Merge branch 'posterior_accessors'

matlab/accessors/get_posterior_covariance.m

+function r = get_posterior_covariance(endo1, endo2)
+
+% Copyright (C) 2020 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
+
+global M_ options_
+
+id1 = find(strcmp(endo1, M_.endo_names));
+if nargin < 2
+    id2 = id1;
+else
+    id2 = find(strcmp(endo2, M_.endo_names));
+end
+
+ivar = get_variables_list(options_,M_);
+
+if ~ismember(id1, ivar)
+    error('Posterior moments have not been computed for %s', endo1)
+end
+if ~ismember(id2, ivar)
+    error('Posterior moments have not been computed for %s', endo2)
+end
+
+r = struct('draw', [], 'moment', []);
+
+
+% Fetch parameter draws
+
+NumberDrawsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_posterior_draws*' ]));
+if NumberDrawsFiles == 0
+    error('Can''t find posterior draws file(s)')
+end
+
+idx = 1;
+for file = 1:NumberDrawsFiles
+    load([M_.dname '/metropolis/' M_.fname '_posterior_draws' int2str(file) ],'pdraws');
+    for i = 1:size(pdraws, 1)
+        r(idx).draw = pdraws{i, 1};
+        idx = idx+1;
+    end
+end
+
+
+% Fetch moments
+
+symidx = symmetric_matrix_index(find(ivar==id1), find(ivar==id2), length(ivar));
+
+NumberMomentsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_Posterior2ndOrderMoments*']));
+if NumberMomentsFiles == 0
+    error('Can''t find posterior 2nd order moments file(s)')
+end
+
+idx = 1;
+for file = 1:NumberMomentsFiles
+    load([M_.dname '/metropolis/' M_.fname '_Posterior2ndOrderMoments' int2str(file) ],'Covariance_matrix');
+    for i = 1:size(Covariance_matrix, 1)
+        r(idx).moment = Covariance_matrix(i, symidx);
+        idx = idx+1;
+    end
+end

matlab/accessors/get_posterior_irf.m

+function r = get_posterior_irf(endo, exo)
+
+% Copyright (C) 2020 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
+
+global M_ options_
+
+endo_id = find(strcmp(endo, M_.endo_names));
+exo_id = find(strcmp(exo, M_.exo_names));
+if isempty(exo_id)
+    error('Unknown exogenous: %s', exo)
+end
+
+ivar = get_variables_list(options_,M_);
+
+if ~ismember(endo_id, ivar)
+    error('Posterior IRFs have not been computed for %s', endo)
+end
+
+r = struct('draw', [], 'irf', []);
+
+
+% Fetch parameter draws
+
+NumberDrawsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_param_irf*' ]));
+if NumberDrawsFiles == 0
+    error('Can''t find posterior draws file(s)')
+end
+
+idx = 1;
+for file = 1:NumberDrawsFiles
+    load([M_.dname '/metropolis/' M_.fname '_param_irf' int2str(file) ],'stock');
+    for i = 1:size(stock, 1)
+        r(idx).draw = stock(i, :);
+        idx = idx+1;
+    end
+end
+
+
+% Fetch IRFs
+
+% We use the raw files, i.e. those that are *not* the output of
+% ReshapeMatFiles.m. Their filename contains 'irf_dsge' in *lowercase*.
+filesUpperAndLower = dir([M_.dname '/metropolis/' M_.fname '_irf_dsge*']);
+filesLower = cellfun(@any, regexp({filesUpperAndLower.name}, [M_.fname '_irf_dsge\d\.mat']));
+NumberIRFsFiles = sum(filesLower);
+if NumberIRFsFiles == 0
+    error('Can''t find posterior IRFs file(s)')
+end
+
+endo_id_varlist = find(ivar == endo_id);
+
+idx = 1;
+for file = 1:NumberIRFsFiles
+    load([M_.dname '/metropolis/' M_.fname '_irf_dsge' int2str(file) ],'stock_irf_dsge');
+    for i = 1:size(stock_irf_dsge, 4)
+        r(idx).irf = stock_irf_dsge(:, endo_id_varlist, exo_id, i);
+        idx = idx+1;
+    end
+end

matlab/accessors/get_posterior_timeseries.m

+function r = get_posterior_timeseries(type, endo)
+% Returns the posterior distribution of either
+% smoothed/updated/filtered/forecast timeseries for a given endogenous variable.
+% "type" must be either 'smoothed', 'updated', 'filtered' or 'forecast'.
+%
+% For filtered variables, returns a matrix with step-ahead in lines and periods
+%  in columns.
+% For forecasts, returns the "point" forecast (i.e. with uncertainty about both
+%  parameters and shocks).
+
+% Copyright (C) 2020 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
+
+global M_
+
+endo_id = find(strcmp(endo, M_.endo_names));
+
+if isempty(endo_id)
+    error('Unknown endogenous variable %s', endo)
+end
+
+r = struct('draw', [], type, []);
+
+
+% Fetch parameter draws
+
+DrawsFiles = dir([M_.dname '/metropolis/' M_.fname '_param*' ]);
+NumberDrawsFiles = 0;
+for i=1:length(DrawsFiles)
+    % We need to filter out the _param_irf* files
+    if ~isempty(regexp(DrawsFiles(i).name, '.*_param[0-9]+\.mat'))
+        NumberDrawsFiles = NumberDrawsFiles + 1;
+    end
+end
+if NumberDrawsFiles == 0
+    error('Can''t find posterior draws file(s)')
+end
+
+idx = 1;
+for file = 1:NumberDrawsFiles
+    load([M_.dname '/metropolis/' M_.fname '_param' int2str(file) ],'stock');
+    for i = 1:size(stock, 1)
+        r(idx).draw = stock(i, :);
+        idx = idx+1;
+    end
+end
+
+
+% Fetch timeseries
+
+switch type
+    case 'smoothed'
+        basename = 'smooth';
+    case 'updated'
+        basename = 'update';
+    case 'filtered'
+        basename = 'filter_step_ahead';
+    case 'forecast'
+        basename = 'forc_point';
+    otherwise
+        error('Unknown type requested. Should be one of: smoothed, updated, filtered, forecast')
+end
+
+
+if strcmp(type, 'smoothed')
+    SmoothedFiles = dir([M_.dname '/metropolis/' M_.fname '_smooth*']);
+    NumberTimeseriesFiles = 0;
+    for i=1:length(SmoothedFiles)
+        %% We need to filter out the _smoothed_{constant,trend}* files
+        if ~isempty(regexp(SmoothedFiles(i).name, '.*_smooth[0-9]+\.mat'))
+            NumberTimeseriesFiles = NumberTimeseriesFiles + 1;
+        end
+    end
+else
+    NumberTimeseriesFiles = length(dir([M_.dname '/metropolis/' M_.fname '_' ...
+                                          basename '*']));
+end
+if NumberTimeseriesFiles == 0
+    error('Can''t find file(s) with posterior timeseries of requested type')
+end
+
+idx = 1;
+for file = 1:NumberTimeseriesFiles
+    load([M_.dname '/metropolis/' M_.fname '_' basename int2str(file) ],'stock');
+    if strcmp(type, 'filtered')
+        for i = 1:size(stock, 4)
+            r(idx).(type) = reshape(stock(:, endo_id, :, i), size(stock,1), size(stock,3));
+            idx = idx+1;
+        end
+    else
+        for i = 1:size(stock, 3)
+            r(idx).(type) = stock(endo_id, :, i)';
+            idx = idx+1;
+        end
+    end
+end