/usr/share/dynare/matlab/geweke_moments.m is in dynare-common 4.4.1-1build1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 | function [results_vec, results_struct] = geweke_moments(draws,Dynareoptions)
%[results_vec, results_struct] = geweke_moments(draws,Dynareoptions)
% PURPOSE: computes Gewke's convergence diagnostics NSE and RNE
% (numerical std error and relative numerical efficiencies)
% INPUTS
% draws [ndraws by 1 vector]
% Dynareoptions [structure]
%
% OUTPUTS
% results_vec
% results_struct [structure] containing the following fields:
% posteriormean= posterior parameter mean
% posteriorstd = posterior standard deviation
% nse_iid = nse assuming no serial correlation for variable i
% rne_iid = rne assuming no serial correlation for variable i
% nse_x = nse using x% autocovariance tapered estimate
% rne_x = rne using x% autocovariance taper
% -----------------------------------------------------------------
%
% SPECIAL REQUIREMENTS
% None.
% Copyright (C) 2013 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/>.
% REFERENCES: Geweke (1992), `Evaluating the accuracy of sampling-based
% approaches to the calculation of posterior moments', in J.O. Berger,
% J.M. Bernardo, A.P. Dawid, and A.F.M. Smith (eds.) Proceedings of
% the Fourth Valencia International Meeting on Bayesian Statistics,
% pp. 169-194, Oxford University Press
% Geweke (1999): `Using simulation methods for Bayesian econometric models:
% Inference, development and communication', Econometric Reviews, 18(1),
% 1-73
% -----------------------------------------------------------------
% written by: Johannes Pfeifer,
% based on code by James P. LeSage, who in turn
% drew on MATLAB programs written by Siddartha Chib
ndraw = size(draws,1);
n_groups=100;
taper_steps=Dynareoptions.convergence.geweke.taper_steps;
results_vec=zeros(1,4+2*length(taper_steps));
ns = floor(ndraw/n_groups); %step_size
n_draws_used = ns*n_groups; %effective number of draws used after rounding down
window_means= zeros(n_groups,1);
window_uncentered_variances= zeros(n_groups,1);
for ig=1:n_groups;
window_means(ig,1)=sum(draws((ig-1)*ns+1:ig*ns,1))/ns;
window_uncentered_variances(ig,1)=sum(draws((ig-1)*ns+1:ig*ns,1).^2)/ns;
end; %for ig
total_mean=mean(window_means);
total_variance=mean(window_uncentered_variances)-total_mean^2;
% save posterior means and std deviations to results_struct structure
results_vec(1,1)=total_mean;
results_vec(1,2)=sqrt(total_variance);
results_struct.posteriormean = total_mean;
results_struct.posteriorstd = results_vec(1,2);
% numerical standard error assuming no serial correlation
NSE=std(draws(1:n_draws_used,1),1)/sqrt(n_draws_used);
% save to results_struct structure
results_vec(1,3)=NSE;
results_vec(1,4)=total_variance/(n_draws_used*NSE^2);
results_struct.nse_iid = NSE;
results_struct.rne_iid = results_vec(1,4);
%get autocovariance of grouped means
centered_window_means=window_means-total_mean;
autocov_grouped_means=zeros(n_groups,1);
for lag=0:n_groups-1;
autocov_grouped_means(lag+1)=centered_window_means(lag+1:n_groups,1)'*centered_window_means(1:n_groups-lag,1)/100;
end;
% numerical standard error with tapered autocovariance functions
for taper_index=1:length(taper_steps)
taper=taper_steps(taper_index);
taper_lags=(1:taper-1)';
taper_lag_weight=1-taper_lags/taper;
tapered_sum_of_covariances=autocov_grouped_means(1)+sum(2*taper_lag_weight.*autocov_grouped_means(1+taper_lags));
NSE_taper=sqrt(tapered_sum_of_covariances/n_groups);
% save results_struct in structure
results_vec(1,4+taper_index*2-1)=NSE_taper;
results_vec(1,4+taper_index*2)=total_variance/(n_draws_used*NSE_taper^2);
eval(['results_struct.nse_taper_',num2str(taper),'= NSE_taper;']);
eval(['results_struct.rne_taper_',num2str(taper),'= total_variance/(n_draws_used*NSE_taper^2);']);
end; % end of for mm loop
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