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BVAR: move to subfolder

kalman-mex
Johannes Pfeifer 2023-09-08 15:36:25 +02:00 committed by Sébastien Villemot
parent a375cb5575
commit 2b313b0308
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8 changed files with 46 additions and 34 deletions
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9
doc/manual/source/the-model-file.rst
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@ -8886,6 +8886,15 @@ Dynare also has the ability to estimate Bayesian VARs:
See ``bvar-a-la-sims.pdf``, which comes with Dynare distribution,
for more information on this command.
.. command:: bvar_irf ;
|br| Computes the impulse responses of an estimated BVAR model, using
Minnesota priors.
See ``bvar-a-la-sims.pdf``, which comes with Dynare distribution,
for more information on this command.
Estimation based on moments
===========================

4
license.txt
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@ -88,8 +88,8 @@ License: public-domain-aim
Files: matlab/optimization/bfgsi1.m matlab/csolve.m matlab/optimization/csminit1.m matlab/optimization/numgrad2.m
matlab/optimization/numgrad3.m matlab/optimization/numgrad3_.m matlab/optimization/numgrad5.m
matlab/optimization/numgrad5_.m matlab/optimization/csminwel1.m matlab/bvar_density.m
matlab/bvar_toolbox.m matlab/partial_information/PI_gensys.m matlab/partial_information/qzswitch.m
matlab/optimization/numgrad5_.m matlab/optimization/csminwel1.m matlab/+bvar/density.m
matlab/+bvar/toolbox.m matlab/partial_information/PI_gensys.m matlab/partial_information/qzswitch.m
matlab/partial_information/qzdiv.m
Copyright: 1993-2009 Christopher Sims
2006-2023 Dynare Team

8
matlab/bvar_density.m → matlab/+bvar/density.m
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@ -1,5 +1,5 @@
function bvar_density(maxnlags)
% function bvar_density(maxnlags)
function density(maxnlags)
% function density(maxnlags)
% computes the density of a bayesian var
%
% INPUTS
@ -12,7 +12,7 @@ function bvar_density(maxnlags)
% none
% Copyright © 2003-2007 Christopher Sims
% Copyright © 2007-2017 Dynare Team
% Copyright © 2007-2023 Dynare Team
%
% This file is part of Dynare.
%
@ -34,7 +34,7 @@ global oo_
oo_.bvar.log_marginal_data_density=NaN(maxnlags,1);
for nlags = 1:maxnlags
[ny, nx, posterior, prior] = bvar_toolbox(nlags);
[ny, nx, posterior, prior] = bvar.toolbox(nlags);
oo_.bvar.posterior{nlags}=posterior;
oo_.bvar.prior{nlags}=prior;

36
matlab/bvar_forecast.m → matlab/+bvar/forecast.m
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@ -1,5 +1,5 @@
function bvar_forecast(nlags)
% function bvar_forecast(nlags)
function forecast(nlags)
% function forecast(nlags)
% builds forecats for a bvar model
%
% INPUTS
@ -11,7 +11,7 @@ function bvar_forecast(nlags)
% SPECIAL REQUIREMENTS
% none
% Copyright © 2007-2017 Dynare Team
% Copyright © 2007-2023 Dynare Team
%
% This file is part of Dynare.
%
@ -31,9 +31,9 @@ function bvar_forecast(nlags)
global options_ oo_ M_
if options_.forecast == 0
error('bvar_forecast: you must specify "forecast" option')
error('bvar.forecast: you must specify "forecast" option')
end
[ny, nx, posterior, prior, forecast_data] = bvar_toolbox(nlags);
[ny, nx, posterior, prior, forecast_data] = bvar.toolbox(nlags);
sims_no_shock = NaN(options_.forecast, ny, options_.bvar_replic);
sims_with_shocks = NaN(options_.forecast, ny, options_.bvar_replic);
@ -116,7 +116,7 @@ sims_with_shocks_up_conf = sims_with_shocks_sort(:, :, sort_idx(2));
OutputDirectoryName = CheckPath('graphs',M_.dname);
dyn_graph=dynare_graph_init(sprintf('BVAR forecasts (nlags = %d)', nlags), ny, {'b-' 'g-' 'g-' 'r-' 'r-'});
dyn_graph=bvar.graph_init(sprintf('BVAR forecasts (nlags = %d)', nlags), ny, {'b-' 'g-' 'g-' 'r-' 'r-'});
for i = 1:ny
dyn_graph=dynare_graph(dyn_graph,[ sims_no_shock_median(:, i) ...
@ -166,20 +166,20 @@ for i = 1:length(options_.varobs)
name = options_.varobs{i};
sims = squeeze(sims_with_shocks(:,i,:));
eval(['oo_.bvar.forecast.with_shocks.Mean.' name ' = mean(sims, 2);']);
eval(['oo_.bvar.forecast.with_shocks.Median.' name ' = median(sims, 2);']);
eval(['oo_.bvar.forecast.with_shocks.Var.' name ' = var(sims, 0, 2);']);
eval(['oo_.bvar.forecast.with_shocks.HPDsup.' name ' = sims_with_shocks_up_conf(:,i);']);
eval(['oo_.bvar.forecast.with_shocks.HPDinf.' name ' = sims_with_shocks_down_conf(:,i);']);
oo_.bvar.forecast.with_shocks.Mean.(name) = mean(sims, 2);
oo_.bvar.forecast.with_shocks.Median.(name) = median(sims, 2);
oo_.bvar.forecast.with_shocks.Var.(name) = var(sims, 0, 2);
oo_.bvar.forecast.with_shocks.HPDsup.(name) = sims_with_shocks_up_conf(:,i);
oo_.bvar.forecast.with_shocks.HPDinf.(name) = sims_with_shocks_down_conf(:,i);
sims = squeeze(sims_no_shock(:,i,:));
eval(['oo_.bvar.forecast.no_shock.Mean.' name ' = sims_no_shock_mean(:,i);']);
eval(['oo_.bvar.forecast.no_shock.Median.' name ' = sims_no_shock_median(:,i);']);
eval(['oo_.bvar.forecast.no_shock.Var.' name ' = var(sims, 0, 2);']);
eval(['oo_.bvar.forecast.no_shock.HPDsup.' name ' = sims_no_shock_up_conf(:,i);']);
eval(['oo_.bvar.forecast.no_shock.HPDinf.' name ' = sims_no_shock_down_conf(:,i);']);
oo_.bvar.forecast.no_shock.Mean.(name) = sims_no_shock_mean(:,i);
oo_.bvar.forecast.no_shock.Median.(name) = sims_no_shock_median(:,i);
oo_.bvar.forecast.no_shock.Var.(name) = var(sims, 0, 2);
oo_.bvar.forecast.no_shock.HPDsup.(name) = sims_no_shock_up_conf(:,i);
oo_.bvar.forecast.no_shock.HPDinf.(name) = sims_no_shock_down_conf(:,i);
if exist('rmse')
eval(['oo_.bvar.forecast.rmse.' name ' = rmse(i);']);
if exist('rmse','var')
oo_.bvar.forecast.rmse.(name) = rmse(i);
end
end

0
matlab/dynare_graph_init.m → matlab/+bvar/graph_init.m
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21
matlab/bvar_irf.m → matlab/+bvar/irf.m
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@ -1,5 +1,6 @@
function bvar_irf(nlags,identification)
% builds IRFs for a bvar model
function irf(nlags,identification)
% function irf(nlags,identification)
% builds IRFs for a BVAR model
%
% INPUTS
% nlags [integer] number of lags for the bvar
@ -11,7 +12,7 @@ function bvar_irf(nlags,identification)
% SPECIAL REQUIREMENTS
% none
% Copyright © 2007-2017 Dynare Team
% Copyright © 2007-2023 Dynare Team
%
% This file is part of Dynare.
%
@ -34,7 +35,7 @@ if nargin==1
identification = 'Cholesky';
end
[ny, nx, posterior, prior] = bvar_toolbox(nlags);
[ny, nx, posterior, prior] = bvar.toolbox(nlags);
S_inv_upper_chol = chol(inv(posterior.S));
@ -77,6 +78,8 @@ for draw=1:options_.bvar_replic
StructuralMat = Sigma_lower_chol;
elseif strcmpi(identification,'SquareRoot')
StructuralMat = sqrtm(Sigma);
else
error('Unknown identification option. Valid choices are ''Cholesky'' and ''SquareRoot''.')
end
% Build the IRFs...
@ -137,10 +140,10 @@ for i=1:ny
shock_name = options_.varobs{i};
for j=1:ny
variable_name = options_.varobs{j};
eval(['oo_.bvar.irf.Mean.' variable_name '.' shock_name ' = posterior_mean_irfs(' int2str(j) ',' int2str(i) ',:);'])
eval(['oo_.bvar.irf.Median.' variable_name '.' shock_name ' = posterior_median_irfs(' int2str(j) ',' int2str(i) ',:);'])
eval(['oo_.bvar.irf.Var.' variable_name '.' shock_name ' = posterior_variance_irfs(' int2str(j) ',' int2str(i) ',:);'])
eval(['oo_.bvar.irf.Upper_bound.' variable_name '.' shock_name ' = posterior_up_conf_irfs(' int2str(j) ',' int2str(i) ',:);'])
eval(['oo_.bvar.irf.Lower_bound.' variable_name '.' shock_name ' = posterior_down_conf_irfs(' int2str(j) ',' int2str(i) ',:);'])
oo_.bvar.irf.Mean.(variable_name).(shock_name) = posterior_mean_irfs(j,i,:);
oo_.bvar.irf.Median.(variable_name).(shock_name) = posterior_median_irfs(j,i,:);
oo_.bvar.irf.Var.(variable_name).(shock_name) = posterior_variance_irfs(j,i,:);
oo_.bvar.irf.Upper_bound.(variable_name).(shock_name) = posterior_up_conf_irfs(j,i,:);
oo_.bvar.irf.Lower_bound.(variable_name).(shock_name) = posterior_down_conf_irfs(j,i,:);
end
end

0
matlab/bvar_toolbox.m → matlab/+bvar/toolbox.m
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2
preprocessor

@ -1 +1 @@
Subproject commit 978789d02a4a27c479094512e791576414c54a73
Subproject commit 6fde1b05981ba3351ae8662121111bb89bcf6882