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new options fast_realtime, that runs the smoother only twice: for the last in-sample and for the last out-of-sample data points.

time-shift
Marco Ratto 2017-11-13 12:32:43 +01:00 committed by Stéphane Adjemian (Charybdis)
parent fd8a69d97b
commit 6c5fc8d0fe
1 changed files with 55 additions and 10 deletions
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65
matlab/realtime_shock_decomposition.m
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@ -78,6 +78,10 @@ forecast_params=0;
if forecast_ && isfield(options_.shock_decomp,'forecast_params')
forecast_params = options_.shock_decomp.forecast_params;
end
fast_realtime = 0;
if isfield(options_.shock_decomp,'fast_realtime')
fast_realtime = options_.shock_decomp.fast_realtime;
end
% save_realtime=0;
save_realtime = options_.shock_decomp.save_realtime;
@ -85,11 +89,6 @@ save_realtime = options_.shock_decomp.save_realtime;
zreal = zeros(endo_nbr,nshocks+2,options_.nobs+forecast_);
zcond = zeros(endo_nbr,nshocks+2,options_.nobs);
skipline()
skipline()
running_text = 'Realtime shock decomposition ';
newString=sprintf(running_text);
fprintf(['\b%s'],newString);
options_.selected_variables_only = 0; %make sure all variables are stored
options_.plot_priors=0;
@ -103,11 +102,58 @@ if forecast_ && any(forecast_params)
clear junk1 junk2 junk3 junk4 junk5 junk6
end
if fast_realtime
skipline()
skipline()
running_text = 'Fast realtime shock decomposition ';
newString=sprintf(running_text);
fprintf(['%s'],newString);
options_.nobs=fast_realtime;
[oo0,M_,junk1,junk2,Smoothed_Variables_deviation_from_mean0] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
gend0 = size(oo0.SmoothedShocks.(deblank(M_.exo_names(1,:))),1);
prctdone=0.5;
if isoctave
printf([running_text,' %3.f%% done\r'], prctdone*100);
else
s0=repmat('\b',1,length(newString)+1);
newString=sprintf([running_text,' %3.1f%% done'], prctdone*100);
fprintf([s0,'%s'],newString);
end
options_.nobs=nobs;
[oo2,M_,junk1,junk2,Smoothed_Variables_deviation_from_mean2] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
gend2 = size(oo2.SmoothedShocks.(deblank(M_.exo_names(1,:))),1);
prctdone=1;
if isoctave
printf([running_text,' %3.f%% done\r'], prctdone*100);
else
s0=repmat('\b',1,length(newString)+1);
newString=sprintf([running_text,' %3.1f%% done'], prctdone*100);
fprintf([s0,'%s'],newString);
end
end
skipline()
skipline()
running_text = 'Realtime shock decomposition ';
newString=sprintf(running_text);
fprintf(['%s'],newString);
for j=presample+1:nobs
% evalin('base',['options_.nobs=' int2str(j) ';'])
options_.nobs=j;
[oo, M_, junk2, junk3, Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
if ~fast_realtime
[oo,M_,junk1,junk2,Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
gend = size(oo.SmoothedShocks.(deblank(M_.exo_names(1,:))),1);
else
gend = gend0+j-fast_realtime;
if j>fast_realtime
oo=oo2;
Smoothed_Variables_deviation_from_mean = Smoothed_Variables_deviation_from_mean2(:,1:gend);
else
oo=oo0;
Smoothed_Variables_deviation_from_mean = Smoothed_Variables_deviation_from_mean0(:,1:gend);
end
end
% reduced form
dr = oo.dr;
@ -131,10 +177,9 @@ for j=presample+1:nobs
end
% initialization
gend = length(oo.SmoothedShocks.(M_.exo_names{1}));
epsilon=NaN(nshocks,gend);
for i=1:nshocks
epsilon(i,:) = oo.SmoothedShocks.(M_.exo_names{i});
for i = 1:nshocks
epsilon(i,:) = oo.SmoothedShocks.(M_.exo_names{i})(1:gend);
end
epsilon=[epsilon zeros(nshocks,forecast_)];