2015-11-24 20:55:33 +01:00
|
|
|
function [forecast,info] = dyn_forecast(var_list,M,options,oo,task)
|
2011-12-14 10:18:51 +01:00
|
|
|
% function dyn_forecast(var_list,task)
|
2009-12-16 18:17:34 +01:00
|
|
|
% computes mean forecast for a given value of the parameters
|
|
|
|
% computes also confidence band for the forecast
|
|
|
|
%
|
|
|
|
% INPUTS
|
|
|
|
% var_list: list of variables (character matrix)
|
|
|
|
% task: indicates how to initialize the forecast
|
|
|
|
% either 'simul' or 'smoother'
|
|
|
|
% OUTPUTS
|
|
|
|
% nothing is returned but the procedure saves output
|
|
|
|
% in oo_.forecast.Mean
|
|
|
|
% oo_.forecast.HPDinf
|
|
|
|
% oo_.forecast.HPDsup
|
|
|
|
%
|
|
|
|
% SPECIAL REQUIREMENTS
|
|
|
|
% none
|
|
|
|
|
2015-02-16 09:08:02 +01:00
|
|
|
% Copyright (C) 2003-2015 Dynare Team
|
2009-12-16 18:17:34 +01:00
|
|
|
%
|
|
|
|
% 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/>.
|
|
|
|
|
|
|
|
info = 0;
|
|
|
|
|
2015-02-15 17:49:01 +01:00
|
|
|
make_ex_;
|
|
|
|
|
2015-11-24 20:55:33 +01:00
|
|
|
maximum_lag = M.maximum_lag;
|
2009-12-16 18:17:34 +01:00
|
|
|
|
2015-11-24 20:55:33 +01:00
|
|
|
endo_names = M.endo_names;
|
2009-12-16 18:17:34 +01:00
|
|
|
if isempty(var_list)
|
2015-11-24 20:55:33 +01:00
|
|
|
var_list = endo_names(1:M.orig_endo_nbr, :);
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
|
|
|
i_var = [];
|
|
|
|
for i = 1:size(var_list)
|
|
|
|
tmp = strmatch(var_list(i,:),endo_names,'exact');
|
|
|
|
if isempty(tmp)
|
|
|
|
error([var_list(i,:) ' isn''t and endogenous variable'])
|
|
|
|
end
|
|
|
|
i_var = [i_var; tmp];
|
|
|
|
end
|
|
|
|
|
|
|
|
n_var = length(i_var);
|
|
|
|
|
|
|
|
trend = 0;
|
|
|
|
switch task
|
|
|
|
case 'simul'
|
2015-11-24 20:55:33 +01:00
|
|
|
horizon = options.periods;
|
2009-12-16 18:17:34 +01:00
|
|
|
if horizon == 0
|
|
|
|
horizon = 5;
|
|
|
|
end
|
2015-11-24 20:55:33 +01:00
|
|
|
if isempty(M.endo_histval)
|
|
|
|
y0 = repmat(oo.dr.ys,1,maximum_lag);
|
2009-12-16 18:17:34 +01:00
|
|
|
else
|
2015-11-24 20:55:33 +01:00
|
|
|
y0 = M.endo_histval;
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
|
|
|
case 'smoother'
|
2015-11-24 20:55:33 +01:00
|
|
|
horizon = options.forecast;
|
|
|
|
y_smoothed = oo.SmoothedVariables;
|
|
|
|
y0 = zeros(M.endo_nbr,maximum_lag);
|
|
|
|
for i = 1:M.endo_nbr
|
|
|
|
v_name = deblank(M.endo_names(i,:));
|
|
|
|
y0(i,:) = y_smoothed.(v_name)(end-maximum_lag+1:end)+oo.dr.ys(i);
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
2015-11-24 20:55:33 +01:00
|
|
|
gend = options.nobs;
|
|
|
|
if isfield(oo.Smoother,'TrendCoeffs')
|
|
|
|
var_obs = options.varobs;
|
|
|
|
endo_names = M.endo_names;
|
|
|
|
order_var = oo.dr.order_var;
|
2009-12-16 18:17:34 +01:00
|
|
|
i_var_obs = [];
|
|
|
|
trend_coeffs = [];
|
2013-05-21 16:38:17 +02:00
|
|
|
for i=1:length(var_obs)
|
|
|
|
tmp = strmatch(var_obs{i},endo_names(i_var,:),'exact');
|
2009-12-16 18:17:34 +01:00
|
|
|
if ~isempty(tmp)
|
|
|
|
i_var_obs = [ i_var_obs; tmp];
|
2015-11-24 20:55:33 +01:00
|
|
|
trend_coeffs = [trend_coeffs; oo.Smoother.TrendCoeffs(i)];
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
2013-03-19 19:04:03 +01:00
|
|
|
end
|
|
|
|
if ~isempty(trend_coeffs)
|
2015-11-24 20:55:33 +01:00
|
|
|
trend = trend_coeffs*(gend+(1-M.maximum_lag:horizon));
|
2013-03-19 19:04:03 +01:00
|
|
|
end
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
|
|
|
global bayestopt_
|
|
|
|
if isfield(bayestopt_,'mean_varobs')
|
2015-11-24 20:55:33 +01:00
|
|
|
trend = trend + repmat(bayestopt_.mean_varobs,1,horizon+M.maximum_lag);
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
|
|
|
otherwise
|
|
|
|
error('Wrong flag value')
|
|
|
|
end
|
|
|
|
|
2015-11-24 20:55:33 +01:00
|
|
|
if M.exo_det_nbr == 0
|
|
|
|
[yf,int_width] = forcst(oo.dr,y0,horizon,var_list);
|
2009-12-16 18:17:34 +01:00
|
|
|
else
|
2015-11-24 20:55:33 +01:00
|
|
|
exo_det_length = size(oo.exo_det_simul,1)-M.maximum_lag;
|
2009-12-16 18:17:34 +01:00
|
|
|
if horizon > exo_det_length
|
2015-11-24 20:55:33 +01:00
|
|
|
ex = zeros(horizon,M.exo_nbr);
|
|
|
|
oo.exo_det_simul = [ oo.exo_det_simul;...
|
|
|
|
repmat(oo.exo_det_steady_state',...
|
2009-12-16 18:17:34 +01:00
|
|
|
horizon- ...
|
|
|
|
exo_det_length,1)];
|
|
|
|
elseif horizon < exo_det_length
|
2015-11-24 20:55:33 +01:00
|
|
|
ex = zeros(exo_det_length,M.exo_nbr);
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
2015-11-24 20:55:33 +01:00
|
|
|
[yf,int_width] = simultxdet(y0,ex,oo.exo_det_simul,...
|
|
|
|
options.order,var_list,M,oo,options);
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
|
|
|
|
|
|
|
if ~isscalar(trend)
|
|
|
|
yf(i_var_obs,:) = yf(i_var_obs,:) + trend;
|
|
|
|
end
|
|
|
|
|
|
|
|
for i=1:n_var
|
2015-11-24 20:55:33 +01:00
|
|
|
vname = deblank(var_list(i,:));
|
|
|
|
forecast.Mean.(vname) = yf(i,maximum_lag+(1:horizon))';
|
|
|
|
forecast.HPDinf.(vname)= yf(i,maximum_lag+(1:horizon))' - int_width(1:horizon,i);
|
|
|
|
forecast.HPDsup.(vname) = yf(i,maximum_lag+(1:horizon))' + int_width(1:horizon,i);
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
|
|
|
|
2015-11-24 20:55:33 +01:00
|
|
|
for i=1:M.exo_det_nbr
|
|
|
|
forecast.Exogenous.(deblank(M.exo_det_names(i,:))) = oo.exo_det_simul(maximum_lag+(1:horizon),i);
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|
|
|
|
|
2015-11-24 20:55:33 +01:00
|
|
|
if options.nograph == 0
|
2015-11-30 21:30:42 +01:00
|
|
|
oo.forecast = forecast;
|
2015-11-24 20:55:33 +01:00
|
|
|
forecast_graphs(var_list,M, oo,options)
|
2009-12-16 18:17:34 +01:00
|
|
|
end
|