diff --git a/doc/dynare.texi b/doc/dynare.texi index 78ce7e33e..9de4a581e 100644 --- a/doc/dynare.texi +++ b/doc/dynare.texi @@ -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