Various optimizations.
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7c83ba7ea7
commit
07141a8681
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@ -126,7 +126,8 @@ if estimated_model
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qz_criterium_old=options_.qz_criterium;
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options_=select_qz_criterium_value(options_);
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options_smoothed_state_uncertainty_old = options_.smoothed_state_uncertainty;
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[atT,innov,measurement_error,filtered_state_vector,ys,trend_coeff,aK,T,R,P,PK,decomp,trend_addition,state_uncertainty,M_,oo_,options_,bayestopt_] = DsgeSmoother(xparam,gend,data,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_);
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[atT, ~, ~, ~,ys, ~, ~, ~, ~, ~, ~, ~, ~, ~,M_,oo_,options_,bayestopt_] = ...
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DsgeSmoother(xparam, gend, data, data_index, missing_value, M_, oo_, options_, bayestopt_, estim_params_);
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options_.smoothed_state_uncertainty = options_smoothed_state_uncertainty_old;
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%get constant part
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if options_.noconstant
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@ -148,7 +149,7 @@ if estimated_model
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end
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% add trend to constant
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for obs_iter=1:length(options_.varobs)
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j = strmatch(options_.varobs{obs_iter}, M_.endo_names, 'exact');
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j = strcmp(options_.varobs{obs_iter}, M_.endo_names);
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constant(j,:) = constant(j,:) + trend_addition(obs_iter,:);
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end
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trend = constant(oo_.dr.order_var,:);
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@ -170,7 +171,7 @@ if options_.logged_steady_state %if steady state was previously logged, undo thi
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options_.logged_steady_state=0;
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end
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[T,R,ys,info,M_,options_,oo_] = dynare_resolve(M_,options_,oo_);
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[T, R, ys, ~, M_, options_, oo_] = dynare_resolve(M_, options_, oo_);
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if options_.loglinear && isfield(oo_.dr,'ys') && options_.logged_steady_state==0 %log steady state
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oo_.dr.ys=log_variable(1:M_.endo_nbr,oo_.dr.ys,M_);
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@ -216,25 +217,21 @@ ExoSize = M_.exo_nbr;
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n1 = size(constrained_vars,1);
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n2 = size(options_cond_fcst.controlled_varexo,1);
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constrained_vars(:,1)=oo_.dr.inv_order_var(constrained_vars); % must be in decision rule order
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constrained_vars = oo_.dr.inv_order_var(constrained_vars); % must be in decision rule order
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if n1 ~= n2
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error(['imcforecast:: The number of constrained variables doesn''t match the number of controlled shocks'])
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error('imcforecast:: The number of constrained variables doesn''t match the number of controlled shocks')
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end
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idx = [];
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jdx = [];
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% Get indices of controlled varexo.
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[~, controlled_varexo] = ismember(options_cond_fcst.controlled_varexo,M_.exo_names);
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for i = 1:n1
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idx = [idx ; constrained_vars(i,:)];
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% idx = [idx ; oo_.dr.inv_order_var(constrained_vars(i,:))];
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jdx = [jdx ; strmatch(options_cond_fcst.controlled_varexo{i},M_.exo_names,'exact')];
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end
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mv = zeros(n1, NumberOfStates);
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mu = zeros(ExoSize, n2);
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for i=1:n1
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mv(i,idx(i)) = 1;
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mu(jdx(i),i) = 1;
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mv(i,constrained_vars(i)) = 1;
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mu(controlled_varexo(i),i) = 1;
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end
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% number of periods with constrained values
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@ -243,7 +240,7 @@ cL = size(constrained_paths,2);
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%transform constrained periods into deviations from steady state; note that
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%trend includes last actual data point and therefore we need to start in
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%period 2
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constrained_paths = bsxfun(@minus,constrained_paths,trend(idx,2:1+cL));
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constrained_paths = bsxfun(@minus,constrained_paths,trend(constrained_vars,2:1+cL));
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FORCS1_shocks = zeros(n1,cL,options_cond_fcst.replic);
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@ -251,7 +248,7 @@ FORCS1_shocks = zeros(n1,cL,options_cond_fcst.replic);
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for b=1:options_cond_fcst.replic %conditional forecast using cL set to constrained values
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shocks = sQ*randn(ExoSize,options_cond_fcst.periods);
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shocks(jdx,:) = zeros(length(jdx),options_cond_fcst.periods);
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shocks(controlled_varexo,:) = zeros(n1, options_cond_fcst.periods);
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[FORCS1(:,:,b), FORCS1_shocks(:,:,b)] = mcforecast3(cL,options_cond_fcst.periods,constrained_paths,shocks,FORCS1(:,:,b),T,R,mv, mu);
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FORCS1(:,:,b)=FORCS1(:,:,b)+trend; %add trend
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end
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@ -283,11 +280,9 @@ clear FORCS1 mFORCS1_shocks;
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FORCS2 = zeros(NumberOfStates,options_cond_fcst.periods+1,options_cond_fcst.replic);
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FORCS2(:,1,:) = repmat(InitState,1,options_cond_fcst.replic); %set initial steady state to deviations from steady state in first period
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%randn('state',0);
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for b=1:options_cond_fcst.replic %conditional forecast using cL set to 0
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shocks = sQ*randn(ExoSize,options_cond_fcst.periods);
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shocks(jdx,:) = zeros(length(jdx),options_cond_fcst.periods);
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shocks(controlled_varexo,:) = zeros(n1, options_cond_fcst.periods);
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FORCS2(:,:,b) = mcforecast3(0,options_cond_fcst.periods,constrained_paths,shocks,FORCS2(:,:,b),T,R,mv, mu)+trend;
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end
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