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Commit 41814bec authored by Sébastien Villemot's avatar Sébastien Villemot
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Merge branch 'moments_varendo' into 'master' 

dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance:...

Closes #1769

See merge request !1888
parents baa0fb6e 4d43e185
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matlab/compute_moments_varendo.m
View file @ 41814bec
......@@ -97,7 +97,7 @@ end
if posterior
for i=1:NumberOfEndogenousVariables
for j=i:NumberOfEndogenousVariables
oo_ = posterior_analysis('variance', var_list_{i}, var_list_{j}, [], options_, M_, oo_);
oo_ = posterior_analysis('variance', var_list_{i}, var_list_{j}, NumberOfLags, options_, M_, oo_);
end
end
else
......
matlab/dsge_simulated_theoretical_correlation.m
View file @ 41814bec
function [nvar,vartan,CorrFileNumber] = dsge_simulated_theoretical_correlation(SampleSize,nar,M_,options_,oo_,type)
% function [nvar,vartan,CorrFileNumber] = dsge_simulated_theoretical_correlation(SampleSize,nar,M_,options_,oo_,type)
% This function computes the posterior or prior distribution of the endogenous
% variables' second order moments.
% variables' second order moments. Actual computations are done in
% dsge_simulated_theoretical_covariance, see https://git.dynare.org/Dynare/dynare/-/issues/1769
%
% INPUTS
% SampleSize [integer] scalar, number of simulations.
......@@ -17,7 +18,7 @@ function [nvar,vartan,CorrFileNumber] = dsge_simulated_theoretical_correlation(S
% vartan [char] array of characters (with nvar rows).
% CorrFileNumber [integer] scalar, number of prior or posterior data files (for correlation).
% Copyright (C) 2007-2020 Dynare Team
% Copyright (C) 2007-2021 Dynare Team
%
% This file is part of Dynare.
%
......@@ -34,120 +35,15 @@ function [nvar,vartan,CorrFileNumber] = dsge_simulated_theoretical_correlation(S
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
nodecomposition = 1;
nvar = length(ivar);
[ivar,vartan, options_] = get_variables_list(options_, M_);
% Get informations about the _posterior_draws files.
if strcmpi(type,'posterior')
NumberOfDrawsFiles = length(dir([M_.dname '/metropolis/' M_.fname '_' type '_draws*' ]));
posterior = 1;
CorrFileNumber = length(dir([M_.dname '/metropolis/' M_.fname '_PosteriorCorrelations*']));
elseif strcmpi(type,'prior')
NumberOfDrawsFiles = length(dir([M_.dname '/prior/draws/' type '_draws*' ]));
CheckPath('prior/moments',M_.dname);
posterior = 0;
CorrFileNumber = length(dir([M_.dname '/prior/moments/' M_.fname '_PriorCorrelations*']));
else
disp('dsge_simulated_theoretical_correlation:: Unknown type!');
error()
end
%delete old stale files before creating new ones
if posterior
delete_stale_file([M_.dname '/metropolis/' M_.fname '_PosteriorCorrelations*']);
else
delete_stale_file([M_.dname '/prior/moments/' M_.fname '_PriorCorrelations*']);
end
% Set varlist (vartan)
if ~posterior
if isfield(options_,'varlist')
temp = options_.varlist;
end
options_.varlist = options_.prior_analysis_endo_var_list;
end
endo_names=options_.varlist;
[ivar,vartan, options_] = get_variables_list(options_, M_);
if ~posterior
if exist('temp','var')
options_.varlist = temp;
end
end
nvar = length(ivar);
if options_.pruning
obs_var=NaN(nvar,1);
for i=1:nvar
obs_var(i,1) = find(strcmp(M_.endo_names(ivar(i),:), M_.endo_names(oo_.dr.order_var)));
end
end
% Set the size of the auto-correlation function to nar.
oldnar = options_.ar;
options_.ar = nar;
% Number of lines in posterior data files.
MaXNumberOfCorrLines = ceil(options_.MaxNumberOfBytes/(nvar*nvar*nar)/8);
if SampleSize<=MaXNumberOfCorrLines
Correlation_array = zeros(SampleSize,nvar,nvar,nar);
NumberOfCorrFiles = 1;
else
Correlation_array = zeros(MaXNumberOfCorrLines,nvar,nvar,nar);
NumberOfLinesInTheLastCorrFile = mod(SampleSize,MaXNumberOfCorrLines);
NumberOfCorrFiles = ceil(SampleSize/MaXNumberOfCorrLines);
end
NumberOfCorrLines = rows(Correlation_array);
CorrFileNumber = 1;
% Compute 2nd order moments and save them in *_[Posterior, Prior]Correlations* files
linea = 0;
for file = 1:NumberOfDrawsFiles
if posterior
temp=load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
else
temp=load([M_.dname '/prior/draws/' type '_draws' num2str(file) ]);
end
NumberOfDraws = rows(temp.pdraws);
isdrsaved = columns(temp.pdraws)-1;
for linee = 1:NumberOfDraws
linea = linea+1;
if isdrsaved
M_=set_parameters_locally(M_,temp.pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
dr = temp.pdraws{linee,2};
else
M_=set_parameters_locally(M_,temp.pdraws{linee,1});
[dr,info,M_,oo_] = compute_decision_rules(M_,options_,oo_);
end
if ~options_.pruning
tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
else
pruned_state_space = pruned_state_space_system(M_, options_, dr, obs_var, options_.ar, 1, 0);
for i=1:nar
tmp{i+1} = pruned_state_space.Corr_yi(:,:,i);
end
end
for i=1:nar
Correlation_array(linea,:,:,i) = tmp{i+1};
end
if linea == NumberOfCorrLines
if posterior
save([ M_.dname '/metropolis/' M_.fname '_PosteriorCorrelations' int2str(CorrFileNumber) '.mat' ],'Correlation_array','endo_names');
else
save([ M_.dname '/prior/moments/' M_.fname '_PriorCorrelations' int2str(CorrFileNumber) '.mat' ],'Correlation_array','endo_names');
end
CorrFileNumber = CorrFileNumber + 1;
linea = 0;
test = CorrFileNumber-NumberOfCorrFiles;
if ~test% Prepare the last round...
Correlation_array = zeros(NumberOfLinesInTheLastCorrFile,nvar,nvar,nar);
NumberOfCorrLines = NumberOfLinesInTheLastCorrFile;
CorrFileNumber = CorrFileNumber - 1;
elseif test<0
Correlation_array = zeros(MaXNumberOfCorrLines,nvar,nvar,nar);
else
clear('Correlation_array');
end
end
end
end
options_.ar = oldnar;
matlab/dsge_simulated_theoretical_covariance.m
View file @ 41814bec
function [nvar,vartan,CovarFileNumber] = dsge_simulated_theoretical_covariance(SampleSize,M_,options_,oo_,type)
% function [nvar,vartan,CovarFileNumber] = dsge_simulated_theoretical_covariance(SampleSize,M_,options_,oo_,type)
function [nvar,vartan,CovarFileNumber] = dsge_simulated_theoretical_covariance(SampleSize,nar,M_,options_,oo_,type)
% function [nvar,vartan,CovarFileNumber] = dsge_simulated_theoretical_covariance(SampleSize,nar,M_,options_,oo_,type)
% This function computes the posterior or prior distribution of the endogenous
% variables second order moments.
%
......@@ -16,7 +16,7 @@ function [nvar,vartan,CovarFileNumber] = dsge_simulated_theoretical_covariance(S
% vartan [char] array of characters (with nvar rows).
% CovarFileNumber [integer] scalar, number of prior or posterior data files (for covariance).
% Copyright (C) 2007-2020 Dynare Team
% Copyright (C) 2007-2021 Dynare Team
%
% This file is part of Dynare.
%
......@@ -51,8 +51,10 @@ end
%delete old stale files before creating new ones
if posterior
delete_stale_file([M_.dname '/metropolis/' M_.fname '_Posterior2ndOrderMoments*'])
delete_stale_file([M_.dname '/metropolis/' M_.fname '_PosteriorCorrelations*']);
else
delete_stale_file([M_.dname '/prior/moments/' M_.fname '_Prior2ndOrderMoments*'])
delete_stale_file([M_.dname '/prior/moments/' M_.fname '_PriorCorrelations*']);
end
% Set varlist (vartan)
......@@ -77,12 +79,12 @@ if options_.pruning
obs_var(i,1) = find(strcmp(M_.endo_names(ivar(i),:), M_.endo_names(oo_.dr.order_var)));
end
end
% Set the size of the auto-correlation function to zero.
nar = options_.ar;
options_.ar = 0;
options_.ar = nar;
% Number of lines in posterior data files.
MaXNumberOfCovarLines = ceil(options_.MaxNumberOfBytes/(nvar*(nvar+1)/2)/8);
MaXNumberOfCorrLines = ceil(options_.MaxNumberOfBytes/(nvar*nvar*nar)/8);
if SampleSize<=MaXNumberOfCovarLines
Covariance_matrix = zeros(SampleSize,nvar*(nvar+1)/2);
......@@ -92,12 +94,23 @@ else
NumberOfLinesInTheLastCovarFile = mod(SampleSize,MaXNumberOfCovarLines);
NumberOfCovarFiles = ceil(SampleSize/MaXNumberOfCovarLines);
end
if SampleSize<=MaXNumberOfCorrLines
Correlation_array = zeros(SampleSize,nvar,nvar,nar);
NumberOfCorrFiles = 1;
else
Correlation_array = zeros(MaXNumberOfCorrLines,nvar,nvar,nar);
NumberOfLinesInTheLastCorrFile = mod(SampleSize,MaXNumberOfCorrLines);
NumberOfCorrFiles = ceil(SampleSize/MaXNumberOfCorrLines);
end
NumberOfCovarLines = rows(Covariance_matrix);
CovarFileNumber = 1;
NumberOfCorrLines = rows(Correlation_array);
CorrFileNumber = 1;
% Compute 2nd order moments and save them in *_[Posterior, Prior]2ndOrderMoments* files
linea = 0;
linea_cov = 0;
linea_corr = 0;
for file = 1:NumberOfDrawsFiles
if posterior
temp=load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
......@@ -107,7 +120,8 @@ for file = 1:NumberOfDrawsFiles
NumberOfDraws = rows(temp.pdraws);
isdrsaved = columns(temp.pdraws)-1;
for linee = 1:NumberOfDraws
linea = linea+1;
linea_cov = linea_cov+1;
linea_corr = linea_corr+1;
if isdrsaved
M_=set_parameters_locally(M_,temp.pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
dr = temp.pdraws{linee,2};
......@@ -120,20 +134,27 @@ for file = 1:NumberOfDrawsFiles
else
pruned_state_space = pruned_state_space_system(M_, options_, dr, obs_var, options_.ar, 1, 0);
tmp{1} = pruned_state_space.Var_y;
for i=1:nar
tmp{i+1} = pruned_state_space.Corr_yi(:,:,i);
end
end
for i=1:nvar
for j=i:nvar
Covariance_matrix(linea,symmetric_matrix_index(i,j,nvar)) = tmp{1}(i,j);
Covariance_matrix(linea_cov,symmetric_matrix_index(i,j,nvar)) = tmp{1}(i,j);
end
end
if linea == NumberOfCovarLines
for i=1:nar
Correlation_array(linea_corr,:,:,i) = tmp{i+1};
end
if linea_cov == NumberOfCovarLines
if posterior
save([ M_.dname '/metropolis/' M_.fname '_Posterior2ndOrderMoments' int2str(CovarFileNumber) '.mat' ],'Covariance_matrix','endo_names');
else
save([ M_.dname '/prior/moments/' M_.fname '_Prior2ndOrderMoments' int2str(CovarFileNumber) '.mat' ],'Covariance_matrix','endo_names');
end
CovarFileNumber = CovarFileNumber + 1;
linea = 0;
linea_cov = 0;
test = CovarFileNumber-NumberOfCovarFiles;
if ~test% Prepare the last round...
Covariance_matrix = zeros(NumberOfLinesInTheLastCovarFile,nvar*(nvar+1)/2);
......@@ -144,7 +165,24 @@ for file = 1:NumberOfDrawsFiles
clear('Covariance_matrix');
end
end
if linea_corr == NumberOfCorrLines
if posterior
save([ M_.dname '/metropolis/' M_.fname '_PosteriorCorrelations' int2str(CorrFileNumber) '.mat' ],'Correlation_array','endo_names');
else
save([ M_.dname '/prior/moments/' M_.fname '_PriorCorrelations' int2str(CorrFileNumber) '.mat' ],'Correlation_array','endo_names');
end
CorrFileNumber = CorrFileNumber + 1;
linea_corr = 0;
test = CorrFileNumber-NumberOfCorrFiles;
if ~test% Prepare the last round...
Correlation_array = zeros(NumberOfLinesInTheLastCorrFile,nvar,nvar,nar);
NumberOfCorrLines = NumberOfLinesInTheLastCorrFile;
CorrFileNumber = CorrFileNumber - 1;
elseif test<0
Correlation_array = zeros(MaXNumberOfCorrLines,nvar,nvar,nar);
else
clear('Correlation_array');
end
end
end
end
options_.ar = nar;
matlab/posterior_analysis.m
View file @ 41814bec
......@@ -53,7 +53,7 @@ switch type
case 'variance'
if nargin==narg1
[nvar,vartan,NumberOfFiles] = ...
dsge_simulated_theoretical_covariance(SampleSize,M_,options_,oo_,'posterior');
dsge_simulated_theoretical_covariance(SampleSize,arg3,M_,options_,oo_,'posterior');
end
oo_ = covariance_mc_analysis(SampleSize,'posterior',M_.dname,M_.fname,...
vartan,nvar,arg1,arg2,options_.mh_conf_sig,oo_,options_);
......
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