dynare/matlab/ms-sbvar/ms_irf.m

function [options_, oo_]=ms_irf(varlist,M_, options_, oo_)
%function ms_irf()
% MS-SBVAR Impulse Response Function
%
% INPUTS
%    varlist:     (chararray) list of selected endogenous variables
%    M_:          (struct)    model structure
%    options_:    (struct)    options
%    oo_:         (struct)    results
%
% OUTPUTS
%    options_:    (struct)    options
%    oo_:         (struct)    results
%
% SPECIAL REQUIREMENTS
%    none

% Copyright (C) 2011 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/>.

disp('MS-SBVAR Impulse Response Function');
options_ = set_file_tags(options_);
[options_, oo_] = set_ms_estimation_file(options_, oo_);
options_ = set_ms_simulation_file(options_);
clean_files_for_second_type_of_mex(M_, options_, 'irf')
irfdir = [options_.ms.output_file_tag filesep 'IRF'];
create_dir(irfdir);

opt = { ...
    {'file_tag', options_.ms.file_tag}, ...
    {'seed', options_.DynareRandomStreams.seed}, ...
    {'horizon', options_.ms.horizon}, ...
    {'filtered', options_.ms.filtered_probabilities}, ...
    {'error_bands', options_.ms.error_bands}, ...
    {'percentiles', options_.ms.error_band_percentiles}, ...
    {'thin', options_.ms.thinning_factor}
    };

if options_.ms.median
    opt = [opt(:)' {{'median'}}];
end

[err, irf] = mex_ms_irf([opt(:)', {{'free_parameters', oo_.ms.maxparams}, {'shocks_per_parameter', options_.ms.shock_draws}}]);
mexErrCheck('mex_ms_irf ergodic ', err);
plot_ms_irf(M_,options_,irf,options_.varobs,'Ergodic Impulse Responses',varlist);

[err, regime_irfs] = mex_ms_irf([opt(:)', {{'free_parameters',oo_.ms.maxparams}, {'shocks_per_parameter', options_.ms.shock_draws}, {'regimes'}}]);
mexErrCheck('mex_ms_irf ergodic regimes ',err);
for i=1:size(regime_irfs,1)
    plot_ms_irf(M_,options_,squeeze(regime_irfs(i,:,:,:)),options_.varobs,['Ergodic ' ...
                        'Impulse Responses State ' int2str(i)],varlist);
end
save([irfdir filesep 'ergodic_irf.mat'], 'irf', 'regime_irfs');

if exist(options_.ms.mh_file,'file') > 0
    [err, irf] = mex_ms_irf([opt(:)', {{'shocks_per_parameter', options_.ms.shocks_per_parameter}, ...
        {'parameter_uncertainty'},{'simulation_file',options_.ms.mh_file}}]);
    mexErrCheck('mex_ms_irf bayesian ',err);
    plot_ms_irf(M_,options_,irf,options_.varobs,'Impulse Responses with Parameter Uncertainty',varlist);
    
    [err, regime_irfs] = mex_ms_irf([opt(:)', {{'shocks_per_parameter', options_.ms.shocks_per_parameter}, ...
        {'simulation_file',options_.ms.mh_file},{'parameter_uncertainty'},{'regimes'}}]);
    mexErrCheck('mex_ms_irf bayesian regimes ',err);
    for i=1:size(regime_irfs,1)
        plot_ms_irf(M_,options_,squeeze(regime_irfs(i,:,:,:)),options_.varobs,['Impulse ' ...
                            'Responses with Parameter Uncertainty State ' int2str(i)],varlist);
    end
    save([irfdir filesep 'bayesian_irf.mat'], 'irf', 'regime_irfs');
end
end