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np ;
nvobs = dataset_.vobs;
gend = dataset_.nobs;
@@ -118,7 +117,8 @@ elseif strcmpi(type,'gsa')
end
x=[lpmat0(istable,:) lpmat(istable,:)];
clear lpmat istable
- B=size(x,1); options_.B = B;
+ B=size(x,1);
+ options_.B = B;
else% type = 'prior'
B = options_.prior_draws;
options_.B = B;
@@ -130,23 +130,7 @@ irun2 = 0;
NumberOfIRFfiles_dsge = 1;
NumberOfIRFfiles_dsgevar = 1;
ifil2 = 1;
-% Create arrays
-if B <= MAX_nruns
- stock_param = zeros(B, npar);
-else
- stock_param = zeros(MAX_nruns, npar);
-end
-if B >= MAX_nirfs_dsge
- stock_irf_dsge = zeros(options_.irf,nvar,M_.exo_nbr,MAX_nirfs_dsge);
-else
- stock_irf_dsge = zeros(options_.irf,nvar,M_.exo_nbr,B);
-end
if MAX_nirfs_dsgevar
- if B >= MAX_nirfs_dsgevar
- stock_irf_bvardsge = zeros(options_.irf,nvobs,M_.exo_nbr,MAX_nirfs_dsgevar);
- else
- stock_irf_bvardsge = zeros(options_.irf,nvobs,M_.exo_nbr,B);
- end
NumberOfLags = options_.dsge_varlag;
NumberOfLagsTimesNvobs = NumberOfLags*nvobs;
if options_.noconstant
@@ -154,10 +138,9 @@ if MAX_nirfs_dsgevar
else
NumberOfParametersPerEquation = NumberOfLagsTimesNvobs+1;
end
- Companion_matrix = diag(ones(nvobs*(NumberOfLags-1),1),-nvobs);
end
-% First block of code executed in parallel. The function devoted to do it is PosteriorIRF_core1.m
+% First block of code executed in parallel. The function devoted to do it is PosteriorIRF_core1.m
% function.
b = 0;
@@ -183,7 +166,6 @@ if ~strcmpi(type,'prior')
localVars.x=x;
end
-b=0;
if options_.dsge_var
localVars.gend = gend;
localVars.nvobs = nvobs;
@@ -202,6 +184,16 @@ localVars.NumberOfIRFfiles_dsgevar=NumberOfIRFfiles_dsgevar;
localVars.ifil2=ifil2;
localVars.MhDirectoryName=MhDirectoryName;
+%store main structures
+localVars.options_=options_;
+localVars.estim_params_= estim_params_;
+localVars.M_= M_;
+localVars.oo_= oo_;
+localVars.bayestopt_= bayestopt_;
+localVars.dataset_= dataset_;
+localVars.dataset_info= dataset_info;
+
+
% Like sequential execution!
if isnumeric(options_.parallel)
[fout] = PosteriorIRF_core1(localVars,1,B,0);
@@ -225,14 +217,6 @@ else
localVars.NumberOfIRFfiles_dsgevar=NumberOfIRFfiles_dsgevar;
localVars.ifil2=ifil2;
- globalVars = struct('M_',M_, ...
- 'options_', options_, ...
- 'bayestopt_', bayestopt_, ...
- 'estim_params_', estim_params_, ...
- 'oo_', oo_, ...
- 'dataset_',dataset_, ...
- 'dataset_info',dataset_info);
-
% which files have to be copied to run remotely
NamFileInput(1,:) = {'',[M_.fname '.static.m']};
NamFileInput(2,:) = {'',[M_.fname '.dynamic.m']};
@@ -246,7 +230,7 @@ else
NamFileInput(length(NamFileInput)+1,:)={'',[M_.fname '.steadystate.m']};
end
end
- [fout] = masterParallel(options_.parallel, 1, B,NamFileInput,'PosteriorIRF_core1', localVars, globalVars, options_.parallel_info);
+ [fout] = masterParallel(options_.parallel, 1, B,NamFileInput,'PosteriorIRF_core1', localVars, [], options_.parallel_info);
nosaddle=0;
for j=1:length(fout)
nosaddle = nosaddle + fout(j).nosaddle;
@@ -260,9 +244,9 @@ if nosaddle
disp(['PosteriorIRF :: Percentage of discarded posterior draws = ' num2str(nosaddle/(B+nosaddle))])
end
-ReshapeMatFiles('irf_dsge',type)
+ReshapeMatFiles(M_.fname,M_.dname,M_.exo_nbr,M_.endo_nbr,options_,'irf_dsge',type)
if MAX_nirfs_dsgevar
- ReshapeMatFiles('irf_bvardsge')
+ ReshapeMatFiles(M_.fname,M_.dname,M_.exo_nbr,M_.endo_nbr,options_,'irf_bvardsge')
end
if strcmpi(type,'gsa')
@@ -293,21 +277,21 @@ tit = M_.exo_names;
kdx = 0;
for file = 1:NumberOfIRFfiles_dsge
- load([MhDirectoryName filesep M_.fname '_IRF_DSGEs' int2str(file) '.mat']);
+ temp=load([MhDirectoryName filesep M_.fname '_IRF_DSGEs' int2str(file) '.mat']);
for i = irf_shocks_indx
for j = 1:nvar
- for k = 1:size(STOCK_IRF_DSGE,1)
+ for k = 1:size(temp.STOCK_IRF_DSGE,1)
kk = k+kdx;
[MeanIRF(kk,j,i),MedianIRF(kk,j,i),VarIRF(kk,j,i),HPDIRF(kk,:,j,i),...
- DistribIRF(kk,:,j,i)] = posterior_moments(squeeze(STOCK_IRF_DSGE(k,j,i,:)),0,options_.mh_conf_sig);
+ DistribIRF(kk,:,j,i)] = posterior_moments(squeeze(temp.STOCK_IRF_DSGE(k,j,i,:)),0,options_.mh_conf_sig);
end
end
end
- kdx = kdx + size(STOCK_IRF_DSGE,1);
+ kdx = kdx + size(temp.STOCK_IRF_DSGE,1);
end
-clear STOCK_IRF_DSGE;
+clear temp;
for i = irf_shocks_indx
for j = 1:nvar
@@ -332,20 +316,20 @@ if MAX_nirfs_dsgevar
tit = M_.exo_names;
kdx = 0;
for file = 1:NumberOfIRFfiles_dsgevar
- load([MhDirectoryName filesep M_.fname '_IRF_BVARDSGEs' int2str(file) '.mat']);
+ temp=load([MhDirectoryName filesep M_.fname '_IRF_BVARDSGEs' int2str(file) '.mat']);
for i = irf_shocks_indx
for j = 1:nvar
- for k = 1:size(STOCK_IRF_BVARDSGE,1)
+ for k = 1:size(temp.STOCK_IRF_BVARDSGE,1)
kk = k+kdx;
[MeanIRFdsgevar(kk,j,i),MedianIRFdsgevar(kk,j,i),VarIRFdsgevar(kk,j,i),...
HPDIRFdsgevar(kk,:,j,i),DistribIRFdsgevar(kk,:,j,i)] = ...
- posterior_moments(squeeze(STOCK_IRF_BVARDSGE(k,j,i,:)),0,options_.mh_conf_sig);
+ posterior_moments(squeeze(temp.STOCK_IRF_BVARDSGE(k,j,i,:)),0,options_.mh_conf_sig);
end
end
end
- kdx = kdx + size(STOCK_IRF_BVARDSGE,1);
+ kdx = kdx + size(temp.STOCK_IRF_BVARDSGE,1);
end
- clear STOCK_IRF_BVARDSGE;
+ clear temp;
for i = irf_shocks_indx
for j = 1:nvar
name = sprintf('%s_%s', M_.endo_names{IndxVariables(j)}, tit{i});
@@ -358,25 +342,24 @@ if MAX_nirfs_dsgevar
end
end
end
-%
-% Finally I build the plots.
-%
+%% Finally I build the plots.
% Second block of code executed in parallel, with the exception of file
-% .tex generation always run in sequentially. This portion of code is execute in parallel by
+% .tex generation always run in sequentially. This portion of code is executed in parallel by
% PosteriorIRF_core2.m function.
if ~options_.nograph && ~options_.no_graph.posterior
% Save the local variables.
localVars=[];
-
+ localVars.dname=M_.dname;
+ localVars.fname=M_.fname;
+ localVars.options_=options_;
Check=options_.TeX;
if (Check)
localVars.varlist_TeX=varlist_TeX;
end
-
localVars.nvar=nvar;
localVars.MeanIRF=MeanIRF;
localVars.tit=tit;
@@ -445,9 +428,7 @@ if ~options_.nograph && ~options_.no_graph.posterior
if isRemoteOctave
[fout] = PosteriorIRF_core2(localVars,1,M_.exo_nbr,0);
else
- globalVars = struct('M_',M_, ...
- 'options_', options_);
-
+ globalVars = [];
[fout] = masterParallel(options_.parallel, 1, M_.exo_nbr,NamFileInput,'PosteriorIRF_core2', localVars, globalVars, options_.parallel_info);
end
end
@@ -455,7 +436,6 @@ if ~options_.nograph && ~options_.no_graph.posterior
[fout] = PosteriorIRF_core2(localVars,1,M_.exo_nbr,0);
end
% END parallel code!
-
end
-fprintf('%s: Posterior IRFs, done!\n',dispString);
+fprintf('%s: Posterior IRFs, done!\n',dispString);
\ No newline at end of file
diff --git a/matlab/PosteriorIRF_core1.m b/matlab/PosteriorIRF_core1.m
index a0a47dd5ab..2eac574169 100644
--- a/matlab/PosteriorIRF_core1.m
+++ b/matlab/PosteriorIRF_core1.m
@@ -1,4 +1,5 @@
function myoutput=PosteriorIRF_core1(myinputs,fpar,B,whoiam, ThisMatlab)
+%myoutput=PosteriorIRF_core1(myinputs,fpar,B,whoiam, ThisMatlab)
% Generates and stores Posterior IRFs
% PARALLEL CONTEXT
% This function perfoms in parallel execution a portion of the PosteriorIRF.m code.
@@ -40,9 +41,6 @@ function myoutput=PosteriorIRF_core1(myinputs,fpar,B,whoiam, ThisMatlab)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-
-global options_ estim_params_ oo_ M_ bayestopt_ dataset_ dataset_info
-
if nargin<4
whoiam=0;
end
@@ -50,6 +48,14 @@ end
% Reshape 'myinputs' for local computation.
% In order to avoid confusion in the name space, the instruction struct2local(myinputs) is replaced by:
+options_= myinputs.options_;
+estim_params_= myinputs.estim_params_;
+M_= myinputs.M_;
+oo_= myinputs.oo_;
+bayestopt_= myinputs.bayestopt_;
+dataset_= myinputs.dataset_;
+dataset_info= myinputs.dataset_info;
+
IRUN = myinputs.IRUN;
irun =myinputs.irun;
irun2=myinputs.irun2;
@@ -78,13 +84,10 @@ if options_.dsge_var
bounds = prior_bounds(bayestopt_,options_.prior_trunc);
end
-
if whoiam
Parallel=myinputs.Parallel;
end
-
-% MhDirectoryName = myinputs.MhDirectoryName;
if strcmpi(type,'posterior')
MhDirectoryName = CheckPath('metropolis',M_.dname);
elseif strcmpi(type,'gsa')
@@ -115,12 +118,10 @@ else
h = dyn_waitbar(prct0,'Bayesian (prior) IRFs...');
end
-
OutputFileName_bvardsge = {};
OutputFileName_dsge = {};
OutputFileName_param = {};
-
fpar = fpar-1;
fpar0=fpar;
nosaddle=0;
diff --git a/matlab/PosteriorIRF_core2.m b/matlab/PosteriorIRF_core2.m
index 73ea4c493e..09b8650d9b 100644
--- a/matlab/PosteriorIRF_core2.m
+++ b/matlab/PosteriorIRF_core2.m
@@ -1,5 +1,5 @@
function myoutput=PosteriorIRF_core2(myinputs,fpar,npar,whoiam,ThisMatlab)
-% function myoutput=PosteriorIRF_core2(myinputs,fpar,npar,whoiam, ThisMatlab)
+% myoutput=PosteriorIRF_core2(myinputs,fpar,npar,whoiam, ThisMatlab)
% Generates the Posterior IRFs plot from the IRFs generated in
% PosteriorIRF_core1
%
@@ -47,8 +47,6 @@ function myoutput=PosteriorIRF_core2(myinputs,fpar,npar,whoiam,ThisMatlab)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-global options_ M_
-
if nargin<4
whoiam=0;
end
@@ -56,6 +54,7 @@ end
% Reshape 'myinputs' for local computation.
% In order to avoid confusion in the name space, the instruction struct2local(myinputs) is replaced by:
+options_=myinputs.options_;
Check=options_.TeX;
if (Check)
varlist_TeX=myinputs.varlist_TeX;
@@ -67,6 +66,9 @@ tit=myinputs.tit;
nn=myinputs.nn;
MAX_nirfs_dsgevar=myinputs.MAX_nirfs_dsgevar;
HPDIRF=myinputs.HPDIRF;
+dname=myinputs.dname;
+fname=myinputs.fname;
+
if options_.dsge_var
HPDIRFdsgevar=myinputs.HPDIRFdsgevar;
MeanIRFdsgevar=myinputs.MeanIRFdsgevar;
@@ -82,7 +84,7 @@ end
% To save the figures where the function is computed!
-DirectoryName = CheckPath('Output',M_.dname);
+DirectoryName = CheckPath('Output',dname);
RemoteFlag = 0;
if whoiam
@@ -117,7 +119,6 @@ for i=fpar:npar
h2 = area(1:options_.irf,HPDIRF(:,1,j,i),'FaceColor',[1 1 1],'BaseValue',min(HPDIRF(:,1,j,i))); %white below HPDIinf and minimum of HPDIinf
end
plot(1:options_.irf,MeanIRF(:,j,i),'-k','linewidth',3)
- % plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
box on
axis tight
xlim([1 options_.irf]);
@@ -135,7 +136,6 @@ for i=fpar:npar
plot(1:options_.irf,HPDIRFdsgevar(:,1,j,i),'--k','linewidth',1)
plot(1:options_.irf,HPDIRFdsgevar(:,2,j,i),'--k','linewidth',1)
end
- % plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
box on
axis tight
xlim([1 options_.irf]);
@@ -155,9 +155,9 @@ for i=fpar:npar
if subplotnum == MaxNumberOfPlotPerFigure || (j == nvar && subplotnum> 0)
figunumber = figunumber+1;
- dyn_saveas(hh_fig,[DirectoryName '/' M_.fname '_Bayesian_IRF_' tit{i} '_' int2str(figunumber)],options_.nodisplay,options_.graph_format);
+ dyn_saveas(hh_fig,[DirectoryName '/' fname '_Bayesian_IRF_' tit{i} '_' int2str(figunumber)],options_.nodisplay,options_.graph_format);
if RemoteFlag==1
- OutputFileName = [OutputFileName; {[DirectoryName,filesep], [M_.fname '_Bayesian_IRF_' deblank(tit(i,:)) '_' int2str(figunumber) '.*']}];
+ OutputFileName = [OutputFileName; {[DirectoryName,filesep], [fname '_Bayesian_IRF_' deblank(tit(i,:)) '_' int2str(figunumber) '.*']}];
end
subplotnum = 0;
end
@@ -165,7 +165,6 @@ for i=fpar:npar
if whoiam
fprintf('Done! \n');
waitbarString = [ 'Exog. shocks ' int2str(i) '/' int2str(npar) ' done.'];
- % fMessageStatus((i-fpar+1)/(npar-fpar+1),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab));
dyn_waitbar((i-fpar+1)/(npar-fpar+1),[],waitbarString);
end
end % loop over exo_var
diff --git a/matlab/ReshapeMatFiles.m b/matlab/ReshapeMatFiles.m
index 38e529e59a..58107602eb 100644
--- a/matlab/ReshapeMatFiles.m
+++ b/matlab/ReshapeMatFiles.m
@@ -1,10 +1,15 @@
-function ReshapeMatFiles(type, type2)
-% function ReshapeMatFiles(type, type2)
+function ReshapeMatFiles(fname, dname, exo_nbr, endo_nbr, options_, type, type2)
+% function ReshapeMatFiles(fname, dname, exo_nbr, endo_nbr, options_, type, type2)
% Reshapes and sorts (along the mcmc simulations) the mat files generated by DYNARE.
% 4D-arrays are splitted along the first dimension.
% 3D-arrays are splitted along the second dimension.
%
% INPUTS:
+% fname: [string] filename
+% dname: [string] directory name
+% exo_nbr: [integer] number of exogenous variables
+% endo_nbr: [integer] number of endogenous variables
+% options_: [struct] options structure
% type: statistics type in the repertory:
% dgse
% irf_bvardsge
@@ -25,7 +30,7 @@ function ReshapeMatFiles(type, type2)
% SPECIAL REQUIREMENTS
% none
-% Copyright © 2003-2017 Dynare Team
+% Copyright © 2003-2023 Dynare Team
%
% This file is part of Dynare.
%
@@ -42,43 +47,41 @@ function ReshapeMatFiles(type, type2)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-global M_ options_
-
-if nargin==1
- MhDirectoryName = [ CheckPath('metropolis',M_.dname) filesep ];
+if nargin==6
+ MhDirectoryName = [ CheckPath('metropolis',dname) filesep ];
else
if strcmpi(type2,'posterior')
- MhDirectoryName = [CheckPath('metropolis',M_.dname) filesep ];
+ MhDirectoryName = [CheckPath('metropolis',dname) filesep ];
elseif strcmpi(type2,'gsa')
if options_.opt_gsa.morris==1
- MhDirectoryName = [CheckPath('gsa/screen',M_.dname) filesep ];
+ MhDirectoryName = [CheckPath('gsa/screen',dname) filesep ];
elseif options_.opt_gsa.morris==2
- MhDirectoryName = [CheckPath('gsa/identif',M_.dname) filesep ];
+ MhDirectoryName = [CheckPath('gsa/identif',dname) filesep ];
elseif options_.opt_gsa.pprior
- MhDirectoryName = [CheckPath(['gsa' filesep 'prior'],M_.dname) filesep ];
+ MhDirectoryName = [CheckPath(['gsa' filesep 'prior'],dname) filesep ];
else
- MhDirectoryName = [CheckPath(['gsa' filesep 'mc'],M_.dname) filesep ];
+ MhDirectoryName = [CheckPath(['gsa' filesep 'mc'],dname) filesep ];
end
else
- MhDirectoryName = [CheckPath('prior',M_.dname) filesep ];
+ MhDirectoryName = [CheckPath('prior',dname) filesep ];
end
end
switch type
case 'irf_dsge'
CAPtype = 'IRF_DSGE';
- TYPEsize = [ options_.irf , size(options_.varlist,1) , M_.exo_nbr ];
+ TYPEsize = [ options_.irf , size(options_.varlist,1) , exo_nbr ];
TYPEarray = 4;
case 'irf_bvardsge'
CAPtype = 'IRF_BVARDSGE';
- TYPEsize = [ options_.irf , length(options_.varobs) , M_.exo_nbr ];
+ TYPEsize = [ options_.irf , length(options_.varobs) , exo_nbr ];
TYPEarray = 4;
case 'smooth'
CAPtype = 'SMOOTH';
- TYPEsize = [ M_.endo_nbr , options_.nobs ];
+ TYPEsize = [ endo_nbr , options_.nobs ];
TYPEarray = 3;
case 'filter'
CAPtype = 'FILTER';
- TYPEsize = [ M_.endo_nbr , options_.nobs + 1 ];% TO BE CHECKED!
+ TYPEsize = [ endo_nbr , options_.nobs + 1 ];% TO BE CHECKED!
TYPEarray = 3;
case 'error'
CAPtype = 'ERROR';
@@ -86,22 +89,22 @@ switch type
TYPEarray = 3;
case 'innov'
CAPtype = 'INNOV';
- TYPEsize = [ M_.exo_nbr , options_.nobs ];
+ TYPEsize = [ exo_nbr , options_.nobs ];
TYPEarray = 3;
case 'forcst'
CAPtype = 'FORCST';
- TYPEsize = [ M_.endo_nbr , options_.forecast ];
+ TYPEsize = [ endo_nbr , options_.forecast ];
TYPEarray = 3;
case 'forcst1'
CAPtype = 'FORCST1';
- TYPEsize = [ M_.endo_nbr , options_.forecast ];
+ TYPEsize = [ endo_nbr , options_.forecast ];
TYPEarray = 3;
otherwise
disp('ReshapeMatFiles :: Unknown argument!')
return
end
-TYPEfiles = dir([MhDirectoryName M_.fname '_' type '*.mat']);
+TYPEfiles = dir([MhDirectoryName fname '_' type '*.mat']);
NumberOfTYPEfiles = length(TYPEfiles);
B = options_.B;
@@ -116,36 +119,29 @@ switch TYPEarray
for f1=1:NumberOfTYPEfiles-foffset
eval(['STOCK_' CAPtype ' = zeros(NumberOfPeriodsPerTYPEfiles,TYPEsize(2),TYPEsize(3),B);'])
for f2 = 1:NumberOfTYPEfiles
- load([MhDirectoryName M_.fname '_' type int2str(f2) '.mat']);
+ load([MhDirectoryName fname '_' type int2str(f2) '.mat']);
eval(['STOCK_' CAPtype '(:,:,1:+size(stock_' type ',3),idx+1:idx+size(stock_' type ',4))=stock_' ...
type '(jdx+1:jdx+NumberOfPeriodsPerTYPEfiles,:,:,:);'])
eval(['idx = idx + size(stock_' type ',4);'])
end
- %eval(['STOCK_' CAPtype ' = sort(STOCK_' CAPtype ',4);'])
- save([MhDirectoryName M_.fname '_' CAPtype 's' int2str(f1) '.mat'],['STOCK_' CAPtype]);
+ save([MhDirectoryName fname '_' CAPtype 's' int2str(f1) '.mat'],['STOCK_' CAPtype]);
jdx = jdx + NumberOfPeriodsPerTYPEfiles;
idx = 0;
end
if reste
eval(['STOCK_' CAPtype ' = zeros(reste,TYPEsize(2),TYPEsize(3),B);'])
for f2 = 1:NumberOfTYPEfiles
- load([MhDirectoryName M_.fname '_' type int2str(f2) '.mat']);
+ load([MhDirectoryName fname '_' type int2str(f2) '.mat']);
eval(['STOCK_' CAPtype '(:,:,:,idx+1:idx+size(stock_' type ',4))=stock_' type '(jdx+1:jdx+reste,:,:,:);'])
eval(['idx = idx + size(stock_' type ',4);'])
end
- %eval(['STOCK_' CAPtype ' = sort(STOCK_' CAPtype ',4);'])
- save([MhDirectoryName M_.fname '_' CAPtype 's' int2str(NumberOfTYPEfiles-foffset+1) '.mat'],['STOCK_' CAPtype]);
+ save([MhDirectoryName fname '_' CAPtype 's' int2str(NumberOfTYPEfiles-foffset+1) '.mat'],['STOCK_' CAPtype]);
end
else
- load([MhDirectoryName M_.fname '_' type '1.mat']);
- %eval(['STOCK_' CAPtype ' = sort(stock_' type ',4);'])
+ load([MhDirectoryName fname '_' type '1.mat']);
eval(['STOCK_' CAPtype ' = stock_' type ';'])
- save([MhDirectoryName M_.fname '_' CAPtype 's' int2str(1) '.mat'],['STOCK_' CAPtype ]);
+ save([MhDirectoryName fname '_' CAPtype 's' int2str(1) '.mat'],['STOCK_' CAPtype ]);
end
- % Original file format may be useful in some cases...
- % for file = 1:NumberOfTYPEfiles
- % delete([MhDirectoryName M_.fname '_' type int2str(file) '.mat'])
- % end
case 3
if NumberOfTYPEfiles>1
NumberOfPeriodsPerTYPEfiles = ceil( TYPEsize(2)/NumberOfTYPEfiles );
@@ -155,31 +151,24 @@ switch TYPEarray
for f1=1:NumberOfTYPEfiles-1
eval(['STOCK_' CAPtype ' = zeros(TYPEsize(1),NumberOfPeriodsPerTYPEfiles,B);'])
for f2 = 1:NumberOfTYPEfiles
- load([MhDirectoryName M_.fname '_' type int2str(f2) '.mat']);
+ load([MhDirectoryName fname '_' type int2str(f2) '.mat']);
eval(['STOCK_' CAPtype '(:,:,idx+1:idx+size(stock_ ' type ',3))=stock_' type '(:,jdx+1:jdx+NumberOfPeriodsPerTYPEfiles,:);'])
eval(['idx = idx + size(stock_' type ',3);'])
end
- %eval(['STOCK_' CAPtype ' = sort(STOCK_' CAPtype ',3);'])
- save([MhDirectoryName M_.fname '_' CAPtype 's' int2str(f1) '.mat'],['STOCK_' CAPtype]);
+ save([MhDirectoryName fname '_' CAPtype 's' int2str(f1) '.mat'],['STOCK_' CAPtype]);
jdx = jdx + NumberOfPeriodsPerTYPEfiles;
idx = 0;
end
eval(['STOCK_' CAPtype ' = zeros(TYPEsize(1),reste,B);'])
for f2 = 1:NumberOfTYPEfiles
- load([MhDirectoryName M_.fname '_' type int2str(f2) '.mat']);
+ load([MhDirectoryName fname '_' type int2str(f2) '.mat']);
eval(['STOCK_' CAPtype '(:,:,idx+1:idx+size(stock_' type ',3))=stock_' type '(:,jdx+1:jdx+reste,:);'])
eval(['idx = idx + size(stock_' type ',3);'])
end
- %eval(['STOCK_' CAPtype ' = sort(STOCK_' CAPtype ',3);'])
- save([MhDirectoryName M_.fname '_' CAPtype 's' int2str(NumberOfTYPEfiles) '.mat'],['STOCK_' CAPtype]);
+ save([MhDirectoryName fname '_' CAPtype 's' int2str(NumberOfTYPEfiles) '.mat'],['STOCK_' CAPtype]);
else
- load([MhDirectoryName M_.fname '_' type '1.mat']);
- %eval(['STOCK_' CAPtype ' = sort(stock_' type ',3);'])
+ load([MhDirectoryName fname '_' type '1.mat']);
eval(['STOCK_' CAPtype ' = stock_' type ';'])
- save([MhDirectoryName M_.fname '_' CAPtype 's' int2str(1) '.mat'],['STOCK_' CAPtype ]);
+ save([MhDirectoryName fname '_' CAPtype 's' int2str(1) '.mat'],['STOCK_' CAPtype ]);
end
- % Original file format may be useful in some cases...
- % for file = 1:NumberOfTYPEfiles
- % delete([MhDirectoryName M_.fname '_' type int2str(file) '.mat'])
- % end
end
\ No newline at end of file
diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m
index 4c63a2ccfc..94797144e8 100644
--- a/matlab/dynare_estimation_1.m
+++ b/matlab/dynare_estimation_1.m
@@ -225,70 +225,70 @@ if ~isequal(options_.mode_compute,0) && ~options_.mh_posterior_mode_estimation
current_optimizer = optimizer_vec{optim_iter};
[xparam1, fval, ~, hh, options_, Scale, new_rat_hess_info] = dynare_minimize_objective(objective_function,xparam1,current_optimizer,options_,[bounds.lb bounds.ub],bayestopt_.name,bayestopt_,hh,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
- fprintf('\nFinal value of minus the log posterior (or likelihood):%f \n', fval);
+ fprintf('\nFinal value of minus the log posterior (or likelihood):%f \n', fval);
if isnumeric(current_optimizer)
if current_optimizer==5
- newratflag = new_rat_hess_info.newratflag;
- new_rat_hess_info = new_rat_hess_info.new_rat_hess_info;
+ newratflag = new_rat_hess_info.newratflag;
+ new_rat_hess_info = new_rat_hess_info.new_rat_hess_info;
elseif current_optimizer==6 %save scaling factor
- save([M_.dname filesep 'Output' filesep M_.fname '_optimal_mh_scale_parameter.mat'],'Scale');
- options_.mh_jscale = Scale;
- bayestopt_.jscale(:) = options_.mh_jscale;
- end
+ save([M_.dname filesep 'Output' filesep M_.fname '_optimal_mh_scale_parameter.mat'],'Scale');
+ options_.mh_jscale = Scale;
+ bayestopt_.jscale(:) = options_.mh_jscale;
+ end
end
if ~isnumeric(current_optimizer) || ~isequal(current_optimizer,6) %always already computes covariance matrix
- if options_.cova_compute == 1 %user did not request covariance not to be computed
- if options_.analytic_derivation && strcmp(func2str(objective_function),'dsge_likelihood')
- ana_deriv_old = options_.analytic_derivation;
- options_.analytic_derivation = 2;
- [~,~,~,~,hh] = feval(objective_function,xparam1, ...
- dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
- options_.analytic_derivation = ana_deriv_old;
+ if options_.cova_compute == 1 %user did not request covariance not to be computed
+ if options_.analytic_derivation && strcmp(func2str(objective_function),'dsge_likelihood')
+ ana_deriv_old = options_.analytic_derivation;
+ options_.analytic_derivation = 2;
+ [~,~,~,~,hh] = feval(objective_function,xparam1, ...
+ dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,bounds,oo_);
+ options_.analytic_derivation = ana_deriv_old;
elseif ~isnumeric(current_optimizer) || ~(isequal(current_optimizer,5) && newratflag~=1 && strcmp(func2str(objective_function),'dsge_likelihood'))
- % enter here if i) not mode_compute_5, ii) if mode_compute_5 and newratflag==1;
- % with flag==0 or 2 and dsge_likelihood, we force to use
- % the hessian from outer product gradient of optimizer 5 below
- if options_.hessian.use_penalized_objective
- penalized_objective_function = str2func('penalty_objective_function');
- hh = hessian(penalized_objective_function, xparam1, options_.gstep, objective_function, fval, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds,oo_);
- else
- hh = hessian(objective_function, xparam1, options_.gstep, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds,oo_);
- end
- hh = reshape(hh, nx, nx);
+ % enter here if i) not mode_compute_5, ii) if mode_compute_5 and newratflag==1;
+ % with flag==0 or 2 and dsge_likelihood, we force to use
+ % the hessian from outer product gradient of optimizer 5 below
+ if options_.hessian.use_penalized_objective
+ penalized_objective_function = str2func('penalty_objective_function');
+ hh = hessian(penalized_objective_function, xparam1, options_.gstep, objective_function, fval, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds,oo_);
+ else
+ hh = hessian(objective_function, xparam1, options_.gstep, dataset_, dataset_info, options_, M_, estim_params_, bayestopt_, bounds,oo_);
+ end
+ hh = reshape(hh, nx, nx);
elseif isnumeric(current_optimizer) && isequal(current_optimizer,5)
- % other numerical hessian options available with optimizer
- % 5 and dsge_likelihood
- %
- % if newratflag == 0
- % compute outer product gradient of optimizer 5
- %
- % if newratflag == 2
- % compute 'mixed' outer product gradient of optimizer 5
- % with diagonal elements computed with numerical second order derivatives
- %
- % uses univariate filters, so to get max # of available
- % densities for outer product gradient
- kalman_algo0 = options_.kalman_algo;
- compute_hessian = 1;
- if ~((options_.kalman_algo == 2) || (options_.kalman_algo == 4))
- options_.kalman_algo=2;
- if options_.lik_init == 3
- options_.kalman_algo=4;
- end
- elseif newratflag==0 % hh already contains outer product gradient with univariate filter
- compute_hessian = 0;
- end
- if compute_hessian
- crit = options_.newrat.tolerance.f;
- newratflag = newratflag>0;
- hh = reshape(mr_hessian(xparam1,objective_function,fval,newratflag,crit,new_rat_hess_info,[bounds.lb bounds.ub],bayestopt_.p2,0,dataset_, dataset_info, options_,M_,estim_params_,bayestopt_,bounds,oo_), nx, nx);
+ % other numerical hessian options available with optimizer
+ % 5 and dsge_likelihood
+ %
+ % if newratflag == 0
+ % compute outer product gradient of optimizer 5
+ %
+ % if newratflag == 2
+ % compute 'mixed' outer product gradient of optimizer 5
+ % with diagonal elements computed with numerical second order derivatives
+ %
+ % uses univariate filters, so to get max # of available
+ % densities for outer product gradient
+ kalman_algo0 = options_.kalman_algo;
+ compute_hessian = 1;
+ if ~((options_.kalman_algo == 2) || (options_.kalman_algo == 4))
+ options_.kalman_algo=2;
+ if options_.lik_init == 3
+ options_.kalman_algo=4;
end
- options_.kalman_algo = kalman_algo0;
+ elseif newratflag==0 % hh already contains outer product gradient with univariate filter
+ compute_hessian = 0;
end
+ if compute_hessian
+ crit = options_.newrat.tolerance.f;
+ newratflag = newratflag>0;
+ hh = reshape(mr_hessian(xparam1,objective_function,fval,newratflag,crit,new_rat_hess_info,[bounds.lb bounds.ub],bayestopt_.p2,0,dataset_, dataset_info, options_,M_,estim_params_,bayestopt_,bounds,oo_), nx, nx);
+ end
+ options_.kalman_algo = kalman_algo0;
end
end
- parameter_names = bayestopt_.name;
+ end
+ parameter_names = bayestopt_.name;
end
if options_.cova_compute || current_optimizer==5 || current_optimizer==6
save([M_.dname filesep 'Output' filesep M_.fname '_mode.mat'],'xparam1','hh','parameter_names','fval');
@@ -472,7 +472,7 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
if error_flag
error('%s: I cannot compute the posterior IRFs!',dispString)
end
- PosteriorIRF('posterior',dispString);
+ oo_=PosteriorIRF('posterior',options_,estim_params_,oo_,M_,bayestopt_,dataset_,dataset_info,dispString);
end
if options_.moments_varendo
if error_flag
@@ -504,7 +504,7 @@ if (any(bayestopt_.pshape >0 ) && options_.mh_replic) || ...
error('%s: I cannot compute the posterior statistics!',dispString)
end
if options_.order==1 && ~options_.particle.status
- prior_posterior_statistics('posterior',dataset_,dataset_info,dispString); %get smoothed and filtered objects and forecasts
+ oo_=prior_posterior_statistics('posterior',dataset_,dataset_info,M_,oo_,options_,estim_params_,bayestopt_,dispString); %get smoothed and filtered objects and forecasts
else
error('%s: Particle Smoothers are not yet implemented.',dispString)
end
diff --git a/matlab/dynare_sensitivity.m b/matlab/dynare_sensitivity.m
index 4a3389d225..9adfc643a5 100644
--- a/matlab/dynare_sensitivity.m
+++ b/matlab/dynare_sensitivity.m
@@ -410,9 +410,9 @@ if options_gsa.rmse
end
end
- prior_posterior_statistics('gsa',dataset_, dataset_info,'gsa::mcmc');
+ oo_=prior_posterior_statistics('gsa',dataset_, dataset_info,M_,oo_,options_,estim_params_,bayestopt_,'gsa::mcmc');
if options_.bayesian_irf
- PosteriorIRF('gsa','gsa::mcmc');
+ oo_=PosteriorIRF('gsa',options_,estim_params_,oo_,M_,bayestopt_,dataset_,dataset_info,'gsa::mcmc');
end
options_gsa.load_rmse=0;
% else
diff --git a/matlab/pm3.m b/matlab/pm3.m
index 3800cd5156..d08b068304 100644
--- a/matlab/pm3.m
+++ b/matlab/pm3.m
@@ -1,4 +1,4 @@
-function pm3(n1,n2,ifil,B,tit1,tit2,tit3,tit_tex,names1,names2,name3,DirectoryName,var_type,dispString)
+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.
%
@@ -8,8 +8,7 @@ function pm3(n1,n2,ifil,B,tit1,tit2,tit3,tit_tex,names1,names2,name3,DirectoryNa
% ifil [scalar] number of moment files to load
% B [scalar] number of subdraws
% tit1 [string] Figure title
-% tit2 [string] not used
-% tit3 [string] Save name for figure
+% 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
@@ -20,6 +19,10 @@ function pm3(n1,n2,ifil,B,tit1,tit2,tit3,tit_tex,names1,names2,name3,DirectoryNa
% 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.
@@ -42,8 +45,6 @@ function pm3(n1,n2,ifil,B,tit1,tit2,tit3,tit_tex,names1,names2,name3,DirectoryNa
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-global options_ M_ oo_
-
nn = 3;
MaxNumberOfPlotsPerFigure = nn^2; % must be square
varlist = names2;
@@ -284,9 +285,7 @@ if strcmp(var_type,'_trend_coeff') || max(max(abs(Mean(:,:))))<=10^(-6) || all(a
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
@@ -297,8 +296,6 @@ if ~options_.nograph && ~options_.no_graph.posterior
%
% %%% The file .TeX! are not saved in parallel.
-
-
% Store the variable mandatory for local/remote parallel computing.
localVars=[];
@@ -313,8 +310,14 @@ if ~options_.nograph && ~options_.no_graph.posterior
end
localVars.MaxNumberOfPlotsPerFigure=MaxNumberOfPlotsPerFigure;
localVars.name3=name3;
- localVars.tit3=tit3;
+ 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;
@@ -332,16 +335,13 @@ if ~options_.nograph && ~options_.no_graph.posterior
if isRemoteOctave
fout = pm3_core(localVars,1,nvar,0);
else
- globalVars = struct('M_',M_, ...
- 'options_', options_, ...
- 'oo_', oo_);
+ globalVars = [];
[fout, nvar0, totCPU] = 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
@@ -365,8 +365,8 @@ if ~options_.nograph && ~options_.no_graph.posterior
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, tit3{i});
- fprintf(fidTeX,'\\label{Fig:%s:%s}\n',name3,tit3{i});
+ 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');
diff --git a/matlab/pm3_core.m b/matlab/pm3_core.m
index 343c708975..f820ed2337 100644
--- a/matlab/pm3_core.m
+++ b/matlab/pm3_core.m
@@ -1,13 +1,23 @@
function myoutput=pm3_core(myinputs,fpar,nvar,whoiam, ThisMatlab)
-
+% myoutput=pm3_core(myinputs,fpar,nvar,whoiam, ThisMatlab)
% PARALLEL CONTEXT
% Core functionality for pm3.m function, which can be parallelized.
% INPUTS
-% See the comment in posterior_sampler_core.m funtion.
-
+% o myimput [struc] The mandatory variables for local/remote
+% parallel computing obtained from prior_posterior_statistics.m
+% function.
+% o fpar and nvar [integer] first variable and number of variables
+% o whoiam [integer] In concurrent programming a modality to refer to the different threads running in parallel is needed.
+% The integer whoaim is the integer that
+% allows us to distinguish between them. Then it is the index number of this CPU among all CPUs in the
+% cluster.
+% o ThisMatlab [integer] Allows us to distinguish between the
+% 'main' Matlab, the slave Matlab worker, local Matlab, remote Matlab,
+% ... Then it is the index number of this slave machine in the cluster.
+%
% OUTPUTS
-% o myoutput [struc]
+% o myoutput [struct] Contains file names
%
%
% SPECIAL REQUIREMENTS.
@@ -45,16 +55,18 @@ varlist=myinputs.varlist;
MaxNumberOfPlotsPerFigure=myinputs.MaxNumberOfPlotsPerFigure;
name3=myinputs.name3;
-tit3=myinputs.tit3;
+tit2=myinputs.tit2;
Mean=myinputs.Mean;
+options_.TeX=myinputs.TeX;
+options_.nodisplay=myinputs.nodisplay;
+options_.graph_format=myinputs.graph_format;
+fname=myinputs.fname;
+dname=myinputs.dname;
if whoiam
Parallel=myinputs.Parallel;
end
-
-global options_ M_ oo_
-
if options_.TeX
varlist_TeX=myinputs.varlist_TeX;
end
@@ -64,8 +76,6 @@ if whoiam
h = dyn_waitbar(prct0,'Parallel plots pm3 ...');
end
-
-
figunumber = 0;
subplotnum = 0;
hh_fig = dyn_figure(options_.nodisplay,'Name',[tit1 ' ' int2str(figunumber+1)]);
@@ -110,14 +120,14 @@ for i=fpar:nvar
if whoiam
if Parallel(ThisMatlab).Local==0
- DirectoryName = CheckPath('Output',M_.dname);
+ DirectoryName = CheckPath('Output',dname);
end
end
if subplotnum == MaxNumberOfPlotsPerFigure || i == nvar
- dyn_saveas(hh_fig,[M_.dname '/Output/' M_.fname '_' name3 '_' tit3{i}],options_.nodisplay,options_.graph_format);
+ dyn_saveas(hh_fig,[dname '/Output/' fname '_' name3 '_' tit2{i}],options_.nodisplay,options_.graph_format);
if RemoteFlag==1
- OutputFileName = [OutputFileName; {[M_.dname, filesep, 'Output',filesep], [M_.fname '_' name3 '_' deblank(tit3(i,:)) '.*']}];
+ OutputFileName = [OutputFileName; {[dname, filesep, 'Output',filesep], [fname '_' name3 '_' deblank(tit2(i,:)) '.*']}];
end
subplotnum = 0;
figunumber = figunumber+1;
@@ -127,12 +137,8 @@ for i=fpar:nvar
end
if whoiam
- % waitbarString = [ 'Variable ' int2str(i) '/' int2str(nvar) ' done.'];
- % fMessageStatus((i-fpar+1)/(nvar-fpar+1),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab));
dyn_waitbar((i-fpar+1)/(nvar-fpar+1),h);
end
-
-
end
if whoiam
diff --git a/matlab/prior_posterior_statistics.m b/matlab/prior_posterior_statistics.m
index 4bdddfd2d8..58f428c5a1 100644
--- a/matlab/prior_posterior_statistics.m
+++ b/matlab/prior_posterior_statistics.m
@@ -1,17 +1,19 @@
-function prior_posterior_statistics(type,dataset,dataset_info,dispString)
-% function prior_posterior_statistics(type,dataset,dataset_info,dispString)
+function oo_=prior_posterior_statistics(type,dataset_,dataset_info,M_,oo_,options_,estim_params_,bayestopt_,dispString)
+% oo_=prior_posterior_statistics(type,dataset_,dataset_info,M_,oo_,options_,estim_params_,bayestopt_,dispString))
% Computes Monte Carlo filter smoother and forecasts
%
% INPUTS
-% type: posterior
-% prior
-% gsa
-% dataset: data structure
-% dataset_info: dataset structure
-% dispString: string to display in the command window
-%
+% type [string] posterior, prior, or gsa
+% o dataset_ [structure] storing the dataset
+% o dataset_info [structure] Various information about the dataset
+% o M_ [structure] storing the model information
+% o oo_ [structure] storing the results
+% o options_ [structure] storing the options
+% o estim_params_ [structure] storing information about estimated parameters
+% o bayestopt_ [structure] storing information about priors
+% dispString: [string] display info in the command window
% OUTPUTS
-% none
+% oo_: [structure] storing the results
%
% SPECIAL REQUIREMENTS
% none
@@ -37,36 +39,23 @@ function prior_posterior_statistics(type,dataset,dataset_info,dispString)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-if nargin < 4
+if nargin < 9
dispString = 'prior_posterior_statistics';
end
-
-global options_ estim_params_ oo_ M_ bayestopt_
-
localVars=[];
-Y = transpose(dataset.data);
-gend = dataset.nobs;
-data_index = dataset_info.missing.aindex;
-missing_value = dataset_info.missing.state;
-mean_varobs = dataset_info.descriptive.mean;
-
+Y = transpose(dataset_.data);
+gend = dataset_.nobs;
-nvx = estim_params_.nvx;
nvn = estim_params_.nvn;
-ncx = estim_params_.ncx;
-ncn = estim_params_.ncn;
-np = estim_params_.np ;
-npar = nvx+nvn+ncx+ncn+np;
+npar = estim_params_.nvx+nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.np;
naK = length(options_.filter_step_ahead);
MaxNumberOfBytes=options_.MaxNumberOfBytes;
endo_nbr=M_.endo_nbr;
exo_nbr=M_.exo_nbr;
meas_err_nbr=length(M_.Correlation_matrix_ME);
-iendo = 1:endo_nbr;
horizon = options_.forecast;
-IdObs = bayestopt_.mfys;
if horizon
i_last_obs = gend+(1-M_.maximum_endo_lag:0);
end
@@ -130,13 +119,6 @@ varlist = options_.varlist;
if isempty(varlist)
varlist = sort(M_.endo_names(1:M_.orig_endo_nbr));
end
-nvar = length(varlist);
-SelecVariables = [];
-for i=1:nvar
- if ~isempty(strmatch(varlist{i}, M_.endo_names, 'exact'))
- SelecVariables = [SelecVariables; strmatch(varlist{i}, M_.endo_names, 'exact')];
- end
-end
n_variables_to_fill=13;
@@ -171,17 +153,17 @@ localVars.filter_covariance=filter_covariance;
localVars.smoothed_state_uncertainty=smoothed_state_uncertainty;
localVars.gend=gend;
localVars.Y=Y;
-localVars.data_index=data_index;
-localVars.missing_value=missing_value;
+localVars.data_index=dataset_info.missing.aindex;
+localVars.missing_value=dataset_info.missing.state;
localVars.varobs=options_.varobs;
-localVars.mean_varobs=mean_varobs;
+localVars.mean_varobs=dataset_info.descriptive.mean;
localVars.irun=irun;
localVars.endo_nbr=endo_nbr;
localVars.nvn=nvn;
localVars.naK=naK;
localVars.horizon=horizon;
-localVars.iendo=iendo;
-localVars.IdObs=IdObs;
+localVars.iendo=1:endo_nbr;
+localVars.IdObs=bayestopt_.mfys;
if horizon
localVars.i_last_obs=i_last_obs;
localVars.MAX_nforc1=MAX_nforc1;
@@ -212,6 +194,13 @@ localVars.MAX_momentsno = MAX_momentsno;
localVars.ifil=ifil;
localVars.DirectoryName = DirectoryName;
+localVars.M_=M_;
+localVars.oo_=oo_;
+localVars.options_=options_;
+localVars.estim_params_=estim_params_;
+localVars.bayestopt_=bayestopt_;
+
+
if strcmpi(type,'posterior')
record=load_last_mh_history_file(DirectoryName, M_.fname);
[nblck, npar] = size(record.LastParameters);
@@ -290,11 +279,7 @@ else
end
end
localVars.ifil = ifil;
- globalVars = struct('M_',M_, ...
- 'options_', options_, ...
- 'bayestopt_', bayestopt_, ...
- 'estim_params_', estim_params_, ...
- 'oo_', oo_);
+ globalVars = [];
% which files have to be copied to run remotely
NamFileInput(1,:) = {'',[M_.fname '.static.m']};
NamFileInput(2,:) = {'',[M_.fname '.dynamic.m']};
@@ -330,28 +315,28 @@ if ~isnumeric(options_.parallel)
end
if options_.smoother
- pm3(endo_nbr,gend,ifil(1),B,'Smoothed variables',...
- '',varlist, M_.endo_names_tex,M_.endo_names,...
+ oo_=pm3(M_,options_,oo_,endo_nbr,gend,ifil(1),B,'Smoothed variables',...
+ varlist, M_.endo_names_tex,M_.endo_names,...
varlist,'SmoothedVariables',DirectoryName,'_smooth',dispString);
- pm3(exo_nbr,gend,ifil(2),B,'Smoothed shocks',...
- '',M_.exo_names,M_.exo_names_tex,M_.exo_names,...
+ oo_=pm3(M_,options_,oo_,exo_nbr,gend,ifil(2),B,'Smoothed shocks',...
+ M_.exo_names,M_.exo_names_tex,M_.exo_names,...
M_.exo_names,'SmoothedShocks',DirectoryName,'_inno',dispString);
- pm3(endo_nbr,1,ifil(9),B,'Trend_coefficients',...
- '',varlist,M_.endo_names_tex,M_.endo_names,...
+ oo_=pm3(M_,options_,oo_,endo_nbr,1,ifil(9),B,'Trend_coefficients',...
+ varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'TrendCoeff',DirectoryName,'_trend_coeff',dispString);
- pm3(endo_nbr,gend,ifil(10),B,'Smoothed constant',...
- '',varlist,M_.endo_names_tex,M_.endo_names,...
+ oo_=pm3(M_,options_,oo_,endo_nbr,gend,ifil(10),B,'Smoothed constant',...
+ varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'Constant',DirectoryName,'_smoothed_constant',dispString);
- pm3(endo_nbr,gend,ifil(11),B,'Smoothed trend',...
- '',varlist,M_.endo_names_tex,M_.endo_names,...
+ oo_=pm3(M_,options_,oo_,endo_nbr,gend,ifil(11),B,'Smoothed trend',...
+ varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'Trend',DirectoryName,'_smoothed_trend',dispString);
- pm3(endo_nbr,gend,ifil(1),B,'Updated Variables',...
- '',varlist,M_.endo_names_tex,M_.endo_names,...
+ oo_=pm3(M_,options_,oo_,endo_nbr,gend,ifil(1),B,'Updated Variables',...
+ varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'UpdatedVariables',DirectoryName, ...
'_update',dispString);
if smoothed_state_uncertainty
- pm3(endo_nbr,endo_nbr,ifil(13),B,'State Uncertainty',...
- '',varlist,M_.endo_names_tex,M_.endo_names,...
+ oo_=pm3(M_,options_,oo_,endo_nbr,endo_nbr,ifil(13),B,'State Uncertainty',...
+ varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'StateUncertainty',DirectoryName,'_state_uncert',dispString);
end
@@ -360,24 +345,24 @@ if options_.smoother
meas_error_names{obs_iter,1}=['SE_EOBS_' M_.endo_names{strmatch(options_.varobs{obs_iter},M_.endo_names,'exact')}];
texnames{obs_iter,1}=['\sigma^{ME}_' M_.endo_names_tex{strmatch(options_.varobs{obs_iter},M_.endo_names,'exact')}];
end
- pm3(meas_err_nbr,gend,ifil(3),B,'Smoothed measurement errors',...
- '',meas_error_names,texnames,meas_error_names,...
- meas_error_names,'SmoothedMeasurementErrors',DirectoryName,'_error',dispString)
+ oo_=pm3(M_,options_,oo_,meas_err_nbr,gend,ifil(3),B,'Smoothed measurement errors',...
+ meas_error_names,texnames,meas_error_names,...
+ meas_error_names,'SmoothedMeasurementErrors',DirectoryName,'_error',dispString);
end
end
if options_.filtered_vars
- pm3(endo_nbr,gend,ifil(4),B,'One step ahead forecast (filtered variables)',...
- '',varlist,M_.endo_names_tex,M_.endo_names,...
+ oo_=pm3(M_,options_,oo_,endo_nbr,gend,ifil(4),B,'One step ahead forecast (filtered variables)',...
+ varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'FilteredVariables',DirectoryName,'_filter_step_ahead',dispString);
end
if options_.forecast
- pm3(endo_nbr,horizon,ifil(6),B,'Forecasted variables (mean)',...
- '',varlist,M_.endo_names_tex,M_.endo_names,...
+ oo_=pm3(M_,options_,oo_,endo_nbr,horizon,ifil(6),B,'Forecasted variables (mean)',...
+ varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'MeanForecast',DirectoryName,'_forc_mean',dispString);
- pm3(endo_nbr,horizon,ifil(7),B,'Forecasted variables (point)',...
- '',varlist,M_.endo_names_tex,M_.endo_names,...
+ oo_=pm3(M_,options_,oo_,endo_nbr,horizon,ifil(7),B,'Forecasted variables (point)',...
+ varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'PointForecast',DirectoryName,'_forc_point',dispString);
if ~isequal(M_.H,0) && ~isempty(intersect(options_.varobs,varlist))
texnames = cell(length(options_.varobs), 1);
@@ -387,15 +372,15 @@ if options_.forecast
texnames{obs_iter}=M_.endo_names_tex{strmatch(options_.varobs{obs_iter},M_.endo_names,'exact')};
end
varlist_forecast_ME=intersect(options_.varobs,varlist);
- pm3(meas_err_nbr,horizon,ifil(12),B,'Forecasted variables (point) with ME',...
- '',varlist_forecast_ME,texnames,obs_names,...
- varlist_forecast_ME,'PointForecastME',DirectoryName,'_forc_point_ME',dispString)
+ oo_=pm3(M_,options_,oo_,meas_err_nbr,horizon,ifil(12),B,'Forecasted variables (point) with ME',...
+ varlist_forecast_ME,texnames,obs_names,...
+ varlist_forecast_ME,'PointForecastME',DirectoryName,'_forc_point_ME',dispString);
end
end
if options_.filter_covariance
- pm3(endo_nbr,endo_nbr,ifil(8),B,'Filtered covariances',...
- '',varlist,M_.endo_names_tex,M_.endo_names,...
+ oo_=pm3(M_,options_,oo_,endo_nbr,endo_nbr,ifil(8),B,'Filtered covariances',...
+ varlist,M_.endo_names_tex,M_.endo_names,...
varlist,'FilterCovariance',DirectoryName,'_filter_covar',dispString);
end
diff --git a/matlab/prior_posterior_statistics_core.m b/matlab/prior_posterior_statistics_core.m
index babb70c3b3..74ee479e95 100644
--- a/matlab/prior_posterior_statistics_core.m
+++ b/matlab/prior_posterior_statistics_core.m
@@ -47,14 +47,17 @@ function myoutput=prior_posterior_statistics_core(myinputs,fpar,B,whoiam, ThisMa
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-global options_ oo_ M_ bayestopt_ estim_params_
-
if nargin<4
whoiam=0;
end
% Reshape 'myinputs' for local computation.
% In order to avoid confusion in the name space, the instruction struct2local(myinputs) is replaced by:
+M_=myinputs.M_;
+oo_=myinputs.oo_;
+options_=myinputs.options_;
+estim_params_=myinputs.estim_params_;
+bayestopt_=myinputs.bayestopt_;
type=myinputs.type;
run_smoother=myinputs.run_smoother;
diff --git a/tests/estimation/fs2000.mod b/tests/estimation/fs2000.mod
index eaaddf7de6..13f686415b 100644
--- a/tests/estimation/fs2000.mod
+++ b/tests/estimation/fs2000.mod
@@ -132,4 +132,4 @@ oo_.MarginalDensity.LaplaceApproximation = Laplace; %reset correct Laplace
%test prior sampling
options_.prior_draws=100;
options_.no_graph.posterior=0;
-prior_posterior_statistics('prior',dataset_,dataset_info); %get smoothed and filtered objects and forecasts
+oo_=prior_posterior_statistics('prior',dataset_,dataset_info,M_,oo_,options_,estim_params_,bayestopt_); %get smoothed and filtered objects and forecasts
--
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