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Realtime conditional forecast is better computed as residual from the realtime shock decomposition and the model unconditional forecast

time-shift
Marco Ratto 2017-01-30 11:03:11 +01:00 committed by Stéphane Adjemian (Charybdis)
parent a7ae355e8f
commit bb4ecbf5a8
1 changed files with 12 additions and 28 deletions
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40
matlab/realtime_shock_decomposition.m
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@ -205,34 +205,7 @@ for j=presample+1:nobs,
oo_.conditional_shock_decomposition.(['time_' int2str(j-forecast_)])=zn;
end
%%
%% realtime conditional shock decomp k step ahead
if forecast_ && presample<j,
for ind_forecast_=0:min(forecast_,j-presample)
zn = zeros(endo_nbr,nshocks+2,ind_forecast_+1);
zn(:,end,1:ind_forecast_+1) = Smoothed_Variables_deviation_from_mean(:,gend-ind_forecast_:gend);
for i=1:ind_forecast_+1,
if i > 1 && i <= maximum_lag+1
lags = min(i-1,maximum_lag):-1:1;
end
if i > 1
tempx = permute(zn(:,1:nshocks,lags),[1 3 2]);
m = min(i-1,maximum_lag);
tempx = [reshape(tempx,endo_nbr*m,nshocks); zeros(endo_nbr*(maximum_lag-i+1-1),nshocks)];
zn(:,1:nshocks,i) = A(inv_order_var,:)*tempx(i_state,:);
lags = lags+1;
zn(:,1:nshocks,i) = zn(:,1:nshocks,i) + B(inv_order_var,:).*repmat(epsilon(:,i+gend-ind_forecast_-1)',endo_nbr,1);
end
% zn(:,1:nshocks,i) = zn(:,1:nshocks,i) + B(inv_order_var,:).*repmat(epsilon(:,i+gend-forecast_-1)',endo_nbr,1);
zn(:,nshocks+1,i) = zn(:,nshocks+2,i) - sum(zn(:,1:nshocks,i),2);
end
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-ind_forecast_)])(:,:,1+ind_forecast_)=zn(:,:,end);
end
end
%%
if init,
zreal(:,:,1:j) = z(:,:,1:j);
else
@ -242,10 +215,21 @@ for j=presample+1:nobs,
if ismember(j,save_realtime)
oo_.realtime_shock_decomposition.(['time_' int2str(j)])=z;
end
if forecast_
zfrcst(:,:,j+1) = z(:,:,gend+1);
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j)])=z(:,:,gend:end);
if j>forecast_+presample
%% realtime conditional shock decomp k step ahead
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)]) = ...
zreal(:,:,j-forecast_:j) - ...
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j-forecast_)]);
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end-1,:) = ...
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end,:);
end
end
prctdone=j/nobs;
if isoctave
printf([running_text,' %3.f%% done\r'], prctdone*100);