diff --git a/matlab/PosteriorIRF.m b/matlab/PosteriorIRF.m
index ac479c526cea3d607ff104e1a0917fdc0313e516..fc1c3bcf58ce1b158458f244062f46433da3188f 100644
--- a/matlab/PosteriorIRF.m
+++ b/matlab/PosteriorIRF.m
@@ -1,11 +1,11 @@
function PosteriorIRF(type)
-% Builds posterior IRFs after the MH algorithm.
-%
-% INPUTS
+% Builds posterior IRFs after the MH algorithm.
+%
+% INPUTS
% o type [char] string specifying the joint density of the
-% deep parameters ('prior','posterior').
-%
-% OUTPUTS
+% deep parameters ('prior','posterior').
+%
+% OUTPUTS
% None (oo_ and plots).
%
% SPECIAL REQUIREMENTS
@@ -34,9 +34,10 @@ function PosteriorIRF(type)
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
-global options_ estim_params_ oo_ M_ bayestopt_ dataset_
+global options_ estim_params_ oo_ M_ bayestopt_ dataset_ dataset_info
+
% Set the number of periods
-if isempty(options_.irf) || ~options_.irf
+if isempty(options_.irf) || ~options_.irf
options_.irf = 40;
end
% Set varlist if necessary
@@ -58,7 +59,7 @@ end
% Get index of shocks for requested IRFs
irf_shocks_indx = getIrfShocksIndx();
-
+
% Set various parameters & Check or create directories
nvx = estim_params_.nvx;
nvn = estim_params_.nvn;
@@ -68,8 +69,8 @@ np = estim_params_.np ;
npar = nvx+nvn+ncx+ncn+np;
offset = npar-np; clear('nvx','nvn','ncx','ncn','np');
-nvobs = dataset_.info.nvobs;
-gend = dataset_.info.ntobs;
+nvobs = dataset_.vobs;
+gend = dataset_.nobs;
MaxNumberOfPlotPerFigure = 9;
nn = sqrt(MaxNumberOfPlotPerFigure);
MAX_nirfs_dsge = ceil(options_.MaxNumberOfBytes/(options_.irf*nvar*M_.exo_nbr)/8);
@@ -111,14 +112,14 @@ else% type = 'prior'
B = options_.prior_draws;
options_.B = B;
end
-try
+try
delete([MhDirectoryName filesep M_.fname '_irf_dsge*.mat'])
-catch
+catch
disp('No _IRFs (dsge) files to be deleted!')
end
-try
+try
delete([MhDirectoryName filesep M_.fname '_irf_bvardsge*.mat'])
-catch
+catch
disp('No _IRFs (bvar-dsge) files to be deleted!')
end
irun = 0;
@@ -144,10 +145,6 @@ if MAX_nirfs_dsgevar
else
stock_irf_bvardsge = zeros(options_.irf,nvobs,M_.exo_nbr,B);
end
- [mYY,mXY,mYX,mXX,Ydata,Xdata] = ...
- var_sample_moments(options_.first_obs,options_.first_obs+options_.nobs-1,...
- options_.dsge_varlag,-1,options_.datafile,options_.varobs,...
- options_.xls_sheet,options_.xls_range);
NumberOfLags = options_.dsge_varlag;
NumberOfLagsTimesNvobs = NumberOfLags*nvobs;
if options_.noconstant
@@ -174,7 +171,7 @@ localVars.npar = npar;
localVars.type=type;
if strcmpi(type,'posterior')
- while b<B
+ while b<B
b = b + 1;
x(b,:) = GetOneDraw(type);
end
@@ -192,7 +189,7 @@ if options_.dsge_var
localVars.NumberOfLags = options_.dsge_varlag;
localVars.NumberOfLagsTimesNvobs = NumberOfLags*nvobs;
localVars.Companion_matrix = diag(ones(nvobs*(NumberOfLags-1),1),-nvobs);
-end
+end
localVars.nvar=nvar;
localVars.IndxVariables=IndxVariables;
localVars.MAX_nirfs_dsgevar=MAX_nirfs_dsgevar;
@@ -225,14 +222,15 @@ else
localVars.NumberOfIRFfiles_dsge=NumberOfIRFfiles_dsge;
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_',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']};
@@ -244,13 +242,13 @@ else
for j=1:length(fout),
nosaddle = nosaddle + fout(j).nosaddle;
end
-
+
end
% END first parallel section!
if nosaddle
- disp(['PosteriorIRF :: Percentage of discarded posterior draws = ' num2str(nosaddle/(B+nosaddle))])
+ disp(['PosteriorIRF :: Percentage of discarded posterior draws = ' num2str(nosaddle/(B+nosaddle))])
end
ReshapeMatFiles('irf_dsge',type)
@@ -323,7 +321,7 @@ if MAX_nirfs_dsgevar
MedianIRFdsgevar = zeros(options_.irf,nvar,M_.exo_nbr);
VarIRFdsgevar = zeros(options_.irf,nvar,M_.exo_nbr);
DistribIRFdsgevar = zeros(options_.irf,9,nvar,M_.exo_nbr);
- HPDIRFdsgevar = zeros(options_.irf,2,nvar,M_.exo_nbr);
+ HPDIRFdsgevar = zeros(options_.irf,2,nvar,M_.exo_nbr);
fprintf('Estimation::mcmc: Posterior (bvar-dsge) IRFs...\n');
tit(M_.exo_names_orig_ord,:) = M_.exo_names;
kdx = 0;
@@ -341,7 +339,7 @@ if MAX_nirfs_dsgevar
end
kdx = kdx + size(STOCK_IRF_BVARDSGE,1);
end
- clear STOCK_IRF_BVARDSGE;
+ clear STOCK_IRF_BVARDSGE;
for i = irf_shocks_indx
for j = 1:nvar
name = [deblank(M_.endo_names(IndxVariables(j),:)) '_' deblank(tit(i,:))];
@@ -384,7 +382,7 @@ localVars.MaxNumberOfPlotPerFigure=MaxNumberOfPlotPerFigure;
if options_.dsge_var
localVars.HPDIRFdsgevar=HPDIRFdsgevar;
localVars.MeanIRFdsgevar = MeanIRFdsgevar;
-end
+end
% The files .TeX are genereted in sequential way always!
@@ -394,14 +392,14 @@ if options_.TeX
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
titTeX(M_.exo_names_orig_ord,:) = M_.exo_names_tex;
-
+
for i=irf_shocks_indx
NAMES = [];
TEXNAMES = [];
-
+
for j=1:nvar
- if max(abs(MeanIRF(:,j,i))) > options_.impulse_responses.plot_threshold
-
+ if max(abs(MeanIRF(:,j,i))) > options_.impulse_responses.plot_threshold
+
name = deblank(varlist(j,:));
texname = deblank(varlist_TeX(j,:));
@@ -413,7 +411,7 @@ if options_.TeX
TEXNAMES = char(TEXNAMES,['$' texname '$']);
end
end
-
+
end
fprintf(fidTeX,'\\begin{figure}[H]\n');
for jj = 1:size(TEXNAMES,1)
@@ -430,10 +428,10 @@ if options_.TeX
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
end
-
+
fprintf(fidTeX,'%% End of TeX file.\n');
fclose(fidTeX);
-
+
end
% The others file format are generated in parallel by PosteriorIRF_core2!
@@ -453,7 +451,7 @@ if ~isoctave
else
globalVars = struct('M_',M_, ...
'options_', options_);
-
+
[fout] = masterParallel(options_.parallel, 1, M_.exo_nbr,NamFileInput,'PosteriorIRF_core2', localVars, globalVars, options_.parallel_info);
end
end
diff --git a/matlab/PosteriorIRF_core1.m b/matlab/PosteriorIRF_core1.m
index 1eff387ad64115fcce0e12710c2136ebc612bbc5..0d0a1a752e4ba9921bc39a74ffb61344b9e02167 100644
--- a/matlab/PosteriorIRF_core1.m
+++ b/matlab/PosteriorIRF_core1.m
@@ -41,7 +41,7 @@ function myoutput=PosteriorIRF_core1(myinputs,fpar,B,whoiam, ThisMatlab)
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
-global options_ estim_params_ oo_ M_ bayestopt_ dataset_
+global options_ estim_params_ oo_ M_ bayestopt_ dataset_ dataset_info
if nargin<4,
whoiam=0;
@@ -189,24 +189,24 @@ while fpar<B
end
if MAX_nirfs_dsgevar
IRUN = IRUN+1;
- [fval,junk1,junk2,cost_flag,info,PHI,SIGMAu,iXX] = dsge_var_likelihood(deep',dataset_,options_,M_,estim_params_,bayestopt_,oo_);
+ [fval,junk1,junk2,cost_flag,info,PHI,SIGMAu,iXX] = dsge_var_likelihood(deep',dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,oo_);
dsge_prior_weight = M_.params(strmatch('dsge_prior_weight',M_.param_names));
- DSGE_PRIOR_WEIGHT = floor(dataset_.info.ntobs*(1+dsge_prior_weight));
- SIGMA_inv_upper_chol = chol(inv(SIGMAu*dataset_.info.ntobs*(dsge_prior_weight+1)));
+ DSGE_PRIOR_WEIGHT = floor(dataset_.nobs*(1+dsge_prior_weight));
+ SIGMA_inv_upper_chol = chol(inv(SIGMAu*dataset_.nobs*(dsge_prior_weight+1)));
explosive_var = 1;
while explosive_var
% draw from the marginal posterior of SIGMA
- SIGMAu_draw = rand_inverse_wishart(dataset_.info.nvobs, DSGE_PRIOR_WEIGHT-NumberOfParametersPerEquation, ...
+ SIGMAu_draw = rand_inverse_wishart(dataset_.vobs, DSGE_PRIOR_WEIGHT-NumberOfParametersPerEquation, ...
SIGMA_inv_upper_chol);
% draw from the conditional posterior of PHI
- PHI_draw = rand_matrix_normal(NumberOfParametersPerEquation,dataset_.info.nvobs, PHI, ...
+ PHI_draw = rand_matrix_normal(NumberOfParametersPerEquation,dataset_.vobs, PHI, ...
chol(SIGMAu_draw)', chol(iXX)');
- Companion_matrix(1:dataset_.info.nvobs,:) = transpose(PHI_draw(1:NumberOfLagsTimesNvobs,:));
+ Companion_matrix(1:dataset_.vobs,:) = transpose(PHI_draw(1:NumberOfLagsTimesNvobs,:));
% Check for stationarity
explosive_var = any(abs(eig(Companion_matrix))>1.000000001);
end
% Get the mean
- mu = zeros(1,dataset_.info.nvobs);
+ mu = zeros(1,dataset_.vobs);
% Get rotation
if dsge_prior_weight > 0
Atheta(oo_.dr.order_var,M_.exo_names_orig_ord) = oo_.dr.ghu*sqrt(M_.Sigma_e);
@@ -216,24 +216,24 @@ while fpar<B
SIGMAu_chol = chol(SIGMAu_draw)';
SIGMAtrOMEGA = SIGMAu_chol*OMEGAstar';
PHIpower = eye(NumberOfLagsTimesNvobs);
- irfs = zeros (options_.irf,dataset_.info.nvobs*M_.exo_nbr);
- tmp3 = PHIpower(1:dataset_.info.nvobs,1:dataset_.info.nvobs)*SIGMAtrOMEGA;
+ irfs = zeros (options_.irf,dataset_.vobs*M_.exo_nbr);
+ tmp3 = PHIpower(1:dataset_.vobs,1:dataset_.vobs)*SIGMAtrOMEGA;
irfs(1,:) = tmp3(:)';
for t = 2:options_.irf
PHIpower = Companion_matrix*PHIpower;
- tmp3 = PHIpower(1:dataset_.info.nvobs,1:dataset_.info.nvobs)*SIGMAtrOMEGA;
+ tmp3 = PHIpower(1:dataset_.vobs,1:dataset_.vobs)*SIGMAtrOMEGA;
irfs(t,:) = tmp3(:)'+kron(ones(1,M_.exo_nbr),mu);
end
tmp_dsgevar = kron(ones(options_.irf,1),mu);
- for j = 1:(dataset_.info.nvobs*M_.exo_nbr)
+ for j = 1:(dataset_.vobs*M_.exo_nbr)
if max(irfs(:,j)) - min(irfs(:,j)) > 1e-10
tmp_dsgevar(:,j) = (irfs(:,j));
end
end
if IRUN < MAX_nirfs_dsgevar
- stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,dataset_.info.nvobs,M_.exo_nbr);
+ stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,dataset_.vobs,M_.exo_nbr);
else
- stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,dataset_.info.nvobs,M_.exo_nbr);
+ stock_irf_bvardsge(:,:,:,IRUN) = reshape(tmp_dsgevar,options_.irf,dataset_.vobs,M_.exo_nbr);
instr = [MhDirectoryName '/' M_.fname '_irf_bvardsge' ...
int2str(NumberOfIRFfiles_dsgevar) '.mat stock_irf_bvardsge;'];,
eval(['save ' instr]);
@@ -242,7 +242,7 @@ while fpar<B
end
NumberOfIRFfiles_dsgevar = NumberOfIRFfiles_dsgevar+1;
IRUN =0;
- stock_irf_dsgevar = zeros(options_.irf,dataset_.info.nvobs,M_.exo_nbr,MAX_nirfs_dsgevar);
+ stock_irf_dsgevar = zeros(options_.irf,dataset_.vobs,M_.exo_nbr,MAX_nirfs_dsgevar);
end
end
if irun == MAX_nirfs_dsge || irun == B || fpar == B
@@ -279,20 +279,6 @@ while fpar<B
ifil2 = ifil2 + 1;
irun2 = 0;
end
-% if isoctave
-% if (whoiam==0),
-% printf(['Posterior IRF %3.f%% done\r'],(fpar/B*100));
-% end
-% elseif ~whoiam,
-% waitbar(fpar/B,h);
-% end
-% if whoiam,
-% if ~isoctave
-% fprintf('Done! \n');
-% end
-% waitbarString = [ 'Subdraw ' int2str(fpar) '/' int2str(B) ' done.'];
-% fMessageStatus((fpar-fpar0)/(B-fpar0),whoiam,waitbarString, waitbarTitle, Parallel(ThisMatlab));
-% end
dyn_waitbar((fpar-fpar0)/(B-fpar0),h);
end
@@ -310,9 +296,5 @@ end
myoutput.OutputFileName = [OutputFileName_dsge;
OutputFileName_param;
OutputFileName_bvardsge];
-
-myoutput.nosaddle = nosaddle;
-
-
-
+myoutput.nosaddle = nosaddle;
diff --git a/matlab/PosteriorIRF_core2.m b/matlab/PosteriorIRF_core2.m
index f33fbc2832ac0529a3146fe4bed8713adc552b90..c20702eb5f4658996bb7aa9a0690a6e49ba7724d 100644
--- a/matlab/PosteriorIRF_core2.m
+++ b/matlab/PosteriorIRF_core2.m
@@ -5,7 +5,7 @@ function myoutput=PosteriorIRF_core2(myinputs,fpar,npar,whoiam, ThisMatlab)
% Perform in parallel execution a portion of the PosteriorIRF.m code.
% See also the comment in random_walk_metropolis_hastings_core.m funtion.
%
-% INPUTS
+% INPUTS
% See the comment in random_walk_metropolis_hastings_core.m funtion.
%
% OUTPUTS
@@ -13,8 +13,8 @@ function myoutput=PosteriorIRF_core2(myinputs,fpar,npar,whoiam, ThisMatlab)
% Contained:
% OutputFileName (i.e. the figures without the file .txt).
%
-% ALGORITHM
-% Portion of PosteriorIRF.m function code. Specifically the last 'for' cycle.
+% ALGORITHM
+% Portion of PosteriorIRF.m function code. Specifically the last 'for' cycle.
%
% SPECIAL REQUIREMENTS.
% None.
@@ -36,7 +36,7 @@ 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 <http://www.gnu.org/licenses/>.
-global options_ M_
+global options_ M_
if nargin<4,
whoiam=0;
@@ -87,7 +87,7 @@ OutputFileName={};
subplotnum = 0;
for i=fpar:npar,
figunumber = 0;
-
+
for j=1:nvar
if max(abs(MeanIRF(:,j,i))) > options_.impulse_responses.plot_threshold
subplotnum = subplotnum+1;
@@ -96,7 +96,7 @@ for i=fpar:npar,
elseif subplotnum == 1 && ~options_.relative_irf
hh = dyn_figure(options_,'Name',['Orthogonalized shock to ' tit(i,:)]);
end
-
+
set(0,'CurrentFigure',hh)
subplot(nn,nn,subplotnum);
if ~MAX_nirfs_dsgevar
@@ -108,12 +108,12 @@ for i=fpar:npar,
set(h2,'FaceColor',[1 1 1]);
set(h2,'BaseValue',min(HPDIRF(:,1,j,i)));
plot(1:options_.irf,MeanIRF(:,j,i),'-k','linewidth',3)
- % plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
+ % plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
box on
axis tight
xlim([1 options_.irf]);
hold off
- else
+ else
h1 = area(1:options_.irf,HPDIRF(:,2,j,i));
set(h1,'FaceColor',[.9 .9 .9]);
set(h1,'BaseValue',min([min(HPDIRF(:,1,j,i)),min(HPDIRFdsgevar(:,1,j,i))]));
@@ -136,9 +136,9 @@ for i=fpar:npar,
else
if options_.debug
fprintf('POSTERIOR_IRF: The IRF of %s to %s is smaller than the irf_plot_threshold of %4.3f and will not be displayed.\n',deblank(varlist(j,:)),tit(i,:),options_.impulse_responses.plot_threshold)
- end
+ end
end
-
+
if subplotnum == MaxNumberOfPlotPerFigure || (j == nvar && subplotnum> 0)
figunumber = figunumber+1;
dyn_saveas(hh,[DirectoryName '/' M_.fname '_Bayesian_IRF_' deblank(tit(i,:)) '_' int2str(figunumber)],options_);
@@ -154,9 +154,8 @@ for i=fpar:npar,
% 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
+end% loop over exo_var
myoutput.OutputFileName = OutputFileName;
-