348 lines
12 KiB
Matlab
348 lines
12 KiB
Matlab
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function dcontrib(varargin)
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% Computes dynamic contributions to a subset of endogenous variables in a semi structural model.
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%
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% EXAMPLE
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%
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% >> dcontrib --model sandbox.mod --tags zpac eq:x1 --database ds --output results --range 2023Q1:2073Q1
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%
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% zpac and eq:x1 are the equation tags of the equations determining the endogenous variables for which we want to compute
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% the contributions of the other (exogenous) variables, sandbox.mod is the name of the file from which we exctract these
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% equations, ds is a dseries object containing the data, 2023Q1:2073Q1 is the time range over which we compute the
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% contributions, and results the name of the structure containing the contributions (as dseries objects) for each endogenous
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% variable.
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%
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% INPUTS
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% --model name of a mod file (with extension)
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% --tags list of equations (equation tags assocated to the endogenous variables for which we want to compute the contributions)
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% --database dseries object
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% --baseline dseries object (path for the exogenous variables)
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% --range followed by a dates range
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%
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% REMARKS
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% [1] --baseline and --range are not compatible.
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% [2] --variables is followed by a space separated list of names, it is assumed that each variable is associated with an equation tag.
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% Copyright © 2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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global M_
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if nargin==1 && strcmpi(varargin{1}, '--help')
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skipline()
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disp('--model followed by the name of a mod file (with extension) [mandatory]')
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disp('--tags followed by a list of equation tags [mandatory]')
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disp('--database followed by dseries object [mandatory]')
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disp('--baseline followed by dseries object (path for the exogenous variables)')
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disp('--range followed by a dates range')
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disp('--output followed by a name for the structure holding the results [mandatory]')
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skipline()
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return
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end
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model = getmodel(varargin);
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% First call to dynare to obtain the json verison of the model.
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dynare(model(1:end-4), 'nopreprocessoroutput', 'notime', 'json=compute')
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delete(sprintf('%s.log', model(1:end-4)))
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eqtags = geteqtags(varargin);
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variables = cell(length(eqtags), 1);
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for i=1:length(eqtags)
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variables(i) = get_variables_and_parameters_in_expression(get_lhs_and_rhs(eqtags{i}, M_, true));
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end
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% Cherry pick equations required for the decomposition.
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cherrypickdir = sprintf('cherry-pick-%s', randomstring(10));
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cherrypick(model(1:end-4), cherrypickdir, eqtags, false);
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rmdir(model(1:end-4), 's')
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rmdir(sprintf('+%s', model(1:end-4)), 's')
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modfilename = sprintf('dcontrib_%s.mod', randomstring(10));
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aggregate(modfilename, {}, '', cherrypickdir);
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rmdir(cherrypickdir, 's')
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% Second call to dynare (on the exctracted equations)
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dynare(modfilename(1:end-4), 'nopreprocessoroutput', 'notime', 'json=compute')
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% Get dataset
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dname = getdatasetname(varargin);
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ds = evalin('caller', dname);
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if ~isdseries(ds)
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error('dcontrib:getdataset: --dataset must be followed by a dseries object.')
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end
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% Create a dseries object for the paths of the exogenous variables
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xvariables = ds{M_.exo_names{:}};
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% Get initial and terminal periods (if defined)
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[firstperiod, lastperiod] = getperiods(varargin);
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if firstperiod<=ds.dates(1)+M_.orig_maximum_lag
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error('dcontrib:: Try increase firstperiod (>%s).', char(ds.dates(1)+M_.orig_maximum_lag))
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end
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if lastperiod>ds.dates(end)
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error('dcontrib:: Try reduce lastperiod (<=%s).', char(ds.dates(end)))
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end
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% Load baseline (if it makes sense)
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if isempty(firstperiod)
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baselinename = getbaselinename(varargin);
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baseline = evalin('caller', baselinename);
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if ~isdseries(baseline)
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error('dcontrib:getdataset: --baseline must be followed by a dseries object.')
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end
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firstperiod = baseline.dates(1);
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lastperiod = baseline.dates(end);
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baseline = baseline{M_.exo_names{:}};
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else
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% Set default baseline (exogenous variable levels in firstperiod-1)
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baseline = xvariables(firstperiod-1);
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baseline = repmat(baseline.data, lastperiod-firstperiod+1, 1);
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baseline = dseries(baseline, firstperiod, M_.exo_names);
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end
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% Restrict the observations for the exogenous variables to the pertinent tim range
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xvariables = xvariables(firstperiod:lastperiod);
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% Set initial conditions for the simulation.
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initialconditions = ds(ds.dates(1):firstperiod-1);
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% Simulation on the baseline (track the effects of the initial state if the model is autoregressive)
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S.baseline = simul_backward_model(initialconditions, lastperiod-firstperiod+1, baseline);
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% contributions is a dseries object holding the marginal contribution of the baseline and
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% each exogenous variable to endogenous variable z
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% contributions.baseline = S.baseline(firstperiod:lastperiod);
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% Add exogenous variables one by one and simulate the model (-> cumulated contributions)
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for i=1:xvariables.vobs
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name = xvariables.name{i};
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baseline{name} = xvariables{name};
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S.(name) = simul_backward_model(initialconditions, lastperiod-firstperiod+1, baseline);
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end
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% Compute marginal contributions
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for j=1:length(variables)
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cumulatedcontribs = S.baseline{variables{j}}(firstperiod:lastperiod).data;
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contributions.(variables{j}) = dseries(cumulatedcontribs, firstperiod, 'baseline');
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for i=1:xvariables.vobs
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name = xvariables.name{i};
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ts = S.(name);
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data = ts{variables{j}}(firstperiod:lastperiod).data;
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contributions.(variables{j}) = [contributions.(variables{j}), dseries(data-cumulatedcontribs, firstperiod, name)];
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cumulatedcontribs = data;
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end
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contributions.(variables{j}) = contributions.(variables{j})(firstperiod:lastperiod);
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end
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% Save output in caller workspace
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oname = getoutputname(varargin);
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assignin('caller', oname, contributions)
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% Cleanup
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rmdir(modfilename(1:end-4), 's')
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rmdir(sprintf('+%s', modfilename(1:end-4)), 's')
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delete(sprintf('%s.mod', modfilename(1:end-4)))
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delete(sprintf('%s.log', modfilename(1:end-4)))
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end
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function model = getmodel(cellarray)
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% Return variables for which we want to compute the contributions.
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%
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% INPUTS
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% - cellarray [char] 1×n cell array of row char arrays.
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%
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% OUTPUTS
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% - var [char] name of the model (with extension)
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mpos = positions(cellarray);
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model = cellarray{mpos+1};
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end
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function eqtags = geteqtags(cellarray)
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% Return equation tags for the equations we want to compute the contributions.
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%
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% INPUTS
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% - cellarray [char] 1×n cell array of row char arrays.
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%
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% OUTPUTS
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% - eqtags [char] 1×p cell array of row char arrays.
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[~, vpos, ~, ~, ~, ~, indices] = positions(cellarray);
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lastvalue = indices(find(indices==vpos)+1)-1;
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eqtags = cellarray(vpos+1:lastvalue);
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end
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function dname = getdatasetname(cellarray)
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% Return the name of the dataset.
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%
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% INPUTS
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% - cellarray [char] 1×n cell array of row char arrays.
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%
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% OUTPUTS
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% - dname [char] dataset name for endogenous and exogenous variables
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[~, ~, dpos] = positions(cellarray);
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dname = cellarray{dpos+1};
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end
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function [firstperiod, lastperiod] = getperiods(cellarray)
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% Return variables for which we want to compute the contributions.
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%
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% INPUTS
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% - cellarray [char] 1×n cell array of row char arrays.
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%
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% OUTPUTS
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% - ds [dseries] dataset for endogenous and exogenous variables
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[~, ~, ~, rpos] = positions(cellarray);
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firstperiod = dates();
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lastperiod = dates();
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if ~isempty(rpos)
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try
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tmp = strsplit(cellarray{rpos+1},':');
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firstperiod = dates(tmp{1});
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lastperiod = dates(tmp{2});
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catch
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error('dcontrib:getperiods: Cannot convert the --range argument to dates objects.')
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end
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if lastperiod<=firstperiod
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error('dcontrib:getperiods: In --range A:B we must have B>A.')
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end
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end
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end
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function dname = getbaselinename(cellarray)
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% Return the name of the dataset.
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%
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% INPUTS
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% - cellarray [char] 1×n cell array of row char arrays.
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%
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% OUTPUTS
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% - dname [char] baseline name for endogenous and exogenous variables
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[~, ~, ~, ~, bpos] = positions(cellarray);
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dname = cellarray{bpos+1};
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end
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function oname = getoutputname(cellarray)
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% Return the name of the output.
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%
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% INPUTS
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% - cellarray [char] 1×n cell array of row char arrays.
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%
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% OUTPUTS
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% - dname [char] baseline name for endogenous and exogenous variables
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[~, ~, ~, ~, ~, opos] = positions(cellarray);
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oname = cellarray{opos+1};
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end
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function [mpos, vpos, dpos, rpos, bpos, opos, indices] = positions(cellarray)
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% Return positions of the arguments.
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%
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% INPUTS
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% - cellarray [char] 1×n cell array of row char arrays.
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%
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% OUTPUTS
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% - mpos [integer] scalar, index for the --model argument.
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% - vpos [integer] scalar, index for the --tags arguments.
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% - dpos [integer] scalar, index for the --database argument.
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% - rpos [integer] scalar, index for the --range argument.
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% - bpos [integer] scalar. index for the --baseline argument.
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% - opos [integer] scalar, index for the --output argument.
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% Index for --model argument
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mpos = find(strcmp('--model', cellarray));
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if isempty(mpos)
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error('dcontrib::positions: --model argument is mandatory.')
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elseif length(mpos)>1
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error('dplot::positions: Only one --model argument is allowed.')
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end
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% Index for --tags argument
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vpos = find(strcmp('--tags', cellarray));
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if isempty(vpos)
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error('dplot::positions: --tags argument is mandatory.')
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elseif length(vpos)>1
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error('dplot::positions: Only one --tags argument is allowed.')
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end
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% Index for the --initialconditions argument
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dpos = find(strcmp('--database', cellarray));
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if isempty(dpos)
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error('dplot::positions: --database argument is mandatory.')
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elseif length(dpos)>1
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error('dplot::positions: Only one --database argument is allowed.')
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end
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% Index for the --range argument
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rpos = find(strcmp('--range', cellarray));
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if length(rpos)>1
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error('dplot::positions: Only one --range argument is allowed.')
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end
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% Index for the --baseline argument
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bpos = find(strcmp('--baseline', cellarray));
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if length(bpos)>1
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error('dplot::positions: Only one --baseline argument is allowed.')
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end
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if ~isempty(rpos) && ~isempty(bpos)
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error('dplot::positions: --baseline and --range arguments are not allowed simultaneously.')
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end
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% Index for the --output argument.
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opos = find(strcmp('--output', cellarray));
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if isempty(opos)
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error('dplot::positions: --output argument is mandatory.')
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elseif length(opos)>1
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error('dplot::positions: Only one --periods argument is allowed.')
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end
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% Sorted vector of indices
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indices = sort([mpos; vpos; dpos; rpos; bpos; opos]);
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end
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