2006-11-04 17:15:36 +01:00
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function forcst_unc(y0,var_list)
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2008-01-17 17:05:08 +01:00
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2006-11-04 17:15:36 +01:00
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% function [mean,intval1,intval2]=forcst_unc(y0,var_list)
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2008-01-17 17:05:08 +01:00
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% computes forecasts with parameter uncertainty
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2006-11-04 17:15:36 +01:00
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%
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% INPUTS
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% y0: matrix of initial values
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% var_list: list of variables to be forecasted
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%
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% OUTPUTS
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2008-01-17 17:05:08 +01:00
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% none
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2006-11-04 17:15:36 +01:00
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%
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% ALGORITHM
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% uses antithetic draws for the shocks
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%
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% SPECIAL REQUIREMENTS
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% None.
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%
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2008-01-17 17:05:08 +01:00
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% part of DYNARE, copyright Dynare Team (2006-2008)
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2006-11-04 17:15:36 +01:00
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% Gnu Public License.
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global M_ options_ oo_ estim_params_ bayestopt_
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% setting up estim_params_
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[xparam1,estim_params_,bayestopt_,lb,ub] = set_prior(estim_params_);
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2006-11-25 09:54:17 +01:00
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options_.TeX = 0;
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options_.nograph = 0;
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plot_priors;
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2006-11-04 17:15:36 +01:00
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% workspace initialization
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if isempty(var_list)
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var_list = M_.endo_names;
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n = M_.endo_nbr;
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else
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n = size(var_list,1);
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end
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2006-11-14 21:26:38 +01:00
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periods = options_.forecast;
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2006-11-04 17:15:36 +01:00
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exo_nbr = M_.exo_nbr;
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2006-11-14 21:26:38 +01:00
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replic = options_.replic;
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2006-11-04 17:15:36 +01:00
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order = options_.order;
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2006-11-25 09:54:17 +01:00
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maximum_lag = M_.maximum_lag;
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2006-11-05 14:43:42 +01:00
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% params = prior_draw(1);
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params = rndprior(bayestopt_);
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2006-11-04 17:15:36 +01:00
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set_parameters(params);
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% eliminate shocks with 0 variance
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i_exo_var = setdiff([1:exo_nbr],find(diag(M_.Sigma_e) == 0));
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nx = length(i_exo_var);
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ex0 = zeros(periods,exo_nbr);
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yf1 = zeros(periods+M_.maximum_lag,n,replic);
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% loops on parameter values
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m1 = 0;
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m2 = 0;
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for i=1:replic
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% draw parameter values from the prior
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2006-11-05 14:43:42 +01:00
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% params = prior_draw(0);
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params = rndprior(bayestopt_);
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2006-11-04 17:15:36 +01:00
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set_parameters(params);
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% solve the model
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[dr,info] = resol(oo_.steady_state,0);
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% discard problematic cases
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if info
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continue
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end
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% compute forecast with zero shocks
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m1 = m1+1;
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yf1(:,:,m1) = simult_(y0,dr,ex0,order)';
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% compute forecast with antithetic shocks
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chol_S = chol(M_.Sigma_e(i_exo_var,i_exo_var));
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ex(:,i_exo_var) = randn(periods,nx)*chol_S;
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m2 = m2+1;
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yf2(:,:,m2) = simult_(y0,dr,ex,order)';
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m2 = m2+1;
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yf2(:,:,m2) = simult_(y0,dr,-ex,order)';
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end
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oo_.forecast.accept_rate = (replic-m1)/replic;
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if options_.noprint == 0 & m1 < replic
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disp(' ')
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disp(' ')
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disp('FORECASTING WITH PARAMETER UNCERTAINTY:')
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disp(sprintf(['The model couldn''t be solved for %f%% of the parameter' ...
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' values'],100*oo_.forecast.accept_rate))
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disp(' ')
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disp(' ')
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end
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% compute moments
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yf1 = yf1(:,:,1:m1);
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yf2 = yf2(:,:,1:m2);
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yf_mean = mean(yf1,3);
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yf1 = sort(yf1,3);
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yf2 = sort(yf2,3);
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sig_lev = options_.conf_sig;
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k1 = round((0.5+[-sig_lev, sig_lev]/2)*replic);
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% make sure that lower bound is at least the first element
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if k1(2) == 0
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k1(2) = 1;
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end
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k2 = round((1+[-sig_lev, sig_lev])*replic);
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% make sure that lower bound is at least the first element
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if k2(2) == 0
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k2(2) = 1;
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end
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2006-11-25 09:54:17 +01:00
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% compute shock uncertainty around forecast with mean prior
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set_parameters(bayestopt_.pmean);
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[dr,info] = resol(oo_.steady_state,0);
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[yf3,yf3_intv] = forcst(dr,y0,periods,var_list);
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yf3_1 = yf3'-[zeros(maximum_lag,n); yf3_intv];
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yf3_2 = yf3'+[zeros(maximum_lag,n); yf3_intv];
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2006-11-04 17:15:36 +01:00
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% graphs
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2006-11-25 09:54:17 +01:00
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dynare_graph_init('Forecasts type I',n,{'b-' 'g-' 'g-' 'r-' 'r-'});
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2006-11-04 17:15:36 +01:00
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for i=1:n
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dynare_graph([yf_mean(:,i) squeeze(yf1(:,i,k1)) squeeze(yf2(:,i,k2))],...
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var_list(i,:));
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end
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dynare_graph_close;
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2006-11-25 09:54:17 +01:00
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dynare_graph_init('Forecasts type II',n,{'b-' 'k-' 'k-' 'r-' 'r-'});
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for i=1:n
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dynare_graph([yf_mean(:,i) yf3_1(:,i) yf3_2(:,i) squeeze(yf2(:,i,k2))],...
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var_list(i,:));
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end
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dynare_graph_close;
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2006-11-04 17:15:36 +01:00
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% saving results
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save_results(yf_mean,'oo_.forecast.mean.',var_list);
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save_results(yf1(:,:,k1(1)),'oo_.forecast.HPDinf.',var_list);
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save_results(yf1(:,:,k1(2)),'oo_.forecast.HPDsup.',var_list);
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save_results(yf2(:,:,k2(1)),'oo_.forecast.HPDTotalinf.',var_list);
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save_results(yf2(:,:,k2(2)),'oo_.forecast.HPDTotalsup.',var_list);
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