dynare/matlab/ms-sbvar/ms_variance_decomposition.m

function [options_, oo_]=ms_variance_decomposition(M_, options_, oo_)
% function [options_, oo_]=ms_variance_decomposition(M_, options_, oo_)
% Markov-switching SBVAR: Variance Decomposition
%
% INPUTS
%    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 Variance Decomposition');
options_ = set_file_tags(options_);
[options_, oo_] = set_ms_estimation_file(options_.ms.file_tag, options_, oo_);
options_ = set_ms_simulation_file(options_);
clean_files_for_second_type_of_mex(M_, options_, 'variance_decomposition')
vddir = [options_.ms.output_file_tag filesep 'Variance_Decomposition'];
create_dir(vddir);

% NOTICE THAT VARIANCE DECOMPOSITION DEFAULTS TO USING THE MEAN, NOT MEDIAN OR BANDED

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.percentiles}, ...
    {'thin', options_.ms.thinning_factor}, ...
    {'mean'} ...
    };

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

[err, vd] = mex_ms_variance_decomposition([opt(:)', {{'free_parameters',oo_.ms.maxparams}, ...
    {'shocks_per_parameter', options_.ms.shock_draws}}]);
mexErrCheck('mex_ms_variance_decomposition ergodic ', err);
plot_ms_variance_decomposition(M_,options_,vd, 'Ergodic Variance Decomposition',options_.graph_save_formats,options_.TeX);

[err, regime_vd] = mex_ms_variance_decomposition([opt(:)', {{'free_parameters',oo_.ms.maxparams}, ...
    {'shocks_per_parameter', options_.ms.shock_draws}, {'regimes'}}]);
mexErrCheck('mex_ms_variance_decomposition ergodic regimes', err);
save([vddir filesep 'ergodic_vd.mat'], 'vd', 'regime_vd');

if exist(options_.ms.mh_file,'file') > 0
    [err, vd] = mex_ms_variance_decomposition([opt(:)', {{'simulation_file',options_.ms.mh_file}, ...
        {'shocks_per_parameter', options_.ms.shocks_per_parameter}, {'parameter_uncertainty'}}]);
    mexErrCheck('mex_ms_variance_decomposition bayesian ', err);

    [err, regime_vd] = mex_ms_variance_decomposition([opt(:)', {{'simulation_file',options_.ms.mh_file}, ...
        {'shocks_per_parameter', options_.ms.shocks_per_parameter}, {'parameter_uncertainty'}, {'regimes'}}]);
    mexErrCheck('mex_ms_variance_decomposition bayesian regimes ', err);
    save([vddir filesep 'bayesian_vd.mat'], 'vd', 'regime_vd');
end
end