%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Basic Tobit model
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
tic; % start stop watch
rand('state',37); % set arbitrary seed for uniform draws
randn('state',37); % set arbitrary seed for normal draws
load c:\klaus\AAEC6564\mlab\worksp\mod5_tobit_data;
% Open log file
[fid]=fopen('c:\Klaus\AAEC6564\mlab\logs\mod5_tobit.txt','w');
if fid==-1;
warning('File could not be opened');
else;
disp('File opened successfully');
end;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% starting values, priors, and tuners
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% general elements
r1=15000; % burn-ins
r2=5000; % keepers
R=r1+r2;
k=size(X,2);
% generic OLS
bols=inv(X'*X)*X'*y;
res=y-X*bols;
s2=(res'*res)/(n-k);
% elements for beta
mu0=zeros(k,1); %diffuse prior for mean of betas
V0=eye(k)*100; % diffuse prior for varcov of beta
betadraw=bols;
% elements for sig2
v0=1/2;
tau0=1/2; % diffuse prior shape and scale
sig2draw=s2; % use OLS variance as starting draw for GS (Tobias uses "1" in his code)
[betamat,sig2mat]=gs_tobit(X,y,k,n,r1,r2,mu0,V0,betadraw,v0,tau0,...
sig2draw,f0,f1);
'GS done'
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Convergence Checks - Geweke's CD diagnostic
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% put all draws together & run diagnostics
allmat=[betamat;sig2mat];
kdiag=klausdiagnostics_greater0(allmat);
fprintf(fid,'total number of iterations =\t%6.0f \n',R);
fprintf(fid,'burn-in iterations =\t%6.0f \n',r1);
fprintf(fid,'True betas \n\n');
fprintf(fid,'%6.3f\n',btrue);
fprintf(fid,'\n');
fprintf(fid,'True sig2 \n\n');
fprintf(fid,'%6.3f\n',sig2true);
% beta stuff
out=kdiag(1:k,:)';
fprintf(fid,'Output table for betas \n\n');
fprintf(fid,'mean\t\tstd\t\tp(>0)\t\tnse\t\tIEF\t\tm*\t\tcd\n\n');
fprintf(fid,'%6.3f\t%6.3f\t%6.3f\t%6.3f\t%6.3f\t%6.3f\t%6.3f\n',out);
fprintf(fid,'\n');
%sig2 stuff
out=kdiag(k+1:end,:)';
fprintf(fid,'Output table for sig2\n\n');
fprintf(fid,'mean\t\tstd\t\tp(>0)\t\tnse\t\tIEF\t\tm*\t\tcd\n\n');
fprintf(fid,'%6.3f\t%6.3f\t%6.3f\t%6.3f\t%6.3f\t%6.3f\t%6.3f\n',out);
fprintf(fid,'\n');
save c:\klaus\AAEC6564\mlab\worksp\mod5_tobit betamat sig2mat;
finish = toc/60;
fprintf(fid,'Time elapsed in minutes \n\n');
fprintf(fid,'%6.3f\n',finish);
st=fclose(fid);
if st==0;
disp('File closed successfully');
else;
warning('Problem with closing file');
end;