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OccBin tools: rework codes

dprior
Johannes Pfeifer 2023-12-15 21:53:00 +01:00
parent 2d90ef9890
commit 1b181fca57
6 changed files with 474 additions and 396 deletions
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236
matlab/+occbin/forecast.m
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@ -1,143 +1,169 @@
function [oo_, error_flag] = forecast(options_,M_,oo_,forecast) %,hist_period) function [forecast, error_flag] = forecast(options_,M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,forecast_horizon)
%function oo_ = forecast(options_,M_,oo_,forecast) % [forecast, error_flag] = forecast(options_,M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,forecast_horizon)
% forecast % Occbin forecasts
%
% INPUTS
% - options_ [structure] Matlab's structure describing the current options
% - M_ [structure] Matlab's structure describing the model
% - dr_in [structure] model information structure
% - endo_steady_state [double] steady state value for endogenous variables
% - exo_steady_state [double] steady state value for exogenous variables
% - exo_det_steady_state [double] steady state value for exogenous deterministic variables
% - forecast_horizon [integer] forecast horizon
%
% OUTPUTS
% - forecast [structure] forecast results
% - error_flag [integer] error code
%
% SPECIAL REQUIREMENTS
% none.
% Copyright © 2022-2023 Dynare Team
%
% 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 <https://www.gnu.org/licenses/>.
opts = options_.occbin.forecast; opts = options_.occbin.forecast;
options_.occbin.simul.maxit = opts.maxit; options_.occbin.simul.maxit = opts.maxit;
options_.occbin.simul.check_ahead_periods = opts.check_ahead_periods; options_.occbin.simul.check_ahead_periods = opts.check_ahead_periods;
options_.occbin.simul.periods = forecast; options_.occbin.simul.periods = forecast_horizon;
SHOCKS0 = opts.SHOCKS0; shocks_input = opts.SHOCKS0;
if ~isempty(SHOCKS0)
if iscell(SHOCKS0) if ~isempty(shocks_input)
for j=1:length(SHOCKS0) n_shocks=size(shocks_input,1);
sname = SHOCKS0{j}{1}; if iscell(shocks_input)
inds(j)=strmatch(sname,M_.exo_names); inds=NaN(n_shocks,1);
SHOCKS1(j,:)=SHOCKS0{j}{2}; periods=length(shocks_input{1}{2});
shock_mat=NaN(n_shocks,periods);
for j=1:n_shocks
exo_pos=strmatch(shocks_input{j}{1},M_.exo_names,'exact');
if isempty(exo_pos)
error('occbin.forecast: unknown exogenous shock %s',shocks_input{j}{1})
else
inds(j)=exo_pos;
end
if length(shocks_input{j}{2})~=periods
error('occbin.forecast: unknown exogenous shock %s',shocks_input{j}{1})
else
shock_mat(j,:)=shocks_input{j}{2};
end
end end
elseif isreal(SHOCKS0) elseif isreal(shocks_input)
SHOCKS1=SHOCKS0; shock_mat=shocks_input;
inds = 1:M_.exo_nbr; inds = (1:M_.exo_nbr)';
end end
end end
options_.occbin.simul.endo_init = M_.endo_histval(:,1)-endo_steady_state; %initial condition
options_.occbin.simul.init_regime = opts.frcst_regimes;
options_.occbin.simul.init_binding_indicator = [];
shocks_base = zeros(forecast_horizon,M_.exo_nbr);
if ~isempty(shocks_input)
for j=1:n_shocks
shocks_base(:,inds(j))=shock_mat(j,:);
end
end
if opts.replic if opts.replic
h = dyn_waitbar(0,'Please wait occbin forecast replic ...'); h = dyn_waitbar(0,'Please wait occbin forecast replic ...');
ishock = find(sqrt(diag((M_.Sigma_e)))); ishock = find(sqrt(diag((M_.Sigma_e))));
options_.occbin.simul.exo_pos=ishock;
effective_exo_nbr= length(ishock); effective_exo_nbr= length(ishock);
effective_exo_names = M_.exo_names(ishock); effective_Sigma_e = M_.Sigma_e(ishock,ishock); % does not take heteroskedastic shocks into account
effective_Sigma_e = M_.Sigma_e(ishock,ishock);
[U,S] = svd(effective_Sigma_e); [U,S] = svd(effective_Sigma_e);
% draw random shocks
if opts.qmc if opts.qmc
opts.replic =2^(round(log2(opts.replic+1)))-1; opts.replic =2^(round(log2(opts.replic+1)))-1;
SHOCKS_ant = qmc_sequence(forecast*effective_exo_nbr, int64(1), 1, opts.replic)'; SHOCKS_add = qmc_sequence(forecast_horizon*effective_exo_nbr, int64(1), 1, opts.replic);
else else
SHOCKS_ant = randn(forecast*effective_exo_nbr,opts.replic)'; SHOCKS_add = randn(forecast_horizon*effective_exo_nbr,opts.replic);
end end
zlin0=zeros(forecast,M_.endo_nbr,opts.replic); SHOCKS_add=reshape(SHOCKS_add,effective_exo_nbr,forecast_horizon,opts.replic);
zpiece0=zeros(forecast,M_.endo_nbr,opts.replic); z.linear=NaN(forecast_horizon,M_.endo_nbr,opts.replic);
z.piecewise=NaN(forecast_horizon,M_.endo_nbr,opts.replic);
error_flag=true(opts.replic,1);
simul_SHOCKS=NaN(forecast_horizon,M_.exo_nbr,opts.replic);
for iter=1:opts.replic for iter=1:opts.replic
options_.occbin.simul.SHOCKS = shocks_base+transpose(U*sqrt(S)*SHOCKS_add(:,:,iter));
if ~isempty(SHOCKS0)
for j=1:length(SHOCKS0)
SHOCKS(:,inds(j))=SHOCKS1(j,:);
end
end
error_flagx=1;
% while error_flagx,
% SHOCKS=transpose(sqrt(diag(diag(effective_Sigma_e)))*(reshape(SHOCKS_ant(iter,:),forecast,effective_exo_nbr))');
SHOCKS=transpose(U*sqrt(S)*(reshape(SHOCKS_ant(iter,:),forecast,effective_exo_nbr))');
% SHOCKS=transpose(U*sqrt(S)*randn(forecast,M_.exo_nbr)'); %realized shocks
options_.occbin.simul.endo_init = M_.endo_histval(:,1)-oo_.steady_state;
options_.occbin.simul.init_regime = opts.frcst_regimes;
options_.occbin.simul.init_binding_indicator = [];
options_.occbin.simul.exo_pos=ishock;
options_.occbin.simul.SHOCKS = SHOCKS;
options_.occbin.simul.waitbar=0; options_.occbin.simul.waitbar=0;
[~, out] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state); [~, out] = occbin.solver(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state);
zlin0(:,:,iter)=out.linear;
zpiece0(:,:,iter)=out.piecewise;
ys=out.ys;
frcst_regime_history(iter,:)=out.regime_history;
error_flag(iter)=out.error_flag; error_flag(iter)=out.error_flag;
error_flagx = error_flag(iter); if ~error_flag(iter)
% end z.linear(:,:,iter)=out.linear;
simul_SHOCKS(:,:,iter) = SHOCKS; z.piecewise(:,:,iter)=out.piecewise;
frcst_regime_history(iter,:)=out.regime_history;
if error_flag(iter) && debug_flag error_flag(iter)=out.error_flag;
% display('no solution') simul_SHOCKS(:,:,iter) = shocks_base;
else
% keyboard; if options_.debug
save no_solution SHOCKS zlin0 zpiece0 iter frcst_regime_history save('Occbin_forecast_debug','simul_SHOCKS','z','iter','frcst_regime_history','error_flag','out','shocks_base')
end
end end
dyn_waitbar(iter/opts.replic,h,['OccBin MC forecast replic ',int2str(iter),'/',int2str(opts.replic)]) dyn_waitbar(iter/opts.replic,h,['OccBin MC forecast replic ',int2str(iter),'/',int2str(opts.replic)])
end end
dyn_waitbar_close(h); dyn_waitbar_close(h);
save temp zlin0 zpiece0 simul_SHOCKS error_flag if options_.debug
save('Occbin_forecast_debug','simul_SHOCKS','z','iter','frcst_regime_history','error_flag')
end
inx=find(error_flag==0); inx=find(error_flag==0);
zlin0=zlin0(:,:,inx); z.linear=z.linear(:,:,inx);
zpiece0=zpiece0(:,:,inx); z.piecewise=z.piecewise(:,:,inx);
zlin = mean(zlin0,3); z.min.piecewise = min(z.piecewise,[],3);
zpiece = mean(zpiece0,3); z.max.piecewise = max(z.piecewise,[],3);
zpiecemin = min(zpiece0,[],3); z.min.linear = min(z.linear,[],3);
zpiecemax = max(zpiece0,[],3); z.max.linear = max(z.linear,[],3);
zlinmin = min(zlin0,[],3);
zlinmax = max(zlin0,[],3); field_names={'linear','piecewise'};
post_mean=NaN(forecast_horizon,1);
for i=1:M_.endo_nbr post_median=NaN(forecast_horizon,1);
for j=1:forecast post_var=NaN(forecast_horizon,1);
[post_mean(j,1), post_median(j,1), post_var(j,1), hpd_interval(j,:), post_deciles(j,:)] = posterior_moments(squeeze(zlin0(j,i,:)),options_.forecasts.conf_sig); hpd_interval=NaN(forecast_horizon,2);
post_deciles=NaN(forecast_horizon,9);
for field_iter=1:2
for i=1:M_.endo_nbr
for j=1:forecast_horizon
[post_mean(j,1), post_median(j,1), post_var(j,1), hpd_interval(j,:), post_deciles(j,:)] = posterior_moments(squeeze(z.(field_names{field_iter})(j,i,:)),options_.forecasts.conf_sig);
end
forecast.(field_names{field_iter}).Mean.(M_.endo_names{i})=post_mean;
forecast.(field_names{field_iter}).Median.(M_.endo_names{i})=post_median;
forecast.(field_names{field_iter}).Var.(M_.endo_names{i})=post_var;
forecast.(field_names{field_iter}).HPDinf.(M_.endo_names{i})=hpd_interval(:,1);
forecast.(field_names{field_iter}).HPDsup.(M_.endo_names{i})=hpd_interval(:,2);
forecast.(field_names{field_iter}).Deciles.(M_.endo_names{i})=post_deciles;
forecast.(field_names{field_iter}).Min.(M_.endo_names{i})=z.min.(field_names{field_iter})(:,i);
forecast.(field_names{field_iter}).Max.(M_.endo_names{i})=z.max.(field_names{field_iter})(:,i);
end end
oo_.occbin.linear_forecast.Mean.(M_.endo_names{i})=post_mean;
oo_.occbin.linear_forecast.Median.(M_.endo_names{i})=post_median;
oo_.occbin.linear_forecast.Var.(M_.endo_names{i})=post_var;
oo_.occbin.linear_forecast.HPDinf.(M_.endo_names{i})=hpd_interval(:,1);
oo_.occbin.linear_forecast.HPDsup.(M_.endo_names{i})=hpd_interval(:,2);
oo_.occbin.linear_forecast.Deciles.(M_.endo_names{i})=post_deciles;
oo_.occbin.linear_forecast.Min.(M_.endo_names{i})=zlinmin(:,i);
oo_.occbin.linear_forecast.Max.(M_.endo_names{i})=zlinmax(:,i);
for j=1:forecast
[post_mean(j,1), post_median(j,1), post_var(j,1), hpd_interval(j,:), post_deciles(j,:)] = posterior_moments(squeeze(zpiece0(j,i,:)),options_.forecasts.conf_sig);
end
oo_.occbin.forecast.Mean.(M_.endo_names{i})=post_mean;
oo_.occbin.forecast.Median.(M_.endo_names{i})=post_median;
oo_.occbin.forecast.Var.(M_.endo_names{i})=post_var;
oo_.occbin.forecast.HPDinf.(M_.endo_names{i})=hpd_interval(:,1);
oo_.occbin.forecast.HPDsup.(M_.endo_names{i})=hpd_interval(:,2);
oo_.occbin.forecast.Deciles.(M_.endo_names{i})=post_deciles;
oo_.occbin.forecast.Min.(M_.endo_names{i})=zpiecemin(:,i);
oo_.occbin.forecast.Max.(M_.endo_names{i})=zpiecemax(:,i);
% eval([M_.endo_names{i},'_ss=zdatass(i);']);
end end
else else
SHOCKS = zeros(forecast,M_.exo_nbr);
if ~isempty(SHOCKS0)
for j=1:length(SHOCKS0)
SHOCKS(:,inds(j))=SHOCKS1(j,:);
end
end
options_.occbin.simul.endo_init = M_.endo_histval(:,1)-oo_.steady_state;
options_.occbin.simul.init_regime = opts.frcst_regimes;
options_.occbin.simul.init_violvecbool = [];
options_.occbin.simul.irfshock = M_.exo_names; options_.occbin.simul.irfshock = M_.exo_names;
options_.occbin.simul.SHOCKS = SHOCKS; options_.occbin.simul.SHOCKS = shocks_base;
[~, out] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state); [~, out] = occbin.solver(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state);
error_flag=out.error_flag;
if out.error_flag
fprintf('occbin.forecast: forecast simulation failed.')
return;
end
zlin=out.linear;
zpiece=out.piecewise;
frcst_regime_history=out.regime_history; frcst_regime_history=out.regime_history;
error_flag=out.error_flag; error_flag=out.error_flag;
for i=1:M_.endo_nbr for i=1:M_.endo_nbr
oo_.occbin.linear_forecast.Mean.(M_.endo_names{i})= zlin(:,i); forecast.linear.Mean.(M_.endo_names{i})= out.linear(:,i);
oo_.occbin.forecast.Mean.(M_.endo_names{i})= zpiece(:,i); forecast.piecewise.Mean.(M_.endo_names{i})= out.piecewise(:,i);
oo_.occbin.forecast.HPDinf.(M_.endo_names{i})= nan;
oo_.occbin.forecast.HPDsup.(M_.endo_names{i})= nan;
end end
end end
oo_.occbin.forecast.regimes=frcst_regime_history; forecast.regimes=frcst_regime_history;

196
matlab/+occbin/irf.m
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@ -1,140 +1,124 @@
function [oo_] = irf(M_,oo_,options_) function irfs = irf(M_,oo_,options_)
% irfs = irf(M_,oo_,options_)
% Calls a minimizer
%
% INPUTS
% - M_ [structure] Matlab's structure describing the model
% - oo_ [structure] Matlab's structure containing the results
% - options_ [structure] Matlab's structure describing the current options
%
% OUTPUTS
% - irfs [structure] IRF results
%
% SPECIAL REQUIREMENTS
% none.
%
%
% Copyright © 2022-2023 Dynare Team
%
% 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 <https://www.gnu.org/licenses/>.
shocknames = options_.occbin.irf.exo_names; shocknames = options_.occbin.irf.exo_names;
shocksigns = options_.occbin.irf.shocksigns; shocksigns = options_.occbin.irf.shocksigns; %'pos','neg'
shocksize = options_.occbin.irf.shocksize; shocksize = options_.occbin.irf.shocksize;
t0 = options_.occbin.irf.t0; t_0 = options_.occbin.irf.t0;
%% set simulation options based on IRF options
options_.occbin.simul.init_regime = options_.occbin.irf.init_regime; options_.occbin.simul.init_regime = options_.occbin.irf.init_regime;
options_.occbin.simul.check_ahead_periods = options_.occbin.irf.check_ahead_periods; options_.occbin.simul.check_ahead_periods = options_.occbin.irf.check_ahead_periods;
options_.occbin.simul.maxit = options_.occbin.irf.maxit; options_.occbin.simul.maxit = options_.occbin.irf.maxit;
options_.occbin.simul.periods = options_.irf; options_.occbin.simul.periods = options_.irf;
% Run inital conditions + other shocks %% Run initial conditions + other shocks
if t0 == 0 if t_0 == 0
shocks0= zeros(options_.occbin.simul.periods+1,M_.exo_nbr); shocks_base = zeros(options_.occbin.simul.periods+1,M_.exo_nbr);
options_.occbin.simul.endo_init = []; options_.occbin.simul.endo_init = [];
else else
% girf conditional to smoothed states in t0 and shocks in t0+1 if ~isfield(oo_.occbin,'smoother')
shocks0= [oo_.occbin.smoother.etahat(:,t0+1)'; zeros(options_.occbin.simul.periods,M_.exo_nbr)]; error('occbin.irfs: smoother must be run before requesting GIRFs based on smoothed results')
options_.occbin.simul.SHOCKS=shocks0; end
options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0); % GIRF conditional on smoothed states in t_0 and shocks in t_0+1
shocks_base= [oo_.occbin.smoother.etahat(:,t_0+1)'; zeros(options_.occbin.simul.periods,M_.exo_nbr)];
options_.occbin.simul.SHOCKS=shocks_base;
options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t_0);
end end
options_.occbin.simul.SHOCKS=shocks0; options_.occbin.simul.SHOCKS=shocks_base;
[~, out0] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
zlin0 = out0.linear;
zpiece0 = out0.piecewise;
% Select shocks of interest [~, out_base] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
jexo_all =zeros(size(shocknames,1),1); if out_base.error_flag
error('occbin.irfs: could not compute the solution')
end
irfs.linear = struct();
irfs.piecewise = struct();
% Get indices of shocks of interest
exo_index =zeros(size(shocknames,1),1);
for i=1:length(shocknames) for i=1:length(shocknames)
jexo_all(i) = strmatch(shocknames{i},M_.exo_names,'exact'); exo_index(i) = strmatch(shocknames{i},M_.exo_names,'exact');
end end
oo_.occbin.linear_irfs = struct(); % cs=get_lower_cholesky_covariance(M_.Sigma_e,options_.add_tiny_number_to_cholesky);
oo_.occbin.irfs = struct(); % irf_shocks_indx = getIrfShocksIndx(M_, options_);
% Set shock size % Set shock size
if isempty(shocksize) if isempty(shocksize)
% if isfield(oo_.posterior_mode.shocks_std,M_.exo_names{jexo}) shocksize = sqrt(diag(M_.Sigma_e(exo_index,exo_index)));
shocksize = sqrt(diag(M_.Sigma_e(jexo_all,jexo_all))); %oo_.posterior_mode.shocks_std.(M_.exo_names{jexo});
if any(shocksize < 1.e-9) if any(shocksize < 1.e-9)
shocksize(shocksize < 1.e-9) = 0.01; shocksize(shocksize < 1.e-9) = 0.01;
end end
end end
if numel(shocksize)==1 if numel(shocksize)==1
shocksize=repmat(shocksize,[length(shocknames),1]); shocksize=repmat(shocksize,[length(shocknames),1]);
end end
% Run IRFs % Run IRFs
for counter = 1:length(jexo_all) for sign_iter=1:length(shocksigns)
for IRF_counter = 1:length(exo_index)
jexo = jexo_all(counter); jexo = exo_index(IRF_counter);
if ~options_.noprint && options_.debug
if ~options_.noprint fprintf('occbin.irf: Producing GIRFs for shock %s. Simulation %d out of %d. \n',M_.exo_names{jexo},IRF_counter,size(exo_index,1));
fprintf('Producing GIRFs for shock %s. Simulation %d out of %d. \n',M_.exo_names{jexo},counter,size(jexo_all,1)); end
end shocks1=shocks_base;
if ismember('pos',shocksigns{sign_iter})
if ismember('pos',shocksigns) shocks1(1,jexo)=shocks_base(1,jexo)+shocksize(IRF_counter);
% (+) shock elseif ismember('neg',shocksigns{sign_iter})
shocks1=shocks0; shocks1(1,jexo)=shocks_base(1,jexo)-shocksize(IRF_counter);
shocks1(1,jexo)=shocks0(1,jexo)+shocksize(counter); end
if t0 == 0 options_.occbin.simul.SHOCKS=shocks1;
options_.occbin.simul.SHOCKS=shocks1; if t_0 == 0
options_.occbin.simul.endo_init = []; options_.occbin.simul.endo_init = [];
[~, out_pos] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
else else
options_.occbin.simul.SHOCKS=shocks1; options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t_0);
options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0);
[~, out_pos] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
end end
if out_pos.error_flag [~, out_sim] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
warning('Occbin error.') if out_sim.error_flag
return warning('occbin.irfs: simulation failed')
skip
end end
zlin_pos = out_pos.linear;
zpiece_pos = out_pos.piecewise;
% Substract inital conditions + other shocks % Substract inital conditions + other shocks
zlin_pos_diff = zlin_pos-zlin0; zdiff.linear.(shocksigns{sign_iter}) = out_sim.linear-out_base.linear;
zpiece_pos_diff = zpiece_pos-zpiece0; zdiff.piecewise.(shocksigns{sign_iter}) = out_sim.piecewise-out_base.piecewise;
end
for j_endo=1:M_.endo_nbr
if ismember('neg',shocksigns) if ismember('pos',shocksigns)
% (-) shock irfs.piecewise.([M_.endo_names{j_endo} '_' M_.exo_names{jexo} '_' shocksigns{sign_iter}]) = zdiff.piecewise.(shocksigns{sign_iter})(:,j_endo);
shocks_1=shocks0; irfs.linear.([M_.endo_names{j_endo} '_' M_.exo_names{jexo} '_' shocksigns{sign_iter}]) = zdiff.linear.(shocksigns{sign_iter})(:,j_endo);
shocks_1(1,jexo)=shocks0(1,jexo)-shocksize(counter); end
if t0 == 0
options_.occbin.simul.SHOCKS=shocks_1;
options_.occbin.simul.endo_init = [];
[~, out_neg] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
else
options_.occbin.simul.SHOCKS=shocks_1;
options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0);
[~, out_neg] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
end end
if out_neg.error_flag
warning('Occbin error.')
return
end
zlin_neg = out_neg.linear;
zpiece_neg = out_neg.piecewise;
zlin_neg_diff = zlin_neg-zlin0;
zpiece_neg_diff = zpiece_neg-zpiece0;
end end
end
% Save
if ~isfield(oo_.occbin,'linear_irfs')
oo_.occbin.linear_irfs = struct();
end
if ~isfield(oo_.occbin,'irfs')
oo_.occbin.irfs = struct();
end
for jendo=1:M_.endo_nbr
% oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zpiece_pos (:,jendo);
% oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zpiece_neg (:,jendo);
% oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zlin_pos (:,jendo);
% oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zlin_neg(:,jendo);
if ismember('pos',shocksigns)
oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_pos']) = zpiece_pos_diff (:,jendo);
oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_pos']) = zlin_pos_diff (:,jendo);
end
if ismember('neg',shocksigns)
oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_neg']) = zpiece_neg_diff (:,jendo);
oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_neg']) = zlin_neg_diff (:,jendo);
end
% %
% oo_.occbin.irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zpiece0(:,jendo);
% oo_.occbin.linear_irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zlin0(:,jendo);
% oo_.occbin.irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zpiece0(:,jendo);
% oo_.occbin.linear_irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zlin0(:,jendo);
end
end
end

236
matlab/+occbin/plot_irfs.m
View File

@ -1,34 +1,74 @@
function plot_irfs(M_,oo_,options_,irf3,irf4) function plot_irfs(M_,irfs,options_,var_list)
% plot_irfs(M_,irfs,options_,var_list)
%
% INPUTS
% - M_ [structure] Matlab's structure describing the model
% - irfs [structure] IRF results
% - options_ [structure] Matlab's structure describing the current options
% - var_list [character array] list of endogenous variables specified
%
% OUTPUTS
% none
%
% SPECIAL REQUIREMENTS
% none.
shocknames = options_.occbin.plot_irf.exo_names; % Copyright © 2022-2023 Dynare Team
simulname = options_.occbin.plot_irf.simulname; %
if isempty(simulname) % This file is part of Dynare.
simulname_ = simulname; %
else % Dynare is free software: you can redistribute it and/or modify
simulname_ = [ simulname '_' ]; % 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 <https://www.gnu.org/licenses/>.
if (isfield(options_,'irf_shocks')==0)
shock_names = M_.exo_names;
else
shock_names = options_.irf_shocks;
end end
vars_irf = options_.occbin.plot_irf.endo_names;
endo_names_long = options_.occbin.plot_irf.endo_names_long; simul_name = options_.occbin.plot_irf.simulname;
if isempty(simul_name)
save_name = simul_name;
else
save_name = [ simul_name '_' ];
end
if isempty(var_list)
var_list = M_.endo_names(1:M_.orig_endo_nbr);
end
[i_var, ~, index_uniques] = varlist_indices(var_list, M_.endo_names);
vars_irf=var_list(index_uniques);
endo_scaling_factor = options_.occbin.plot_irf.endo_scaling_factor; endo_scaling_factor = options_.occbin.plot_irf.endo_scaling_factor;
length_irf = options_.occbin.plot_irf.tplot; length_irf = options_.irf;
if isempty(length_irf)
length_irf = options_.irf;
end
irflocation_lin = oo_.occbin.linear_irfs; steps_irf = 1;
irflocation_piece = oo_.occbin.irfs;
steps_irf = 1;
warning('off','all')
DirectoryName = CheckPath('graphs',M_.dname); DirectoryName = CheckPath('graphs',M_.dname);
latexFolder = CheckPath('latex',M_.dname);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fidTeX = fopen([latexFolder '/' M_.fname '_occbin_irfs.tex'],'w');
fprintf(fidTeX,'%% TeX eps-loader file generated by occbin.plot_irfs.m (Dynare).\n');
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
end
iexo=[]; iexo=[];
for i=1:size(shocknames,1) for var_iter=1:size(shock_names,1)
itemp = strmatch(shocknames{i},M_.exo_names,'exact'); itemp = strmatch(shock_names{var_iter},M_.exo_names,'exact');
if isempty(itemp) if isempty(itemp)
error(['Shock ',shocknames{i},' is not defined!']) error(['Shock ',shock_names{var_iter},' is not defined!'])
else else
iexo=[iexo, itemp]; iexo=[iexo, itemp];
end end
@ -38,104 +78,102 @@ ncols = options_.occbin.plot_irf.ncols;
nrows = options_.occbin.plot_irf.nrows; nrows = options_.occbin.plot_irf.nrows;
npan = ncols*nrows; npan = ncols*nrows;
plot_grid = options_.occbin.plot_irf.grid; shocksigns = options_.occbin.plot_irf.shocksigns;
shocksigns = options_.occbin.plot_irf.shocksigns; threshold = options_.impulse_responses.plot_threshold;
threshold = options_.occbin.plot_irf.threshold;
% Add steady_state
if options_.occbin.plot_irf.add_steadystate
add_stst = options_.occbin.plot_irf.add_steadystate;
else
add_stst = 0;
end
for sss = 1:numel(shocksigns)
shocksign = shocksigns{sss};
for j=1:size(shocknames,1)
%shocknames = M_.exo_names{j};
for shock_sign_iter = 1:numel(shocksigns)
shocksign = shocksigns{shock_sign_iter};
if strcmp(shocksign,'pos')
plot_title_sign='positive';
elseif strcmp(shocksign,'neg')
plot_title_sign='negative';
else
error('Unknown shock sign %s',shocksign);
end
for shock_iter=1:size(shock_names,1)
j1 = 0; j1 = 0;
isub = 0; isub = 0;
ifig = 0; ifig = 0;
% Variables % Variables
% ---------------------- for var_iter = 1:length(vars_irf)
for i = 1:length(vars_irf)
j1=j1+1; j1=j1+1;
if mod(j1,npan)==1 if mod(j1,npan)==1
% vector corresponds to [left bottom width height]. 680 and 678 for the left and bottom elements correspond to the default values used by MATLAB while creating a figure and width, . % vector corresponds to [left bottom width height]. 680 and 678 for the left and bottom elements correspond to the default values used by MATLAB while creating a figure and width, .
hfig = dyn_figure(options_.nodisplay,'name',['OccbinIRFs ' shocknames{j} ' ' simulname ' ' shocksign],'PaperPositionMode', 'auto','PaperType','A4','PaperOrientation','portrait','renderermode','auto','position',[10 10 950 650]); screensize = get( groot, 'Screensize' );
hfig = dyn_figure(options_.nodisplay,'name',['OccBin IRFs to ' plot_title_sign ' ' shock_names{shock_iter} ' shock ' simul_name],'OuterPosition' ,[50 50 min(1000,screensize(3)-50) min(750,screensize(4)-50)]);
ifig=ifig+1; ifig=ifig+1;
isub=0; isub=0;
end end
isub=isub+1; isub=isub+1;
if isempty(endo_scaling_factor) if isempty(endo_scaling_factor)
exofactor = 1; exofactor = 1;
else
exofactor = endo_scaling_factor{i};
end
subplot(nrows,ncols,isub)
irf_field = strcat(vars_irf{i,1},'_',shocknames{j},'_',shocksign);
irfvalues = irflocation_lin.(irf_field);
if add_stst
irfvalues = irfvalues + get_mean(vars_irf{i,1});
end
irfvalues(abs(irfvalues) <threshold) = 0;
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'linewidth',2);
hold on
irfvalues = irflocation_piece.(irf_field);
if add_stst
irfvalues = irfvalues + get_mean(vars_irf{i,1});
end
irfvalues(abs(irfvalues) <threshold) = 0;
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'r--','linewidth',2);
hold on
plot(irfvalues(1:steps_irf:length_irf)*0,'k-','linewidth',1.5);
% Optional additional IRFs
if nargin > 10
irfvalues = irf3.(irf_field) ;
irfvalues(abs(irfvalues) <threshold) = 0;
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'k:','linewidth',2);
end
if nargin > 11
irfvalues = irf4.(irf_field) ;
irfvalues(abs(irfvalues) <threshold) = 0;
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'g-.','linewidth',2);
end
if plot_grid
grid on
end
xlim([1 (length_irf/steps_irf)]);
% title
if isempty(endo_names_long)
title(regexprep(vars_irf{i},'_',' '))
else else
title(endo_names_long{i}) exofactor = endo_scaling_factor{var_iter};
end end
subplot(nrows,ncols,isub)
irf_field = strcat(vars_irf{var_iter},'_',shock_names{shock_iter},'_',shocksign);
%%linear IRFs
if ~isfield(irfs.linear,irf_field)
warning('occbin.plot_irfs: no linear IRF for %s to %s detected',vars_irf{var_iter,1},shock_names{shock_iter})
else
irfvalues = irfs.linear.(irf_field);
irfvalues(abs(irfvalues) <threshold) = 0;
if options_.occbin.plot_irf.add_steadystate
irfvalues = irfvalues + get_mean(vars_irf{var_iter,1});
end
max_irf_length_1=min(length_irf,length(irfvalues));
plot(irfvalues(1:steps_irf:max_irf_length_1)*exofactor,'linewidth',2);
end
hold on
if ~isfield(irfs.piecewise,irf_field)
warning('occbin.plot_irfs: no piecewise linear IRF for %s to %s detected',vars_irf{var_iter,1},shock_names{shock_iter})
else
irfvalues = irfs.piecewise.(irf_field);
irfvalues(abs(irfvalues) <threshold) = 0;
if options_.occbin.plot_irf.add_steadystate
irfvalues = irfvalues + get_mean(vars_irf{var_iter,1});
end
max_irf_length_2=min(length_irf,length(irfvalues));
plot(irfvalues(1:steps_irf:max_irf_length_2)*exofactor,'r--','linewidth',2);
end
plot(irfvalues(1:steps_irf:max(max_irf_length_1,max_irf_length_2))*0,'k-','linewidth',1.5);
if options_.occbin.plot_irf.grid
grid on
end
xlim([1 max(max_irf_length_1,max_irf_length_2)]);
if options_.TeX
title(['$' M_.endo_names_tex{i_var(var_iter)}, '$'],'Interpreter','latex')
else
title(M_.endo_names{i_var(var_iter)},'Interpreter','none')
end
% Annotation Box + save figure % Annotation Box + save figure
% ---------------------- % ----------------------
if mod(j1,npan)==0 || (mod(j1,npan)~=0 && i==length(vars_irf)) if mod(j1,npan)==0 || (mod(j1,npan)~=0 && var_iter==length(vars_irf))
annotation('textbox', [0.1,0,0.35,0.05],'String', 'Linear','Color','Blue','horizontalalignment','center','interpreter','none'); 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'); annotation('textbox', [0.55,0,0.35,0.05],'String', 'Piecewise','Color','Red','horizontalalignment','center','interpreter','none');
dyn_saveas(hfig,[DirectoryName,filesep,M_.fname,'_irf_occbin_',simulname_,shocknames{j},'_',shocksign,'_',int2str(ifig)],options_.nodisplay,options_.graph_format); dyn_saveas(hfig,[DirectoryName,filesep,M_.fname,'_irf_occbin_',save_name,shock_names{shock_iter},'_',shocksign,'_',int2str(ifig)],options_.nodisplay,options_.graph_format);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_irf_occbin_%s}\n',options_.figures.textwidth*min((j1-1)/ncols,1),...
[DirectoryName '/' ,M_.fname],[save_name,shock_names{shock_iter},'_',shocksign,'_',int2str(ifig)]);
fprintf(fidTeX,'\\caption{OccBin IRFs to %s shock to %s}\n',plot_title_sign,shock_names{shock_iter});
fprintf(fidTeX,'\\label{Fig:occbin_irfs:%s}\n',[save_name,shock_names{shock_iter},'_',shocksign,'_',int2str(ifig)]);
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,'\n');
end
end end
end end
end end
end end
warning('on','all') if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fprintf(fidTeX,'%% End Of TeX file.');
fclose(fidTeX);
end end

55
matlab/+occbin/plot_regimes.m
View File

@ -1,4 +1,26 @@
function plot_regimes(regimes,M_,options_) function plot_regimes(regimes,M_,options_)
% plot_regimes(regimes,M_,options_)
% Inputs:
% - regimes [structure] OccBin regime information
% - M_ [structure] Matlab's structure describing the model
% - options_ [structure] Matlab's structure containing the options
% Copyright © 2021-2023 Dynare Team
%
% 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 <https://www.gnu.org/licenses/>.
nperiods = size(regimes,2); nperiods = size(regimes,2);
nconstr = length(fieldnames(regimes(1)))/2; nconstr = length(fieldnames(regimes(1)))/2;
@ -13,9 +35,15 @@ else
end end
GraphDirectoryName = CheckPath('graphs',M_.dname); GraphDirectoryName = CheckPath('graphs',M_.dname);
fhandle = dyn_figure(options_.nodisplay,'Name',[M_.fname ': OccBin regimes']);
fhandle = dyn_figure(options_.nodisplay,'Name',[M_.fname ' occbin regimes']); latexFolder = CheckPath('latex',M_.dname);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fidTeX = fopen([latexFolder '/' M_.fname '_occbin_regimes.tex'],'w');
fprintf(fidTeX,'%% TeX eps-loader file generated by occbin.plot_regimes.m (Dynare).\n');
fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
fprintf(fidTeX,' \n');
end
for k=1:nconstr for k=1:nconstr
subplot(nconstr,1,k) subplot(nconstr,1,k)
@ -36,12 +64,23 @@ for k=1:nconstr
end end
end end
end end
title(['regime ' int2str(k)]) xlim([1 nperiods])
xlabel('historic period') title(['Regime ' int2str(k)])
ylabel('regime expected start') xlabel('Historic period')
ylabel('Regime: expected start')
end end
annotation('textbox',[.25,0,.15,.05],'String','Unbinding','Color','blue'); annotation('textbox',[.25,0,.15,.05],'String','Slack','Color','blue');
annotation('textbox',[.65,0,.15,.05],'String','Binding','Color','red'); annotation('textbox',[.65,0,.2,.05],'String','Binding','Color','red');
dyn_saveas(fhandle,[GraphDirectoryName, filesep, M_.fname '_occbin_regimes'],options_.nodisplay,options_.graph_format); dyn_saveas(fhandle,[GraphDirectoryName, filesep, M_.fname '_occbin_regimes'],options_.nodisplay,options_.graph_format);
if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
fprintf(fidTeX,'\\begin{figure}[H]\n');
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_occbin_regimes}\n',options_.figures.textwidth,[GraphDirectoryName '/' M_.fname]);
fprintf(fidTeX,'\\caption{OccBin: regime evolution over time.}\n');
fprintf(fidTeX,'\\label{Fig:occbin_regimes}\n');
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,'\n');
fclose(fidTeX);
end

7
matlab/+occbin/set_default_options.m
View File

@ -55,9 +55,7 @@ if ismember(flag,{'forecast','all'})
options_occbin_.forecast.maxit=30; options_occbin_.forecast.maxit=30;
options_occbin_.forecast.qmc=0; options_occbin_.forecast.qmc=0;
options_occbin_.forecast.replic=0; options_occbin_.forecast.replic=0;
options_occbin_.forecast.sepath=0;
options_occbin_.forecast.SHOCKS0=[]; options_occbin_.forecast.SHOCKS0=[];
options_occbin_.forecast.treepath=1; % number of branches
end end
if ismember(flag,{'irf','all'}) if ismember(flag,{'irf','all'})
@ -98,17 +96,12 @@ end
if ismember(flag,{'plot_irf','all'}) if ismember(flag,{'plot_irf','all'})
options_occbin_.plot_irf.add_steadystate = 0; options_occbin_.plot_irf.add_steadystate = 0;
options_occbin_.plot_irf.exo_names = [];
options_occbin_.plot_irf.endo_names = M_.endo_names;
options_occbin_.plot_irf.endo_names_long = [];
options_occbin_.plot_irf.endo_scaling_factor = []; options_occbin_.plot_irf.endo_scaling_factor = [];
options_occbin_.plot_irf.grid = true; options_occbin_.plot_irf.grid = true;
options_occbin_.plot_irf.ncols = 3; options_occbin_.plot_irf.ncols = 3;
options_occbin_.plot_irf.nrows = 3; options_occbin_.plot_irf.nrows = 3;
options_occbin_.plot_irf.shocksigns = {'pos','neg'}; options_occbin_.plot_irf.shocksigns = {'pos','neg'};
options_occbin_.plot_irf.simulname=''; options_occbin_.plot_irf.simulname='';
options_occbin_.plot_irf.threshold = 10^-6;
options_occbin_.plot_irf.tplot = [];
end end
if ismember(flag,{'plot_shock_decomp','all'}) if ismember(flag,{'plot_shock_decomp','all'})

140
tests/occbin/filter/NKM.mod
View File

@ -13,66 +13,66 @@
// ----------------- Defintions -----------------------------------------// // ----------------- Defintions -----------------------------------------//
var var
c //1 Consumption c $c$ (long_name='Consumption')
n //2 Labor n (long_name='Labor')
y //5 Output y $y$ (long_name='Output')
yf //6 Final goods yf (long_name='Final goods')
yg //11 Output growth gap yg (long_name='Output growth gap')
w //12 Real wage rate w (long_name='Real wage rate')
wf //13 Flexible real wage wf (long_name='Flexible real wage')
pigap //15 Inflation rate -> pi(t)/pibar = pigap pigap (long_name='Inflation rate -> pi(t)/pibar = pigap')
inom ${i^{nom}}$ //16 Nominal interest rate inom ${i^{nom}}$ (long_name='Nominal interest rate')
inomnot //17 Notional interest rate inomnot (long_name='Notional interest rate')
mc //19 Real marginal cost mc (long_name='Real marginal cost')
lam ${\lambda}$ //20 Inverse marginal utility of wealth lam ${\lambda}$ (long_name='Inverse marginal utility of wealth')
g //21 Growth shock g (long_name='Growth shock')
s //22 Risk premium shock s (long_name='Risk premium shock')
mp //23 Monetary policy shock mp (long_name='Monetary policy shock')
pi ${\pi}$ //24 Observed inflation pi ${\pi}$ (long_name='Observed inflation')
@#if !(small_model) @#if !(small_model)
x //3 Investment x (long_name='Investment')
k //4 Capital k (long_name='Capital')
u //7 Utilization cost u (long_name='Utilization cost')
ups //8 Utilization choice ups (long_name='Utilization choice')
wg //9 Real wage growth gap wg (long_name='Real wage growth gap')
xg //10 Investment growth xg (long_name='Investment growth')
rk //14 Real rental rate rk (long_name='Real rental rate')
q //18 Tobins q q (long_name='Tobins q')
@#endif @#endif
; ;
varexo varexo
epsg ${\varepsilon_g}$ // Productivity growth shock epsg ${\varepsilon_g}$ (long_name='Productivity growth shock')
epsi // Notional interest rate shock epsi (long_name='Notional interest rate shock')
epss // Risk premium shock epss (long_name='Risk premium shock')
; ;
parameters parameters
// Calibrated Parameters // Calibrated Parameters
beta $\beta$ // Discount factor beta $\beta$ (long_name='Discount factor')
chi // Labor disutility scale chi (long_name='Labor disutility scale')
thetap // Elasticity of subs. between intermediate goods thetap (long_name='Elasticity of subs. between intermediate goods')
thetaw // Elasticity of subs. between labor types thetaw (long_name='Elasticity of subs. between labor types')
nbar // Steady state labor nbar (long_name='Steady state labor')
eta // Inverse frish elasticity of labor supply eta (long_name='Inverse frish elasticity of labor supply')
delta // Depreciation delta (long_name='Depreciation')
alpha // Capital share alpha (long_name='Capital share')
gbar // Mean growth rate gbar (long_name='Mean growth rate')
pibar // Inflation target pibar (long_name='Inflation target')
inombar // Steady gross nom interest rate inombar (long_name='Steady gross nom interest rate')
inomlb // Effective lower bound on gross nominal interest rate inomlb (long_name='Effective lower bound on gross nominal interest rate')
sbar // Average risk premium sbar (long_name='Average risk premium')
// Parameters for DGP and Estimated parameters // Parameters for DGP and Estimated parameters
varphip // Rotemberg price adjustment cost varphip (long_name='Rotemberg price adjustment cost')
varphiw // Rotemberg wage adjustment cost varphiw (long_name='Rotemberg wage adjustment cost')
h // Habit persistence h (long_name='Habit persistence')
rhos // Persistence rhos (long_name='Persistence')
rhoi // Persistence rhoi (long_name='Persistence')
sigz // Standard deviation technology sigz (long_name='Standard deviation technology')
sigs // Standard deviation risk premia sigs (long_name='Standard deviation risk premia')
sigi // Standard deviation mon pol sigi (long_name='Standard deviation mon pol')
phipi // Inflation responsiveness phipi (long_name='Inflation responsiveness')
phiy // Output responsiveness phiy (long_name='Output responsiveness')
nu // Investment adjustment cost nu (long_name='Investment adjustment cost')
sigups // Utilization sigups (long_name='Utilization')
; ;
@ -316,36 +316,34 @@ varobs yg inom pi;
// forecast starting from period 42, zero shocks (default) // forecast starting from period 42, zero shocks (default)
smoother2histval(period=42); smoother2histval(period=42);
[oo, error_flag] = occbin.forecast(options_,M_,oo_,8); [forecast, error_flag] = occbin.forecast(options_,M_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state,8);
// forecast with stochastic shocks // forecast with stochastic shocks
options_.occbin.forecast.qmc=true; options_.occbin.forecast.qmc=true;
options_.occbin.forecast.replic=127; options_.occbin.forecast.replic=127;
[oo1, error_flag] = occbin.forecast(options_,M_,oo_,8); [forecast1, error_flag] = occbin.forecast(options_,M_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state,8);
figure('Name','OccBin: Forecasts')
subplot(2,1,1)
plot(1:8,forecast.piecewise.Mean.inom,'b-',1:8,forecast1.piecewise.Mean.inom,'r--')
subplot(2,1,2)
plot(1:8,forecast.piecewise.Mean.y,'b-',1:8,forecast1.piecewise.Mean.y,'r--')
// GIRF given states in 42 and shocks in 43 // GIRF given states in 42 and shocks in 43
t0=42; t0=42;
options_.occbin.irf.exo_names=M_.exo_names; options_.occbin.irf.exo_names=M_.exo_names;
options_.occbin.irf.t0=t0; options_.occbin.irf.t0=t0;
oo_ = occbin.irf(M_,oo_,options_); oo_.occbin.irfs = occbin.irf(M_,oo_,options_);
vars_irf = { var_list_ = {'c','n','y','pigap','inom','inomnot'};
'c', 'consumption'
'n', 'labor'
'y', 'output'
'pigap', 'inflation rate'
'inom', 'interest rate'
'inomnot', 'shadow rate'
};
options_.occbin.plot_irf.exo_names = M_.exo_names;
options_.occbin.plot_irf.endo_names = vars_irf(:,1);
options_.occbin.plot_irf.endo_names_long = vars_irf(:,2);
// if you want to scale ... // if you want to scale ...
// options_occbin_.plot_irf.endo_scaling_factor = vars_irf(:,3); // options_occbin_.plot_irf.endo_scaling_factor = vars_irf(:,3);
options_.occbin.plot_irf.simulname = ['t0_' int2str(t0)]; options_.occbin.plot_irf.simulname = ['t0_' int2str(t0)];
options_.occbin.plot_irf.tplot = min(40,options_.irf); options_.irf=40;
occbin.plot_irfs(M_,oo_,options_); occbin.plot_irfs(M_,oo_.occbin.irfs,options_,var_list_);
var_list_={};
options_.occbin.plot_irf.simulname = ['t0_' int2str(t0) '_full'];
occbin.plot_irfs(M_,oo_.occbin.irfs,options_,var_list_);
oo0=oo_; oo0=oo_;
// use smoother_redux // use smoother_redux
estimation( estimation(
@ -374,7 +372,7 @@ varobs yg inom pi;
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 // show initial condition effect of IF
figure, figure('Name','OccBin: Smoothed shocks')
subplot(221) subplot(221)
plot([oo0.SmoothedShocks.epsg oo_.SmoothedShocks.epsg]), title('epsg') plot([oo0.SmoothedShocks.epsg oo_.SmoothedShocks.epsg]), title('epsg')
subplot(222) subplot(222)
@ -382,7 +380,7 @@ varobs yg inom pi;
subplot(223) subplot(223)
plot([oo0.SmoothedShocks.epss oo_.SmoothedShocks.epss]), title('epss') plot([oo0.SmoothedShocks.epss oo_.SmoothedShocks.epss]), title('epss')
legend('PKF','IF') legend('PKF','IF')
figure, figure('Name','OccBin: Smoothed Variables')
subplot(221) subplot(221)
plot([oo0.SmoothedVariables.inom oo_.SmoothedVariables.inom]), title('inom') plot([oo0.SmoothedVariables.inom oo_.SmoothedVariables.inom]), title('inom')
subplot(222) subplot(222)