add utilities for forecast, irf, plot_irf, and their relevant options
Marco Ratto
parent
b1aa88e8da
commit
91a2cd2496
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function [oo_, error_flag] = forecast(options_,M_,oo_,forecast) %,hist_period)
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%function oo_ = forecast(options_,M_,oo_,forecast)
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% forecast
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opts = options_.occbin.forecast;
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options_.occbin.simul.maxit = opts.maxit;
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options_.occbin.simul.check_ahead_periods = opts.check_ahead_periods;
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options_.occbin.simul.periods = forecast;
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SHOCKS0 = opts.SHOCKS0;
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if ~isempty(SHOCKS0)
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if iscell(SHOCKS0)
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for j=1:length(SHOCKS0)
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sname = SHOCKS0{j}{1};
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inds(j)=strmatch(sname,M_.exo_names);
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SHOCKS1(j,:)=SHOCKS0{j}{2};
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end
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elseif isreal(SHOCKS0)
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SHOCKS1=SHOCKS0;
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inds = 1:M_.exo_nbr;
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end
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end
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if opts.replic
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h = dyn_waitbar(0,'Please wait occbin forecast replic ...');
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ishock = find(sqrt(diag((M_.Sigma_e))));
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effective_exo_nbr= length(ishock);
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effective_exo_names = M_.exo_names(ishock);
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effective_Sigma_e = M_.Sigma_e(ishock,ishock);
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[U,S,V] = svd(effective_Sigma_e);
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if opts.qmc
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opts.replic =2^(round(log2(opts.replic+1)))-1;
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SHOCKS_ant = qmc_sequence(forecast*effective_exo_nbr, int64(1), 1, opts.replic)';
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else
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SHOCKS_ant = randn(forecast*effective_exo_nbr,opts.replic)';
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end
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zlin0=zeros(forecast,M_.endo_nbr,opts.replic);
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zpiece0=zeros(forecast,M_.endo_nbr,opts.replic);
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for iter=1:opts.replic
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if ~isempty(SHOCKS0)
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for j=1:length(SHOCKS0)
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SHOCKS(:,inds(j))=SHOCKS1(j,:);
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end
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end
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error_flagx=1;
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% while error_flagx,
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% SHOCKS=transpose(sqrt(diag(diag(effective_Sigma_e)))*(reshape(SHOCKS_ant(iter,:),forecast,effective_exo_nbr))');
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SHOCKS=transpose(U*sqrt(S)*(reshape(SHOCKS_ant(iter,:),forecast,effective_exo_nbr))');
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% SHOCKS=transpose(U*sqrt(S)*randn(forecast,M_.exo_nbr)'); %realized shocks
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options_.occbin.simul.endo_init = M_.endo_histval(:,1)-oo_.steady_state;
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options_.occbin.simul.init_regime = opts.frcst_regimes;
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options_.occbin.simul.init_binding_indicator = [];
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options_.occbin.simul.exo_pos=ishock;
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options_.occbin.simul.SHOCKS = SHOCKS;
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options_.occbin.simul.waitbar=0;
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[~, out] = occbin.solver(M_,oo_,options_);
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zlin0(:,:,iter)=out.linear;
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zpiece0(:,:,iter)=out.piecewise;
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ys=out.ys;
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frcst_regime_history(iter,:)=out.regime_history;
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error_flag(iter)=out.error_flag;
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error_flagx = error_flag(iter);
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% end
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simul_SHOCKS(:,:,iter) = SHOCKS;
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if error_flag(iter) && debug_flag
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% display('no solution')
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% keyboard;
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save no_solution SHOCKS zlin0 zpiece0 iter frcst_regime_history
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end
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dyn_waitbar(iter/opts.replic,h,['OccBin MC forecast replic ',int2str(iter),'/',int2str(opts.replic)])
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end
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dyn_waitbar_close(h);
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save temp zlin0 zpiece0 simul_SHOCKS error_flag
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inx=find(error_flag==0);
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zlin0=zlin0(:,:,inx);
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zpiece0=zpiece0(:,:,inx);
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zlin = mean(zlin0,3);
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zpiece = mean(zpiece0,3);
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zpiecemin = min(zpiece0,[],3);
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zpiecemax = max(zpiece0,[],3);
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zlinmin = min(zlin0,[],3);
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zlinmax = max(zlin0,[],3);
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for i=1:M_.endo_nbr
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for j=1:forecast
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[post_mean(j,1), post_median(j,1), post_var(j,1), hpd_interval(j,:), post_deciles(j,:)] = posterior_moments(squeeze(zlin0(j,i,:)),1,options_.forecasts.conf_sig);
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end
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oo_.occbin.linear_forecast.Mean.(M_.endo_names{i})=post_mean;
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oo_.occbin.linear_forecast.Median.(M_.endo_names{i})=post_median;
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oo_.occbin.linear_forecast.Var.(M_.endo_names{i})=post_var;
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oo_.occbin.linear_forecast.HPDinf.(M_.endo_names{i})=hpd_interval(:,1);
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oo_.occbin.linear_forecast.HPDsup.(M_.endo_names{i})=hpd_interval(:,2);
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oo_.occbin.linear_forecast.Deciles.(M_.endo_names{i})=post_deciles;
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oo_.occbin.linear_forecast.Min.(M_.endo_names{i})=zlinmin(:,i);
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oo_.occbin.linear_forecast.Max.(M_.endo_names{i})=zlinmax(:,i);
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for j=1:forecast
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[post_mean(j,1), post_median(j,1), post_var(j,1), hpd_interval(j,:), post_deciles(j,:)] = posterior_moments(squeeze(zpiece0(j,i,:)),1,options_.forecasts.conf_sig);
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end
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oo_.occbin.forecast.Mean.(M_.endo_names{i})=post_mean;
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oo_.occbin.forecast.Median.(M_.endo_names{i})=post_median;
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oo_.occbin.forecast.Var.(M_.endo_names{i})=post_var;
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oo_.occbin.forecast.HPDinf.(M_.endo_names{i})=hpd_interval(:,1);
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oo_.occbin.forecast.HPDsup.(M_.endo_names{i})=hpd_interval(:,2);
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oo_.occbin.forecast.Deciles.(M_.endo_names{i})=post_deciles;
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oo_.occbin.forecast.Min.(M_.endo_names{i})=zpiecemin(:,i);
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oo_.occbin.forecast.Max.(M_.endo_names{i})=zpiecemax(:,i);
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% eval([M_.endo_names{i},'_ss=zdatass(i);']);
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end
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else
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SHOCKS = zeros(forecast,M_.exo_nbr);
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if ~isempty(SHOCKS0)
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for j=1:length(SHOCKS0)
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SHOCKS(:,inds(j))=SHOCKS1(j,:);
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end
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end
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options_.occbin.simul.endo_init = M_.endo_histval(:,1)-oo_.steady_state;
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options_.occbin.simul.init_regime = opts.frcst_regimes;
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options_.occbin.simul.init_violvecbool = [];
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options_.occbin.simul.irfshock = M_.exo_names;
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options_.occbin.simul.SHOCKS = SHOCKS;
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[~, out] = occbin.solver(M_,oo_,options_);
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zlin=out.linear;
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zpiece=out.piecewise;
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frcst_regime_history=out.regime_history;
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error_flag=out.error_flag;
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for i=1:M_.endo_nbr
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oo_.occbin.linear_forecast.Mean.(M_.endo_names{i})= zlin(:,i);
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oo_.occbin.forecast.Mean.(M_.endo_names{i})= zpiece(:,i);
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oo_.occbin.forecast.HPDinf.(M_.endo_names{i})= nan;
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oo_.occbin.forecast.HPDsup.(M_.endo_names{i})= nan;
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end
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end
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oo_.occbin.forecast.regimes=frcst_regime_history;
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@ -0,0 +1,140 @@
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function [oo_] = irf(M_,oo_,options_)
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shocknames = options_.occbin.irf.exo_names;
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shocksigns = options_.occbin.irf.shocksigns;
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shocksize = options_.occbin.irf.shocksize;
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t0 = options_.occbin.irf.t0;
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options_.occbin.simul.init_regime = options_.occbin.irf.init_regime;
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options_.occbin.simul.check_ahead_periods = options_.occbin.irf.check_ahead_periods;
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options_.occbin.simul.maxit = options_.occbin.irf.maxit;
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options_.occbin.simul.periods = options_.irf;
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% Run inital conditions + other shocks
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if t0 == 0
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shocks0= zeros(options_.occbin.simul.periods+1,M_.exo_nbr);
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options_.occbin.simul.endo_init = [];
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else
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% girf conditional to smoothed states in t0 and shocks in t0+1
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shocks0= [oo_.occbin.smoother.etahat(:,t0+1)'; zeros(options_.occbin.simul.periods,M_.exo_nbr)];
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options_.occbin.simul.SHOCKS=shocks0;
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options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0);
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end
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options_.occbin.simul.SHOCKS=shocks0;
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[~, out0] = occbin.solver(M_,oo_,options_);
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zlin0 = out0.linear;
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zpiece0 = out0.piecewise;
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% Select shocks of interest
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jexo_all =zeros(size(shocknames,1),1);
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for i=1:length(shocknames)
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jexo_all(i) = strmatch(shocknames{i},M_.exo_names,'exact');
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end
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oo_.occbin.linear_irfs = struct();
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oo_.occbin.irfs = struct();
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% Set shock size
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if isempty(shocksize)
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% if isfield(oo_.posterior_mode.shocks_std,M_.exo_names{jexo})
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shocksize = sqrt(diag(M_.Sigma_e(jexo_all,jexo_all))); %oo_.posterior_mode.shocks_std.(M_.exo_names{jexo});
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if any(shocksize < 1.e-9)
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shocksize(shocksize < 1.e-9) = 0.01;
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end
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end
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if numel(shocksize)==1
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shocksize=repmat(shocksize,[length(shocknames),1]);
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end
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% Run IRFs
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for counter = 1:length(jexo_all)
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jexo = jexo_all(counter);
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if ~options_.noprint
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fprintf('Producing GIRFs for shock %s. Simulation %d out of %d. \n',M_.exo_names{jexo},counter,size(jexo_all,1));
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end
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if ismember('pos',shocksigns)
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% (+) shock
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shocks1=shocks0;
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shocks1(1,jexo)=shocks0(1,jexo)+shocksize(counter);
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if t0 == 0
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options_.occbin.simul.SHOCKS=shocks1;
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options_.occbin.simul.endo_init = [];
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[~, out_pos] = occbin.solver(M_,oo_,options_);
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else
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options_.occbin.simul.SHOCKS=shocks1;
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options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0);
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[~, out_pos] = occbin.solver(M_,oo_,options_);
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end
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if out_pos.error_flag
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warning('Occbin error.')
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return
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end
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zlin_pos = out_pos.linear;
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zpiece_pos = out_pos.piecewise;
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% Substract inital conditions + other shocks
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zlin_pos_diff = zlin_pos-zlin0;
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zpiece_pos_diff = zpiece_pos-zpiece0;
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end
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if ismember('neg',shocksigns)
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% (-) shock
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shocks_1=shocks0;
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shocks_1(1,jexo)=shocks0(1,jexo)-shocksize(counter);
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if t0 == 0
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options_.occbin.simul.SHOCKS=shocks_1;
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options_.occbin.simul.endo_init = [];
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[~, out_neg] = occbin.solver(M_,oo_,options_);
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else
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options_.occbin.simul.SHOCKS=shocks_1;
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options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0);
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[~, out_neg] = occbin.solver(M_,oo_,options_);
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end
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if out_neg.error_flag
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warning('Occbin error.')
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return
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end
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zlin_neg = out_neg.linear;
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zpiece_neg = out_neg.piecewise;
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zlin_neg_diff = zlin_neg-zlin0;
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zpiece_neg_diff = zpiece_neg-zpiece0;
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end
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% Save
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if ~isfield(oo_.occbin,'linear_irfs')
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oo_.occbin.linear_irfs = struct();
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end
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if ~isfield(oo_.occbin,'irfs')
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oo_.occbin.irfs = struct();
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end
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for jendo=1:M_.endo_nbr
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% oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zpiece_pos (:,jendo);
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% oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zpiece_neg (:,jendo);
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% oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zlin_pos (:,jendo);
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% oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zlin_neg(:,jendo);
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if ismember('pos',shocksigns)
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oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_pos']) = zpiece_pos_diff (:,jendo);
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oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_pos']) = zlin_pos_diff (:,jendo);
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end
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if ismember('neg',shocksigns)
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oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_neg']) = zpiece_neg_diff (:,jendo);
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oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_neg']) = zlin_neg_diff (:,jendo);
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end
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% %
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% oo_.occbin.irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zpiece0(:,jendo);
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% oo_.occbin.linear_irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zlin0(:,jendo);
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% oo_.occbin.irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zpiece0(:,jendo);
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% oo_.occbin.linear_irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zlin0(:,jendo);
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end
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end
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end
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@ -0,0 +1,141 @@
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function plot_irfs(M_,oo_,options_,irf3,irf4)
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shocknames = options_.occbin.plot_irf.exo_names;
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simulname = options_.occbin.plot_irf.simulname;
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if isempty(simulname)
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simulname_ = simulname;
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else
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simulname_ = [ simulname '_' ];
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end
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vars_irf = options_.occbin.plot_irf.endo_names;
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endo_names_long = options_.occbin.plot_irf.endo_names_long;
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endo_scaling_factor = options_.occbin.plot_irf.endo_scaling_factor;
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length_irf = options_.occbin.plot_irf.tplot;
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if isempty(length_irf)
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length_irf = options_.irf;
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end
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irflocation_lin = oo_.occbin.linear_irfs;
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irflocation_piece = oo_.occbin.irfs;
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steps_irf = 1;
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warning('off','all')
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DirectoryName = CheckPath('graphs',M_.dname);
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iexo=[];
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for i=1:size(shocknames,1)
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itemp = strmatch(shocknames{i},M_.exo_names,'exact');
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if isempty(itemp)
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error(['Shock ',shocknames{i},' is not defined!'])
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else
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iexo=[iexo, itemp];
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end
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end
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ncols = options_.occbin.plot_irf.ncols;
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nrows = options_.occbin.plot_irf.nrows;
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npan = ncols*nrows;
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plot_grid = options_.occbin.plot_irf.grid;
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shocksigns = options_.occbin.plot_irf.shocksigns;
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threshold = options_.occbin.plot_irf.threshold;
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% Add steady_state
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if options_.occbin.plot_irf.add_steadystate
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add_stst = options_.occbin.plot_irf.add_steadystate;
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else
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add_stst = 0;
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end
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for sss = 1:numel(shocksigns)
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shocksign = shocksigns{sss};
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for j=1:size(shocknames,1)
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%shocknames = M_.exo_names{j};
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j1 = 0;
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isub = 0;
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ifig = 0;
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% Variables
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% ----------------------
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for i = 1:length(vars_irf)
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j1=j1+1;
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if mod(j1,npan)==1
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% 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, .
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hfig = dyn_figure(options_.nodisplay,'name',['OccbinIRFs ' shocknames{j} ' ' simulname],'PaperPositionMode', 'auto','PaperType','A4','PaperOrientation','portrait','renderermode','auto','position',[10 10 950 650]);
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ifig=ifig+1;
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isub=0;
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end
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isub=isub+1;
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if isempty(endo_scaling_factor)
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exofactor = 1;
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else
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exofactor = endo_scaling_factor{i};
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end
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subplot(nrows,ncols,isub)
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irf_field = strcat(vars_irf{i,1},'_',shocknames{j},'_',shocksign);
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irfvalues = irflocation_lin.(irf_field);
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if add_stst
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irfvalues = irfvalues + get_mean(vars_irf{i,1});
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end
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irfvalues(abs(irfvalues) <threshold) = 0;
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plot(irfvalues(1:steps_irf:length_irf)*exofactor,'linewidth',2);
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hold on
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irfvalues = irflocation_piece.(irf_field);
|
||||
if add_stst
|
||||
irfvalues = irfvalues + get_mean(vars_irf{i,1});
|
||||
end
|
||||
irfvalues(abs(irfvalues) <threshold) = 0;
|
||||
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'r--','linewidth',2);
|
||||
|
||||
hold on
|
||||
plot(irfvalues(1:steps_irf:length_irf)*0,'k-','linewidth',1.5);
|
||||
% Optional additional IRFs
|
||||
if nargin > 10
|
||||
irfvalues = irf3.(irf_field) ;
|
||||
irfvalues(abs(irfvalues) <threshold) = 0;
|
||||
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'k:','linewidth',2);
|
||||
end
|
||||
if nargin > 11
|
||||
irfvalues = irf4.(irf_field) ;
|
||||
irfvalues(abs(irfvalues) <threshold) = 0;
|
||||
plot(irfvalues(1:steps_irf:length_irf)*exofactor,'g-.','linewidth',2);
|
||||
end
|
||||
|
||||
|
||||
if plot_grid
|
||||
grid on
|
||||
end
|
||||
|
||||
xlim([1 (length_irf/steps_irf)]);
|
||||
|
||||
% title
|
||||
if isempty(endo_names_long)
|
||||
title(regexprep(vars_irf{i},'_',' '))
|
||||
else
|
||||
title(endo_names_long{i})
|
||||
end
|
||||
|
||||
% Annotation Box + save figure
|
||||
% ----------------------
|
||||
if mod(j1,npan)==0 || (mod(j1,npan)~=0 && i==length(vars_irf))
|
||||
annotation('textbox', [0.1,0,0.35,0.05],'String', 'Linear','Color','Blue','horizontalalignment','center','interpreter','none');
|
||||
annotation('textbox', [0.55,0,0.35,0.05],'String', 'Piecewise','Color','Red','horizontalalignment','center','interpreter','none');
|
||||
dyn_saveas(hfig,[DirectoryName,filesep,M_.fname,'_irf_occbin_',simulname_,shocknames{j},'_',shocksign,'_',int2str(ifig)],options_.nodisplay,options_.graph_format);
|
||||
end
|
||||
end
|
||||
end
|
||||
end
|
||||
|
||||
warning('on','all')
|
||||
end
|
||||
|
|
@ -46,23 +46,26 @@ if ismember(flag,{'filter','all'})
|
|||
end
|
||||
|
||||
if ismember(flag,{'forecast','all'})
|
||||
options_occbin_.forecast.check_ahead_periods=30;
|
||||
options_occbin_.forecast.debug_flag=false;
|
||||
options_occbin_.forecast.frcst_regimes=[];
|
||||
options_occbin_.forecast.maxit=30;
|
||||
options_occbin_.forecast.periods=30;
|
||||
options_occbin_.forecast.qmc=0;
|
||||
options_occbin_.forecast.replic=0;
|
||||
options_occbin_.forecast.sepath=0;
|
||||
options_occbin_.forecast.SHOCKS0=[];
|
||||
options_occbin_.forecast.treepath=1; % number of branches
|
||||
end
|
||||
|
||||
if ismember(flag,{'irf','all'})
|
||||
if ismember(flag,{'irf','all'})
|
||||
options_occbin_.irf.check_ahead_periods=30;
|
||||
options_occbin_.irf.exo_names=M_.exo_names;
|
||||
options_occbin_.irf.init_regime=[];
|
||||
options_occbin_.irf.maxit=30;
|
||||
options_occbin_.irf.threshold = 10^-6;
|
||||
% options_occbin_.irf.periods=options_.irf;
|
||||
options_occbin_.irf.shocksize=[];
|
||||
options_occbin_.irf.shocksigns = {'1','_1'};
|
||||
options_occbin_.irf.shocksigns = {'pos','neg'};
|
||||
options_occbin_.irf.t0=0;
|
||||
end
|
||||
|
||||
if ismember(flag,{'likelihood','all'})
|
||||
|
|
@ -87,6 +90,21 @@ if ismember(flag,{'likelihood','all'})
|
|||
options_occbin_.likelihood.waitbar=false;
|
||||
end
|
||||
|
||||
if ismember(flag,{'plot_irf','all'})
|
||||
options_occbin_.plot_irf.add_steadystate = 0;
|
||||
options_occbin_.plot_irf.exo_names = [];
|
||||
options_occbin_.plot_irf.endo_names = M_.endo_names;
|
||||
options_occbin_.plot_irf.endo_names_long = [];
|
||||
options_occbin_.plot_irf.endo_scaling_factor = [];
|
||||
options_occbin_.plot_irf.grid = true;
|
||||
options_occbin_.plot_irf.ncols = 3;
|
||||
options_occbin_.plot_irf.nrows = 3;
|
||||
options_occbin_.plot_irf.shocksigns = {'pos','neg'};
|
||||
options_occbin_.plot_irf.simulname='';
|
||||
options_occbin_.plot_irf.threshold = 10^-6;
|
||||
options_occbin_.plot_irf.tplot = [];
|
||||
end
|
||||
|
||||
if ismember(flag,{'plot_shock_decomp','all'})
|
||||
options_occbin_.plot_shock_decomp.add_steadystate = false;
|
||||
options_occbin_.plot_shock_decomp.add_zero_line = false;
|
||||
|
|
|
|||
Loading…
Reference in New Issue