optional output argument for plot_shock_decomposition.m + several fixes to annualized computations and plots.
Marco Ratto
Stéphane Adjemian (Charybdis)
parent
39c3cf7718
commit
9005054c6f
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@ -1,4 +1,4 @@
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function [z, endo_names, endo_names_tex, steady_state, i_var, oo_] = annualized_shock_decomposition(oo_, M_, opts, i_var, t0, t1, realtime_, vintage_, steady_state,GYTREND0,var_type,islog)
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function [z, endo_names, endo_names_tex, steady_state, i_var, oo_] = annualized_shock_decomposition(oo_, M_, options_, i_var, t0, t1, realtime_, vintage_, steady_state, q2a, cumfix)
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% function oo_ = annualized_shock_decomposition(oo_,t0,options_.nobs);
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% Computes annualized shocks contribution to a simulated trajectory. The fields set are
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% oo_.annualized_shock_decomposition, oo_.annualized_realtime_shock_decomposition,
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@ -19,9 +19,7 @@ function [z, endo_names, endo_names_tex, steady_state, i_var, oo_] = annualized_
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% realtime_: [integer]
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% vintage_: [integer]
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% steady_state: [array] steady state value of quarterly (log-) level vars
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% GYTREND0: [array] growth of level of vars
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% var_type: [integer] flag for stock/flow/deflator
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% islog: [integer] flag for log-levels
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% q2a: [structure] info on q2a
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%
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% OUTPUTS
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% z: [matrix] shock decomp to plot
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@ -51,15 +49,62 @@ function [z, endo_names, endo_names_tex, steady_state, i_var, oo_] = annualized_
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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opts = options_.shock_decomp;
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nvar = length(i_var);
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GYTREND0 = q2a.GYTREND0;
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var_type = q2a.type;
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islog = q2a.islog;
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aux = q2a.aux;
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aux0 = aux;
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cumfix = q2a.cumfix;
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% usual shock decomp
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z = oo_.shock_decomposition;
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if isstruct(oo_)
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% z = oo_.shock_decomposition;
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myopts=options_;
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myopts.shock_decomp.type='qoq';
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myopts.shock_decomp.realtime=0;
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[z, junk] = plot_shock_decomposition(M_,oo_,myopts,[]);
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else
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z = oo_;
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end
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z = z(i_var,:,:);
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if var_type==2,
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mytype=var_type;
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if isfield(q2a,'name')
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mytxt = q2a.name;
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mytex = q2a.name;
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if isfield(q2a,'tex_name')
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mytex = q2a.tex_name;
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end
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if mytype==2,
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gtxt = ['PHI' mytxt]; % inflation rate
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gtex = ['{\pi(' mytex ')}'];
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elseif mytype
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gtxt = ['G' mytxt]; % inflation rate
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gtex = ['{g(' mytex ')}'];
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end
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if isfield(q2a,'gname')
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gtxt = q2a.gname;
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end
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if isfield(q2a,'tex_gname')
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gtex = q2a.tex_gname;
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end
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mytype=0;
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end
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if isstruct(aux)
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if ischar(aux.y)
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myopts=options_;
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myopts.shock_decomp.type='qoq';
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myopts.shock_decomp.realtime=0;
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[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux.y);
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aux.y=y_aux;
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aux.yss=steady_state_aux;
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end
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yaux=aux.y;
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end
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if mytype==2,
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gtxt = 'PHI'; % inflation rate
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gtex = '\pi';
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else
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elseif mytype
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gtxt = 'G'; % growth rate
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gtex = 'g';
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end
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@ -76,48 +121,98 @@ for j=1:nvar
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gendo_names = char(gendo_names,[gtxt endo_names(j,:)]);
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gendo_names_tex = char(gendo_names_tex,[gtex '(' deblank(endo_names_tex(j,:)) ')']);
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else
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endo_names = [deblank(M_.endo_names(i_var(j),:)) '_A'];
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endo_names_tex = ['{' deblank(M_.endo_names_tex(i_var(j),:)) '}^A'];
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gendo_names = [gtxt endo_names(j,:)];
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gendo_names_tex = [gtex '(' deblank(endo_names_tex(j,:)) ')'];
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if nvar==1 && ~mytype
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endo_names = mytxt;
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endo_names_tex = mytex;
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gendo_names = gtxt;
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gendo_names_tex = gtex;
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else
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endo_names = [deblank(M_.endo_names(i_var(j),:)) '_A'];
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endo_names_tex = ['{' deblank(M_.endo_names_tex(i_var(j),:)) '}^A'];
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gendo_names = [gtxt endo_names(j,:)];
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gendo_names_tex = [gtex '(' deblank(endo_names_tex(j,:)) ')'];
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end
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end
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for k =1:nterms,
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if isstruct(aux),
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aux.y = squeeze(yaux(j,k,t0:end));
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end
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[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
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quarterly2annual(squeeze(z(j,k,t0:end)),steady_state(j),GYTREND0,var_type,islog);
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quarterly2annual(squeeze(z(j,k,t0:end)),steady_state(j),GYTREND0,var_type,islog,aux);
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end
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ztmp=squeeze(za(j,:,:));
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zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
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ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
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if cumfix==0,
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zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
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ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
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else
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zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
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ztmp(end-1,:) = ztmp(end-1,:) + zres;
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end
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gztmp=squeeze(gza(j,:,:));
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gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
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gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
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if cumfix==0,
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gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
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gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
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else
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gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
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gztmp(end-1,:) = gztmp(end-1,:)+gres;
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end
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za(j,:,:) = ztmp;
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gza(j,:,:) = gztmp;
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end
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z=cat(1,za,gza);
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oo_.annualized_shock_decomposition=z;
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endo_names = char(endo_names,gendo_names);
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endo_names_tex = char(endo_names_tex,gendo_names_tex);
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if q2a.plot ==1,
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z=gza;
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endo_names = gendo_names;
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endo_names_tex = gendo_names_tex;
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elseif q2a.plot == 2
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z=za;
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else
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z=cat(1,za,gza);
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endo_names = char(endo_names,gendo_names);
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endo_names_tex = char(endo_names_tex,gendo_names_tex);
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end
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% if isstruct(oo_)
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% oo_.annualized_shock_decomposition=z;
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% end
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% realtime
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if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition'),
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init=1;
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for i=t0:4:t1,
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for i=t0+4:4:t1,
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yr=floor(i/4);
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za=[];
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gza=[];
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z = oo_.realtime_shock_decomposition.(['time_' int2str(i)]);
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z = z(i_var,:,:);
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myopts=options_;
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myopts.shock_decomp.type='qoq';
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myopts.shock_decomp.realtime=1;
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myopts.shock_decomp.vintage=i;
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[z, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,[]);
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z = z(i_var,:,:);
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if isstruct(aux)
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if ischar(aux0.y)
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[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux0.y);
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aux.y=y_aux;
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aux.yss=steady_state_aux;
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end
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yaux=aux.y;
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end
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nterms = size(z,2);
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% z = oo_.realtime_shock_decomposition.(['time_' int2str(i)]);
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% z = z(i_var,:,:);
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for j=1:nvar
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for k =nterms:-1:1,
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% if k<nterms
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% ztmp = squeeze(sum(z(j,[1:k-1,k+1:end-1],t0-4:end)));
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% else
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ztmp = squeeze(z(j,k,t0-4:end));
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ztmp = squeeze(z(j,k,min(t0:-4:1):end));
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% end
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if isstruct(aux),
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aux.y = squeeze(yaux(j,k,min(t0:-4:1):end));
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end
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[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
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quarterly2annual(ztmp,steady_state(j),GYTREND0,var_type,islog);
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quarterly2annual(ztmp,steady_state(j),GYTREND0,var_type,islog,aux);
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% if k<nterms
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% za(j,k,:) = za(j,end,:) - za(j,k,:);
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% gza(j,k,:) = gza(j,end,:) - gza(j,k,:);
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@ -126,19 +221,36 @@ for i=t0:4:t1,
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end
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ztmp=squeeze(za(j,:,:));
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if cumfix==0,
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zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
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ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
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else
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zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
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ztmp(end-1,:) = ztmp(end-1,:) + zres;
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end
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gztmp=squeeze(gza(j,:,:));
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ztmp=squeeze(za(j,:,:));
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zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
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ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
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gztmp=squeeze(gza(j,:,:));
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gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
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gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
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if cumfix==0,
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gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
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gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
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else
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gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
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gztmp(end-1,:) = gztmp(end-1,:)+gres;
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end
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za(j,:,:) = ztmp;
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gza(j,:,:) = gztmp;
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end
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z=cat(1,za,gza);
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steady_state = [steady_state_a;steady_state_ga];
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if q2a.plot ==1,
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z=gza;
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elseif q2a.plot == 2
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z=za;
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else
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z=cat(1,za,gza);
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end
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if init==1,
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oo_.annualized_realtime_shock_decomposition.pool = z;
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else
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@ -154,6 +266,8 @@ for i=t0:4:t1,
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oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-nfrcst)]);
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end-1,:) = ...
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oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end,:);
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end,:) = ...
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oo_.annualized_realtime_shock_decomposition.pool(:,end,yr-nfrcst:end);
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end
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end
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% ztmp=oo_.realtime_shock_decomposition.pool(:,:,21:29)-oo_.realtime_forecast_shock_decomposition.time_21;
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@ -163,9 +277,6 @@ for i=t0:4:t1,
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init=init+1;
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end
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i_var=1:2*nvar;
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steady_state = [steady_state_a;steady_state_ga];
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switch realtime_
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@ -193,3 +304,17 @@ switch realtime_
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error()
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end
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end
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end
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if q2a.plot ==0,
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i_var=1:2*nvar;
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steady_state = [steady_state_a;steady_state_ga];
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else
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i_var=1:nvar;
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if q2a.plot ==1,
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steady_state = steady_state_ga;
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else
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steady_state = steady_state_a;
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end
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end
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@ -1,4 +1,4 @@
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function plot_shock_decomposition(M_,oo_,options_,varlist)
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function [z, steady_state] = plot_shock_decomposition(M_,oo_,options_,varlist)
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% function plot_shock_decomposition(M_,oo_,options_,varlist)
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% Plots the results of shock_decomposition
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%
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@ -70,6 +70,9 @@ initial_date = options_.initial_date;
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if isfield(options_.shock_decomp,'q2a'), % private trap for aoa calls
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q2a=options_.shock_decomp.q2a;
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if isstruct(q2a) && isempty(fieldnames(q2a)),
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q2a=0;
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end
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else
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q2a=0;
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end
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@ -110,6 +113,60 @@ switch realtime_
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end
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end
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steady_state = oo_.steady_state;
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if isequal(type,'aoa') && isstruct(q2a) && realtime_
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if isempty(initial_date),
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t0=1;
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initial_date = dates('1Y');
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else
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initial_date0 = dates([int2str(initial_date.time(1)) 'Y']);
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if initial_date.time(2)==1,
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t0=1;
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initial_date1=initial_date0;
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else
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t0=(4-initial_date.time(2)+2);
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initial_date1=initial_date0+1;
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end
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end
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t0=min(options_.shock_decomp.save_realtime);
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if ~isfield(q2a,'var_type'), % private trap for aoa calls
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q2a.var_type=1;
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end
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if ~isfield(q2a,'islog'), % private trap for aoa calls
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q2a.islog=0;
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end
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if ~isfield(q2a,'GYTREND0'), % private trap for aoa calls
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q2a.GYTREND0=0;
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end
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if ~isfield(q2a,'aux'), % private trap for aoa calls
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q2a.aux=0;
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end
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if ~isfield(q2a,'cumfix'), % private trap for aoa calls
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q2a.cumfix=1;
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end
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if ~isfield(q2a,'plot'), % private trap for aoa calls
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q2a.plot=1; % growth rate
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end
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% if isstruct(q2a.aux) && ischar(q2a.aux.y)
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% opts=options_;
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% opts.shock_decomp.type='qoq';
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% [y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,opts,q2a.aux.y);
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% q2a.aux.y=y_aux;
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% q2a.aux.yss=steady_state_aux;
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% end
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[za, endo_names, endo_names_tex, steady_state, i_var, oo_] = ...
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annualized_shock_decomposition(oo_,M_, options_, i_var, t0, options_.nobs, realtime_, vintage_, steady_state,q2a);
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% if realtime_<2
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% initial_date = initial_date1;
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% else
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% initial_date = initial_date0;
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% end
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end
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if ~expand
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fig_names = fig_names1;
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end
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@ -156,7 +213,6 @@ end
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if isempty(options_.colormap),
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options_.colormap = MAP;
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end
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steady_state = oo_.steady_state;
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switch type
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@ -181,37 +237,53 @@ switch type
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else
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initial_date0 = dates([int2str(initial_date.time(1)) 'Y']);
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if initial_date.time(2)==1,
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t0=4;
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t0=1;
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initial_date1=initial_date0;
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else
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t0=4+(4-initial_date.time(2)+1);
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t0=(4-initial_date.time(2)+2);
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initial_date1=initial_date0+1;
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end
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end
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if q2a
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var_type=1;
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islog=0;
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GYTREND0 = 0;
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if isfield(options_.shock_decomp,'var_type'), % private trap for aoa calls
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var_type=options_.shock_decomp.var_type;
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if isstruct(q2a)
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if realtime_ == 0
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if ~isfield(q2a,'var_type'), % private trap for aoa calls
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q2a.var_type=1;
|
||||
end
|
||||
if isfield(options_.shock_decomp,'islog'), % private trap for aoa calls
|
||||
islog=options_.shock_decomp.islog;
|
||||
if ~isfield(q2a,'islog'), % private trap for aoa calls
|
||||
q2a.islog=0;
|
||||
end
|
||||
if isfield(options_.shock_decomp,'GYTREND0'), % private trap for aoa calls
|
||||
GYTREND0=options_.shock_decomp.GYTREND0;
|
||||
if ~isfield(q2a,'GYTREND0'), % private trap for aoa calls
|
||||
q2a.GYTREND0=0;
|
||||
end
|
||||
if ~isfield(q2a,'aux'), % private trap for aoa calls
|
||||
q2a.aux=0;
|
||||
end
|
||||
if ~isfield(q2a,'cumfix'), % private trap for aoa calls
|
||||
q2a.cumfix=1;
|
||||
end
|
||||
if ~isfield(q2a,'plot'), % private trap for aoa calls
|
||||
q2a.plot=1; % growth rate
|
||||
end
|
||||
|
||||
|
||||
if isstruct(q2a.aux) && ischar(q2a.aux.y)
|
||||
opts=options_;
|
||||
opts.shock_decomp.type='qoq';
|
||||
[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,opts,q2a.aux.y);
|
||||
q2a.aux.y=y_aux;
|
||||
q2a.aux.yss=steady_state_aux;
|
||||
end
|
||||
[za, endo_names, endo_names_tex, steady_state, i_var, oo_] = ...
|
||||
annualized_shock_decomposition(oo_,M_, options_.shock_decomp, i_var, t0, options_.nobs, realtime_, vintage_, steady_state,GYTREND0,var_type,islog);
|
||||
annualized_shock_decomposition(z,M_, options_, i_var, t0, options_.nobs, realtime_, vintage_, steady_state,q2a);
|
||||
end
|
||||
z = za;
|
||||
M_.endo_names = endo_names;
|
||||
M_.endo_names_tex = endo_names_tex;
|
||||
% endo_nbr = size(z,1);
|
||||
if realtime_<2
|
||||
initial_date = initial_date1;
|
||||
else
|
||||
initial_date = initial_date0;
|
||||
end
|
||||
z = za;
|
||||
M_.endo_names = endo_names;
|
||||
M_.endo_names_tex = endo_names_tex;
|
||||
else
|
||||
t0=4-initial_date.time(2)+1;
|
||||
initial_date = initial_date0;
|
||||
|
|
@ -225,6 +297,13 @@ end
|
|||
if steadystate
|
||||
options_.shock_decomp.steady_state=steady_state;
|
||||
end
|
||||
|
||||
if nargout
|
||||
z=z(i_var,:,:);
|
||||
steady_state = steady_state(i_var);
|
||||
return
|
||||
end
|
||||
|
||||
options_.shock_decomp.fig_names=fig_names;
|
||||
if detail_plot,
|
||||
graph_decomp_detail(z,shock_names,M_.endo_names,i_var,initial_date,M_,options_)
|
||||
|
|
|
|||
Loading…
Reference in New Issue