Contemporaneous correlations using different draws from the postierior

Estimation
1

Hi,

I am wondering if it is possible in Dynare to draw from the posterior and compute contemporaneous correlations. I am interested in the sensitivity of my correlations to the parameters chosen and how much these correlations would vary if parameters would drawn from the posteriors.

Thanks,
J.

2

Yes, that is possible using a posterior_function. Search the forum on this.

1 Like
3

Thanks, Johannes. I will look into the function.

4

Hi Johannes,

Sorry to bother you again. I’ve gone through some of the other posts using posterior_function and got a working version of what I’d like to do. I am slightly confused by the outputs. I’ve downloaded the posterior_function_demo.m and changed the codes inside of the file to the following:

%% store the mean of the parameter draw
output_cell{1,1}=xparam1;

%% compute the steady state for the parameter draw and store it
% set the parameters draws to the model structure
M_ = set_all_parameters(xparam1,estim_params_,M_);
options_.noprint=1;
options_.drop=200;
options_.periods=1000;
var_list=char(‘Y’,‘R’);
[ys, oo_] = simult(oo_.dr.ys,oo_.dr,M_,options_,oo_);

oo_=disp_moments(ys,var_list,M_,options_,oo_);
% compute the steady state for the parameter draw written to M_
[ys,params,info] = evaluate_steady_state(oo_.steady_state,M_,options_,oo_,0);$

Two questions on the outputs:

  1. in my oo_. file, the simulation shows up as an exogenous simulation in exo_simul. What I was hoping to get are the endogenous responses to shocks for Y and R since the standard deviations of my shocks are in the estimated parameter vector. Are these the same things here? Or do I need to provide simult.m with the shocks.
  2. Can I use the contemporaneous_correlation here, as I would in the stoch_simul setting. I tried saving the oo_.contemporaneous_correlation as an output but received an error.

Thanks,
J.

5

Can you please provide me with the full files and tell me which output you want to retrieve?

6

Hi Johannes,

Thanks for the reply. Ideally, getting stochastic simulations for the endogenous variables based on different draws from the posterior would be acceptable (my shock variances are also estimated). I can compute the contemporaneous correlations from there. If I can use the contemporaneous_correlation command in this setting that would be even better.

Thanks,
J.

dsge.mod (2.4 KB) posterior_function_demo.m (3.1 KB) us_data.mat (4.2 KB)

7

Use

function output_cell =posterior_function_demo(xparam1,M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info)
% output_cell =posterior_function_demo(xparam1,M_,options_,oo_,estim_params_,bayestopt_,dataset_,dataset_info);
% This is an example file computing statistics on the prior/posterior draws. The
% function allows read-only access to all Dynare structures. However, those
% structures are local to this function.  Changing them will not affect
% other Dynare functions and you cannot use them to pass results to other
% Dynare functions.
% The function takes one and only one output argument: an 1 by n cell.
% Using functions like cell2mat, the contents of the cell can be easily
% transformed back to matrices. See the fs2000_posterior_function.mod for
% an example

% INPUTS
%   xparam1                      Current parameter draw
%   M_           [structure]     Matlab's structure describing the Model (initialized by dynare, see @ref{M_}).
%   options_     [structure]     Matlab's structure describing the options (initialized by dynare, see @ref{options_}).
%   oo_          [structure]     Matlab's structure gathering the results (initialized by dynare, see @ref{oo_}).
%   estim_params_[structure]     Matlab's structure describing the estimated_parameters (initialized by dynare, see @ref{estim_params_}).
%   bayestopt_   [structure]     Matlab's structure describing the parameter options (initialized by dynare, see @ref{bayestopt_}).
%   dataset_     [structure]     Matlab's structure storing the dataset
%   dataset_info [structure]     Matlab's structure storing the information about the dataset

% Output
%   output_cell  [1 by n cell]   1 by n Matlab cell allowing to store any
%                                desired computation or result (strings, matrices, structures, etc.)

% Copyright (C) 2015 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/>.


%% store the mean of the parameter draw
output_cell{1,1}=xparam1;

%% compute the steady state for the parameter draw and store it
% set the parameters draws to the model structure
M_ = set_all_parameters(xparam1,estim_params_,M_);
options_.noprint=1;
if isempty(options_.qz_criterium)
    options_.qz_criterium = 1+1e-6;
end

%get model solution at parameters
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
oo_.dr=dr;

var_list=char('yobs','iobs');
options_.contemporaneous_correlation=1;
oo_=disp_th_moments(oo_.dr,var_list,M_,options_,oo_);

%set second part of output cell
output_cell{1,2}=oo_.contemporaneous_correlation;
end
1 Like
8

Thanks, this works perfectly.

Much appreciated.