diff --git a/matlab/GetOneDraw.m b/matlab/GetOneDraw.m
index 2d7564cc4a485a2d8d1983e5beea7278a2b35942..e7ea3e7f7785d53a3f659fb116f8d14f73879766 100644
--- a/matlab/GetOneDraw.m
+++ b/matlab/GetOneDraw.m
@@ -36,4 +36,5 @@ switch type
[xparams, logpost] = metropolis_draw(0);
case 'prior'
xparams = prior_draw(0);
+ logpost = evaluate_posterior_kernel(xparams');
end
\ No newline at end of file
diff --git a/matlab/PosteriorIRF.m b/matlab/PosteriorIRF.m
index b4abf2d099681129da9ecc3f3c9ce787af531a22..691bac6dff1a5ae69466fb5945e8dbd93f47f310 100644
--- a/matlab/PosteriorIRF.m
+++ b/matlab/PosteriorIRF.m
@@ -80,7 +80,11 @@ DirectoryName = CheckPath('Output');
if strcmpi(type,'posterior')
MhDirectoryName = CheckPath('metropolis');
elseif strcmpi(type,'gsa')
- MhDirectoryName = CheckPath('GSA');
+ if options_.opt_gsa.pprior
+ MhDirectoryName = CheckPath(['GSA' filesep 'prior']);
+ else
+ MhDirectoryName = CheckPath(['GSA' filesep 'mc']);
+ end
else
MhDirectoryName = CheckPath('prior');
end
@@ -91,7 +95,12 @@ if strcmpi(type,'posterior')
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
elseif strcmpi(type,'gsa')
- load([ MhDirectoryName filesep M_.fname '_prior.mat'],'lpmat0','lpmat','istable')
+ RootDirectoryName = CheckPath('gsa');
+ if options_.opt_gsa.pprior
+ load([ RootDirectoryName filesep M_.fname '_prior.mat'],'lpmat0','lpmat','istable')
+ else
+ load([ RootDirectoryName filesep M_.fname '_mc.mat'],'lpmat0','lpmat','istable')
+ end
x=[lpmat0(istable,:) lpmat(istable,:)];
clear lpmat istable
NumberOfDraws=size(x,1);
@@ -193,6 +202,7 @@ localVars.MAX_nruns=MAX_nruns;
localVars.NumberOfIRFfiles_dsge=NumberOfIRFfiles_dsge;
localVars.NumberOfIRFfiles_dsgevar=NumberOfIRFfiles_dsgevar;
localVars.ifil2=ifil2;
+localVars.MhDirectoryName=MhDirectoryName;
% Like sequential execution!
if isnumeric(options_.parallel),
@@ -238,7 +248,7 @@ if nosaddle
disp(['PosteriorIRF :: Percentage of discarded posterior draws = ' num2str(nosaddle/(B+nosaddle))])
end
-ReshapeMatFiles('irf_dsge')
+ReshapeMatFiles('irf_dsge',type)
if MAX_nirfs_dsgevar
ReshapeMatFiles('irf_bvardsge')
end
diff --git a/matlab/PosteriorIRF_core1.m b/matlab/PosteriorIRF_core1.m
index a4ed0f633d55b83710afd64a8a2c7190b7998323..c0d7e63f8ab33a4b1a5363946b56026f0115a07e 100644
--- a/matlab/PosteriorIRF_core1.m
+++ b/matlab/PosteriorIRF_core1.m
@@ -82,7 +82,7 @@ if whoiam
end
-MhDirectoryName = CheckPath('metropolis');
+MhDirectoryName = myinputs.MhDirectoryName;
RemoteFlag = 0;
diff --git a/matlab/ReshapeMatFiles.m b/matlab/ReshapeMatFiles.m
index ad44331c7b7ecf38f949ddfc21145a643da8df0f..933ad8550b97fb802e8ff9af5a7e4d776c3c944e 100644
--- a/matlab/ReshapeMatFiles.m
+++ b/matlab/ReshapeMatFiles.m
@@ -54,8 +54,10 @@ else
MhDirectoryName = [CheckPath('GSA\SCREEN') filesep ];
elseif options_.opt_gsa.morris==2,
MhDirectoryName = [CheckPath('GSA\IDENTIF') filesep ];
+ elseif options_.opt_gsa.pprior
+ MhDirectoryName = [CheckPath(['GSA' filesep 'prior']) filesep ];
else
- MhDirectoryName = [CheckPath('GSA') filesep ];
+ MhDirectoryName = [CheckPath(['GSA' filesep 'mc']) filesep ];
end
else
MhDirectoryName = [CheckPath('prior') filesep ];
diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m
index 33295707bf3d359561aeb00d4c5ed046692e26aa..4fa2a91b05032deae2ec584847402e9133534b14 100644
--- a/matlab/dynare_estimation_init.m
+++ b/matlab/dynare_estimation_init.m
@@ -1,4 +1,4 @@
-function [data,rawdata,xparam1]=dynare_estimation_init(var_list_, dname, gsa_flag)
+function [data,rawdata,xparam1,data_info]=dynare_estimation_init(var_list_, dname, gsa_flag)
% function dynare_estimation_init(var_list_, gsa_flag)
% preforms initialization tasks before estimation or
@@ -39,6 +39,14 @@ global M_ options_ oo_ estim_params_ bayestopt_
if nargin < 3 || isempty(gsa_flag)
gsa_flag = 0;
+else
+ %% Decide if a DSGE or DSGE-VAR has to be estimated.
+ if ~isempty(strmatch('dsge_prior_weight',M_.param_names))
+ options_.dsge_var = 1;
+ end
+
+ var_list_ = check_list_of_variables(options_, M_, var_list_);
+ options_.varlist = var_list_;
end
options_.lgyidx2varobs = zeros(size(M_.endo_names,1),1);
@@ -262,6 +270,7 @@ if isempty(options_.datafile)
if gsa_flag
data = [];
rawdata = [];
+ data_info = [];
return
else
error('datafile option is missing')
@@ -308,3 +317,44 @@ end
% Transpose the dataset array.
data = transpose(rawdata);
+if nargout>3
+ %% Compute the steady state:
+ if options_.steadystate_flag% if the *_steadystate.m file is provided.
+ [ys,tchek] = feval([M_.fname '_steadystate'],...
+ [zeros(M_.exo_nbr,1);...
+ oo_.exo_det_steady_state]);
+ if size(ys,1) < M_.endo_nbr
+ if length(M_.aux_vars) > 0
+ ys = add_auxiliary_variables_to_steadystate(ys,M_.aux_vars,...
+ M_.fname,...
+ zeros(M_.exo_nbr,1),...
+ oo_.exo_det_steady_state,...
+ M_.params,...
+ options_.bytecode);
+ else
+ error([M_.fname '_steadystate.m doesn''t match the model']);
+ end
+ end
+ oo_.steady_state = ys;
+ else% if the steady state file is not provided.
+ [dd,info] = resol(oo_.steady_state,0);
+ oo_.steady_state = dd.ys; clear('dd');
+ end
+ if all(abs(oo_.steady_state(bayestopt_.mfys))<1e-9)
+ options_.noconstant = 1;
+ else
+ options_.noconstant = 0;
+ end
+
+ [data_index,number_of_observations,no_more_missing_observations] = describe_missing_data(data,gend,n_varobs);
+ missing_value = ~(number_of_observations == gend*n_varobs);
+
+ initial_estimation_checks(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations);
+
+ data_info.gend = gend;
+ data_info.data = data;
+ data_info.data_index = data_index;
+ data_info.number_of_observations = number_of_observations;
+ data_info.no_more_missing_observations = no_more_missing_observations;
+ data_info.missing_value = missing_value;
+end
diff --git a/matlab/dynare_sensitivity.m b/matlab/dynare_sensitivity.m
index ea9bd6fc50af91c632fbace9b9ca59a73702b99b..be85312cc406ce0526ebbb157686aa9ba380d72a 100644
--- a/matlab/dynare_sensitivity.m
+++ b/matlab/dynare_sensitivity.m
@@ -24,7 +24,6 @@ function x0=dynare_sensitivity(options_gsa)
global M_ options_ oo_ bayestopt_ estim_params_
fname_ = M_.fname;
-M_.dname = fname_;
lgy_ = M_.endo_names;
x0=[];
@@ -57,7 +56,9 @@ if ~isempty(options_gsa.datafile) || isempty(bayestopt_),
options_.loglinear=options_gsa.loglinear;
end
options_.mode_compute = 0;
- [data,rawdata]=dynare_estimation_init([],1);
+ options_.filtered_vars = 1;
+ options_.plot_priors = 0;
+ [data,rawdata,xparam1,data_info]=dynare_estimation_init([],fname_,1);
% computes a first linear solution to set up various variables
end
@@ -233,7 +234,11 @@ if options_gsa.rmse,
a=whos('-file',[OutputDirectoryName,'/',fname_,'_mc'],'logpo2');
end
if isempty(a),
- dynare_MC([],OutputDirectoryName);
+% dynare_MC([],OutputDirectoryName,data,rawdata,data_info);
+ prior_posterior_statistics('gsa',data,data_info.gend,data_info.data_index,data_info.missing_value);
+ if options_.bayesian_irf
+ PosteriorIRF('gsa');
+ end
options_gsa.load_rmse=0;
% else
% if options_gsa.load_rmse==0,
@@ -252,6 +257,7 @@ if options_gsa.rmse,
end
end
clear a;
+% filt_mc_(OutputDirectoryName,data_info);
filt_mc_(OutputDirectoryName);
end
diff --git a/matlab/prior_posterior_statistics.m b/matlab/prior_posterior_statistics.m
index 64a2ebb2dfb0a3da571bc9616a4857122ab06ea9..3cf6c2cadf9c0b8bbbb2db0aa3cc9b1442d352d3 100644
--- a/matlab/prior_posterior_statistics.m
+++ b/matlab/prior_posterior_statistics.m
@@ -65,23 +65,44 @@ if horizon
end
maxlag = M_.maximum_endo_lag;
%%
-DirectoryName = CheckPath('metropolis');
-load([ DirectoryName '/' M_.fname '_mh_history'])
-FirstMhFile = record.KeepedDraws.FirstMhFile;
-FirstLine = record.KeepedDraws.FirstLine;
-TotalNumberOfMhFiles = sum(record.MhDraws(:,2)); LastMhFile = TotalNumberOfMhFiles;
-TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
-NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
-clear record;
-if ~isempty(options_.subdraws)
- B = options_.subdraws;
- if B > NumberOfDraws
- B = NumberOfDraws;
+if strcmpi(type,'posterior')
+ DirectoryName = CheckPath('metropolis');
+ load([ DirectoryName '/' M_.fname '_mh_history'])
+ FirstMhFile = record.KeepedDraws.FirstMhFile;
+ FirstLine = record.KeepedDraws.FirstLine;
+ TotalNumberOfMhFiles = sum(record.MhDraws(:,2)); LastMhFile = TotalNumberOfMhFiles;
+ TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
+ NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
+ clear record;
+ if ~isempty(options_.subdraws)
+ B = options_.subdraws;
+ if B > NumberOfDraws
+ B = NumberOfDraws;
+ end
+ else
+ B = min(1200, round(0.25*NumberOfDraws));
+ end
+elseif strcmpi(type,'gsa')
+ RootDirectoryName = CheckPath('GSA');
+ if options_.opt_gsa.pprior
+ DirectoryName = CheckPath(['GSA',filesep,'prior']);
+ load([ RootDirectoryName filesep M_.fname '_prior.mat'],'lpmat0','lpmat','istable')
+ else
+ DirectoryName = CheckPath(['GSA',filesep,'mc']);
+ load([ RootDirectoryName filesep M_.fname '_mc.mat'],'lpmat0','lpmat','istable')
+ end
+ x=[lpmat0(istable,:) lpmat(istable,:)];
+ clear lpmat istable
+ NumberOfDraws=size(x,1);
+ B=NumberOfDraws;
+elseif strcmpi(type,'prior')
+ DirectoryName = CheckPath('prior');
+ if ~isempty(options_.subdraws)
+ B = options_.subdraws;
+ else
+ B = 1200;
end
-else
- B = min(1200, round(0.25*NumberOfDraws));
end
-
%%
MAX_nruns = min(B,ceil(MaxNumberOfBytes/(npar+2)/8));
MAX_nsmoo = min(B,ceil(MaxNumberOfBytes/((endo_nbr)*gend)/8));
@@ -176,7 +197,7 @@ end
localVars.MAX_nruns=MAX_nruns;
localVars.MAX_momentsno = MAX_momentsno;
localVars.ifil=ifil;
-
+localVars.DirectoryName = DirectoryName;
if strcmpi(type,'posterior'),
b=0;
@@ -184,11 +205,11 @@ if strcmpi(type,'posterior'),
b = b + 1;
[x(b,:), logpost(b,1)] = GetOneDraw(type);
end
+ localVars.logpost=logpost;
end
if ~strcmpi(type,'prior'),
localVars.x=x;
- localVars.logpost=logpost;
end
b=0;
@@ -240,6 +261,10 @@ stock_gend=gend;
stock_data=Y;
save([DirectoryName '/' M_.fname '_data.mat'],'stock_gend','stock_data');
+if strcmpi(type,'gsa')
+ return
+end
+
if ~isnumeric(options_.parallel),
leaveSlaveOpen = options_.parallel_info.leaveSlaveOpen;
if options_.parallel_info.leaveSlaveOpen == 0,
@@ -251,10 +276,10 @@ end
if options_.smoother
pm3(endo_nbr,gend,ifil(1),B,'Smoothed variables',...
'',M_.endo_names(1:M_.orig_endo_nbr, :),'tit_tex',M_.endo_names,...
- varlist,'SmoothedVariables',[M_.dname '/metropolis'],'_smooth');
+ varlist,'SmoothedVariables',DirectoryName,'_smooth');
pm3(exo_nbr,gend,ifil(2),B,'Smoothed shocks',...
'',M_.exo_names,'tit_tex',M_.exo_names,...
- M_.exo_names,'SmoothedShocks',[M_.dname '/metropolis'],'_inno');
+ M_.exo_names,'SmoothedShocks',DirectoryName,'_inno');
if nvn
% needs to be fixed
% pm3(endo_nbr,gend,ifil(3),B,'Smoothed measurement errors',...
@@ -266,20 +291,20 @@ end
if options_.filtered_vars
pm3(endo_nbr,gend,ifil(1),B,'Updated Variables',...
'',varlist,'tit_tex',M_.endo_names,...
- varlist,'UpdatedVariables',[M_.dname '/metropolis'], ...
+ varlist,'UpdatedVariables',DirectoryName, ...
'_update');
pm3(endo_nbr,gend+1,ifil(4),B,'One step ahead forecast',...
'',varlist,'tit_tex',M_.endo_names,...
- varlist,'FilteredVariables',[M_.dname '/metropolis'],'_filter_step_ahead');
+ varlist,'FilteredVariables',DirectoryName,'_filter_step_ahead');
end
if options_.forecast
pm3(endo_nbr,horizon+maxlag,ifil(6),B,'Forecasted variables (mean)',...
'',varlist,'tit_tex',M_.endo_names,...
- varlist,'MeanForecast',[M_.dname '/metropolis'],'_forc_mean');
+ varlist,'MeanForecast',DirectoryName,'_forc_mean');
pm3(endo_nbr,horizon+maxlag,ifil(6),B,'Forecasted variables (point)',...
'',varlist,'tit_tex',M_.endo_names,...
- varlist,'PointForecast',[M_.dname '/metropolis'],'_forc_point');
+ varlist,'PointForecast',DirectoryName,'_forc_point');
end
diff --git a/matlab/prior_posterior_statistics_core.m b/matlab/prior_posterior_statistics_core.m
index 7596c82b63676969706087d24e850681b0f564bb..d332da95e115d6b5adfa9fa6a0cd510e93312c78 100644
--- a/matlab/prior_posterior_statistics_core.m
+++ b/matlab/prior_posterior_statistics_core.m
@@ -87,13 +87,15 @@ ifil=myinputs.ifil;
if ~strcmpi(type,'prior'),
x=myinputs.x;
- logpost=myinputs.logpost;
+ if strcmpi(type,'posterior'),
+ logpost=myinputs.logpost;
+ end
end
if whoiam
Parallel=myinputs.Parallel;
end
-DirectoryName = CheckPath('metropolis');
+DirectoryName = myinputs.DirectoryName;
RemoteFlag = 0;
if whoiam
@@ -103,7 +105,7 @@ if whoiam
end
end
ifil=ifil(:,whoiam);
- waitbarString = ['Please wait... Bayesian (posterior) subdraws (' int2str(fpar) 'of' int2str(B) ')...'];
+ waitbarString = ['Please wait... ',type,' subdraws (' int2str(fpar) 'of' int2str(B) ')...'];
if Parallel(ThisMatlab).Local,
waitbarTitle=['Local '];
else
@@ -114,7 +116,7 @@ else
if exist('OCTAVE_VERSION')
diary off;
else
- h = waitbar(0,'Taking subdraws...');
+ h = waitbar(0,['Taking ',type,' subdraws...']);
end
end
@@ -142,7 +144,11 @@ for b=fpar:B
else
deep = x(b,:);
- logpo = logpost(b);
+ if strcmpi(type,'posterior')
+ logpo = logpost(b);
+ else
+ logpo = evaluate_posterior_kernel(deep');
+ end
end
set_all_parameters(deep);
[dr,info] = resol(oo_.steady_state,0);