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Jacob Smith authoredJacob Smith authored
GetPosteriorParametersStatistics.m 16.46 KiB
function oo_ = GetPosteriorParametersStatistics(estim_params_, M_, options_, bayestopt_, oo_)
% This function prints and saves posterior estimates after the mcmc
% (+updates of oo_ & TeX output).
%
% INPUTS
% estim_params_ [structure]
% M_ [structure]
% options_ [structure]
% bayestopt_ [structure]
% oo_ [structure]
%
% OUTPUTS
% oo_ [structure]
%
% SPECIAL REQUIREMENTS
% None.
% Copyright (C) 2006-2012 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/>.
%if ~options_.mh_replic && options_.load_mh_file
% load([M_.fname '_results.mat'],'oo_');
%end
TeX = options_.TeX;
nblck = options_.mh_nblck;
nvx = estim_params_.nvx;
nvn = estim_params_.nvn;
ncx = estim_params_.ncx;
ncn = estim_params_.ncn;
np = estim_params_.np ;
nx = nvx+nvn+ncx+ncn+np;
DirectoryName = CheckPath('metropolis',M_.dname);
OutputDirectoryName = CheckPath('Output',M_.dname);
load([ DirectoryName '/' M_.fname '_mh_history'])
FirstMhFile = record.KeepedDraws.FirstMhFile;
FirstLine = record.KeepedDraws.FirstLine;
TotalNumberOfMhFiles = sum(record.MhDraws(:,2));
TotalNumberOfMhDraws = sum(record.MhDraws(:,1));
FirstMhFile = record.KeepedDraws.FirstMhFile;
NumberOfDraws = TotalNumberOfMhDraws-floor(options_.mh_drop*TotalNumberOfMhDraws);
clear record;
pnames=[' ';'beta ';'gamma';'norm ';'invg ';'unif ';'invg2'];
header_width = row_header_width(M_,estim_params_,bayestopt_);
tit2 = sprintf('%-*s %10s %10s %16s %6s %10s\n',header_width+2,' ','prior mean','post. mean','conf. interval','prior','pstdev');
pformat = '%-*s %10.3f %10.4f %10.4f %8.4f %6s %10.4f';
disp(' ');disp(' ');disp('ESTIMATION RESULTS');disp(' ');
try
disp(sprintf('Log data density is %f.',oo_.MarginalDensity.ModifiedHarmonicMean))
catch
[marginal,oo_] = marginal_density(M_, options_, estim_params_, oo_);
disp(sprintf('Log data density is %f.',oo_.MarginalDensity.ModifiedHarmonicMean))end
if np
type = 'parameters';
if TeX
fid = TeXBegin(OutputDirectoryName,M_.fname,1,type);
end
disp(' ')
disp(type)
disp(tit2)
ip = nvx+nvn+ncx+ncn+1;
for i=1:np
if options_.mh_replic
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
[post_mean, post_median, post_var, hpd_interval, post_deciles, ...
density] = posterior_moments(Draws,1,options_.mh_conf_sig);
name = bayestopt_.name{ip};
oo_ = Filloo(oo_,name,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
else
try
name = bayestopt_.name{ip};
[post_mean,hpd_interval,post_var] = Extractoo(oo_,name,type);
catch
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
[post_mean, post_median, post_var, hpd_interval, post_deciles, ...
density] = posterior_moments(Draws,1,options_.mh_conf_sig);
name = bayestopt_.name{ip};
oo_ = Filloo(oo_,name,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
end
end
disp(sprintf(pformat,header_width,name,bayestopt_.p1(ip),...
post_mean, ...
hpd_interval, ...
pnames(bayestopt_.pshape(ip)+1,:), ...
bayestopt_.p2(ip)));
if TeX
k = estim_params_.param_vals(i,1);
name = deblank(M_.param_names_tex(k,:));
TeXCore(fid,name,deblank(pnames(bayestopt_.pshape(ip)+1,:)),bayestopt_.p1(ip),...
bayestopt_.p2(ip),post_mean,sqrt(post_var),hpd_interval);
end
ip = ip+1;
end
if TeX
TeXEnd(fid,1,type);
end
end
if nvx
type = 'shocks_std';
if TeX
fid = TeXBegin(OutputDirectoryName,M_.fname,2,'standard deviation of structural shocks');
end
ip = 1;
disp(' ')
disp('standard deviation of shocks')
disp(tit2)
for i=1:nvx
if options_.mh_replic
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
posterior_moments(Draws,1,options_.mh_conf_sig);
k = estim_params_.var_exo(i,1);
name = deblank(M_.exo_names(k,:));
oo_ = Filloo(oo_,name,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
M_.Sigma_e(k,k) = post_mean*post_mean;
else
try
k = estim_params_.var_exo(i,1);
name = deblank(M_.exo_names(k,:));
[post_mean,hpd_interval,post_var] = Extractoo(oo_,name,type);
catch Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
posterior_moments(Draws,1,options_.mh_conf_sig);
k = estim_params_.var_exo(i,1);
name = deblank(M_.exo_names(k,:));
oo_ = Filloo(oo_,name,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
M_.Sigma_e(k,k) = post_mean*post_mean;
end
end
disp(sprintf(pformat,header_width,name,bayestopt_.p1(ip),post_mean,hpd_interval,...
pnames(bayestopt_.pshape(ip)+1,:),bayestopt_.p2(ip)));
if TeX,
name = deblank(M_.exo_names_tex(k,:));
TeXCore(fid,name,deblank(pnames(bayestopt_.pshape(ip)+1,:)),bayestopt_.p1(ip),...
bayestopt_.p2(ip),post_mean,sqrt(post_var),hpd_interval);
end
ip = ip+1;
end
if TeX
TeXEnd(fid,2,'standard deviation of structural shocks');
end
end
if nvn
type = 'measurement_errors_std';
if TeX
fid = TeXBegin(OutputDirectoryName,M_.fname,3,'standard deviation of measurement errors')
end
disp(' ')
disp('standard deviation of measurement errors')
disp(tit2)
ip = nvx+1;
for i=1:nvn
if options_.mh_replic
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
posterior_moments(Draws,1,options_.mh_conf_sig);
name = deblank(options_.varobs(estim_params_.var_endo(i,1),:));
oo_ = Filloo(oo_,name,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
else
try
name = deblank(options_.varobs(estim_params_.var_endo(i,1),:));
[post_mean,hpd_interval,post_var] = Extractoo(oo_,name,type);
catch
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
posterior_moments(Draws,1,options_.mh_conf_sig);
name = deblank(options_.varobs(estim_params_.var_endo(i,1),:));
oo_ = Filloo(oo_,name,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
end
end
disp(sprintf(pformat,header_width,name,bayestopt_.p1(ip),post_mean,hpd_interval, ...
pnames(bayestopt_.pshape(ip)+1,:),bayestopt_.p2(ip)));
if TeX
k = estim_params_.var_endo(i,1);
name = deblank(M_.endo_names_tex(k,:));
TeXCore(fid,name,deblank(pnames(bayestopt_.pshape(ip)+1,:)),bayestopt_.p1(ip),...
bayestopt_.p2(ip),post_mean,sqrt(post_var),hpd_interval);
end
ip = ip+1;
end
if TeX
TeXEnd(fid,3,'standard deviation of measurement errors');
end
end
if ncx
type = 'shocks_corr';
if TeX
fid = TeXBegin(OutputDirectoryName,M_.fname,4,'correlation of structural shocks');
end
disp(' ') disp('correlation of shocks')
disp(tit2)
ip = nvx+nvn+1;
for i=1:ncx
if options_.mh_replic
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
posterior_moments(Draws,1,options_.mh_conf_sig);
k1 = estim_params_.corrx(i,1);
k2 = estim_params_.corrx(i,2);
name = [deblank(M_.exo_names(k1,:)) ',' deblank(M_.exo_names(k2,:))];
NAME = [deblank(M_.exo_names(k1,:)) '_' deblank(M_.exo_names(k2,:))];
oo_ = Filloo(oo_,NAME,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
M_.Sigma_e(k1,k2) = post_mean*sqrt(M_.Sigma_e(k1,k1)*M_.Sigma_e(k2,k2));
M_.Sigma_e(k2,k1) = M_.Sigma_e(k1,k2);
else
try
k1 = estim_params_.corrx(i,1);
k2 = estim_params_.corrx(i,2);
name = [deblank(M_.exo_names(k1,:)) ',' deblank(M_.exo_names(k2,:))];
NAME = [deblank(M_.exo_names(k1,:)) '_' deblank(M_.exo_names(k2,:))];
[post_mean,hpd_interval,post_var] = Extractoo(oo_,NAME,type);
catch
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
posterior_moments(Draws,1,options_.mh_conf_sig);
k1 = estim_params_.corrx(i,1);
k2 = estim_params_.corrx(i,2);
name = [deblank(M_.exo_names(k1,:)) ',' deblank(M_.exo_names(k2,:))];
NAME = [deblank(M_.exo_names(k1,:)) '_' deblank(M_.exo_names(k2,:))];
oo_ = Filloo(oo_,NAME,type,post_mean,hpd_interval,post_median,post_var,post_deciles,density);
M_.Sigma_e(k1,k2) = post_mean*sqrt(M_.Sigma_e(k1,k1)*M_.Sigma_e(k2,k2));
M_.Sigma_e(k2,k1) = M_.Sigma_e(k1,k2);
end
end
disp(sprintf(pformat, header_width,name,bayestopt_.p1(ip),post_mean,hpd_interval, ...
pnames(bayestopt_.pshape(ip)+1,:),bayestopt_.p2(ip)));
if TeX
name = ['(',deblank(M_.exo_names_tex(k1,:)) ',' deblank(M_.exo_names_tex(k2,:)),')'];
TeXCore(fid,name,deblank(pnames(bayestopt_.pshape(ip)+1,:)),bayestopt_.p1(ip),...
bayestopt_.p2(ip),post_mean,sqrt(post_var),hpd_interval);
end
ip = ip+1;
end
if TeX
TeXEnd(fid,4,'correlation of structural shocks');
end
end
if ncn
type = 'measurement_errors_corr';
if TeX
fid = TeXBegin(OutputDirectoryName,M_.fname,5,'correlation of measurement errors');
end
disp(' ')
disp('correlation of measurement errors')
disp(tit2)
ip = nvx+nvn+ncx+1;
for i=1:ncn
if options_.mh_replic
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
posterior_moments(Draws,1,options_.mh_conf_sig);
k1 = estim_params_.corrn(i,1);
k2 = estim_params_.corrn(i,2);
name = [deblank(M_.endo_names(k1,:)) ',' deblank(M_.endo_names(k2,:))];
NAME = [deblank(M_.endo_names(k1,:)) '_' deblank(M_.endo_names(k2,:))];
oo_ = Filloo(oo_,NAME,type,post_mean,hpd_interval,...
post_median,post_var,post_deciles,density);
else
try k1 = estim_params_.corrn(i,1);
k2 = estim_params_.corrn(i,2);
name = [deblank(M_.endo_names(k1,:)) ',' deblank(M_.endo_names(k2,:))];
NAME = [deblank(M_.endo_names(k1,:)) '_' deblank(M_.endo_names(k2,:))];
[post_mean,hpd_interval,post_var] = Extractoo(oo_,NAME,type);
catch
Draws = GetAllPosteriorDraws(ip,FirstMhFile,FirstLine,TotalNumberOfMhFiles,NumberOfDraws);
[post_mean, post_median, post_var, hpd_interval, post_deciles, density] = ...
posterior_moments(Draws,1,options_.mh_conf_sig);
k1 = estim_params_.corrn(i,1);
k2 = estim_params_.corrn(i,2);
name = [deblank(M_.endo_names(k1,:)) ',' deblank(M_.endo_names(k2,:))];
NAME = [deblank(M_.endo_names(k1,:)) '_' deblank(M_.endo_names(k2,:))];
oo_ = Filloo(oo_,NAME,type,post_mean,hpd_interval,...
post_median,post_var,post_deciles,density);
end
end
disp(sprintf(pformat, header_width,name,bayestopt_.p1(ip),post_mean,hpd_interval, ...
pnames(bayestopt_.pshape(ip)+1,:),bayestopt_.p2(ip)));
if TeX,
name = ['(',deblank(M_.endo_names_tex(k1,:)) ',' deblank(M_.endo_names_tex(k2,:)),')'];
TeXCore(fid,name,deblank(pnames(bayestopt_.pshape(ip)+1,:)),bayestopt_.p1(ip),...
bayestopt_.p2(ip),post_mean,sqrt(post_var),hpd_interval);
end
ip = ip+1;
end
if TeX
TeXEnd(fid,5,'correlation of measurement errors');
end
end
%
%% subfunctions:
%
function fid = TeXBegin(directory,fname,fnum,title)
TeXfile = [directory '/' fname '_Posterior_Mean_' int2str(fnum) '.TeX'];
fidTeX = fopen(TeXfile,'w');
fprintf(fidTeX,'%% TeX-table generated by Dynare.\n');
fprintf(fidTeX,['%% RESULTS FROM METROPOLIS HASTINGS (' title ')\n']);
fprintf(fidTeX,['%% ' datestr(now,0)]);
fprintf(fidTeX,' \n');
fprintf(fidTeX,' \n');
fprintf(fidTeX,'\\begin{center}\n');
fprintf(fidTeX,'\\begin{longtable}{l|lcccccc} \n');
fprintf(fidTeX,['\\caption{Results from Metropolis-Hastings (' title ')}\n ']);
fprintf(fidTeX,['\\label{Table:MHPosterior:' int2str(fnum) '}\\\\\n']);
fprintf(fidTeX,'\\hline\\hline \\\\ \n');
fprintf(fidTeX,[' & Prior distribution & Prior mean & Prior ' ...
's.d. & Posterior mean & Posterior s.d. & HPD inf & HPD sup\\\\ \n']);
fprintf(fidTeX,'\\hline \\endfirsthead \n');
fprintf(fidTeX,['\\caption{(continued)}']);
fprintf(fidTeX,['\\label{Table:MHPosterior:' int2str(fnum) '}\\\\\n']);
fprintf(fidTeX,'\\hline\\hline \\\\ \n');
fprintf(fidTeX,[' & Prior distribution & Prior mean & Prior ' ...
's.d. & Posterior mean & Posterior s.d. & HPD inf & HPD sup\\\\ \n']);
fprintf(fidTeX,'\\hline \\endhead \n');
fprintf(fidTeX,'\\hline \\multicolumn{8}{r}{(Continued on next page)} \\\\ \\hline \\endfoot \n');
fprintf(fidTeX,'\\hline \\hline \\endlastfoot \n');
fid = fidTeX;
function TeXCore(fid,name,shape,priormean,priorstd,postmean,poststd,hpd)
fprintf(fid,['$%s$ & %s & %7.3f & %6.4f & %7.3f& %6.4f & %7.4f & %7.4f \\\\ \n'],...
name,...
shape,...
priormean,... priorstd,...
postmean,...
poststd,...
hpd(1),...
hpd(2));
function TeXEnd(fid,fnum,title)
fprintf(fid,'\\end{longtable}\n ');
fprintf(fid,'\\end{center}\n');
fprintf(fid,'%% End of TeX file.\n');
fclose(fid);
function oo = Filloo(oo,name,type,postmean,hpdinterval,postmedian,postvar,postdecile,density)
eval(['oo.posterior_mean.' type '.' name ' = postmean;']);
eval(['oo.posterior_hpdinf.' type '.' name ' = hpdinterval(1);']);
eval(['oo.posterior_hpdsup.' type '.' name ' = hpdinterval(2);']);
eval(['oo.posterior_median.' type '.' name ' = postmedian;']);
eval(['oo.posterior_variance.' type '.' name ' = postvar;']);
eval(['oo.posterior_deciles.' type '.' name ' = postdecile;']);
eval(['oo.posterior_density.' type '.' name ' = density;']);
function [post_mean,hpd_interval,post_var] = Extractoo(oo,name,type)
hpd_interval = zeros(2,1);
eval(['post_mean = oo.posterior_mean.' type '.' name ';']);
eval(['hpd_interval(1) = oo.posterior_hpdinf.' type '.' name ';']);
eval(['hpd_interval(2) = oo.posterior_hpdsup.' type '.' name ';']);
eval(['post_var = oo.posterior_variance.' type '.' name ';']);