doc: fix doc following recent changes
Houtan Bastani
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doc/dynare.texi
212
doc/dynare.texi
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@ -7088,23 +7088,25 @@ calibrated model.
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@xref{nobs}.
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@item use_shock_groups [= @var{SHOCK_GROUPS_NAME}]
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@anchor{use_shock_groups}. Uses groups of shocks instead of individual shocks in
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the decomposition. Groups of shocks are defined in @xref{shock_groups} block.
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@anchor{use_shock_groups} Uses groups of shocks instead of individual shocks in
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the decomposition. Groups of shocks are defined in the @ref{shock_groups} block.
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@item colormap = @var{COLORMAP_NAME}
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@anchor{colormap}. Controls the colormap used for the shocks decomposition
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@anchor{colormap} Controls the colormap used for the shocks decomposition
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graphs. See @code{colormap} in Matlab/Octave manual.
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@item nograph
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@xref{nograph}. Suppresses the display and creation only within the @code{shock_decomposition}-command
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but does not affect other commands. See also @xref{plot_shock_decomposition} for plotting graphs.
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@xref{nograph} Suppresses the display and creation only within the
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@code{shock_decomposition}-command but does not affect other commands.
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@xref{plot_shock_decomposition} for plotting graphs.
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@item init_state = @var{INTEGER}
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@anchor{init_state}. It can take values of 0 (=default) and 1.
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If @code{init_state= 0}, the shock decomposition is computed conditional on the smoothed state variables
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in period 0, i.e. the smoothed shocks starting in period 1 are used.
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If @code{init_state= 1}, the shock decomposition is computed conditional on the smoothed state variables
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in period 1.
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@anchor{init_state} It can take values of @math{0} or @math{1}. If equal to
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@math{0}, the shock decomposition is computed conditional on the smoothed state
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variables in period @math{0}, @i{i.e.} the smoothed shocks starting in period
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@math{1} are used. If equal to @math{1}, the shock decomposition is computed
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conditional on the smoothed state variables in period @math{1}. Default:
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@math{0}
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@end table
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@outputhead
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@ -7172,13 +7174,21 @@ shocks_decomposition(use_shock_groups=group1);
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@descriptionhead
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This command computes the realtime historical shock decomposition for a given sample based on
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the Kalman smoother. For each period @code{T=presample:nobs}, it computes
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- realtime historical shock decomposition Y(t|T) for t=1:T, i.e. without observing data in [T+1:nobs];
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- conditional shock decomposition Y(T|T) CONDITIONAL on Y(T|T-1), i.e. Y(t|T) for t=T-1:T;
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- forecast shock decomposition Y(T|T-1).
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This command computes the realtime historical shock decomposition for a given
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sample based on the Kalman smoother. For each period
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@math{T=[@code{presample}@dots{}@code{nobs}]}, it computes the:
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@itemize @bullet
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@item
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realtime historical shock decomposition @math{Y(t|T)} for @math{t=[1@dots{}T]},
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@i{i.e.} without observing data in @math{[T+1@dots{}@code{nobs}]};
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@item
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conditional shock decomposition @math{Y(T|T)} conditional on @math{Y(T|T-1)},
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@i{i.e.} @math{Y(t|T)} for @math{t=[T-1@dots{}T]};
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@item
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forecast shock decomposition @math{Y(T|T-1)}.
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@end itemize
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Like @xref{shock_decomposition} it decomposes the historical deviations of the endogenous
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Like @ref{shock_decomposition} it decomposes the historical deviations of the endogenous
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variables from their respective steady state values into the contribution coming
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from the various shocks. The @code{variable_names} provided govern for which
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variables the decomposition is plotted.
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@ -7192,7 +7202,7 @@ model).
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@table @code
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@item parameter_set = @var{PARAMETER_SET}
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Specify the parameter set to use for running the smoother. The
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Specify the parameter set to use for running the smoother.
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@var{PARAMETER_SET} can take one of the following seven values:
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@code{calibration}, @code{prior_mode}, @code{prior_mean},
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@code{posterior_mode}, @code{posterior_mean},
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@ -7210,12 +7220,13 @@ calibrated model.
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@xref{nobs}.
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@item use_shock_groups [= @var{SHOCK_GROUPS_NAME}]
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@anchor{use_shock_groups_realtime}. Uses groups of shocks instead of individual shocks in
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the decomposition. Groups of shocks are defined in @xref{shock_groups} block.
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@anchor{use_shock_groups_realtime} Uses groups of shocks instead of individual
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shocks in the decomposition. Groups of shocks are defined in the
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@ref{shock_groups} block.
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@item colormap = @var{COLORMAP_NAME}
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@anchor{colormap_realtime}. Controls the colormap used for the shocks decomposition
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graphs. See @code{colormap} in Matlab/Octave manual.
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@anchor{colormap_realtime} Controls the colormap used for the shocks
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decomposition graphs. See @code{colormap} in Matlab/Octave manual.
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@item nograph
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@xref{nograph}. Only shock decompositions are computed and stored in @code{oo_.realtime_shock_decomposition},
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@ -7223,36 +7234,48 @@ graphs. See @code{colormap} in Matlab/Octave manual.
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(@xref{plot_shock_decomposition}).
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@item presample
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@anchor{presample_shock_decomposition}. First data point from which recursive realtime shock decompositions are computed, i.e. for T=(presample:nobs).
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@anchor{presample_shock_decomposition} First data point from which recursive
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realtime shock decompositions are computed, @i{i.e.} for
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@math{T=[@code{presample}@dots{}@code{nobs}]}.
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@item forecast
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@anchor{forecast_shock_decomposition}. Compute shock decompositions up to T+k periods, i.e. get shock contributions to k-step ahead forecasts.
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@anchor{forecast_shock_decomposition} Compute shock decompositions up to
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@math{T+k} periods, @i{i.e.} get shock contributions to k-step ahead forecasts.
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@item save_realtime = [@var{integer1} ... @var{integern}]
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@anchor{save_realtime}. Choose for which vintages to save the full realtime shock decomposition. Default = 0.
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@anchor{save_realtime} Choose for which vintages to save the full realtime
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shock decomposition. Default: @math{0}.
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@end table
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@outputhead
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@vindex oo_.realtime_shock_decomposition
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The results of realtime historical decompositions are stored in the field @code{oo_.realtime_shock_decomposition}, which is a structure.
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Field @code{pool} stores the pooled decomposition @xref{plot_shock_decomposition}.
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Fields @code{time_*} store the vintages of realtime historical shock decompositions.
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The results of realtime historical decompositions are stored in the field
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@code{oo_.realtime_shock_decomposition}, which is a structure. Field
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@code{pool} stores the pooled decomposition (@xref{plot_shock_decomposition}).
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Fields @code{time_*} store the vintages of realtime historical shock
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decompositions.
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@vindex oo_.conditional_shock_decomposition
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The results of realtime conditional decompositions are stored in the field @code{oo_.conditional_shock_decomposition}, which is a structure.
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Field @code{pool} stores the pooled decomposition Y(t|T) for t=T-1:T @xref{plot_shock_decomposition}.
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Conditional shock decomposition sets the initial condition in T-1, so only computes the effect of shocks in period T,
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i.e. it is just a 1-period shock decomposition from T-1 to T. In practice it decomposes the update step of the Kalman filter.
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Fields @code{time_*} store the vintages of k-step conditional forecast shock decompositions Y(t|T+k), for t=T:T+k.
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See also @xref{vintage}.
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The results of realtime conditional decompositions are stored in the field
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@code{oo_.conditional_shock_decomposition}, which is a structure. Field
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@code{pool} stores the pooled decomposition @math{Y(t|T)} for
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@math{t=T-1@dots{}T} @xref{plot_shock_decomposition}. Conditional shock
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decomposition sets the initial condition in @math{T-1}, so only computes the
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effect of shocks in period @math{T}, @i{i.e.} it is just a @math{1}-period
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shock decomposition from @math{T-1} to @math{T}. In practice it decomposes the
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update step of the Kalman filter. Fields @code{time_*} store the vintages of
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@math{k}-step conditional forecast shock decompositions @math{Y(t|T+k)}, for
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@math{t=[T@dots{}T+k}. @xref{vintage}.
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@vindex oo_.realtime_forecast_shock_decomposition
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The results of realtime forecast decompositions are stored in the field @code{oo_.realtime_forecast_shock_decomposition}, which is a structure.
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Field @code{pool} stores the pooled decomposition @xref{plot_shock_decomposition}.
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Forecast shock decomposition computes the 1-step ahead effect of shocks on the 1-step ahead prediction, i.e. Y(T|T-1).
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Fields @code{time_*} store the vintages of k-step out-of-sample forecast shock decompositions, i.e. Y(t|T), for t=T:T+k.
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See also @xref{vintage}.
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The results of realtime forecast decompositions are stored in the field
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@code{oo_.realtime_forecast_shock_decomposition}, which is a structure. Field
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@code{pool} stores the pooled decomposition @xref{plot_shock_decomposition}.
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Forecast shock decomposition computes the @math{1}-step ahead effect of shocks
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on the @math{1}-step ahead prediction, @i{i.e.} @math{Y(T|T-1)}. Fields
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@code{time_*} store the vintages of @math{k}-step out-of-sample forecast shock
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decompositions, @i{i.e.} @math{Y(t|T)}, for @math{t=[T@dots{}T+k]}. @xref{vintage}.
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@end deffn
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@ -7274,11 +7297,12 @@ Note that this command must come after @code{shock_decomposition} or @code{realt
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@table @code
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@item use_shock_groups [= @var{SHOCK_GROUPS_NAME}]
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@anchor{use_shock_groups_plot}. Uses groups of shocks instead of individual shocks in
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the decomposition. Groups of shocks are defined in @xref{shock_groups} block.
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@anchor{use_shock_groups_plot} Uses groups of shocks instead of individual
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shocks in the decomposition. Groups of shocks are defined in the
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@ref{shock_groups} block.
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@item colormap = @var{COLORMAP_NAME}
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@anchor{colormap_plot}. Controls the colormap used for the shocks decomposition
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@anchor{colormap_plot} Controls the colormap used for the shocks decomposition
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graphs. See @code{colormap} in Matlab/Octave manual.
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@item nodisplay
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@ -7288,56 +7312,94 @@ graphs. See @code{colormap} in Matlab/Octave manual.
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@xref{graph_format}.
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@item detailed
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@anchor{detailed}. Plots shock contributions using subplots, one per shock (or group of shocks).
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@anchor{detailed} Plots shock contributions using subplots, one per shock (or group of shocks).
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@item interactive
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@anchor{interactive}. Under MATLAB, add uimenu's for detailed group plots.
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@anchor{interactive} Under MATLAB, add uimenu's for detailed group plots.
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@item screen
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@anchor{screen}. For large models [i.e. for models with more than 16 shocks], plots only the shocks
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that have the largest historical contribution for chosen selected @code{variable_names}.
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Historical contribution is ranked by the mean absolute value of all historical contributions.
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@anchor{screen} For large models (@i{i.e.} for models with more than @math{16}
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shocks), plots only the shocks that have the largest historical contribution
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for chosen selected @code{variable_names}. Historical contribution is ranked
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by the mean absolute value of all historical contributions.
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@item steadystate = @var{INTEGER}
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@anchor{steadystate}. 0=default.
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If =1, the the y-axis value of the zero line in the shock decomposition plot is translated to the steady state level.
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@anchor{steadystate} If equal to @math{1}, the the @math{y}-axis value of the
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zero line in the shock decomposition plot is translated to the steady state
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level. Default: @math{0}
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@item type = @var{TYPE_NAME}
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@anchor{type}. For quarterly data, the @var{TYPE_NAME} can take one of the following values:
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@code{qoq} for quarter-on-quarter plots,
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@code{yoy} for year-on-year plots of growth rates,
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@code{aoa} for annualized variables, i.e. the value in the last quarter for each year is plotted.
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Default value: @code{empty}, i.e. standard period-on-period plots [qoq for quarterly data].
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@anchor{type} For quarterly data, @var{TYPE_NAME} can take one of the
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following values: @code{qoq} for quarter-on-quarter plots, @code{yoy} for
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year-on-year plots of growth rates, @code{aoa} for annualized variables,
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@i{i.e.} the value in the last quarter for each year is plotted. Default
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value: @code{empty}, @i{i.e.} standard period-on-period plots (@code{qoq} for
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quarterly data).
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@item fig_name = @var{FIG_NAME}
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@anchor{fig_name}. Specifies a user-defined keyword to be appended to the default figure name set by @code{plot_shock_decomposition}.
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This can avoid to overwrite plots in case of sequential calls to @code{plot_shock_decomposition}.
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@anchor{fig_name} Specifies a user-defined keyword to be appended to the
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default figure name set by @code{plot_shock_decomposition}. This can avoid to
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overwrite plots in case of sequential calls to @code{plot_shock_decomposition}.
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@item write_xls
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@anchor{write_xls}. Saves shock decompositions to excel.
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@anchor{write_xls} Saves shock decompositions to excel.
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@item realtime = @var{INTEGER}
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@anchor{realtime}. Which kind of shock decomposition to plot. @var{INTEGER} can take following values:
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@code{0}: historical shock decomposition: Y(t|T) for t=1:T, T=nobs full sample [DEFAULT]
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@code{1}: realtime historical shock decomposition: for T=1:nobs, realtime shock decomposition Y(t|T) for t=1:T
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@code{2}: conditional shock decomposition: for T=1:nobs, realtime shock decomposition of Y(T|T) CONDITIONAL on Y(T|T-1), i.e. Y(t|T) for t=T-1:T
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@code{3}: forecast shock decomposition: for T=1:nobs, realtime shock decomposition of Y(T|T-1)
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@anchor{realtime} Which kind of shock decomposition to plot. @var{INTEGER} can take following values:
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@itemize @bullet
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@item
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@code{0}: historical shock decomposition: @math{Y(t|T)} for
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@math{t=[1@dots{}T]}, @math{T=} @code{nobs} full sample
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@item
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@code{1}: realtime historical shock decomposition: for
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@math{T=[1@dots{}@code{nobs}]}, realtime shock decomposition @math{Y(t|T)} for
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@math{t=[1@dots{}T]}
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@item
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@code{2}: conditional shock decomposition: for @code{T=1:nobs}, realtime shock
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decomposition of @math{Y(T|T)} conditional on @math{Y(T|T-1)}, @i{i.e.}
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@math{Y(t|T)} for @math{t=[T-1@dots{}T]}
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@item
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@code{3}: forecast shock decomposition: for @math{T=[1@dots{}@code{nobs}]},
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realtime shock decomposition of @math{Y(T|T-1)}
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@end itemize
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Default: @math{0}
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@item vintage = @var{INTEGER}
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@anchor{vintage}. Applies if @code{realtime}>0. @var{INTEGER} can take following values:
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@code{0}: plots 1step pooled shock decompositions [DEFAULT]
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@code{realtime=1}: pooled realtime shock decomposition. For T=1:nobs, plots last time point Y(T|T) of each vintage shock decomposition Y(1:T|T)
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@code{realtime=2}: pooled conditional shock decomposition. For T=1:nobs, realtime 1-step shock decomposition of Y(T|T) CONDITIONAL on Y(T|T-1)
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[i.e. decomposition of 1-step filter updates of each vintage T]
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@code{realtime=3}: pooled forecast shock decomposition. For T=1:nobs, realtime 1-step ahead shock decomposition of Y(T|T-1)
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[i.e. decomposition of shock contributions to 1-step ahead forecasts of each vintage T]
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@code{>0}: plots shock decompositions for vintage T=@code{vintage} under the following scenarios
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@code{realtime=1}: the full vintage shock decomposition Y(t|T) for t=1:T
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@code{realtime=2}: plots conditional forecast shock decomposition from T, i.e. plots Y(T+j|T+j)
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and the shock contributions needed to get to the data Y(T+j) CONDITIONAL on T=@code{vintage}, with j=(0:@code{forecast}).
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@code{realtime=3}: plots unconditional forecast shock decomposition from T, i.e. Y(T+j|T), where T=@code{vintage} and j=(0:@code{forecast}).
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@anchor{vintage} Applies if @code{realtime}@math{>0}. Can take following values:
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@itemize @bullet
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@item
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@code{0}: plots @math{1}-step pooled shock decompositions
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@item
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@code{1}: pooled realtime shock decomposition. For @math{T=[1@dots{}@code{nobs}]}, plots last
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time point @math{Y(T|T)} of each vintage shock decomposition @math{Y(1:T|T)}
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@item
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@code{2}: pooled conditional shock decomposition. For
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@math{T=[1@dots{}@code{nobs}]}, realtime @math{1}-step shock decomposition of
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@math{Y(T|T)} conditional on @math{Y(T|T-1)} (@i{i.e.} decomposition of
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@math{1}-step filter updates of each vintage @math{T}}
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@item
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@code{3}: pooled forecast shock decomposition. For
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@math{T=[1@dots{}@code{nobs}]}, realtime @math{1}-step ahead shock
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decomposition of @math{Y(T|T-1)} (@i{i.e.} decomposition of shock
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contributions to @math{1}-step ahead forecasts of each vintage @math{T})
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@end itemize
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When the value passed is greater than @math{0}, it plots the shock
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decompositions for vintage @math{T=@code{vintage}} under the following scenarios:
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@itemize @bullet
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@item
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@code{realtime=1}: the full vintage shock decomposition @math{Y(t|T)} for
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@math{t=[1@dots{}T]}
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@item
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@code{realtime=2}: the conditional forecast shock decomposition from @math{T},
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@i{i.e.} plots @math{Y(T+j|T+j)} and the shock contributions needed to get to
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the data @math{Y(T+j)} conditional on @math{T=}@code{vintage}, with
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@math{j=[0@dots{}@code{forecast}]}.
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@item
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@code{realtime=3}: plots unconditional forecast shock decomposition from
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@math{T}, @i{i.e.} @math{Y(T+j|T)}, where @math{T=@code{vintage}} and
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@math{j=[0@dots{}@code{forecast}]}.
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@end itemize
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Default: @math{0}
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@end table
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@end deffn
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