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bug fixes and examples in testsuite

covariance-quadratic-approximation
Marco Ratto 2023-12-14 22:26:40 +01:00
parent 0c4b59b19e
commit 281f01f29e
5 changed files with 46 additions and 8 deletions
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5
matlab/+occbin/forecast.m
View File

@ -56,7 +56,7 @@ if opts.replic
options_.occbin.simul.exo_pos=ishock;
options_.occbin.simul.SHOCKS = SHOCKS;
options_.occbin.simul.waitbar=0;
[~, out] = occbin.solver(M_,oo_,options_);
[~, out] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
zlin0(:,:,iter)=out.linear;
zpiece0(:,:,iter)=out.piecewise;
ys=out.ys;
@ -124,7 +124,8 @@ else
options_.occbin.simul.init_violvecbool = [];
options_.occbin.simul.irfshock = M_.exo_names;
options_.occbin.simul.SHOCKS = SHOCKS;
[~, out] = occbin.solver(M_,oo_,options_);
[~, out] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
zlin=out.linear;
zpiece=out.piecewise;
frcst_regime_history=out.regime_history;

10
matlab/+occbin/irf.m
View File

@ -20,7 +20,7 @@ else
options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0);
end
options_.occbin.simul.SHOCKS=shocks0;
[~, out0] = occbin.solver(M_,oo_,options_);
[~, 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;
@ -61,11 +61,11 @@ for counter = 1:length(jexo_all)
if t0 == 0
options_.occbin.simul.SHOCKS=shocks1;
options_.occbin.simul.endo_init = [];
[~, out_pos] = occbin.solver(M_,oo_,options_);
[~, out_pos] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
else
options_.occbin.simul.SHOCKS=shocks1;
options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0);
[~, out_pos] = occbin.solver(M_,oo_,options_);
[~, out_pos] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
end
if out_pos.error_flag
warning('Occbin error.')
@ -85,11 +85,11 @@ for counter = 1:length(jexo_all)
if t0 == 0
options_.occbin.simul.SHOCKS=shocks_1;
options_.occbin.simul.endo_init = [];
[~, out_neg] = occbin.solver(M_,oo_,options_);
[~, 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_,oo_,options_);
[~, out_neg] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
end
if out_neg.error_flag
warning('Occbin error.')

2
matlab/+occbin/plot_irfs.m
View File

@ -66,7 +66,7 @@ for sss = 1:numel(shocksigns)
j1=j1+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, .
hfig = dyn_figure(options_.nodisplay,'name',['OccbinIRFs ' shocknames{j} ' ' simulname],'PaperPositionMode', 'auto','PaperType','A4','PaperOrientation','portrait','renderermode','auto','position',[10 10 950 650]);
hfig = dyn_figure(options_.nodisplay,'name',['OccbinIRFs ' shocknames{j} ' ' simulname ' ' shocksign],'PaperPositionMode', 'auto','PaperType','A4','PaperOrientation','portrait','renderermode','auto','position',[10 10 950 650]);
ifig=ifig+1;
isub=0;
end

35
tests/occbin/filter/NKM.mod
View File

@ -311,6 +311,41 @@ varobs yg inom pi;
mh_replic=0, plot_priors=0, smoother,
nodisplay,consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
// plot regimes
occbin.plot_regimes(oo_.occbin.smoother.regime_history,M_,options_)
// forecast starting from period 42, zero shocks (default)
smoother2histval(period=42);
[oo, error_flag] = occbin.forecast(options_,M_,oo_,8);
// forecast with stochastic shocks
options_.occbin.forecast.qmc=true;
options_.occbin.forecast.replic=127;
[oo1, error_flag] = occbin.forecast(options_,M_,oo_,8);
// GIRF given states in 42 and shocks in 43
t0=42;
options_.occbin.irf.exo_names=M_.exo_names;
options_.occbin.irf.t0=t0;
oo_ = occbin.irf(M_,oo_,options_);
vars_irf = {
'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 ...
// options_occbin_.plot_irf.endo_scaling_factor = vars_irf(:,3);
options_.occbin.plot_irf.simulname = ['t0_' int2str(t0)];
options_.occbin.plot_irf.tplot = min(40,options_.irf);
occbin.plot_irfs(M_,oo_,options_);
oo0=oo_;
// use smoother_redux
estimation(

2
tests/occbin/model_irrcap_twoconstraints/dynrbc_common.inc
View File

@ -109,5 +109,7 @@ occbin_graph(noconstant) c erra lambdak k i a k;
line1=100*[oo_.occbin.endo_piecewise.c-oo_.occbin.endo_ss.c,oo_.occbin.endo_piecewise.lambdak/100,oo_.occbin.endo_piecewise.k-oo_.occbin.endo_ss.k,oo_.occbin.endo_piecewise.i-oo_.occbin.endo_ss.i,oo_.occbin.endo_piecewise.a-oo_.occbin.endo_ss.a, shock_vector];
line2=100*[oo_.occbin.linear_smoother.SmoothedVariables.c-oo_.occbin.endo_ss.c,oo_.occbin.linear_smoother.SmoothedVariables.lambdak/100,oo_.occbin.linear_smoother.SmoothedVariables.k-oo_.occbin.endo_ss.k,oo_.occbin.linear_smoother.SmoothedVariables.i-oo_.occbin.endo_ss.i,oo_.occbin.linear_smoother.SmoothedVariables.a-oo_.occbin.endo_ss.a, oo_.occbin.linear_smoother.SmoothedShocks.erra/100];
occbin.make_chart(titlelist,legendlist,figtitle,ylabels,cat(3,line1,line2));
occbin.plot_regimes(oo_.occbin.smoother.regime_history,M_,options_)
@#endif
@#endfor