stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge branch 'init2shocks' into 'master' 

Init2shocks

See merge request Dynare/dynare!1681
time-shift
Sébastien Villemot 2019-12-12 17:09:32 +00:00
parent 9036fae16f 2edf6d05a3
commit d23be63fba
8 changed files with 119 additions and 61 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

1
matlab/expand_group.m
View File

@ -51,6 +51,7 @@ for j=1:length(shocks)
M.shock_groups.(options.plot_shock_decomp.use_shock_groups).(['group' int2str(j)]).label=shocks{j};
M.shock_groups.(options.plot_shock_decomp.use_shock_groups).(['group' int2str(j)]).shocks=shocks(j);
end
M.exo_names = mydata.exo_names;
options.plot_shock_decomp.interactive=0;
options.plot_shock_decomp.expand=1;

29
matlab/graph_decomp.m
View File

@ -51,25 +51,6 @@ if ~isempty(opts_decomp.type)
fig_mode = [fig_mode '_'];
end
if isfield(opts_decomp,'flip')
flip_decomp = opts_decomp.flip ;
else
flip_decomp = 0;
end
if flip_decomp
fig_mode1 = [fig_mode1 '_flip'];
fig_mode = [fig_mode 'flip_'];
end
if isfield(opts_decomp,'diff')
differentiate_decomp = opts_decomp.diff ;
else
differentiate_decomp = 0;
end
if differentiate_decomp
fig_mode1 = [fig_mode1 '_diff'];
fig_mode = [fig_mode 'diff_'];
end
if isfield(opts_decomp,'init_cond_decomp')
init_cond_decomp = opts_decomp.init_cond_decomp ;
else
@ -232,8 +213,9 @@ for j=1:nvar
mydata.first_obs = DynareOptions.first_obs;
mydata.nobs = DynareOptions.nobs;
mydata.plot_shock_decomp.zfull = DynareOptions.plot_shock_decomp.zfull(i_var(j),:,:);
mydata.endo_names = endo_names{i_var(j)};
mydata.endo_names_tex = DynareModel.endo_names_tex{i_var(j)};
mydata.endo_names = endo_names(i_var(j));
mydata.endo_names_tex = DynareModel.endo_names_tex(i_var(j));
mydata.exo_names = DynareModel.exo_names;
if ~isempty(mydata.shock_group.shocks)
c = uicontextmenu;
hl.UIContextMenu=c;
@ -266,8 +248,9 @@ for j=1:nvar
fprintf(fidTeX,' \n');
end
else
dyn_saveas(fhandle,[DynareOptions.plot_shock_decomp.filepath, filesep, DynareModel.fname,preamble_figname,endo_names{i_var(j)},fig_mode1,fig_name],DynareOptions.plot_shock_decomp.nodisplay,DynareOptions.plot_shock_decomp.graph_format);
if ~isempty(DynareOptions.plot_shock_decomp.filepath)
dyn_saveas(fhandle,[DynareOptions.plot_shock_decomp.filepath, filesep, DynareModel.fname,preamble_figname,endo_names{i_var(j)},fig_mode1,fig_name],DynareOptions.plot_shock_decomp.nodisplay,DynareOptions.plot_shock_decomp.graph_format);
end
end
end

28
matlab/graph_decomp_detail.m
View File

@ -53,25 +53,7 @@ if ~isempty(opts_decomp.type)
fig_mode1 = ['_' fig_mode];
fig_mode = [fig_mode '_'];
end
if isfield(opts_decomp,'flip')
flip_decomp = opts_decomp.flip ;
else
flip_decomp = 0;
end
if flip_decomp
fig_mode1 = [fig_mode1 '_flip'];
fig_mode = [fig_mode 'flip_'];
end
if isfield(opts_decomp,'diff')
differentiate_decomp = opts_decomp.diff ;
else
differentiate_decomp = 0;
end
if differentiate_decomp
fig_mode1 = [fig_mode1 '_diff'];
fig_mode = [fig_mode 'diff_'];
end
if isfield(opts_decomp,'init_cond_decomp')
init_cond_decomp = opts_decomp.init_cond_decomp ;
else
@ -232,8 +214,9 @@ for j=1:nvar
mydata.first_obs = DynareOptions.first_obs;
mydata.nobs = DynareOptions.nobs;
mydata.plot_shock_decomp.zfull = DynareOptions.plot_shock_decomp.zfull(i_var(j),:,:);
mydata.endo_names = endo_names{i_var(j)};
mydata.endo_names_tex = DynareModel.endo_names_tex{i_var(j)};
mydata.endo_names = endo_names(i_var(j));
mydata.endo_names_tex = DynareModel.endo_names_tex(i_var(j));
mydata.exo_names = DynareModel.exo_names;
if ~isempty(mydata.shock_group.shocks)
c = uicontextmenu;
hax.UIContextMenu=c;
@ -289,8 +272,9 @@ for j=1:nvar
fprintf(fidTeX,' \n');
end
else
dyn_saveas(fhandle,[DynareOptions.plot_shock_decomp.filepath, filesep, DynareModel.fname,preamble_figname,endo_names{i_var(j)},fig_mode1,fig_name suffix],DynareOptions.plot_shock_decomp.nodisplay,DynareOptions.plot_shock_decomp.graph_format);
if ~isempty(DynareOptions.plot_shock_decomp.filepath)
dyn_saveas(fhandle,[DynareOptions.plot_shock_decomp.filepath, filesep, DynareModel.fname,preamble_figname,endo_names{i_var(j)},fig_mode1,fig_name suffix],DynareOptions.plot_shock_decomp.nodisplay,DynareOptions.plot_shock_decomp.graph_format);
end
end
end
end

17
matlab/initial_condition_decomposition.m
View File

@ -43,6 +43,7 @@ options_.plot_shock_decomp.nodisplay = options_.initial_condition_decomp.nodispl
options_.plot_shock_decomp.graph_format = options_.initial_condition_decomp.graph_format;
options_.plot_shock_decomp.fig_name = options_.initial_condition_decomp.fig_name;
options_.plot_shock_decomp.detail_plot = options_.initial_condition_decomp.detail_plot;
options_.plot_shock_decomp.init2shocks = options_.initial_condition_decomp.init2shocks;
options_.plot_shock_decomp.steadystate = options_.initial_condition_decomp.steadystate;
options_.plot_shock_decomp.write_xls = options_.initial_condition_decomp.write_xls;
options_.plot_shock_decomp.type = options_.initial_condition_decomp.type;
@ -51,6 +52,11 @@ options_.plot_shock_decomp.plot_end_date = options_.initial_condition_decomp.plo
options_.plot_shock_decomp.diff = options_.initial_condition_decomp.diff;
options_.plot_shock_decomp.flip = options_.initial_condition_decomp.flip;
if isfield(options_.initial_condition_decomp,'init2shocks') % private trap for uimenu calls
init2shocks=options_.initial_condition_decomp.init2shocks;
else
init2shocks=[];
end
% indices of endogenous variables
if isempty(varlist)
varlist = M_.endo_names(1:M_.orig_endo_nbr);
@ -129,6 +135,15 @@ end
% if ~options_.no_graph.shock_decomposition
oo=oo_;
oo.shock_decomposition = oo_.initval_decomposition;
if ~isempty(init2shocks)
init2shocks = M_.init2shocks.(init2shocks);
n=size(init2shocks,1);
for i=1:n
j=strmatch(init2shocks{i}{1},M_.endo_names,'exact');
oo.shock_decomposition(:,end-1,:)=oo.shock_decomposition(:,j,:)+oo.shock_decomposition(:,end-1,:);
oo.shock_decomposition(:,j,:)=0;
end
end
M_.exo_names = M_.endo_names;
M_.exo_nbr = M_.endo_nbr;
options_.plot_shock_decomp.realtime=0;
@ -137,4 +152,4 @@ options_.plot_shock_decomp.use_shock_groups = '';
options_.plot_shock_decomp.init_cond_decomp = 1; % private flag to plotting utilities
plot_shock_decomposition(M_,oo,options_,varlist);
% end
% end

60
matlab/plot_shock_decomposition.m
View File

@ -36,6 +36,16 @@ if isempty(varlist)
varlist = M_.endo_names(1:M_.orig_endo_nbr);
end
if isfield(options_.plot_shock_decomp,'init2shocks') % private trap for uimenu calls
init2shocks=options_.plot_shock_decomp.init2shocks;
else
init2shocks=[];
end
if ~isempty(init2shocks)
init2shocks=M_.init2shocks.(init2shocks);
end
[i_var, ~, index_uniques] = varlist_indices(varlist, M_.endo_names);
varlist = varlist(index_uniques);
@ -151,6 +161,24 @@ switch realtime_
end
end
if ~isempty(init2shocks) && ~expand
n=size(init2shocks,1);
M_.exo_names_init=M_.exo_names;
for i=1:n
j=strmatch(init2shocks{i}{1},M_.endo_names,'exact');
if ~isempty(init2shocks{i}{2})
jj=strmatch(init2shocks{i}{2},M_.exo_names,'exact');
M_.exo_names_init{jj}=[M_.exo_names_init{jj} ' + ' M_.endo_names{j}];
z(:,jj,:)= z(:,jj,:) + oo_.initval_decomposition (:,j,:);
else
z(:,end,:)= z(:,end,:) - oo_.initval_decomposition (:,j,:);
end
z(:,end-1,:)= z(:,end-1,:) - oo_.initval_decomposition (:,j,:);
end
end
if isfield(oo_.dr,'ys')
steady_state = oo_.dr.ys;
else
@ -208,6 +236,7 @@ end
if ~expand
fig_name = fig_name1;
end
if options_.plot_shock_decomp.use_shock_groups
fig_name=[fig_name ' group ' options_.plot_shock_decomp.use_shock_groups];
if expand
@ -228,10 +257,28 @@ if options_.plot_shock_decomp.use_shock_groups
zfull = z;
[z, shock_names, M_] = make_the_groups(z,gend,endo_nbr,nshocks,M_,options_);
end
if ~isempty(init2shocks) && ~expand
M_.exo_names=M_.exo_names_init;
end
else
if ~isempty(init2shocks) && ~expand
M_.exo_names=M_.exo_names_init;
end
shock_names = M_.exo_names;
end
if ~expand
if flip_decomp
fig_name=[fig_name ' flip'];
end
if differentiate_decomp
fig_name=[fig_name ' diff'];
end
if ~isempty(init2shocks)
fig_name=[fig_name ' init2shocks'];
end
end
func = @(x) colorspace('RGB->Lab',x);
MAP = distinguishable_colors(size(z,2)-1,'w',func);
% MAP = [MAP; MAP(end,:)];
@ -390,6 +437,7 @@ options_.plot_shock_decomp.orig_varlist = varlist;
if options_.plot_shock_decomp.interactive && ~isempty(options_.plot_shock_decomp.use_shock_groups)
options_.plot_shock_decomp.zfull = zfull;
end
if detail_plot
graph_decomp_detail(z, shock_names, M_.endo_names, i_var, my_initial_date, M_, options_)
else
@ -408,18 +456,30 @@ shock_groups = M_.shock_groups.(options_.plot_shock_decomp.use_shock_groups);
shock_ind = fieldnames(shock_groups);
ngroups = length(shock_ind);
shock_names = shock_ind;
shock_varexo = shock_ind;
for i=1:ngroups
shock_names{i} = (shock_groups.(shock_ind{i}).label);
if isfield(M_,'exo_names_init')
shock_varexo{i} = (shock_groups.(shock_ind{i}).shocks);
end
end
zz = zeros(endo_nbr,ngroups+2,gend);
kcum=[];
for i=1:ngroups
indx=0;
for j = shock_groups.(shock_ind{i}).shocks
k = find(strcmp(j,cellstr(M_.exo_names)));
if isfield(M_,'exo_names_init')
indx=indx+1;
shock_varexo{i}{indx} = M_.exo_names_init{k};
end
zz(:,i,:) = zz(:,i,:) + z(:,k,:);
z(:,k,:) = 0;
kcum = [kcum k];
end
if isfield(M_,'exo_names_init')
shock_groups.(shock_ind{i}).shocks = shock_varexo{i};
end
end
zothers = sum(z(:,1:nshocks,:),2);
shock_groups.(['group' int2str(ngroups+1)]).label = 'Others';

1
matlab/set_default_initial_condition_decomposition_options.m
View File

@ -33,6 +33,7 @@ options.initial_condition_decomp.nodisplay = false;
options.initial_condition_decomp.graph_format = 'eps';
options.initial_condition_decomp.fig_name = '';
options.initial_condition_decomp.detail_plot = false;
options.initial_condition_decomp.init2shocks = [];
options.initial_condition_decomp.steadystate = false;
options.initial_condition_decomp.write_xls = false;
options.initial_condition_decomp.type = '';

1
matlab/set_default_plot_shock_decomposition_options.m
View File

@ -33,6 +33,7 @@ options.plot_shock_decomp.colormap = '';
options.plot_shock_decomp.nodisplay = false;
options.plot_shock_decomp.graph_format = 'eps';
options.plot_shock_decomp.detail_plot = false;
options.plot_shock_decomp.init2shocks = [];
options.plot_shock_decomp.interactive = false;
options.plot_shock_decomp.screen_shocks = false;
options.plot_shock_decomp.steadystate = false;

43
tests/shock_decomposition/ls2003_plot.mod
View File

@ -76,46 +76,59 @@ supply = e_A ;
'RoW shocks' = e_q e_ys e_pies ;
monetary = e_R ;
end;
init2shocks;
dq e_q;
A e_A;
end;
options_.initial_date=dates('1989Q4'); % date arbitrarily set for testing purposes
shock_decomposition(use_shock_groups=trade) y_obs R_obs pie_obs dq de;
// various tests for plot_shock_decompositions
// standard plot [using trade group defined before]
plot_shock_decomposition;
// standard plot
plot_shock_decomposition y_obs R_obs pie_obs dq de;
// test datailed, custom name and yoy plots
plot_shock_decomposition(detail_plot, fig_name = MR, type = yoy);
plot_shock_decomposition(detail_plot, fig_name = MR, type = yoy) y_obs R_obs pie_obs dq de;
// testing init2shocks
initial_condition_decomposition(detail_plot, type=aoa, steadystate, write_xls, plot_init_date=1991Q1, plot_end_date=1995Q4, graph_format=fig) R_obs;
plot_shock_decomposition(init2shocks) y_obs R_obs pie_obs dq de;
plot_shock_decomposition(init2shocks,use_shock_groups=trade) y_obs R_obs pie_obs dq de;
// testing flip and diff
plot_shock_decomposition(diff, use_shock_groups=trade) y_obs;
plot_shock_decomposition(flip, use_shock_groups=trade) de;
close all,
// testing realtime decomposition
// first compute realtime decompositions [pre-processor not yet available]
realtime_shock_decomposition(forecast=8, save_realtime=[5 9 13 17 21 25 29 33 37 41 45 49 53 57 61 65 69 73 77]);
realtime_shock_decomposition(forecast=8, save_realtime=[5 9 13 17 21 25 29 33 37 41 45 49 53 57 61 65 69 73 77]) y_obs R_obs pie_obs dq de;
//realtime pooled
plot_shock_decomposition(realtime = 1);
plot_shock_decomposition(realtime = 1) y_obs R_obs pie_obs dq de;
//conditional pooled
plot_shock_decomposition(realtime = 2);
plot_shock_decomposition(realtime = 2) y_obs R_obs pie_obs dq de;
// conditional 8-step ahead decomposition, given 1989q4
plot_shock_decomposition(detail_plot, realtime = 2, vintage = 29);
plot_shock_decomposition(detail_plot, realtime = 2, vintage = 29) y_obs R_obs pie_obs dq de;
close all,
//forecast pooled
plot_shock_decomposition(realtime = 3);
plot_shock_decomposition(realtime = 3) y_obs R_obs pie_obs dq de;
// forecast 8-step ahead decomposition, given 1989q4
plot_shock_decomposition(detail_plot, realtime = 3, vintage = 29);
plot_shock_decomposition(detail_plot, realtime = 3, vintage = 29) y_obs R_obs pie_obs dq de;
close all,
// now I test annualized variables
options_.plot_shock_decomp.q2a=1;
options_.plot_shock_decomp.islog=1;
// options_.plot_shock_decomp.q2a=1;
// options_.plot_shock_decomp.islog=1;
plot_shock_decomposition(detail_plot, type = aoa) y;
plot_shock_decomposition(realtime = 1) y;
@ -126,14 +139,14 @@ plot_shock_decomposition(realtime = 3, vintage = 29) y;
close all
//test uimenu for groups
plot_shock_decomposition(detail_plot, interactive, use_shock_groups = row, type = qoq);
plot_shock_decomposition(detail_plot, interactive, realtime = 3, vintage = 29);
plot_shock_decomposition(detail_plot, interactive, use_shock_groups = row, type = qoq, plot_init_date=2004Q1) y_obs R_obs pie_obs dq de;
plot_shock_decomposition(detail_plot, interactive, realtime = 3, vintage = 29) y_obs R_obs pie_obs dq de;
close all,
// testing realtime decomposition with fast_realtime option
realtime_shock_decomposition(fast_realtime=75);
realtime_shock_decomposition(fast_realtime=75) y_obs R_obs pie_obs dq de;
collect_latex_files;
if system(['pdflatex -halt-on-error -interaction=batchmode ' M_.fname '_TeX_binder.tex'])