Measuring the Effects of a Shock to Monetary Policy - Humboldt ...

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Bayesian FAVARs with Agnostic Identification 95 RR=diag([diag(input.startingvalues.R);zeros(specM,1)]); %(N+M)x(N+M) Phi_lags = cat(2,input.startingvalues.Phi_lags(:,:)); Phi_bar = [Phi_lags ; eye((specd-1)*(specK+specM)) zeros((specd-1)*(specK+specM),(specK+specM))]; v = zeros(specT,(specK+specM)); v_bar = [v zeros(specT,((specd-1)*(specK+specM)))]; QQ_bar = [input.startingvalues.Q zeros((specK+specM),(specd-1)*(specK+specM)); zeros((specd-1)*(specK+specM),(specd*(specK+specM)))]; %----------------------------------------------------------------------------------------% stateSpaceStructure.XX = XX; stateSpaceStructure.Lam = Lam; stateSpaceStructure.Xsi_in = Xsi_in; stateSpaceStructure.P_in = P_in; stateSpaceStructure.Phi_bar = Phi_bar; stateSpaceStructure.QQ_bar = QQ_bar; stateSpaceStructure.RR = RR; stateSpaceStructure.F_bar = F_bar; stateSpaceStructure.Lam_bar = Lam_bar; %----------------------------------------------------------------------------------------% calculation.stateSpaceStructure = stateSpaceStructure; %%%%%%**********************************************************%%%%% %%%%%% Bayesian FAVAR Code August 26th %%%%% %%%%%%**********************************************************%%%%% %%%%%% DO_CALCULATION %%%%% %%%%%% see Sequence Diagram Block B %%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%% In this function all calculationprocesses are started %%%%%% and their output stored. These processes are started %%%%%% by calling the functions DO_CALCULATION_SETMODEL, %%%%%% DO_CALCULATION_CREATESTRUCTURE, %%%%%% DO_CALCULATION_GIBBS_SAMPLING and DO_CALCULATION_IR %%%%%% where the last two are the main calculation processes. %%%%%% To save memory the datastructure calculation is declared %%%%%% as global in all functions. In this way all functions %%%%%% can refer to it as an input and out parameter without %%%%%% moving this big sized structure. function [results] = DO_CALCULATION (input) %function [results] = DO_CALCULATION (input) % declare calculation As global structure global calculation; %the following DO_CALCULATION_x write their results directly into the %global calculation structure DO_CALCULATION_SETMODEL (input); % see Sequence Diagram - Block B.1 DO_CALCULATION_CREATESTRUCTURE (input); % see Sequence Diagram - Block B.2 DO_CALCULATION_GIBBS_SAMPLING (input); % see Sequence Diagram - Block B.3 [results.ira] = DO_CALCULATION_IRA (input); % see Sequence Diagram - Block B.4 % clear calculation %%%%%%**********************************************************%%%%% %%%%%% Bayesian FAVAR Code August 26th %%%%% %%%%%%**********************************************************%%%%% %%%%%% DO_CALCULATION_CREATESTRUCTURE %%%%% %%%%%% see Sequence Diagram Block B.2 %%%%%
96 Bayesian FAVARs with Agnostic Identification %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%% Initializes calculation.Phi_bar_collect %%%%%% calculation.QQ_bar_collect %%%%%% calculation.F_bar_collect %%%%%% calculation.Lam_collect %%%%%% %%%%%% calculation.Phi_bar_collect = zeros(input.specification.nGibbsit,specK+specM,specK+specM,specd); %%%%%% calculation.QQ_bar_collect = zeros(input.specification.nGibbsit,specK+specM,specK+specM); %%%%%% calculation.F_bar_collect = zeros(input.specification.nGibbsit,specT,specK); function DO_CALCULATION_CREATESTRUCTURE (input) %function DO_CALCULATION_CREATESTRUCTURE (input) global calculation; specM = input.specification.dim.M; specK = input.specification.model.K; specd = input.specification.model.d; specT = input.specification.dim.T; specN = input.specification.dim.N; specDraws = input.specification.model.draws; calculation.Phi_bar_collect = zeros(specDraws,specK+specM,specK+specM,specd); calculation.QQ_bar_collect = zeros(specDraws,specK+specM,specK+specM); calculation.F_bar_collect = zeros(specDraws,specT,specK); calculation.Lam_collect = zeros(specDraws,specN+specM,specK+specM); for i=1:specM end calculation.Lam_collect(:,input.specification.varY(i),specK+i)=1; %%%%%%**********************************************************%%%%% %%%%%% Bayesian FAVAR Code August 26th %%%%% %%%%%%**********************************************************%%%%% %%%%%% DO_CALCULATION_GIBBS_SAMPLING %%%%% %%%%%% see Sequence Diagram Block B.3 %%%%% %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %%%%%% This function does the Gibbs Sampling by calling the %%%%%% functions DO_CALCULATION_GIBBS_SAMPLING_BK_FILTER, %%%%%% DO_CALCULATION_GIBBS_SAMPLING_BK_SMOOTHER, %%%%%% DO_CALCULATION_GIBBS_SAMPLING_PARAM_PREC_OBS %%%%%% and DO_CALCULATION_GIBBS_SAMPLING_PARAM_PREC_FAC for %%%%%% each Gibbs iteration. After each Iteration the results %%%%%% are stored into the global calculation data structure %%%%%% after ignoring the first input.version.burn_in draws. function DO_CALCULATION_GIBBS_SAMPLING (input) %function DO_CALCULATION_GIBBS_SAMPLING (input) global calculation; %%%%% set parameters K = input.specification.model.K; M = input.specification.dim.M; N = input.specification.dim.N; for Gibbsiteration=1:input.version.nGibbsit %%% Gibbs Start GLOG (sprintf(’Gibbsiteration: %d’,Gibbsiteration),2);
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