From c42d4d84b5e69bcbad616e0612e891b596931efa Mon Sep 17 00:00:00 2001
From: michel <michel@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Thu, 15 Dec 2005 09:01:28 +0000
Subject: [PATCH] v3, metropolis.m partial correction
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v3@552 ac1d8469-bf42-47a9-8791-bf33cf982152
---
matlab/metropolis.m | 92 ++++++++++++++++++++-------------------------
1 file changed, 41 insertions(+), 51 deletions(-)
diff --git a/matlab/metropolis.m b/matlab/metropolis.m
index 740460bec6..10308dc14d 100644
--- a/matlab/metropolis.m
+++ b/matlab/metropolis.m
@@ -3,7 +3,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
% Adapted from an older version of metropolis.m
global bayestopt_ exo_nbr dr_ estim_params_ Sigma_e_ options_ xparam_test
- global lgy_ lgx_ fname_ ys_ xkmin_ xkmax_ ykmin_ ykmax_ endo_nbr mean_varobs
+ global lgy_ lgx_ fname_ ys_ xkmin_ xkmax_ ykmin_ ykmax_ endo_nbr
global oo_ lgx_orig_ord_ lgy_TeX_ lgx_TeX_
global dsge_prior_weight
@@ -1492,10 +1492,10 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if options_.forecast
if B <= MAX_nforc
stock_forcst = zeros(options_.forecast+ykmin_,nvar,B);
- stock_forcst1 = zeros(options_.forecast+ykmin_,nvar,2*B);
+ stock_forcst1 = zeros(options_.forecast+ykmin_,nvar,B);
else
stock_forcst = zeros(options_.forecast+ykmin_,nvar,MAX_nforc);
- stock_forcst1 = zeros(options_.forecast+ykmin_,nvar,2*MAX_nforc);
+ stock_forcst1 = zeros(options_.forecast+ykmin_,nvar,MAX_nforc);
end
end
if options_.smoother
@@ -1533,7 +1533,6 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if options_.forecast
sfil_forc = 0;
irun_forc = 0;
- irun_forc1 = 1:2;
end
if options_.smoother
sfil_smoo = 0;
@@ -1551,7 +1550,6 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
for b = 1:B;
if options_.forecast
irun_forc = irun_forc+1;
- irun_forc1 = irun_forc1+2;
end
if options_.smoother
irun_smoo = irun_smoo+1;
@@ -1645,27 +1643,26 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
yf = yf+repmat(ys',horizon+ykmin_,1);
end
stock_forcst(:,:,irun_forc) = yf;
- yf1 = forcst2(yyyy,horizon,dr_,2);
+ yf1 = forcst2(yyyy,horizon,dr_,1);
if options_.prefilter == 1
yf1(:,IdObs,:) = yf1(:,IdObs,:)+ ...
- repmat(bayestopt_.mean_varobs',[horizon+ykmin_,1,2]);
+ repmat(bayestopt_.mean_varobs',[horizon+ykmin_,1,1]);
end
yf1(:,IdObs,:) = yf1(:,IdObs,:)+repmat((gend+[1-ykmin_:horizon]')* ...
- trend_coeff',[1,1,2]);
+ trend_coeff',[1,1,1]);
if options_.loglinear == 1
- yf1 = yf1 + repmat(log(ys'),[horizon+ykmin_,1,2]);
+ yf1 = yf1 + repmat(log(ys'),[horizon+ykmin_,1,1]);
yf1 = exp(yf1);
else
- yf1 = yf1 + repmat(ys',[horizon+ykmin_,1,2]);
+ yf1 = yf1 + repmat(ys',[horizon+ykmin_,1,1]);
end
- stock_forcst1(:,:,irun_forc1) = yf1;
+ stock_forcst1(:,:,irun_forc) = yf1;
if irun_forc == MAX_nforc
sfil_forc = sfil_forc + 1;
save([fname_ '_forecast' int2str(sfil_forc)],'stock_forcst','stock_forcst1');
irun_forc = 0;
- irun_forc1 = 1:2;
stock_forcst = zeros(horizon+ykmin_,nvar,MAX_nforc);
- stock_forcst1 = zeros(horizon+ykmin_,nvar,MAX_nforc*B);
+ stock_forcst1 = zeros(horizon+ykmin_,nvar,MAX_nforc);
end
end
waitbar(b/B,h);
@@ -1696,7 +1693,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if options_.forecast
if irun_forc
stock_forcst = stock_forcst(:,:,1:irun_forc);
- stock_forcst1 = stock_forcst1(:,:,1:irun_forc1(end));
+ stock_forcst1 = stock_forcst1(:,:,1:irun_forc);
sfil_forc = sfil_forc + 1;
save([fname_ '_forecast' int2str(sfil_forc)],'stock_forcst','stock_forcst1');
end
@@ -1715,7 +1712,6 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if options_.forecast
sfil_forc = 0;
irun_forc = 0;
- irun_forc1 = 1:2;
end
if options_.smoother
sfil_smoo = 0;
@@ -1735,7 +1731,6 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
for b = 1:B;
if options_.forecast
irun_forc = irun_forc+1;
- irun_forc1 = irun_forc1+2;
end
if options_.smoother
irun_smoo = irun_smoo+1;
@@ -1810,27 +1805,26 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
yf = yf+repmat(ys',horizon+ykmin_,1);
end
stock_forcst(:,:,irun_forc) = yf;
- yf1 = forcst2(yyyy,horizon,dr,B);
+ yf1 = forcst2(yyyy,horizon,dr,1);
if options_.prefilter == 1
yf1(:,IdObs,:) = yf1(:,IdObs,:)+ ...
- repmat(bayestopt_.mean_varobs',[horizon+ykmin_,1,B]);
+ repmat(bayestopt_.mean_varobs',[horizon+ykmin_,1,1]);
end
yf1(:,IdObs,:) = yf1(:,IdObs,:)+repmat((gend+[1-ykmin_:horizon]')* ...
- trend_coeff',[1,1,B]);
+ trend_coeff',[1,1,1]);
if options_.loglinear == 1
- yf1 = yf1 + repmat(log(ys'),[horizon+ykmin_,1,B]);
+ yf1 = yf1 + repmat(log(ys'),[horizon+ykmin_,1,1]);
yf1 = exp(yf1);
else
- yf1 = yf1 + repmat(ys',[horizon+ykmin_,1,B]);
+ yf1 = yf1 + repmat(ys',[horizon+ykmin_,1,1]);
end
- stock_forcst1(:,:,irun_forc1) = yf1;
+ stock_forcst1(:,:,irun_forc) = yf1;
if irun_forc == MAX_nforc
sfil_forc = sfil_forc + 1;
save([fname_ '_forecast' int2str(sfil_forc)],'stock_forcst','stock_forcst1');
irun_forc = 0;
- irun_forc1 = 1:B;
stock_forcst = zeros(horizon+ykmin_,nvar,MAX_nforc);
- stock_forcst = zeros(horizon+ykmin_,nvar,MAX_nforc*B);
+ stock_forcst1 = zeros(horizon+ykmin_,nvar,MAX_nforc);
end
end
waitbar(b/B,h);
@@ -1861,7 +1855,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if options_.forecast
if irun_forc
stock_forcst = stock_forcst(:,:,1:irun_forc);
- stock_forcst1 = stock_forcst1(:,:,1:irun_forc1(end));
+ stock_forcst1 = stock_forcst1(:,:,1:irun_forc);
sfil_forc = sfil_forc + 1;
save([fname_ '_forecast' int2str(sfil_forc)],'stock_forcst','stock_forcst1');
end
@@ -1882,7 +1876,6 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if options_.forecast
sfil_forc = 0;
irun_forc = 0;
- irun_forc1 = 1:2;
end
if options_.smoother
sfil_smoo = 0;
@@ -1899,7 +1892,6 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
for b = 1:B;
if options_.forecast
irun_forc = irun_forc+1;
- irun_forc1 = irun_forc1+2;
end
if options_.smoother
irun_smoo = irun_smoo+1;
@@ -1935,7 +1927,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if irun_smoo < MAX_nsmoo
stock_smooth(:,:,irun_smoo) = atT(1:endo_nbr,1:gend);
if options_.prefilter == 1
- stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+repmat(mean_varobs',1,gend);
+ stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+repmat(bayestopt_.mean_varobs',1,gend);
elseif options_.loglinear == 1
stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+...
repmat(log(ys(bayestopt_.mfys)),1,gend)+...
@@ -1948,7 +1940,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
else
stock_smooth(:,:,irun_smoo) = atT(1:endo_nbr,1:gend);
if options_.prefilter == 1
- stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+repmat(mean_varobs',1,gend);
+ stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+repmat(bayestopt_.mean_varobs',1,gend);
elseif options_.loglinear == 1
stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+...
repmat(log(ys(bayestopt_.mfys)),1,gend)+...
@@ -2007,27 +1999,26 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
yf = yf+repmat(ys',horizon+ykmin_,1);
end
stock_forcst(:,:,irun_forc) = yf;
- yf1 = forcst2(yyyy,horizon,dr_,2);
+ yf1 = forcst2(yyyy,horizon,dr_,1);
if options_.prefilter == 1
yf1(:,IdObs,:) = yf1(:,IdObs,:)+ ...
- repmat(bayestopt_.mean_varobs',[horizon+ykmin_,1,2]);
+ repmat(bayestopt_.mean_varobs',[horizon+ykmin_,1,1]);
end
yf1(:,IdObs,:) = yf1(:,IdObs,:)+repmat((gend+[1-ykmin_:horizon]')* ...
- trend_coeff',[1,1,2]);
+ trend_coeff',[1,1,1]);
if options_.loglinear == 1
- yf1 = yf1 + repmat(log(ys'),[horizon+ykmin_,1,2]);
+ yf1 = yf1 + repmat(log(ys'),[horizon+ykmin_,1,1]);
yf1 = exp(yf1);
else
- yf1 = yf1 + repmat(ys',[horizon+ykmin_,1,2]);
+ yf1 = yf1 + repmat(ys',[horizon+ykmin_,1,1]);
end
- stock_forcst1(:,:,irun_forc1) = yf1;
+ stock_forcst1(:,:,irun_forc) = yf1;
if irun_forc == MAX_nforc
sfil_forc = sfil_forc + 1;
save([fname_ '_forecast' int2str(sfil_forc)],'stock_forcst','stock_forcst1');
irun_forc = 0;
- irun_forc1 = 1:2;
stock_forcst = zeros(horizon+ykmin_,nvar,MAX_nforc);
- stock_forcst1 = zeros(horizon+ykmin_,nvar,MAX_nforc*2);
+ stock_forcst1 = zeros(horizon+ykmin_,nvar,MAX_nforc);
end
end
waitbar(b/B,h);
@@ -2051,7 +2042,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if options_.forecast
if irun_forc
stock_forcst = stock_forcst(:,:,1:irun_forc);
- stock_forcst1 = stock_forcst1(:,:,1:irun_forc1(end));
+ stock_forcst1 = stock_forcst1(:,:,1:irun_forc);
sfil_forc = sfil_forc + 1;
save([fname_ '_forecast' int2str(sfil_forc)],'stock_forcst','stock_forcst1');
end
@@ -2070,7 +2061,6 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if options_.forecast
sfil_forc = 0;
irun_forc = 0;
- irun_forc1 = 1:2;
end
if options_.smoother
sfil_smoo = 0;
@@ -2090,7 +2080,6 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
for b = 1:B;
if options_.forecast
irun_forc = irun_forc+1;
- irun_forc1 = irun_forc1+2;
end
if options_.smoother
irun_smoo = irun_smoo+1;
@@ -2109,7 +2098,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if irun_smoo < MAX_nsmoo
stock_smooth(:,:,irun_smoo) = atT(1:endo_nbr,1:gend);
if options_.prefilter == 1
- stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+repmat(mean_varobs',1,gend);
+ stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+repmat(bayestopt_.mean_varobs',1,gend);
elseif options_.loglinear == 1
stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+...
repmat(log(ys(bayestopt_.mfys)),1,gend)+...
@@ -2122,7 +2111,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
else
stock_smooth(:,:,irun_smoo) = atT(1:endo_nbr,1:gend);
if options_.prefilter == 1
- stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+repmat(mean_varobs',1,gend);
+ stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+repmat(bayestopt_.mean_varobs',1,gend);
elseif options_.loglinear == 1
stock_smooth(bayestopt_.mf,:,irun_smoo) = atT(bayestopt_.mf,:)+...
repmat(log(ys(bayestopt_.mfys)),1,gend)+...
@@ -2179,27 +2168,26 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
yf = yf+repmat(ys',horizon+ykmin_,1);
end
stock_forcst(:,:,irun_forc) = yf;
- yf1 = forcst2(yyyy,horizon,dr,B);
+ yf1 = forcst2(yyyy,horizon,dr,1);
if options_.prefilter == 1
yf1(:,IdObs,:) = yf1(:,IdObs,:)+ ...
- repmat(bayestopt_.mean_varobs',[horizon+ykmin_,1,B]);
+ repmat(bayestopt_.mean_varobs',[horizon+ykmin_,1,1]);
end
yf1(:,IdObs,:) = yf1(:,IdObs,:)+repmat((gend+[1-ykmin_:horizon]')* ...
- trend_coeff',[1,1,B]);
+ trend_coeff',[1,1,1]);
if options_.loglinear == 1
- yf1 = yf1 + repmat(log(ys'),[horizon+ykmin_,1,B]);
+ yf1 = yf1 + repmat(log(ys'),[horizon+ykmin_,1,1]);
yf1 = exp(yf1);
else
- yf1 = yf1 + repmat(ys',[horizon+ykmin_,1,B]);
+ yf1 = yf1 + repmat(ys',[horizon+ykmin_,1,1]);
end
- stock_forcst1(:,:,irun_forc1) = yf1;
+ stock_forcst1(:,:,irun_forc) = yf1;
if irun_forc == MAX_nforc
sfil_forc = sfil_forc + 1;
save([fname_ '_forecast' int2str(sfil_forc)],'stock_forcst','stock_forcst1');
irun_forc = 0;
- irun_forc1 = 1:B;
stock_forcst = zeros(horizon+ykmin_,nvar,MAX_nforc);
- stock_forcst = zeros(horizon+ykmin_,nvar,MAX_nforc*B);
+ stock_forcst1 = zeros(horizon+ykmin_,nvar,MAX_nforc);
end
end
waitbar(b/B,h);
@@ -2223,7 +2211,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
if options_.forecast
if irun_forc
stock_forcst = stock_forcst(:,:,1:irun_forc);
- stock_forcst1 = stock_forcst1(:,:,1:irun_forc1(end));
+ stock_forcst1 = stock_forcst1(:,:,1:irun_forc);
sfil_forc = sfil_forc + 1;
save([fname_ '_forecast' int2str(sfil_forc)],'stock_forcst','stock_forcst1');
end
@@ -2566,6 +2554,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
stock_irf_dsge = zeros(nirfs,size(lgy_,1),exo_nbr,MAX_nirfs_dsge);
end
% bvar-dsge
+if exist('dsge_prior_weight')
DsgeVarLikelihood(deep',gend);
GYY = evalin('base','GYY');
GXX = evalin('base','GXX');
@@ -2624,6 +2613,7 @@ function metropolis(xparam1,vv,gend,data,rawdata,mh_bounds)
irun_irf_dsgevar = 0;
stock_irf_dsgevar = zeros(nirfs,nvobs,exo_nbr,MAX_nirfs_dsgevar);
end
+end
waitbar(b/B,h);
end
clear tmp;
--
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