diff --git a/matlab/compute_moments_varendo.m b/matlab/compute_moments_varendo.m
index 21f5201f00984fea5a20d920a0bf6621c95de3cc..052d62217e4edfaacae6a37e64df1d1ce9469c58 100644
--- a/matlab/compute_moments_varendo.m
+++ b/matlab/compute_moments_varendo.m
@@ -144,7 +144,7 @@ if M_.exo_nbr > 1
skipline();
end
skipline();
- if ~all(M_.H==0)
+ if ~all(diag(M_.H)==0)
if isoctave
[observable_name_requested_vars, varlist_pos] = intersect_stable(var_list_, options_.varobs);
else
@@ -231,7 +231,7 @@ if M_.exo_nbr > 1
end
end
skipline();
- if ~all(M_.H==0)
+ if ~all(diag(M_.H)==0)
if ~isempty(observable_name_requested_vars)
NumberOfObservedEndogenousVariables = length(observable_name_requested_vars);
temp=NaN(NumberOfObservedEndogenousVariables,NumberOfExogenousVariables+1,length(Steps));
diff --git a/matlab/conditional_variance_decomposition.m b/matlab/conditional_variance_decomposition.m
index 45fe803bdc89f149a35931aa521b4fc20636bf94..f249a7c7a9e17b7de25b061c2ae30bdbe3cbaa35 100644
--- a/matlab/conditional_variance_decomposition.m
+++ b/matlab/conditional_variance_decomposition.m
@@ -88,7 +88,7 @@ end
% get intersection of requested variables and observed variables with
% Measurement error
-if ~all(StateSpaceModel.measurement_error==0)
+if ~all(diag(StateSpaceModel.measurement_error)==0)
if isoctave
[observable_pos,index_subset,index_observables]=intersect_stable(SubsetOfVariables,StateSpaceModel.observable_pos);
else
diff --git a/matlab/disp_th_moments.m b/matlab/disp_th_moments.m
index 6fd28a0d654ffe3a7ac19a717b821d96c86b9fa9..1f71d9c9549b27d19c66f894e7a58e1ae85e75c1 100644
--- a/matlab/disp_th_moments.m
+++ b/matlab/disp_th_moments.m
@@ -54,7 +54,7 @@ oo_.mean = m;
oo_.var = oo_.gamma_y{1};
ME_present=0;
-if ~all(M_.H==0)
+if ~all(diag(M_.H)==0)
if isoctave
[observable_pos_requested_vars,index_subset,index_observables]=intersect_stable(ivar,options_.varobs_id);
else
diff --git a/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m b/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m
index 4195b58a91871168590a346df97435be8ac71a4d..22ced1fe5c37d79defee7d76cb1133054750030f 100644
--- a/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m
+++ b/matlab/dsge_simulated_theoretical_conditional_variance_decomposition.m
@@ -82,7 +82,7 @@ NumberOfSavedElementsPerSimulation = nvar*M_.exo_nbr*length(Steps);
MaXNumberOfConditionalDecompLines = ceil(options_.MaxNumberOfBytes/NumberOfSavedElementsPerSimulation/8);
ME_present=0;
-if ~all(M_.H==0)
+if ~all(diag(M_.H)==0)
if isoctave
[observable_pos_requested_vars,index_subset,index_observables]=intersect_stable(ivar,options_.varobs_id);
else
@@ -131,20 +131,20 @@ linea = 0;
linea_ME = 0;
for file = 1:NumberOfDrawsFiles
if posterior
- load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
+ temp=load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
else
- load([M_.dname '/prior/draws/' type '_draws' num2str(file) ]);
+ temp=load([M_.dname '/prior/draws/' type '_draws' num2str(file) ]);
end
- isdrsaved = columns(pdraws)-1;
- NumberOfDraws = rows(pdraws);
+ isdrsaved = columns(temp.pdraws)-1;
+ NumberOfDraws = rows(temp.pdraws);
for linee = 1:NumberOfDraws
linea = linea+1;
linea_ME = linea_ME+1;
if isdrsaved
- M_=set_parameters_locally(M_,pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
- dr = pdraws{linee,2};
+ 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_,pdraws{linee,1});
+ M_=set_parameters_locally(M_,temp.pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
if first_call
@@ -163,6 +163,7 @@ for file = 1:NumberOfDrawsFiles
end
[StateSpaceModel.transition_matrix,StateSpaceModel.impulse_matrix] = kalman_transition_matrix(dr,iv,ic,M_.exo_nbr);
StateSpaceModel.state_innovations_covariance_matrix = M_.Sigma_e;
+ M_ = set_measurement_errors(temp.pdraws{linee,1},temp.estim_params_,M_);
StateSpaceModel.measurement_error=M_.H;
clear('dr');
[ConditionalVarianceDecomposition, ConditionalVarianceDecomposition_ME]=conditional_variance_decomposition(StateSpaceModel, Steps, ivar);
diff --git a/matlab/dsge_simulated_theoretical_correlation.m b/matlab/dsge_simulated_theoretical_correlation.m
index fb00d5ddcd537074f918a8cc63c565a5b79da4d4..c32aa9db4226eb65bf8dd821180867ceb76017c7 100644
--- a/matlab/dsge_simulated_theoretical_correlation.m
+++ b/matlab/dsge_simulated_theoretical_correlation.m
@@ -94,19 +94,19 @@ CorrFileNumber = 1;
linea = 0;
for file = 1:NumberOfDrawsFiles
if posterior
- load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
+ temp=load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
else
- load([M_.dname '/prior/draws/' type '_draws' num2str(file) ]);
+ temp=load([M_.dname '/prior/draws/' type '_draws' num2str(file) ]);
end
- NumberOfDraws = rows(pdraws);
- isdrsaved = columns(pdraws)-1;
+ NumberOfDraws = rows(temp.pdraws);
+ isdrsaved = columns(temp.pdraws)-1;
for linee = 1:NumberOfDraws
linea = linea+1;
if isdrsaved
- M_=set_parameters_locally(M_,pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
- dr = pdraws{linee,2};
+ 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_,pdraws{linee,1});
+ M_=set_parameters_locally(M_,temp.pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
diff --git a/matlab/dsge_simulated_theoretical_covariance.m b/matlab/dsge_simulated_theoretical_covariance.m
index 0be948bc3c2f7f01601853278939e3af91058637..bbd4702751335d3d918386a26aa4b7c3a2f17908 100644
--- a/matlab/dsge_simulated_theoretical_covariance.m
+++ b/matlab/dsge_simulated_theoretical_covariance.m
@@ -93,19 +93,19 @@ CovarFileNumber = 1;
linea = 0;
for file = 1:NumberOfDrawsFiles
if posterior
- load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
+ temp=load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
else
- load([M_.dname '/prior/draws/' type '_draws' num2str(file) ]);
+ temp=load([M_.dname '/prior/draws/' type '_draws' num2str(file) ]);
end
- NumberOfDraws = rows(pdraws);
- isdrsaved = columns(pdraws)-1;
+ NumberOfDraws = rows(temp.pdraws);
+ isdrsaved = columns(temp.pdraws)-1;
for linee = 1:NumberOfDraws
linea = linea+1;
if isdrsaved
- M_=set_parameters_locally(M_,pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
- dr = pdraws{linee,2};
+ 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_,pdraws{linee,1});
+ M_=set_parameters_locally(M_,temp.pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
diff --git a/matlab/dsge_simulated_theoretical_variance_decomposition.m b/matlab/dsge_simulated_theoretical_variance_decomposition.m
index 71febcf473cb55e8399541910b453c2ff94852fd..b93aa246ed7f5370f8dc7bec05aef5eb4be4a41a 100644
--- a/matlab/dsge_simulated_theoretical_variance_decomposition.m
+++ b/matlab/dsge_simulated_theoretical_variance_decomposition.m
@@ -85,7 +85,7 @@ NumberOfSavedElementsPerSimulation = nvar*(nexo+1);
MaXNumberOfDecompLines = ceil(options_.MaxNumberOfBytes/NumberOfSavedElementsPerSimulation/8);
ME_present=0;
-if ~all(M_.H==0)
+if ~all(diag(M_.H)==0)
if isoctave
[observable_pos_requested_vars,index_subset,index_observables]=intersect_stable(ivar,options_.varobs_id);
else
@@ -130,20 +130,20 @@ linea_ME = 0;
only_non_stationary_vars=0;
for file = 1:NumberOfDrawsFiles
if posterior
- load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
+ temp=load([M_.dname '/metropolis/' M_.fname '_' type '_draws' num2str(file) ]);
else
- load([M_.dname '/prior/draws/' type '_draws' num2str(file) ]);
+ temp=load([M_.dname '/prior/draws/' type '_draws' num2str(file) ]);
end
- isdrsaved = columns(pdraws)-1;
- NumberOfDraws = rows(pdraws);
+ isdrsaved = columns(temp.pdraws)-1;
+ NumberOfDraws = rows(temp.pdraws);
for linee = 1:NumberOfDraws
linea = linea+1;
linea_ME = linea_ME+1;
if isdrsaved
- M_=set_parameters_locally(M_,pdraws{linee,1});% Needed to update the covariance matrix of the state innovations.
- dr = pdraws{linee,2};
+ 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_,pdraws{linee,1});
+ M_=set_parameters_locally(M_,temp.pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
if file==1 && linee==1
@@ -164,6 +164,7 @@ for file = 1:NumberOfDrawsFiles
end
end
if ME_present
+ M_ = set_measurement_errors(temp.pdraws{linee,1},temp.estim_params_,M_);
ME_Variance=diag(M_.H);
tmp_ME=NaN(nobs_ME,nexo+1);
tmp_ME(:,1:end-1)=tmp{2}(index_subset,:).*repmat(diag(tmp{1}(index_subset,index_subset))./(diag(tmp{1}(index_subset,index_subset))+ME_Variance(index_observables)),1,nexo);
diff --git a/matlab/posterior_analysis.m b/matlab/posterior_analysis.m
index 65735025c20b90addf0c4026038463dfaf03efa5..03bff87b8733cae15839ba2351a97d1c797db88a 100644
--- a/matlab/posterior_analysis.m
+++ b/matlab/posterior_analysis.m
@@ -64,7 +64,7 @@ switch type
end
oo_ = variance_decomposition_mc_analysis(SampleSize,'posterior',M_.dname,M_.fname,...
M_.exo_names,arg2,vartan,arg1,options_.mh_conf_sig,oo_,options_);
- if ~all(M_.H==0)
+ if ~all(diag(M_.H)==0)
if strmatch(arg1,options_.varobs,'exact')
if isoctave
[observable_name_requested_vars,index_subset,index_observables]=intersect_stable(vartan,options_.varobs);
@@ -72,7 +72,7 @@ switch type
[observable_name_requested_vars,index_subset,index_observables]=intersect(vartan,options_.varobs,'stable');
end
oo_ = variance_decomposition_ME_mc_analysis(SampleSize,'posterior',M_.dname,M_.fname,...
- M_.exo_names,arg2,observable_name_requested_vars,arg1,options_.mh_conf_sig,oo_,options_);
+ [M_.exo_names;'ME'],arg2,observable_name_requested_vars,arg1,options_.mh_conf_sig,oo_,options_);
end
end
case 'correlation'
@@ -89,10 +89,10 @@ switch type
end
oo_ = conditional_variance_decomposition_mc_analysis(SampleSize,'posterior',M_.dname,M_.fname,...
arg3,M_.exo_names,arg2,vartan,arg1,options_.mh_conf_sig,oo_,options_);
- if ~all(M_.H==0)
+ if ~all(diag(M_.H)==0)
if strmatch(arg1,options_.varobs,'exact')
oo_ = conditional_variance_decomposition_ME_mc_analysis(SampleSize,'posterior',M_.dname,M_.fname,...
- arg3,M_.exo_names,arg2,vartan,arg1,options_.mh_conf_sig,oo_,options_);
+ arg3,[M_.exo_names;'ME'],arg2,vartan,arg1,options_.mh_conf_sig,oo_,options_);
end
end
otherwise
diff --git a/matlab/prior_analysis.m b/matlab/prior_analysis.m
index 0c945c3ebd6d603fd8927bfe598a979bb8731116..3a621a9a8237dd88486f392926c8e0e7128de91f 100644
--- a/matlab/prior_analysis.m
+++ b/matlab/prior_analysis.m
@@ -78,7 +78,7 @@ switch type
end
oo_ = conditional_variance_decomposition_mc_analysis(SampleSize,'prior',M_.dname,M_.fname,...
arg3,M_.exo_names,arg2,vartan,arg1,options_.mh_conf_sig,oo_,options_);
- if ~all(M_.H==0)
+ if ~all(diag(M_.H)==0)
if strmatch(vartan(arg1,:),options_.varobs,'exact')
oo_ = conditional_variance_decomposition_ME_mc_analysis(SampleSize,'prior',M_.dname,M_.fname,...
arg3,M_.exo_names,arg2,vartan,arg1,options_.mh_conf_sig,oo_,options_);
diff --git a/matlab/prior_sampler.m b/matlab/prior_sampler.m
index 2506f91c306aef73867c2b982ebd8736b0e3615a..c09ff8c66de7a427480afed64aa86efcd24ef48a 100644
--- a/matlab/prior_sampler.m
+++ b/matlab/prior_sampler.m
@@ -150,7 +150,7 @@ while iteration < NumberOfSimulations
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');
+ save([ PriorDirectoryName '/prior_draws' int2str(file_indx_number) '.mat' ],'pdraws','estim_params_');
if file_indx_number<NumberOfFiles
if drsave
pdraws = cell(TableOfInformations(file_indx_number+1,2),drsave+2);
diff --git a/matlab/selec_posterior_draws.m b/matlab/selec_posterior_draws.m
index 11d9a4dad16e6388f81134ba135670f8e91839ce..c42e1ced80fdc769dfe10a731cc0e2a45483c7e9 100644
--- a/matlab/selec_posterior_draws.m
+++ b/matlab/selec_posterior_draws.m
@@ -122,7 +122,7 @@ if info
old_mhblck = mhblck;
end
clear('x2')
- save([BaseName '_posterior_draws1.mat'],'pdraws')
+ save([BaseName '_posterior_draws1.mat'],'pdraws','estim_params_')
else% The posterior draws are saved in xx files.
NumberOfDrawsPerFile = fix(MAX_mega_bytes/drawsize);
NumberOfFiles = ceil(SampleSize*drawsize/MAX_mega_bytes);
@@ -149,7 +149,7 @@ if info
old_mhblck = mhblck;
if fnum < NumberOfFiles && linee == NumberOfDrawsPerFile
linee = 0;
- save([BaseName '_posterior_draws' num2str(fnum) '.mat'],'pdraws')
+ save([BaseName '_posterior_draws' num2str(fnum) '.mat'],'pdraws','estim_params_')
fnum = fnum+1;
if fnum < NumberOfFiles
pdraws = cell(NumberOfDrawsPerFile,info);
@@ -158,6 +158,6 @@ if info
end
end
end
- save([BaseName '_posterior_draws' num2str(fnum) '.mat'],'pdraws')
+ save([BaseName '_posterior_draws' num2str(fnum) '.mat'],'pdraws','estim_params_')
end
end
\ No newline at end of file
diff --git a/matlab/stoch_simul.m b/matlab/stoch_simul.m
index ac0908de6b8e102249d63dcd30476c8d7f4ea0e2..2170f0027586e45bec6599096f403bcef53f2094 100644
--- a/matlab/stoch_simul.m
+++ b/matlab/stoch_simul.m
@@ -124,7 +124,7 @@ if ~options_.noprint
lh = cellofchararraymaxlength(labels)+2;
dyn_latex_table(M_, options_, my_title, 'covar_ex_shocks', headers, labels, M_.Sigma_e, lh, 10, 6);
end
- if ~all(M_.H==0)
+ if ~all(diag(M_.H)==0)
my_title='MATRIX OF COVARIANCE OF MEASUREMENT ERRORS';
labels = cellfun(@(x) horzcat('SE_', x), options_.varobs, 'UniformOutput', false);
headers = vertcat('Variables', labels);