From 8a09c61adb1c1899ed902647e09b9881c0e83c38 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Mon, 10 Aug 2015 18:43:49 +0200
Subject: [PATCH] Redefine oo_.posterior_std and add oo_.posterior_std_at_mode
Makes clear that oo_.posterior_std_at_mode comes from mode-finding while oo_.posterior_std comes from MCMC
---
doc/dynare.texi | 29 +++++++++++++++++++++--
matlab/GetPosteriorParametersStatistics.m | 1 +
matlab/convert_dyn_45_to_44.m | 6 +++++
matlab/display_estimation_results_table.m | 10 ++++----
4 files changed, 39 insertions(+), 7 deletions(-)
diff --git a/doc/dynare.texi b/doc/dynare.texi
index 6a553ff45e..000fa02424 100644
--- a/doc/dynare.texi
+++ b/doc/dynare.texi
@@ -5975,13 +5975,22 @@ Variable set by the @code{estimation} command, if it is used with
@end defvr
@defvr {MATLAB/Octave variable} oo_.posterior_mode
-Variable set by the @code{estimation} command, if it is used with
-@code{mh_replic > 0} or @code{load_mh_file} option. Fields are of the form:
+Variable set by the @code{estimation} command during mode-finding. Fields are
+of the form:
@example
@code{oo_.posterior_mode.@var{ESTIMATED_OBJECT}.@var{VARIABLE_NAME}}
@end example
@end defvr
+@defvr {MATLAB/Octave variable} oo_.posterior_std_at_mode
+Variable set by the @code{estimation} command during mode-finding. It is based on the
+inverse Hessian at @code{oo_.posterior_mode}. Fields are
+of the form:
+@example
+@code{oo_.posterior_std_at_mode.@var{ESTIMATED_OBJECT}.@var{VARIABLE_NAME}}
+@end example
+@end defvr
+
@defvr {MATLAB/Octave variable} oo_.posterior_std
Variable set by the @code{estimation} command, if it is used with
@code{mh_replic > 0} or @code{load_mh_file} option. Fields are of the form:
@@ -5990,6 +5999,22 @@ Variable set by the @code{estimation} command, if it is used with
@end example
@end defvr
+@defvr {MATLAB/Octave variable} oo_.posterior_var
+Variable set by the @code{estimation} command, if it is used with
+@code{mh_replic > 0} or @code{load_mh_file} option. Fields are of the form:
+@example
+@code{oo_.posterior_var.@var{ESTIMATED_OBJECT}.@var{VARIABLE_NAME}}
+@end example
+@end defvr
+
+@defvr {MATLAB/Octave variable} oo_.posterior_median
+Variable set by the @code{estimation} command, if it is used with
+@code{mh_replic > 0} or @code{load_mh_file} option. Fields are of the form:
+@example
+@code{oo_.posterior_median.@var{ESTIMATED_OBJECT}.@var{VARIABLE_NAME}}
+@end example
+@end defvr
+
Here are some examples of generated variables:
@example
diff --git a/matlab/GetPosteriorParametersStatistics.m b/matlab/GetPosteriorParametersStatistics.m
index f674e071f8..84e9ee1a9e 100644
--- a/matlab/GetPosteriorParametersStatistics.m
+++ b/matlab/GetPosteriorParametersStatistics.m
@@ -382,6 +382,7 @@ eval(['oo.posterior_hpdinf.' type '.' name ' = hpdinterval(1);']);
eval(['oo.posterior_hpdsup.' type '.' name ' = hpdinterval(2);']);
eval(['oo.posterior_median.' type '.' name ' = postmedian;']);
eval(['oo.posterior_variance.' type '.' name ' = postvar;']);
+eval(['oo.posterior_std.' type '.' name ' = sqrt(postvar);']);
eval(['oo.posterior_deciles.' type '.' name ' = postdecile;']);
eval(['oo.posterior_density.' type '.' name ' = density;']);
diff --git a/matlab/convert_dyn_45_to_44.m b/matlab/convert_dyn_45_to_44.m
index ed1e704af7..392a7457ab 100644
--- a/matlab/convert_dyn_45_to_44.m
+++ b/matlab/convert_dyn_45_to_44.m
@@ -87,3 +87,9 @@ if isfield(oo_,'FilteredVariables')
end
end
end
+
+%% set old field posterior_std and remove new field posterior_std_at_mode
+if isfield(oo_,'posterior_std_at_mode')
+ oo_.posterior_std=oo_.posterior_std_at_mode;
+ oo_=rmfield(oo_,'posterior_std_at_mode');
+end
diff --git a/matlab/display_estimation_results_table.m b/matlab/display_estimation_results_table.m
index 334182bcb3..d813d3f5ae 100644
--- a/matlab/display_estimation_results_table.m
+++ b/matlab/display_estimation_results_table.m
@@ -73,7 +73,7 @@ if np
header_width,name,xparam1(ip),stdh(ip),tstath(ip));
end
eval(['oo_.' field_name '_mode.parameters.' name ' = xparam1(ip);']);
- eval(['oo_.' field_name '_std.parameters.' name ' = stdh(ip);']);
+ eval(['oo_.' field_name '_std_at_mode.parameters.' name ' = stdh(ip);']);
ip = ip+1;
end
skipline()
@@ -95,7 +95,7 @@ if nvx
end
M_.Sigma_e(k,k) = xparam1(ip)*xparam1(ip);
eval(['oo_.' field_name '_mode.shocks_std.' name ' = xparam1(ip);']);
- eval(['oo_.' field_name '_std.shocks_std.' name ' = stdh(ip);']);
+ eval(['oo_.' field_name '_std_at_mode.shocks_std.' name ' = stdh(ip);']);
ip = ip+1;
end
skipline()
@@ -116,7 +116,7 @@ if nvx
fprintf('%-*s %8.4f %7.4f %7.4f \n',header_width,name,xparam1(ip),stdh(ip),tstath(ip))
end
eval(['oo_.' field_name '_mode.measurement_errors_std.' name ' = xparam1(ip);']);
- eval(['oo_.' field_name '_std.measurement_errors_std.' name ' = stdh(ip);']);
+ eval(['oo_.' field_name '_std_at_mode.measurement_errors_std.' name ' = stdh(ip);']);
ip = ip+1;
end
skipline()
@@ -141,7 +141,7 @@ if ncx
M_.Sigma_e(k1,k2) = xparam1(ip)*sqrt(M_.Sigma_e(k1,k1)*M_.Sigma_e(k2,k2));
M_.Sigma_e(k2,k1) = M_.Sigma_e(k1,k2);
eval(['oo_.' field_name '_mode.shocks_corr.' NAME ' = xparam1(ip);']);
- eval(['oo_.' field_name '_std.shocks_corr.' NAME ' = stdh(ip);']);
+ eval(['oo_.' field_name '_std_at_mode.shocks_corr.' NAME ' = stdh(ip);']);
ip = ip+1;
end
skipline()
@@ -164,7 +164,7 @@ if ncn
fprintf('%-*s %8.4f %7.4f %7.4f \n',header_width,name,xparam1(ip),stdh(ip),tstath(ip));
end
eval(['oo_.' field_name '_mode.measurement_errors_corr.' NAME ' = xparam1(ip);']);
- eval(['oo_.' field_name '_std.measurement_errors_corr.' NAME ' = stdh(ip);']);
+ eval(['oo_.' field_name '_std_at_mode.measurement_errors_corr.' NAME ' = stdh(ip);']);
ip = ip+1;
end
skipline()
--
GitLab