diff --git a/matlab/conditional_variance_decomposition.m b/matlab/conditional_variance_decomposition.m
index 047200a382f0335f4895bd40d0b6391324a30098..0a0de48451c6daf2d97302358349ed7bd7f1d977 100644
--- a/matlab/conditional_variance_decomposition.m
+++ b/matlab/conditional_variance_decomposition.m
@@ -35,6 +35,7 @@ function PackedConditionalVarianceDecomposition = conditional_variance_decomposi
ConditionalVariance = zeros(StateSpaceModel.number_of_state_equations,StateSpaceModel.number_of_state_equations);
ConditionalVariance = repmat(ConditionalVariance,[1 1 length(Steps) StateSpaceModel.number_of_state_innovations]);
BB = StateSpaceModel.impulse_matrix*transpose(StateSpaceModel.impulse_matrix);
+
for h = 1:length(Steps)
for t = 0:Steps(h)
for i=1:StateSpaceModel.number_of_state_innovations
@@ -44,6 +45,7 @@ function PackedConditionalVarianceDecomposition = conditional_variance_decomposi
end
end
end
+
ConditionalVariance = ConditionalVariance(SubsetOfVariables,SubsetOfVariables,:,:);
NumberOfVariables = length(SubsetOfVariables);
PackedConditionalVarianceDecomposition = zeros(NumberOfVariables*(NumberOfVariables+1)/2,length(Steps),StateSpaceModel.number_of_state_innovations);
diff --git a/matlab/conditional_variance_decomposition_mc_analysis.m b/matlab/conditional_variance_decomposition_mc_analysis.m
index ee0a749be677609f8ec3639f25ad2caf8904fb5a..c0701c6927536835b03415064dba7fcf57ea8816 100644
--- a/matlab/conditional_variance_decomposition_mc_analysis.m
+++ b/matlab/conditional_variance_decomposition_mc_analysis.m
@@ -45,7 +45,7 @@ function oo_ = conditional_variance_decomposition_mc_analysis(NumberOfSimulation
if isfield(temporary_structure,'dsge')
eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments.dsge;'])
if isfield(temporary_structure,'ConditionalVarianceDecomposition')
- eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments.dsge.VarianceDecomposition.mean;'])
+ eval(['temporary_structure = oo_.' TYPE 'TheoreticalMoments.dsge.ConditionalVarianceDecomposition.mean;'])
if isfield(temporary_structure,name)
if sum(Steps-temporary_structure.(name)(1,:)) == 0
% Nothing (new) to do here...
diff --git a/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m b/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m
index 25f8a7e9915f6e6286407b2c198aa4aef13bdd84..2b993e21b13c86cf46f42fb88287b22ad98db140 100644
--- a/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m
+++ b/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m
@@ -40,6 +40,7 @@ if strcmpi(type,'posterior')
posterior = 1;
elseif strcmpi(type,'prior')
DrawsFiles = dir([M_.dname '/prior/draws/' type '_draws*' ]);
+ CheckPath('prior/moments');
posterior = 0;
else
disp('dsge_simulated_theoretical_conditional_variance_decomposition:: Unknown type!')
@@ -53,7 +54,7 @@ if ~posterior
end
options_.varlist = options_.prior_analysis_endo_var_list;
end
-[ivar,vartan, options_] = set_stationary_variables_list(options_, M_);
+[ivar,vartan ] = set_stationary_variables_list(options_, M_);
if ~posterior
if exist('temp','var')
options_.varlist = temp;
@@ -65,9 +66,6 @@ nvar = length(ivar);
nar = options_.ar;
options_.ar = 0;
-
-NumberOfDrawsFiles = length(DrawsFiles);
-
NumberOfDrawsFiles = rows(DrawsFiles);
NumberOfSavedElementsPerSimulation = nvar*(nvar+1)/2*M_.exo_nbr*length(Steps);
MaXNumberOfConditionalDecompLines = ceil(options_.MaxNumberOfBytes/NumberOfSavedElementsPerSimulation/8);
@@ -81,21 +79,13 @@ else
NumberOfConditionalDecompFiles = ceil(SampleSize/MaXNumberOfConditionalDecompLines);
end
-NumberOfConditionalDecompLines = rows(Conditional_decomposition_array);
-ConditionalDecompFileNumber = 1;
+NumberOfConditionalDecompLines = size(Conditional_decomposition_array,4);
+ConditionalDecompFileNumber = 0;
StateSpaceModel.number_of_state_equations = M_.endo_nbr;
StateSpaceModel.number_of_state_innovations = M_.exo_nbr;
-endo_nbr = M_.endo_nbr;
-nstatic = oo_.dr.nstatic;
-npred = oo_.dr.npred;
-iv = (1:endo_nbr)';
-ic = [ nstatic+(1:npred) endo_nbr+(1:size(oo_.dr.ghx,2)-npred) ]';
-aux = oo_.dr.transition_auxiliary_variables;
-k = find(aux(:,2) > npred);
-aux(:,2) = aux(:,2) + nstatic;
-aux(k,2) = aux(k,2) + oo_.dr.nfwrd;
+first_call = 1;
linea = 0;
for file = 1:NumberOfDrawsFiles
@@ -115,11 +105,28 @@ for file = 1:NumberOfDrawsFiles
set_parameters(pdraws{linee,1});
[dr,info] = resol(oo_.steady_state,0);
end
+ if first_call
+ endo_nbr = M_.endo_nbr;
+ nstatic = dr.nstatic;
+ npred = dr.npred;
+ iv = (1:endo_nbr)';
+ ic = [ nstatic+(1:npred) endo_nbr+(1:size(dr.ghx,2)-npred) ]';
+ aux = dr.transition_auxiliary_variables;
+ k = find(aux(:,2) > npred);
+ aux(:,2) = aux(:,2) + nstatic;
+ aux(k,2) = aux(k,2) + dr.nfwrd;
+ StateSpaceModel.number_of_state_equations = M_.endo_nbr+rows(aux);
+ StateSpaceModel.number_of_state_innovations = M_.exo_nbr;
+ first_call = 0;
+ clear('endo_nbr','nstatic','npred','k');
+ end
[StateSpaceModel.transition_matrix,StateSpaceModel.impulse_matrix] = kalman_transition_matrix(dr,iv,ic,aux,M_.exo_nbr);
StateSpaceModel.state_innovations_covariance_matrix = M_.Sigma_e;
clear('dr');
- Conditional_decomposition_array(:,:,:,linea) = conditional_variance_decomposition(StateSpaceModel, Steps, ivar);
+ Conditional_decomposition_array(:,:,:,linea) = conditional_variance_decomposition(StateSpaceModel, Steps, ivar);
if linea == NumberOfConditionalDecompLines
+ ConditionalDecompFileNumber = ConditionalDecompFileNumber + 1;
+ linea = 0;
if posterior
save([M_.dname '/metropolis/' M_.fname '_PosteriorConditionalVarianceDecomposition' int2str(ConditionalDecompFileNumber) '.mat' ], ...
'Conditional_decomposition_array');
@@ -127,14 +134,10 @@ for file = 1:NumberOfDrawsFiles
save([M_.dname '/prior/moments/' M_.fname '_PriorConditionalVarianceDecomposition' int2str(ConditionalDecompFileNumber) '.mat' ], ...
'Conditional_decomposition_array');
end
- ConditionalDecompFileNumber = ConditionalDecompFileNumber + 1;
- linea = 0;
- test = ConditionalDecompFileNumber-NumberOfConditionalDecompFiles;
- if ~test% Prepare the last round...
- Conditional_decomposition_array = zeros(nvar*(nvar+1)/2,length(Steps),M_.exo_nbr,NumberOfLinesInTheLastConditionalDecompFile);
+ if (ConditionalDecompFileNumber==NumberOfConditionalDecompFiles-1)% Prepare last round.
+ Conditional_decomposition_array = zeros(nvar*(nvar+1)/2, length(Steps),M_.exo_nbr,NumberOfLinesInTheLastConditionalDecompFile) ;
NumberOfConditionalDecompLines = NumberOfLinesInTheLastConditionalDecompFile;
- ConditionalDecompFileNumber = ConditionalDecompFileNumber - 1;
- elseif test<0;
+ elseif ConditionalDecompFileNumber<NumberOfConditionalDecompFiles-1
Conditional_decomposition_array = zeros(nvar*(nvar+1)/2,length(Steps),M_.exo_nbr,MaXNumberOfConditionalDecompLines);
else
clear('Conditional_decomposition_array');
diff --git a/matlab/dsge_simulated_theoretical_correlation.m b/matlab/dsge_simulated_theoretical_correlation.m
index c03eb2d419ecfecc594254ba6b9cd7f8e071b567..30ce0c516419e4a93a7fc4e1c82aa2af1d693eb1 100644
--- a/matlab/dsge_simulated_theoretical_correlation.m
+++ b/matlab/dsge_simulated_theoretical_correlation.m
@@ -40,6 +40,7 @@ if strcmpi(type,'posterior')
posterior = 1;
elseif strcmpi(type,'prior')
DrawsFiles = dir([M_.dname '/prior/draws/' type '_draws*' ]);
+ CheckPath('prior/moments');
posterior = 0;
else
disp('dsge_simulated_theoretical_correlation:: Unknown type!');
diff --git a/matlab/dsge_simulated_theoretical_covariance.m b/matlab/dsge_simulated_theoretical_covariance.m
index 79f58a3b9680e740ed16b98a075ac3bb6b932541..d647db5993df51f0741bc5793b62156a4552807c 100644
--- a/matlab/dsge_simulated_theoretical_covariance.m
+++ b/matlab/dsge_simulated_theoretical_covariance.m
@@ -40,6 +40,7 @@ if strcmpi(type,'posterior')
posterior = 1;
elseif strcmpi(type,'prior')
DrawsFiles = dir([M_.dname '/prior/draws/' type '_draws*' ]);
+ CheckPath('prior/moments');
posterior = 0;
else
disp('dsge_simulated_theoretical_covariance:: Unknown type!')
diff --git a/matlab/dsge_simulated_theoretical_variance_decomposition.m b/matlab/dsge_simulated_theoretical_variance_decomposition.m
index 9a2afaa681277e2ef267a604ab995ad2dcec1656..53a70588edc625b230bbc1b00af0ed5fc2ecbb80 100644
--- a/matlab/dsge_simulated_theoretical_variance_decomposition.m
+++ b/matlab/dsge_simulated_theoretical_variance_decomposition.m
@@ -41,6 +41,7 @@ if strcmpi(type,'posterior')
posterior = 1;
elseif strcmpi(type,'prior')
DrawsFiles = dir([M_.dname '/prior/draws/' type '_draws*' ]);
+ CheckPath('prior/moments');
posterior = 0;
else
disp('dsge_simulated_theoretical_variance_decomposition:: Unknown type!')
diff --git a/matlab/prior_sampler.m b/matlab/prior_sampler.m
index 3f8c98141bbecfc1a0a4aae0817956031f3bbc3b..407eaefc7402ee217aa8073d160863fa20e7efa5 100644
--- a/matlab/prior_sampler.m
+++ b/matlab/prior_sampler.m
@@ -34,7 +34,7 @@ function results = prior_sampler(drsave,M_,bayestopt_,options_,oo_)
prior_draw(1,bayestopt_);
PriorDirectoryName = CheckPath('prior/draws');
work = ~drsave;
- iteration = 1;
+ iteration = 0;
loop_indx = 0;
file_indx = [];
count_bk_indeterminacy = 0;
@@ -55,48 +55,39 @@ function results = prior_sampler(drsave,M_,bayestopt_,options_,oo_)
if NumberOfSimulations <= NumberOfElementsPerFile
TableOfInformations = [ 1 , NumberOfSimulations , 1] ;
else
- NumberOfFiles = fix(NumberOfSimulations/NumberOfElementsPerFile) ;
+ NumberOfFiles = ceil(NumberOfSimulations/NumberOfElementsPerFile) ;
NumberOfElementsInTheLastFile = NumberOfSimulations - NumberOfElementsPerFile*(NumberOfFiles-1) ;
- if ~isint(NumberOfSimulations/NumberOfElementsPerFile)
- NumberOfFiles = NumberOfFiles + 1 ;
- end
- TableOfInformations = NaN(NumberOfFiles,3);
+ TableOfInformations = NaN(NumberOfFiles,3) ;
TableOfInformations(:,1) = transpose(1:NumberOfFiles) ;
TableOfInformations(1:NumberOfFiles-1,2) = NumberOfElementsPerFile*ones(NumberOfFiles-1,1) ;
TableOfInformations(NumberOfFiles,2) = NumberOfElementsInTheLastFile ;
TableOfInformations(1,3) = 1;
- TableOfInformations(2:end,3) = cumsum(TableOfInformations(2:end,2))+1;
+ TableOfInformations(2:end,3) = cumsum(TableOfInformations(1:end-1,2))+1;
end
pdraws = cell(TableOfInformations(1,2),drsave+1) ;
sampled_prior_expectation = zeros(NumberOfParameters,1);
sampled_prior_covariance = zeros(NumberOfParameters,NumberOfParameters);
- file_line_number = 1;
- file_indx_number = 1;
-
+ file_line_number = 0;
+ file_indx_number = 0;
+
% Simulations.
- while iteration <= NumberOfSimulations
+ while iteration < NumberOfSimulations
loop_indx = loop_indx+1;
- if ( (file_line_number-1)==TableOfInformations(file_indx_number,2))
- save([ PriorDirectoryName '/prior_draws' int2str(file_indx_number) '.mat' ],'pdraws');
- file_line_number = 1;
- file_indx_number = file_indx_number + 1;
- pdraws = cell(TableOfInformations(file_indx_number,2),drsave+1) ;
- end
params = prior_draw();
set_all_parameters(params);
[dr,INFO] = resol(oo_.steady_state,work);
- switch INFO(1)
+ switch INFO(1)
case 0
+ file_line_number = file_line_number + 1 ;
+ iteration = iteration + 1;
pdraws(file_line_number,1) = {params};
if drsave
pdraws(file_line_number,2) = {dr};
end
- iteration = iteration+1;
- file_line_number = file_line_number+1;
[sampled_prior_expectation,sampled_prior_covariance] = ...
- recursive_prior_moments(sampled_prior_expectation,sampled_prior_covariance,params,iteration) ;
+ recursive_prior_moments(sampled_prior_expectation,sampled_prior_covariance,params,iteration);
case 1
count_static_undefined = count_static_undefined + 1;
case 2
@@ -118,6 +109,14 @@ function results = prior_sampler(drsave,M_,bayestopt_,options_,oo_)
otherwise
count_unknown_problem = count_unknown_problem + 1 ;
end
+ if ( file_line_number==TableOfInformations(file_indx_number+1,2) )
+ file_indx_number = file_indx_number + 1;
+ save([ PriorDirectoryName '/prior_draws' int2str(file_indx_number) '.mat' ],'pdraws');
+ if file_indx_number<NumberOfFiles
+ pdraws = cell(TableOfInformations(file_indx_number+1,2),drsave+1);
+ end
+ file_line_number = 0;
+ end
end
% Get informations about BK conditions and other things...
@@ -141,8 +140,7 @@ function results = prior_sampler(drsave,M_,bayestopt_,options_,oo_)
results.prior.mean = sampled_prior_expectation;
results.prior.variance = sampled_prior_covariance;
results.prior.mass = 1-results.garbage_share;
-
-
+
function [mu,sigma] = recursive_prior_moments(m0,s0,newobs,iter)
% Recursive estimation of order one and two moments (expectation and
% covariance matrix). newobs should be a row vector. I do not use the