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DSGE_smoother.m: clean up file and enable LaTeX output

covariance-quadratic-approximation
Johannes Pfeifer 2023-12-14 16:03:53 +01:00
parent 81cd0f1cb5
commit 0c07460f3b
2 changed files with 80 additions and 40 deletions
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94
matlab/+occbin/DSGE_smoother.m
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@ -1,5 +1,5 @@
function [alphahat,etahat,epsilonhat,ahat0,SteadyState,trend_coeff,aKK,T0,R0,P,PKK,decomp,Trend,state_uncertainty,oo_,bayestopt_,alphahat0,state_uncertainty0] = DSGE_smoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,dataset_, dataset_info)
%function [alphahat,etahat,epsilonhat,ahat0,SteadyState,trend_coeff,aKK,T0,R0,P,PKK,decomp,Trend,state_uncertainty,M_,oo_,bayestopt_] = DSGE_smoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,dataset_, dataset_info)
% [alphahat,etahat,epsilonhat,ahat0,SteadyState,trend_coeff,aKK,T0,R0,P,PKK,decomp,Trend,state_uncertainty,oo_,bayestopt_,alphahat0,state_uncertainty0] = DSGE_smoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,dataset_, dataset_info)
% Runs a DSGE smoother with occasionally binding constraints
%
% INPUTS
@ -112,8 +112,6 @@ opts_simul.max_check_ahead_periods = options_.occbin.smoother.max_check_ahead_pe
opts_simul.periodic_solution = options_.occbin.smoother.periodic_solution;
opts_simul.full_output = options_.occbin.smoother.full_output;
opts_simul.piecewise_only = options_.occbin.smoother.piecewise_only;
% init_mode = options_.occbin.smoother.init_mode; % 0 = standard; 1 = unconditional frcsts zero shocks+smoothed states in each period
% init_mode = 0;
occbin_options = struct();
occbin_options.first_period_occbin_update = options_.occbin.smoother.first_period_occbin_update;
@ -156,15 +154,10 @@ if options_.smoother_redux
[T0,R0] = dynare_resolve(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
oo_.occbin.linear_smoother.T0=T0;
oo_.occbin.linear_smoother.R0=R0;
% oo_.occbin.linear_smoother.T0=ss.T(oo_.dr.order_var,oo_.dr.order_var,1);
% oo_.occbin.linear_smoother.R0=ss.R(oo_.dr.order_var,:,1);
end
TT = ss.T(oo_.dr.order_var,oo_.dr.order_var,:);
RR = ss.R(oo_.dr.order_var,:,:);
CC = ss.C(oo_.dr.order_var,:);
% TT = cat(3,TT(:,:,1),TT);
% RR = cat(3,RR(:,:,1),RR);
% CC = cat(2,CC(:,1),CC);
opts_regime.regime_history = regime_history;
opts_regime.binding_indicator = [];
@ -186,6 +179,7 @@ sto_etahat={etahat};
sto_CC = CC;
sto_RR = RR;
sto_TT = TT;
sto_eee=NaN(size(TT,1),size(TT,3));
for k=1:size(TT,3)
sto_eee(:,k) = eig(TT(:,:,k));
end
@ -195,11 +189,12 @@ while is_changed && maxiter>iter && ~is_periodic
iter=iter+1;
fprintf('Occbin smoother iteration %u.\n', iter)
occbin_options.opts_regime.regime_history=regime_history;
[alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T0,R0,P,PK,decomp,Trend,state_uncertainty,oo_,bayestopt_,alphahat0,state_uncertainty0, diffuse_steps] = DsgeSmoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,occbin_options,TT,RR,CC);% T1=TT;
[alphahat,etahat,epsilonhat,~,SteadyState,trend_coeff,~,T0,R0,P,~,decomp,Trend,state_uncertainty,oo_,bayestopt_,alphahat0,state_uncertainty0]...
= DsgeSmoother(xparam1,gend,Y,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_,occbin_options,TT,RR,CC);
sto_etahat(iter)={etahat};
regime_history0(iter,:) = regime_history;
if occbin_smoother_debug
save('info1','regime_history0');
save('Occbin_smoother_debug_regime_history','regime_history0');
end
sto_CC = CC;
@ -220,13 +215,13 @@ while is_changed && maxiter>iter && ~is_periodic
TT = ss.T(oo_.dr.order_var,oo_.dr.order_var,:);
RR = ss.R(oo_.dr.order_var,:,:);
CC = ss.C(oo_.dr.order_var,:);
% TT = cat(3,TT(:,:,1),TT);
% RR = cat(3,RR(:,:,1),RR);
% CC = cat(2,CC(:,1),CC);
opts_regime.regime_history = regime_history;
[TT, RR, CC, regime_history] = occbin.check_regimes(TT, RR, CC, opts_regime, M_, options_ , oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
is_changed = ~isequal(regime_history0(iter,:),regime_history);
isdiff_regime=NaN(size(regime_history0,2),M_.occbin.constraint_nbr);
isdiff_start=NaN(size(isdiff_regime));
isdiff_=NaN(size(isdiff_regime));
if M_.occbin.constraint_nbr==2
for k=1:size(regime_history0,2)
isdiff_regime(k,1) = ~isequal(regime_history0(end,k).regime1,regime_history(k).regime1);
@ -236,16 +231,16 @@ while is_changed && maxiter>iter && ~is_periodic
isdiff_start(k,2) = ~isequal(regime_history0(end,k).regimestart2,regime_history(k).regimestart2);
isdiff_(k,2) = isdiff_regime(k,2) || isdiff_start(k,2);
end
is_changed_regime = ~isempty(find(isdiff_regime(:,1))) || ~isempty(find(isdiff_regime(:,2)));
is_changed_start = ~isempty(find(isdiff_start(:,1))) || ~isempty(find(isdiff_start(:,2)));
is_changed_regime = any(isdiff_regime(:,1)) || any(isdiff_regime(:,2));
is_changed_start = any(isdiff_start(:,1)) || any(isdiff_start(:,2));
else
for k=1:size(regime_history0,2)
isdiff_regime(k,1) = ~isequal(regime_history0(end,k).regime,regime_history(k).regime);
isdiff_start(k,1) = ~isequal(regime_history0(end,k).regimestart,regime_history(k).regimestart);
isdiff_(k,1) = isdiff_regime(k,1) || isdiff_start(k,1);
end
is_changed_regime = ~isempty(find(isdiff_regime(:,1)));
is_changed_start = ~isempty(find(isdiff_start(:,1)));
is_changed_regime = any(isdiff_regime(:,1));
is_changed_start = any(isdiff_start(:,1));
end
if occbin_smoother_fast
is_changed = is_changed_regime;
@ -261,15 +256,18 @@ while is_changed && maxiter>iter && ~is_periodic
end
if is_changed
eee=NaN(size(TT,1),size(TT,3));
for k=1:size(TT,3)
eee(:,k) = eig(TT(:,:,k));
end
err_eig(iter-1) = max(max(abs(sort(eee)-sort(sto_eee))));
err_alphahat(iter-1) = max(max(max(abs(alphahat-sto_alphahat))));
err_etahat(iter-1) = max(max(max(abs(etahat-sto_etahat{iter-1}))));
err_CC(iter-1) = max(max(max(abs(CC-sto_CC))));
err_RR(iter-1) = max(max(max(abs(RR-sto_RR))));
err_TT(iter-1) = max(max(max(abs(TT-sto_TT))));
if options_.debug
err_eig(iter-1) = max(max(abs(sort(eee)-sort(sto_eee))));
err_alphahat(iter-1) = max(max(max(abs(alphahat-sto_alphahat))));
err_etahat(iter-1) = max(max(max(abs(etahat-sto_etahat{iter-1}))));
err_CC(iter-1) = max(max(max(abs(CC-sto_CC))));
err_RR(iter-1) = max(max(max(abs(RR-sto_RR))));
err_TT(iter-1) = max(max(max(abs(TT-sto_TT))));
end
end
if occbin_smoother_debug || is_periodic
@ -350,7 +348,7 @@ regime_history0(max(iter+1,1),:) = regime_history;
oo_.occbin.smoother.regime_history=regime_history0(end,:);
oo_.occbin.smoother.regime_history_iter=regime_history0;
if occbin_smoother_debug
save('info1','regime_history0')
save('Occbin_smoother_debug_regime_history','regime_history0')
end
if (maxiter==iter && is_changed) || is_periodic
@ -395,6 +393,14 @@ if (~is_changed || occbin_smoother_debug) && nargin==12
oo_.occbin.smoother.C0=CC;
if options_.occbin.smoother.plot
GraphDirectoryName = CheckPath('graphs',M_.fname);
latexFolder = CheckPath('latex',M_.dname);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fidTeX = fopen([latexFolder filesep M_.fname '_OccBin_smoother_plots.tex'],'w');
fprintf(fidTeX,'%% TeX eps-loader file generated by occbin.DSGE_smoother.m (Dynare).\n');
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
end
j1=0;
ifig=0;
for j=1:M_.exo_nbr
@ -414,23 +420,49 @@ if (~is_changed || occbin_smoother_debug) && nargin==12
plot(oo_.occbin.smoother.etahat(j,:)','r--','linewidth',2)
hold on, plot([0 options_.nobs],[0 0],'k--')
set(gca,'xlim',[0 options_.nobs])
title(deblank(M_.exo_names(j,:)),'interpreter','none')
if options_.TeX
title(['$' M_.exo_names_tex{j,:} '$'],'interpreter','latex')
else
title(M_.exo_names{j,:},'interpreter','none')
end
if mod(j1,9)==0
if options_.occbin.smoother.linear_smoother
annotation('textbox', [0.1,0,0.35,0.05],'String', 'Linear','Color','Blue','horizontalalignment','center','interpreter','none');
end
annotation('textbox', [0.55,0,0.35,0.05],'String', 'Piecewise','Color','Red','horizontalalignment','center','interpreter','none');
dyn_saveas(gcf,[GraphDirectoryName filesep M_.fname,'_smoothedshocks_occbin',int2str(ifig)],options_.nodisplay,options_.graph_format);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
% TeX eps loader file
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_smoothedshocks_occbin%s}\n',options_.figures.textwidth*min(j1/3,1),[GraphDirectoryName '/' M_.fname],int2str(ifig)); % don't use filesep as it will create issues with LaTeX on Windows
fprintf(fidTeX,'\\caption{Check plots.}');
fprintf(fidTeX,'\\label{Fig:smoothedshocks_occbin:%s}\n',int2str(ifig));
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
end
end
end
end
if mod(j1,9)~=0 && j==M_.exo_nbr
annotation('textbox', [0.1,0,0.35,0.05],'String', 'Linear','Color','Blue','horizontalalignment','center','interpreter','none');
annotation('textbox', [0.55,0,0.35,0.05],'String', 'Piecewise','Color','Red','horizontalalignment','center','interpreter','none');
dyn_saveas(hh_fig,[GraphDirectoryName filesep M_.fname,'_smoothedshocks_occbin',int2str(ifig)],options_.nodisplay,options_.graph_format);
if mod(j1,9)~=0 && j==M_.exo_nbr
annotation('textbox', [0.1,0,0.35,0.05],'String', 'Linear','Color','Blue','horizontalalignment','center','interpreter','none');
annotation('textbox', [0.55,0,0.35,0.05],'String', 'Piecewise','Color','Red','horizontalalignment','center','interpreter','none');
dyn_saveas(hh_fig,[GraphDirectoryName filesep M_.fname,'_smoothedshocks_occbin',int2str(ifig)],options_.nodisplay,options_.graph_format);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
% TeX eps loader file
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_smoothedshocks_occbin%s}\n',options_.figures.textwidth*min(j1/3,1),[GraphDirectoryName '/' M_.fname],int2str(ifig)); % don't use filesep as it will create issues with LaTeX on Windows
fprintf(fidTeX,'\\caption{Check plots.}');
fprintf(fidTeX,'\\label{Fig:smoothedshocks_occbin:%s}\n',int2str(ifig));
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
end
end
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fclose(fidTeX);
end
end
end

26
tests/occbin/filter/NKM.mod
View File

@ -21,14 +21,14 @@ var
w //12 Real wage rate
wf //13 Flexible real wage
pigap //15 Inflation rate -> pi(t)/pibar = pigap
inom //16 Nominal interest rate
inom ${i^{nom}}$ //16 Nominal interest rate
inomnot //17 Notional interest rate
mc //19 Real marginal cost
lam //20 Inverse marginal utility of wealth
lam ${\lambda}$ //20 Inverse marginal utility of wealth
g //21 Growth shock
s //22 Risk premium shock
mp //23 Monetary policy shock
pi //24 Observed inflation
pi ${\pi}$ //24 Observed inflation
@#if !(small_model)
x //3 Investment
k //4 Capital
@ -41,13 +41,13 @@ var
@#endif
;
varexo
epsg // Productivity growth shock
epsg ${\varepsilon_g}$ // Productivity growth shock
epsi // Notional interest rate shock
epss // Risk premium shock
;
parameters
// Calibrated Parameters
beta // Discount factor
beta $\beta$ // Discount factor
chi // Labor disutility scale
thetap // Elasticity of subs. between intermediate goods
thetaw // Elasticity of subs. between labor types
@ -201,7 +201,7 @@ model;
pi = pigap*pibar;
end;
options_.TeX=1;
occbin_constraints;
name 'zlb'; bind inom <= inomlb; relax inom > inomlb;
end;
@ -309,7 +309,7 @@ varobs yg inom pi;
datafile=dataobsfile2, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
mh_replic=0, plot_priors=0, smoother,
nodisplay,consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
oo0=oo_;
// use smoother_redux
@ -317,7 +317,7 @@ varobs yg inom pi;
datafile=dataobsfile2, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
mh_replic=0, plot_priors=0, smoother, smoother_redux,
nodisplay,consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
// check consistency of smoother_redux
for k=1:M_.endo_nbr,
@ -336,7 +336,7 @@ varobs yg inom pi;
datafile=dataobsfile2, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
mh_replic=0, plot_priors=0, smoother,
nodisplay, consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
// show initial condition effect of IF
figure,
@ -356,3 +356,11 @@ varobs yg inom pi;
plot([oo0.SmoothedVariables.pi oo_.SmoothedVariables.pi]), title('pi')
legend('PKF','IF')
occbin_write_regimes(smoother);
write_latex_dynamic_model;
collect_latex_files;
[status, cmdout]=system(['pdflatex -halt-on-error -interaction=nonstopmode ' M_.fname '_TeX_binder.tex']);
if status
cmdout
error('TeX-File did not compile.')
end