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Restructure manual on shock_decomposition 

- Introduces proper definition of output variables
- Clarifies various options
time-shift
Johannes Pfeifer 2017-03-27 12:34:35 +02:00
parent 94f09402a2
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@ -2,6 +2,7 @@
@c %**start of header
@setfilename dynare.info
@documentencoding UTF-8
@settitle Dynare Reference Manual
@afourwide
@dircategory Math
@ -7109,8 +7110,8 @@ calibrated model.
@xref{nobs}.
@item use_shock_groups [= @var{STRING}]
@anchor{use_shock_groups} Uses groups of shocks instead of individual shocks in
the decomposition. Groups of shocks are defined in the @ref{shock_groups} block.
@anchor{use_shock_groups} Uses shock grouping defined by the string instead of individual shocks in
the decomposition. The groups of shocks are defined in the @ref{shock_groups} block.
@item colormap = @var{STRING}
@anchor{colormap} Controls the colormap used for the shocks decomposition
@ -7118,12 +7119,11 @@ graphs. See @code{colormap} in Matlab/Octave manual for valid arguments.
@item nograph
@xref{nograph}. Suppresses the display and creation only within the
@code{shock_decomposition}-command but does not affect other commands.
@code{shock_decomposition}-command, but does not affect other commands.
@xref{plot_shock_decomposition} for plotting graphs.
@item init_state = @var{INTEGER}
@anchor{init_state} It can take values of @math{0} or @math{1}. If equal to
@math{0}, the shock decomposition is computed conditional on the smoothed state
@item init_state = @var{BOOLEAN}
@anchor{init_state} If equal to @math{0}, the shock decomposition is computed conditional on the smoothed state
variables in period @math{0}, @i{i.e.} the smoothed shocks starting in period
@math{1} are used. If equal to @math{1}, the shock decomposition is computed
conditional on the smoothed state variables in period @math{1}. Default:
@ -7132,10 +7132,12 @@ conditional on the smoothed state variables in period @math{1}. Default:
@outputhead
@defvr {MATLAB/Octave variable} oo_.shock_decomposition
@vindex oo_.shock_decomposition
@anchor{oo_.shock_decomposition}
The results are stored in the field @code{oo_.shock_decomposition}, which is a three
dimensional array. The first dimension contains the @code{M_.endo_nbr} endogenous variables.
The second dimension stores
The second dimension stores
in the first @code{M_.exo_nbr} columns the contribution of the respective shocks.
Column @code{M_.exo_nbr+1} stores the contribution of the initial conditions,
while column @code{M_.exo_nbr+2} stores the smoothed value of the respective
@ -7143,6 +7145,7 @@ endogenous variable in deviations from their steady state, @i{i.e.} the mean and
subtracted. The third dimension stores the time periods. Both the variables
and shocks are stored in the order of declaration, @i{i.e.} @code{M_.endo_names} and
@code{M_.exo_names}, respectively.
@end defvr
@end deffn
@ -7153,11 +7156,11 @@ and shocks are stored in the order of declaration, @i{i.e.} @code{M_.endo_names}
of the shock groups is written in a block delimited by @code{shock_groups} and
@code{end}.
Each line defines a group of shock as a list of exogenous variables:
Each line defines a group of shocks as a list of exogenous variables:
@example
SHOCK_GROUP_NAME = VARIABLE_1 [[,] VARIABLE_2 [,]@dots{}];
`SHOCK GROUP NAME' = VARIABLE_1 [[,] VARIABLE_2 [,]@dots{}];
'SHOCK GROUP NAME' = VARIABLE_1 [[,] VARIABLE_2 [,]@dots{}];
@end example
@optionshead
@ -7181,12 +7184,13 @@ varexo e_a, e_b, e_c, e_d;
shock_groups(name=group1);
supply = e_a, e_b;
`aggregate demand' = e_c, e_d;
'aggregate demand' = e_c, e_d;
end;
shocks_decomposition(use_shock_groups=group1);
@end example
This example defines a shock grouping with the name @code{group1}, containing a set of supply and demand shocks
and conducts the shock decomposition for these two groups.
@end deffn
@deffn Command realtime_shock_decomposition [@var{VARIABLE_NAME}]@dots{};
@ -7197,14 +7201,19 @@ shocks_decomposition(use_shock_groups=group1);
This command computes the realtime historical shock decomposition for a given
sample based on the Kalman smoother. For each period
@math{T=[@code{presample}@dots{}@code{nobs}]}, it computes the:
@math{T=[@code{presample},@dots{},@code{nobs}]}, it recursively computes the:
@itemize @bullet
@item
realtime historical shock decomposition @math{Y(t|T)} for @math{t=[1@dots{}T]},
realtime historical shock decomposition @math{Y(t|T)} for @math{t=[1,@dots{},T]},
@i{i.e.} without observing data in @math{[T+1@dots{}@code{nobs}]};
@item
conditional shock decomposition @math{Y(T|T)} conditional on @math{Y(T|T-1)},
@i{i.e.} @math{Y(t|T)} for @math{t=[T-1@dots{}T]};
@i{i.e.} @math{Y(t|T)} for @math{t=[T-1,@dots{},T]}. The conditional shock
decomposition sets the initial condition in @math{T-1}, so only computes the
effect of shocks in period @math{T}, @i{i.e.} it is just a @math{1}-period
shock decomposition from @math{T-1} to @math{T}. In practice it decomposes the
update step of the Kalman filter.
@item
forecast shock decomposition @math{Y(T|T-1)}.
@end itemize
@ -7261,33 +7270,70 @@ shock decomposition. Default: @math{0}.
@outputhead
@defvr {MATLAB/Octave variable} oo_.realtime_shock_decomposition
@vindex oo_.realtime_shock_decomposition
The results of realtime historical decompositions are stored in the field
@code{oo_.realtime_shock_decomposition}, which is a structure. Field
@code{pool} stores the pooled decomposition (@xref{plot_shock_decomposition}).
Fields @code{time_*} store the vintages of realtime historical shock
decompositions.
Structure storing the results of realtime historical decompositions. Fields are three-dimensional arrays with
the first two dimension equal to the ones of @ref{oo_.shock_decomposition}. The third dimension stores the time
periods and is therefore of size @code{T+forecast}. Fields are of the form:
@example
@code{oo_.realtime_shock_decomposition.@var{OBJECT}}
@end example
where @var{OBJECT} is one of the following:
@table @code
@item pool
Stores the pooled decomposition (see @ref{plot_shock_decomposition}). The third dimension of the array will have size
@code{nobs+forecast}.
@item time_*
Stores the vintages of realtime historical shock decompositions if @code{save_realtime} is used. For example, if
@code{save_realtime=[5]} and @code{forecast=8}, the third dimension will be of size 13.
@end table
@end defvr
@defvr {MATLAB/Octave variable} oo_.conditional_shock_decomposition
@vindex oo_.conditional_shock_decomposition
The results of realtime conditional decompositions are stored in the field
@code{oo_.conditional_shock_decomposition}, which is a structure. Field
@code{pool} stores the pooled decomposition @math{Y(t|T)} for
@math{t=T-1@dots{}T} @xref{plot_shock_decomposition}. Conditional shock
decomposition sets the initial condition in @math{T-1}, so only computes the
effect of shocks in period @math{T}, @i{i.e.} it is just a @math{1}-period
shock decomposition from @math{T-1} to @math{T}. In practice it decomposes the
update step of the Kalman filter. Fields @code{time_*} store the vintages of
@math{k}-step conditional forecast shock decompositions @math{Y(t|T+k)}, for
@math{t=[T@dots{}T+k}. @xref{vintage}.
Structure storing the results of realtime conditional decompositions. Fields are of the form:
@example
@code{oo_.conditional_shock_decomposition.@var{OBJECT}}
@end example
where @var{OBJECT} is one of the following:
@table @code
@item pool
Stores the pooled decomposition @math{Y(t|T)} for
@math{t=T-1@dots{}T} (see @ref{plot_shock_decomposition}). The third dimension is of size @code{nobs}.
@item time_*
Store the vintages of @math{k}-step conditional forecast shock decompositions @math{Y(t|T+k)}, for
@math{t=[T@dots{}T+k]}. @xref{vintage}. The third dimension is of size @code{1+forecast}.
@end table
@end defvr
@defvr {MATLAB/Octave variable} oo_.realtime_forecast_shock_decomposition
@vindex oo_.realtime_forecast_shock_decomposition
The results of realtime forecast decompositions are stored in the field
@code{oo_.realtime_forecast_shock_decomposition}, which is a structure. Field
@code{pool} stores the pooled decomposition @xref{plot_shock_decomposition}.
Structure storing the results of realtime forecast decompositions. Fields are of the form:
@example
@code{oo_.realtime_forecast_shock_decomposition.@var{OBJECT}}
@end example
where @var{OBJECT} is one of the following:
@table @code
@item pool
Stores the pooled decomposition (see @ref{plot_shock_decomposition}).
Forecast shock decomposition computes the @math{1}-step ahead effect of shocks
on the @math{1}-step ahead prediction, @i{i.e.} @math{Y(T|T-1)}. Fields
@code{time_*} store the vintages of @math{k}-step out-of-sample forecast shock
on the @math{1}-step ahead prediction, @i{i.e.} @math{Y(T|T-1)}.
@item time_*
Stores the vintages of @math{k}-step out-of-sample forecast shock
decompositions, @i{i.e.} @math{Y(t|T)}, for @math{t=[T@dots{}T+k]}. @xref{vintage}.
@end table
@end defvr
@end deffn
@ -7298,12 +7344,11 @@ decompositions, @i{i.e.} @math{Y(t|T)}, for @math{t=[T@dots{}T+k]}. @xref{vintag
@descriptionhead
This command plots the historical shock decomposition already computed by
@code{shock_decomposition}. The @code{variable_names} provided govern which
@code{shock_decomposition} or @code{realtime_shock_decomposition}. For that reason,
it must come after one of these commands. The @code{variable_names} provided govern which
variables the decomposition is plotted for.
Note that this command must come after @code{shock_decomposition} or @code{realtime_shock_decomposition}.
Further note that, unlike the majority of dynare commands, the options
Further note that, unlike the majority of Dynare commands, the options
specified below are overwritten with their defaults before every call to
@code{plot_shock_decomposition}. Hence, if you want to reuse an option in a
subsequent call to @code{plot_shock_decomposition}, you must pass it to the
@ -7326,13 +7371,13 @@ command again.
@itemx graph_format = ( @var{FORMAT}, @var{FORMAT}@dots{} )
@xref{graph_format}.
@item detail_plot = @var{INT_NUMBER}
@item detail_plot = @var{BOOLEAN}
Plots shock contributions using subplots, one per shock (or group of
shocks). Pass @math{1} to turn it on and @math{0} to turn it off. Default:
@math{0}
@item interactive = @var{INT_NUMBER}
Under MATLAB, add uimenu's for detailed group plots. Pass @math{1} to turn it
@item interactive = @var{BOOLEAN}
Under MATLAB, add uimenus for detailed group plots. Pass @math{1} to turn it
on and @math{0} to turn it off. Default: @math{0}
@item screen_shocks
@ -7341,7 +7386,7 @@ shocks), plots only the shocks that have the largest historical contribution
for chosen selected @code{variable_names}. Historical contribution is ranked
by the mean absolute value of all historical contributions.
@item steadystate = @var{INTEGER}
@item steadystate = @var{BOOLEAN}
@anchor{steadystate} If equal to @math{1}, the the @math{y}-axis value of the
zero line in the shock decomposition plot is translated to the steady state
level. Default: @math{0}
@ -7359,18 +7404,21 @@ default figure name set by @code{plot_shock_decomposition}. This can avoid to
overwrite plots in case of sequential calls to @code{plot_shock_decomposition}.
@item write_xls
@anchor{write_xls} Saves shock decompositions to excel.
@anchor{write_xls} Saves shock decompositions to Excel-file in the main directory, named
@code{FILENAME_shock_decomposition_TYPE_FIG_NAME.xls}. This option requires your system to be
configured to be able to write Excel files.@footnote{In case of Excel not being installed,
@url{https://mathworks.com/matlabcentral/fileexchange/38591-xlwrite--generate-xls-x--files-without-excel-on-mac-linux-win} may be helpful.}
@item realtime = @var{INTEGER}
@anchor{realtime} Which kind of shock decomposition to plot. @var{INTEGER} can take following values:
@itemize @bullet
@item
@code{0}: historical shock decomposition: @math{Y(t|T)} for
@math{t=[1@dots{}T]}, @math{T=} @code{nobs} full sample
@math{t=[1,@dots{},T]}, where @math{T=} @code{nobs} is the full sample
@item
@code{1}: realtime historical shock decomposition: for
@math{T=[1@dots{}@code{nobs}]}, realtime shock decomposition @math{Y(t|T)} for
@math{t=[1@dots{}T]}
@math{T=[1,@dots{},@code{nobs}]}, realtime shock decomposition @math{Y(t|T)} for
@math{t=[1,@dots{},T]}
@item
@code{2}: conditional shock decomposition: for @code{T=1:nobs}, realtime shock
decomposition of @math{Y(T|T)} conditional on @math{Y(T|T-1)}, @i{i.e.}
@ -7387,16 +7435,16 @@ Default: @math{0}
@item
@code{0}: plots @math{1}-step pooled shock decompositions
@item
@code{1}: pooled realtime shock decomposition. For @math{T=[1@dots{}@code{nobs}]}, plots last
@code{1}: pooled realtime shock decomposition. For @math{T=[1,@dots{},@code{nobs}]}, plots last
time point @math{Y(T|T)} of each vintage shock decomposition @math{Y(1:T|T)}
@item
@code{2}: pooled conditional shock decomposition. For
@math{T=[1@dots{}@code{nobs}]}, realtime @math{1}-step shock decomposition of
@math{T=[1,@dots{},@code{nobs}]}, realtime @math{1}-step shock decomposition of
@math{Y(T|T)} conditional on @math{Y(T|T-1)} (@i{i.e.} decomposition of
@math{1}-step filter updates of each vintage @math{T})
@item
@code{3}: pooled forecast shock decomposition. For
@math{T=[1@dots{}@code{nobs}]}, realtime @math{1}-step ahead shock
@math{T=[1,@dots{},@code{nobs}]}, realtime @math{1}-step ahead shock
decomposition of @math{Y(T|T-1)} (@i{i.e.} decomposition of shock
contributions to @math{1}-step ahead forecasts of each vintage @math{T})
@end itemize
@ -7405,7 +7453,7 @@ decompositions for vintage @math{T=@code{vintage}} under the following scenarios
@itemize @bullet
@item
@code{realtime=1}: the full vintage shock decomposition @math{Y(t|T)} for
@math{t=[1@dots{}T]}
@math{t=[1,@dots{},T]}
@item
@code{realtime=2}: the conditional forecast shock decomposition from @math{T},
@i{i.e.} plots @math{Y(T+j|T+j)} and the shock contributions needed to get to
@ -7414,7 +7462,7 @@ the data @math{Y(T+j)} conditional on @math{T=}@code{vintage}, with
@item
@code{realtime=3}: plots unconditional forecast shock decomposition from
@math{T}, @i{i.e.} @math{Y(T+j|T)}, where @math{T=@code{vintage}} and
@math{j=[0@dots{}@code{forecast}]}.
@math{j=[0,@dots{},@code{forecast}]}.
@end itemize
Default: @math{0}
@end table