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Merge branch 'master' into 'master' 

utilities + plot shock decompositions + init condition decompositions

See merge request Dynare/dynare!1655
time-shift
Sébastien Villemot 2019-12-17 18:21:31 +00:00
parent d7f9f83a0f 9f721c5763
commit e2f91abcaf
17 changed files with 547 additions and 77 deletions
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47
matlab/+get/irf.m Executable file
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@ -0,0 +1,47 @@
function y0 = get_irf(exo,varargin)
% function x = get_irf(exoname, vname1, vname2, ...)
% returns IRF to individual exogenous for a list of variables and adds the
% steady state
%
% INPUTS:
% exo: exo variable name
% vname1, vname2, ... : list of variable names
%
% OUTPUTS
% x: irf matrix [time x number of variables]
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2019 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ oo_
ys_ = [oo_.steady_state];
y0=zeros(length(oo_.irfs.([varargin{1} '_' exo]))+1,length(varargin));
[i_var,nvar] = varlist_indices(varargin,M_.endo_names);
for j=1:nvar
% mfys = strmatch(varargin{j},lgy_,'exact');
y0(:,j)=[0; oo_.irfs.([ varargin{j} '_' exo ])']+ys_(i_var(j));
end

56
matlab/+get/mean.m Executable file
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@ -0,0 +1,56 @@
function y0 = get_mean(varargin)
% function x = get_mean(vname1, vname2, <order>)
% returns the steady-state of a variable identified by its name
%
% INPUTS:
% vname1, vname2, ... : list of variable names
% order: if integer 1 or 2, optionally last input can trigger the order
% at which steady state is computed
%
% OUTPUTS
% x: steady state values
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2019 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ oo_ options_
if ~isempty(regexp(varargin{end},'\d','ONCE')) && isempty(regexp(varargin{end},'\D','ONCE'))
order=eval(varargin{end});
else
order=1;
end
if order==1
ys_ = oo_.steady_state;
ys_ = evaluate_steady_state(ys_,M_,options_,oo_,1);
elseif order==2
ys_ = oo_.dr.ys;
ys_(oo_.dr.order_var)=ys_(oo_.dr.order_var)+oo_.dr.ghs2./2;
else
return
end
lgy_ = M_.endo_names;
mfys=nan(length(varargin),1);
for j=1:length(varargin)
mfys(j) = find(strcmp(varargin{j},lgy_));
end
y0 = ys_(mfys);

39
matlab/+get/shock_stderr_by_name.m Executable file
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@ -0,0 +1,39 @@
function x = get_shock_stderr_by_name(exoname)
% function x = get_shock_stderr_by_name(exoname)
% returns the value of a shock identified by its name
%
% INPUTS:
% exoname: shock name
%
% OUTPUTS
% x: shock value
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2019 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_
i = find(strcmp(exoname,M_.exo_names));
if isempty(i)
error(['Can''t find shock ', exoname])
end
x = sqrt(M_.Sigma_e(i,i));

46
matlab/+get/smooth.m Executable file
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@ -0,0 +1,46 @@
function y0 = get_smooth(varargin)
% function x = get_smooth(vname1, vname2, )
% returns smoothed variables or shocks identified by their name
%
% INPUTS:
% vname1, vname2, ... : list of variable/shock names
%
% OUTPUTS
% x: smoothed variables [T x number of variables]
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2019 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global oo_
SmoothedVariables=[struct2cell(oo_.SmoothedVariables); struct2cell(oo_.SmoothedShocks)];
my_field_names = [fieldnames(oo_.SmoothedVariables); fieldnames(oo_.SmoothedShocks)];
isvar=zeros(length(SmoothedVariables),1);
for jf = 1:length(SmoothedVariables)
isvar(jf)=~(isstruct(SmoothedVariables{jf}));
end
SmoothedVariables=cell2struct(SmoothedVariables(logical(isvar)),my_field_names(logical(isvar)));
y0=zeros(length(SmoothedVariables.(varargin{1})),length(varargin));
for j=1:length(varargin)
y0(:,j)=SmoothedVariables.(varargin{j});
end

36
matlab/+get/update.m Executable file
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@ -0,0 +1,36 @@
function y0 = get_update(varargin)
% function x = get_update(vname1, vname2, )
% returns updated variables identified by their name
%
% INPUTS:
% vname1, vname2, ... : list of variable names
%
% OUTPUTS
% x: smoothed variables [T x number of variables]
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2019 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global oo_
y0=zeros(length(oo_.UpdatedVariables.(varargin{1})),length(varargin));
for j=1:length(varargin)
y0(:,j)=oo_.UpdatedVariables.(varargin{j});
end

4
matlab/WriteShockDecomp2Excel.m
View File

@ -100,8 +100,8 @@ for j=1:nvar
comp_nbr=18;
end
d0(1,:)=[{'Decomposition'} cellstr(labels(1:comp_nbr,:))' {'Smoot Var'}];
d0=[d0; num2cell([x' z1'])];
d0(1,:)=[{'Decomposition'} cellstr(labels(1:comp_nbr,:))' {'Smoot Var'} {'Steady State'}];
d0=[d0; num2cell([x' z1' ]), [num2cell(SteadyState(i_var(j))); cell(size(z1,2)-1,1)]];
LastRow=size(d0,1);
if use_shock_groups
d0(LastRow+2,1)={'Legend.'};

14
matlab/annualized_shock_decomposition.m
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@ -158,7 +158,7 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
myopts.plot_shock_decomp.realtime=1;
myopts.plot_shock_decomp.vintage=i;
% retrieve quarterly shock decomp
z = plot_shock_decomposition(M_,oo_,myopts,[]);
[z, ~] = plot_shock_decomposition(M_,oo_,myopts,[]);
zdim = size(z);
z = z(i_var,:,:);
if isstruct(aux)
@ -185,13 +185,14 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
if qvintage_>i-4 && qvintage_<i
myopts.plot_shock_decomp.vintage=qvintage_;
% retrieve quarterly shock decomp
z = plot_shock_decomposition(M_,oo_,myopts,[]);
[z, ~] = plot_shock_decomposition(M_,oo_,myopts,[]);
z(:,:,end+1:zdim(3))=nan; % fill with nan's remaining time points to reach Q4
z = z(i_var,:,:);
if isstruct(aux)
if ischar(aux0.y)
% retrieve quarterly shock decomp for aux variable
[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux0.y);
y_aux(:,:,end+1:zdim(3))=nan; % fill with nan's remaining time points to reach Q4
aux.y=y_aux;
aux.yss=steady_state_aux;
end
@ -202,6 +203,7 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
end
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr)]) = z(:,:,end-nfrcst:end);
oo_.annualized_realtime_forecast_shock_decomposition.pool(:,:,yr+1) = squeeze(z(:,:,end-nfrcst+1));
if init>nfrcst
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)]) = ...
oo_.annualized_realtime_shock_decomposition.pool(:,:,yr-nfrcst:end) - ...
@ -223,8 +225,12 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,1:my_forecast_+1);
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,:) = ...
oo_.annualized_realtime_shock_decomposition.pool(:,end,yr-my_forecast_:yr);
oo_.annualized_realtime_conditional_shock_decomposition.pool(:,:,yr-my_forecast_+1) = ...
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,:,2);
end
end
oo_.annualized_realtime_conditional_shock_decomposition.pool(:,:,yr-nfrcst+1) = ...
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,:,2);
end
end
% ztmp=oo_.realtime_shock_decomposition.pool(:,:,21:29)-oo_.realtime_forecast_shock_decomposition.time_21;
@ -251,14 +257,14 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
if vintage_
z = oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
else
error();
z = oo_.annualized_realtime_conditional_shock_decomposition.pool;
end
case 3 % forecast
if vintage_
z = oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
else
error()
z = oo_.annualized_realtime_forecast_shock_decomposition.pool;
end
end
end

2
matlab/expand_group.m
View File

@ -67,4 +67,4 @@ options.plot_shock_decomp.colormap = MAP;
options.plot_shock_decomp.endo_names = mydata.endo_names;
options.plot_shock_decomp.endo_names_tex = mydata.endo_names_tex;
plot_shock_decomposition(M,oo,options,var_list_);
plot_shock_decomposition(M,oo,options,{var_list_});

12
matlab/graph_decomp.m
View File

@ -148,6 +148,11 @@ for j=1:nvar
ax=axes('Position',[0.1 0.1 0.6 0.8],'box','on');
% plot(ax,x(2:end),z1(end,:),'k-','LineWidth',2)
% axis(ax,[xmin xmax ymin ymax]);
if strcmp('aoa',DynareOptions.plot_shock_decomp.type)
bgap = 0.15;
else
bgap = 0;
end
hold on;
for i=1:gend
i_1 = i-1;
@ -156,10 +161,10 @@ for j=1:nvar
for k = 1:comp_nbr
zz = z1(k,i);
if zz > 0
fill([x(i) x(i) x(i+1) x(i+1)]+(1/freq/2),[yp yp+zz yp+zz yp],k);
fill([x(i)+bgap x(i)+bgap x(i+1)-bgap x(i+1)-bgap]+(1/freq/2),[yp yp+zz yp+zz yp],k);
yp = yp+zz;
else
fill([x(i) x(i) x(i+1) x(i+1)]+(1/freq/2),[ym ym+zz ym+zz ym],k);
fill([x(i)+bgap x(i)+bgap x(i+1)-bgap x(i+1)-bgap]+(1/freq/2),[ym ym+zz ym+zz ym],k);
ym = ym+zz;
end
hold on;
@ -220,7 +225,7 @@ for j=1:nvar
c = uicontextmenu;
hl.UIContextMenu=c;
browse_menu = uimenu(c,'Label','Browse group');
expand_menu = uimenu(c,'Label','Expand group','Callback',['expand_group(''' mydata.plot_shock_decomp.use_shock_groups ''',''' deblank(mydata.plot_shock_decomp.orig_varlist{j}) ''',' int2str(i) ')']);
expand_menu = uimenu(c,'Label','Expand group','Callback',['expand_group(''' mydata.plot_shock_decomp.use_shock_groups ''',''' mydata.plot_shock_decomp.orig_varlist{j} ''',' int2str(i) ')']);
set(expand_menu,'UserData',mydata,'Tag',['group' int2str(i)]);
for jmember = mydata.shock_group.shocks
uimenu('parent',browse_menu,'Label',char(jmember))
@ -252,6 +257,7 @@ for j=1:nvar
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
%% write LaTeX-Footer

24
matlab/graph_decomp_detail.m
View File

@ -24,7 +24,7 @@ function []=graph_decomp_detail(z,shock_names,endo_names,i_var,initial_date,Dyna
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
%xf
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
@ -36,6 +36,7 @@ fig_mode='';
fig_mode1='';
% fig_name='';
% screen_shocks=0;
initval = DynareOptions.plot_shock_decomp.initval;
use_shock_groups = DynareOptions.plot_shock_decomp.use_shock_groups;
if use_shock_groups
shock_groups = DynareModel.shock_groups.(use_shock_groups);
@ -59,6 +60,11 @@ if isfield(opts_decomp,'init_cond_decomp')
else
init_cond_decomp = 0;
end
if isfield(opts_decomp,'min_nrows')
min_nrows = opts_decomp.min_nrows ;
else
max_nrows = 6;
end
screen_shocks = opts_decomp.screen_shocks;
if ~isempty(DynareOptions.plot_shock_decomp.use_shock_groups) || comp_nbr<=18
screen_shocks=0;
@ -138,9 +144,13 @@ end
ncol=3;
nrow=ceil(comp_nbr/ncol);
ntotrow = nrow;
nrow = min(ntotrow, 6);
nrow = min(ntotrow, max_nrows);
nfigs = ceil(ntotrow/nrow);
labels = char(char(shock_names),'Initial values');
if initval
labels = char(char(shock_names),'All shocks');
else
labels = char(char(shock_names),'Initial values');
end
if ~(screen_shocks && comp_nbr>18)
screen_shocks=0;
end
@ -150,7 +160,11 @@ for j=1:nvar
z1 = squeeze(z(i_var(j),:,:));
if screen_shocks,
[~, isort] = sort(mean(abs(z1(1:end-2,:)')), 'descend');
labels = char(char(shock_names(isort(1:16))),'Others', 'Initial values');
if initval
labels = char(char(shock_names(isort(1:16))),'Others', 'All shocks');
else
labels = char(char(shock_names(isort(1:16))),'Others', 'Initial values');
end
zres = sum(z1(isort(17:end),:),1);
z1 = [z1(isort(1:16),:); zres; z1(comp_nbr0:end,:)];
comp_nbr=18;
@ -221,7 +235,7 @@ for j=1:nvar
c = uicontextmenu;
hax.UIContextMenu=c;
browse_menu = uimenu(c,'Label','Browse group');
expand_menu = uimenu(c,'Label','Expand group','Callback',['expand_group(''' mydata.plot_shock_decomp.use_shock_groups ''',''' deblank(mydata.plot_shock_decomp.orig_varlist{j}) ''',' int2str(ic) ')']);
expand_menu = uimenu(c,'Label','Expand group','Callback',['expand_group(''' mydata.plot_shock_decomp.use_shock_groups ''',''' mydata.plot_shock_decomp.orig_varlist{j} ''',' int2str(ic) ')']);
set(expand_menu,'UserData',mydata,'Tag',['group' int2str(ic)]);
for jmember = mydata.shock_group.shocks
uimenu('parent',browse_menu,'Label',char(jmember))

62
matlab/initial_condition_decomposition.m
View File

@ -62,8 +62,10 @@ if isempty(varlist)
varlist = M_.endo_names(1:M_.orig_endo_nbr);
end
[i_var, nvar, index_uniques] = varlist_indices(varlist, M_.endo_names);
varlist = varlist(index_uniques);
if ~isequal(varlist,0)
[i_var, nvar, index_uniques] = varlist_indices(varlist, M_.endo_names);
varlist = varlist(index_uniques);
end
% number of variables
endo_nbr = M_.endo_nbr;
@ -83,7 +85,16 @@ if isempty(parameter_set)
end
end
if ~isfield(oo_,'initval_decomposition')
if ~isfield(oo_,'initval_decomposition') || isequal(varlist,0)
if isfield(oo_,'shock_decomposition_info') && isfield(oo_.shock_decomposition_info,'i_var')
if isfield (oo_,'realtime_conditional_shock_decomposition') ...
|| isfield (oo_,'realtime_forecast_shock_decomposition') ...
|| isfield (oo_,'realtime_shock_decomposition') ...
|| isfield (oo_,'conditional_shock_decomposition') ...
|| isfield (oo_,'shock_decomposition')
error('initval_decomposition::squeezed shock decompositions are already stored in oo_')
end
end
options_.selected_variables_only = 0; %make sure all variables are stored
options_.plot_priors=0;
[oo,M,~,~,Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
@ -129,27 +140,30 @@ if ~isfield(oo_,'initval_decomposition')
end
oo_.initval_decomposition = z;
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;
options_.plot_shock_decomp.screen_shocks=1;
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
% when varlist==0, we only store results in oo_ and do not make any plot
if ~isequal(varlist,0)
% 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;
options_.plot_shock_decomp.screen_shocks=1;
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

132
matlab/plot_shock_decomposition.m
View File

@ -1,4 +1,4 @@
function [z, steady_state] = plot_shock_decomposition(M_,oo_,options_,varlist)
function [out, steady_state] = plot_shock_decomposition(M_,oo_,options_,varlist)
% function plot_shock_decomposition(M_,oo_,options_,varlist)
% Plots the results of shock_decomposition
%
@ -31,9 +31,23 @@ function [z, steady_state] = plot_shock_decomposition(M_,oo_,options_,varlist)
options_.nodisplay = options_.plot_shock_decomp.nodisplay;
options_.graph_format = options_.plot_shock_decomp.graph_format;
if ~isfield(oo_,'shock_decomposition_info')
oo_.shock_decomposition_info = struct();
end
if ~isfield(oo_,'plot_shock_decomposition_info')
oo_.plot_shock_decomposition_info = struct();
end
out=oo_;
% indices of endogenous variables
if isempty(varlist)
varlist = M_.endo_names(1:M_.orig_endo_nbr);
exist_varlist = 1;
if size(varlist,1) == 0
exist_varlist = 0;
if size( M_.endo_names,1) >= M_.orig_endo_nbr
varlist = M_.endo_names(1:M_.orig_endo_nbr);
else
varlist = M_.endo_names;
end
end
if isfield(options_.plot_shock_decomp,'init2shocks') % private trap for uimenu calls
@ -45,10 +59,66 @@ if ~isempty(init2shocks)
init2shocks=M_.init2shocks.(init2shocks);
end
if isfield(oo_.shock_decomposition_info,'i_var') && (M_.endo_nbr>=M_.orig_endo_nbr)
M_.endo_names = M_.endo_names(oo_.shock_decomposition_info.i_var,:);
M_.endo_names_tex = M_.endo_names_tex(oo_.shock_decomposition_info.i_var,:);
M_.endo_nbr = length( oo_.shock_decomposition_info.i_var );
end
try
[i_var,nvar,index_uniques] = varlist_indices(varlist,M_.endo_names);
catch ME
if isfield(oo_.shock_decomposition_info,'i_var')
warning('shock decomp results for some input variable was not stored: I recompute all decompositions')
M_ = evalin('base','M_');
bayestopt_ = evalin('base','bayestopt_');
estim_params_ = evalin('base','estim_params_');
options_.no_graph.shock_decomposition=1; % force nograph in computing decompositions!
oo_.shock_decomposition_info = rmfield(oo_.shock_decomposition_info,'i_var');
var_list_ = char();
disp('recomputing shock decomposition ...')
[oo_,M_]= shock_decomposition(M_,oo_,options_,var_list_,bayestopt_,estim_params_);
if isfield(oo_,'realtime_shock_decomposition') || options_.plot_shock_decomp.realtime
disp('recomputing realtime shock decomposition ...')
oo_ = realtime_shock_decomposition(M_,oo_,options_,var_list_,bayestopt_,estim_params_);
end
if isfield(oo_,'initval_decomposition')
disp('recomputing initval shock decomposition ...')
oo_ = initial_condition_decomposition(M_,oo_,options_,0,bayestopt_,estim_params_);
end
[i_var,nvar,index_uniques] = varlist_indices(varlist,M_.endo_names);
out = oo_;
else
rethrow(ME)
end
end
[i_var, ~, index_uniques] = varlist_indices(varlist, M_.endo_names);
varlist = varlist(index_uniques);
if ~isfield(out.shock_decomposition_info,'i_var') && exist_varlist
if ~isfield(out.plot_shock_decomposition_info,'i_var')
out.plot_shock_decomposition_info.i_var = i_var;
else
out.plot_shock_decomposition_info.i_var = unique([i_var(:); out.plot_shock_decomposition_info.i_var(:)]);
end
end
type=options_.plot_shock_decomp.type;
if isequal(type, 'aoa') && isfield(options_.plot_shock_decomp,'q2a') && isstruct(options_.plot_shock_decomp.q2a)
q2avec=options_.plot_shock_decomp.q2a;
if nvar>1
for jv = 1:nvar
my_varlist = varlist(jv);
indv = strcmp(my_varlist,{q2avec.qname});
options_.plot_shock_decomp.q2a = q2avec(indv);
plot_shock_decomposition(M_,oo_,options_,my_varlist);
end
return
else
indv = strcmp(varlist,{q2avec.qname});
options_.plot_shock_decomp.q2a = q2avec(indv);
end
end
% number of variables
endo_nbr = M_.endo_nbr;
@ -76,10 +146,14 @@ if ~isfield(options_.plot_shock_decomp,'init_cond_decomp')
options_.plot_shock_decomp.init_cond_decomp=0;
end
options_.plot_shock_decomp.initval=0;
if ~isempty(options_.plot_shock_decomp.fig_name)
fig_name=[' ' options_.plot_shock_decomp.fig_name];
if length(fig_name)>=8 && strcmp(fig_name(end-6:end),'initval')
options_.plot_shock_decomp.initval=1;
end
end
type=options_.plot_shock_decomp.type;
detail_plot=options_.plot_shock_decomp.detail_plot;
realtime_= options_.plot_shock_decomp.realtime;
vintage_ = options_.plot_shock_decomp.vintage;
@ -200,8 +274,8 @@ if isequal(type,'aoa') && isstruct(q2a)
if isempty(t0)
error('the realtime decompositions are not stored in Q4! Please check your dates and settings.')
end
if ~isfield(q2a,'var_type') % private trap for aoa calls
q2a.var_type=1;
if ~isfield(q2a,'type') % private trap for aoa calls
q2a.type=1;
end
if ~isfield(q2a,'islog') % private trap for aoa calls
q2a.islog=0;
@ -251,6 +325,20 @@ if options_.plot_shock_decomp.use_shock_groups
[z, shock_names, M_] = make_the_groups(z,gend,endo_nbr,nshocks,M_,options_);
M_.endo_names = endo_names;
M_.endo_names_tex = endo_names_tex;
else
% here we know we only have one variable to handle
if isstruct(q2a.aux) && ischar(q2a.aux.y)
steady_state_aux = get_mean(q2a.aux.y);
q2a.aux.y=repmat(steady_state_aux,16,1);
q2a.aux.yss=steady_state_aux;
end
[~, yssa, ~, gyssa] = ...
quarterly2annual(repmat(steady_state,16,1),steady_state,q2a.GYTREND0,q2a.type,q2a.islog,q2a.aux);
if q2a.plot==1
steady_state = gyssa;
else
steady_state = yssa;
end
end
else
gend = size(z,3);
@ -333,8 +421,8 @@ switch type
end
if isstruct(q2a)
if realtime_ == 0
if ~isfield(q2a,'var_type') % private trap for aoa calls
q2a.var_type=1;
if ~isfield(q2a,'type') % private trap for aoa calls
q2a.type=1;
end
if ~isfield(q2a,'islog') % private trap for aoa calls
q2a.islog=0;
@ -356,17 +444,19 @@ switch type
if isstruct(q2a.aux) && ischar(q2a.aux.y)
opts=options_;
opts.plot_shock_decomp.type='qoq';
opts.plot_shock_decomp.use_shock_groups=[];
[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
i_var0 = i_var;
[za, endo_names, endo_names_tex, steady_state, i_var, oo_] = ...
annualized_shock_decomposition(z,M_, options_, i_var, t0, options_.nobs, realtime_, vintage_, steady_state,q2a);
if options_.plot_shock_decomp.interactive && ~isempty(options_.plot_shock_decomp.use_shock_groups)
mygroup = options_.plot_shock_decomp.use_shock_groups;
options_.plot_shock_decomp.use_shock_groups='';
zafull = ...
annualized_shock_decomposition(z,M_, options_, i_var, t0, options_.nobs, realtime_, vintage_, steady_state,q2a);
annualized_shock_decomposition(zfull(i_var0,:,:),M_, options_, i_var, t0, options_.nobs, realtime_, vintage_, steady_state,q2a);
options_.plot_shock_decomp.use_shock_groups = mygroup;
end
end
@ -378,7 +468,7 @@ switch type
M_.endo_names = endo_names;
M_.endo_names_tex = endo_names_tex;
% endo_nbr = size(z,1);
if realtime_<2
if realtime_<2 || vintage_ == 0
initial_date = initial_date1;
else
initial_date = initial_date0;
@ -412,8 +502,8 @@ if steadystate
options_.plot_shock_decomp.steady_state=steady_state;
end
if nargout
z=z(i_var,:,:);
if nargout == 2
out=z(i_var,:,:);
steady_state = steady_state(i_var);
return
end
@ -427,7 +517,11 @@ if ~isempty(options_.plot_shock_decomp.plot_init_date)
a = find((initial_date:initial_date+b-1)==options_.plot_shock_decomp.plot_init_date);
end
if ~isempty(options_.plot_shock_decomp.plot_end_date)
b = find((initial_date:initial_date+b-1)==options_.plot_shock_decomp.plot_end_date);
if options_.plot_shock_decomp.plot_end_date<=(max(initial_date:initial_date+b-1))
b = find((initial_date:initial_date+b-1)==options_.plot_shock_decomp.plot_end_date);
else
warning('You set plot_end_date larger than smoother size!!');
end
end
z = z(:,:,a:b);
% end crop data
@ -438,10 +532,12 @@ if options_.plot_shock_decomp.interactive && ~isempty(options_.plot_shock_decomp
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
graph_decomp(z, shock_names, M_.endo_names, i_var, my_initial_date, M_, options_);
if ~options_.no_graph.plot_shock_decomposition
if detail_plot
graph_decomp_detail(z, shock_names, M_.endo_names, i_var, my_initial_date, M_, options_);
else
graph_decomp(z, shock_names, M_.endo_names, i_var, my_initial_date, M_, options_);
end
end
if write_xls

60
matlab/realtime_shock_decomposition.m
View File

@ -39,6 +39,18 @@ function oo_ = realtime_shock_decomposition(M_,oo_,options_,varlist,bayestopt_,e
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
if isfield(oo_,'shock_decomposition_info') && isfield(oo_.shock_decomposition_info,'i_var')
if isfield (oo_,'realtime_conditional_shock_decomposition') ...
|| isfield (oo_,'realtime_forecast_shock_decomposition') ...
|| isfield (oo_,'realtime_shock_decomposition') ...
|| isfield (oo_,'shock_decomposition') ...
|| isfield (oo_,'conditional_shock_decomposition') ...
|| isfield (oo_,'initval_decomposition')
error('realtime_shock_decomposition::squeezed shock decompositions are already stored in oo_')
end
end
% indices of endogenous variables
if isempty(varlist)
varlist = M_.endo_names(1:M_.orig_endo_nbr);
@ -68,9 +80,10 @@ if isempty(parameter_set)
end
end
presample = max(1,options_.presample);
presample = max(1,options_.presample-1);
if isfield(options_.shock_decomp,'presample')
presample = max(presample,options_.shock_decomp.presample);
my_presample = max(1,options_.shock_decomp.presample);
presample = min(presample,my_presample);
end
% forecast_=0;
forecast_ = options_.shock_decomp.forecast;
@ -244,7 +257,9 @@ for j=presample+1:nobs
% 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_.conditional_shock_decomposition.(['time_' int2str(j-forecast_)])=zn;
if ismember(j-forecast_,save_realtime)
oo_.conditional_shock_decomposition.(['time_' int2str(j-forecast_)])=zn;
end
end
%%
@ -260,28 +275,39 @@ for j=presample+1:nobs
if forecast_
zfrcst(:,:,j+1) = z(:,:,gend+1);
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j)])=z(:,:,gend:end);
ootmp.realtime_forecast_shock_decomposition.(['time_' int2str(j)])=z(:,:,gend:end);
if ismember(j,save_realtime)
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j)]) = ...
ootmp.realtime_forecast_shock_decomposition.(['time_' int2str(j)]);
end
if j>forecast_+presample
%% realtime conditional shock decomp k step ahead
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)]) = ...
ootmp.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_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end-1,:) + ...
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end,:);
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end,:) = ...
ootmp.realtime_forecast_shock_decomposition.(['time_' int2str(j-forecast_)]);
ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end-1,:) = ...
ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end-1,:) + ...
ootmp.realtime_forecast_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end,:);
ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end,:) = ...
zreal(:,end,j-forecast_:j);
if ismember(j-forecast_,save_realtime)
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)]) = ...
ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)]);
end
if j==nobs
for my_forecast_=(forecast_-1):-1:1
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)]) = ...
ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)]) = ...
zreal(:,:,j-my_forecast_:j) - ...
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,:,1:my_forecast_+1);
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end-1,:) = ...
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end-1,:) + ...
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end,1:my_forecast_+1);
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end,:) = ...
ootmp.realtime_forecast_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,:,1:my_forecast_+1);
ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end-1,:) = ...
ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end-1,:) + ...
ootmp.realtime_forecast_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end,1:my_forecast_+1);
ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end,:) = ...
zreal(:,end,j-my_forecast_:j);
if ismember(j-my_forecast_,save_realtime)
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)]) = ...
ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)]);
end
end
end

2
matlab/set_default_option.m
View File

@ -41,7 +41,7 @@ if isempty(options.(field))
return
end
if ~iscell(options.(field)) && ~isdates(options.(field))
if ~iscell(options.(field)) && ~isdates(options.(field)) && ~isstruct(options.(field))
if isnan(options.(field))
options.(field) = default;
return

12
matlab/shock_decomposition.m
View File

@ -41,6 +41,16 @@ function [oo_,M_] = shock_decomposition(M_,oo_,options_,varlist,bayestopt_,estim
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
% indices of endogenous variables
if isfield(oo_,'shock_decomposition_info') && isfield(oo_.shock_decomposition_info,'i_var')
if isfield (oo_,'realtime_conditional_shock_decomposition') ...
|| isfield (oo_,'realtime_forecast_shock_decomposition') ...
|| isfield (oo_,'realtime_shock_decomposition') ...
|| isfield (oo_,'conditional_shock_decomposition') ...
|| isfield (oo_,'initval_decomposition')
error('shock_decomposition::squeezed shock decompositions are already stored in oo_')
end
end
if isempty(varlist)
varlist = M_.endo_names(1:M_.orig_endo_nbr);
end
@ -123,5 +133,5 @@ end
oo_.shock_decomposition = z;
if ~options_.no_graph.shock_decomposition
plot_shock_decomposition(M_,oo_,options_,varlist);
oo_ = plot_shock_decomposition(M_,oo_,options_,varlist);
end

63
matlab/squeeze_shock_decomp.m Normal file
View File

@ -0,0 +1,63 @@
function oo_ = squeeze_shock_decomp(M_,oo_,options_,var_list_)
if isfield(oo_,'plot_shock_decomposition_info') && isfield(oo_.plot_shock_decomposition_info','i_var')
my_vars = oo_.plot_shock_decomposition_info.i_var;
else
my_vars=[];
end
if nargin>3
my_vars = [varlist_indices(var_list_,M_.endo_names); my_vars];
end
sd_vlist = M_.endo_names(my_vars,:);
if isfield(options_.plot_shock_decomp,'q2a') && isstruct(options_.plot_shock_decomp.q2a)
avname={options_.plot_shock_decomp.q2a.qname};
sda = options_.plot_shock_decomp.q2a(ismember(avname,sd_vlist));
for k=1:length(sda)
if isstruct(sda(k).aux)
sd_vlist = [sd_vlist; {sda(k).aux.y}];
end
end
end
if isempty(sd_vlist)
disp('Nothing has been squeezed: there is no list of variables for it!')
return
end
i_var = varlist_indices(sd_vlist,M_.endo_names);
oo_.plot_shock_decomposition_info.i_var = i_var;
oo_.shock_decomposition_info.i_var = i_var;
if isfield (oo_,'shock_decomposition')
oo_.shock_decomposition = oo_.shock_decomposition(i_var,:,:);
end
if isfield (oo_,'realtime_conditional_shock_decomposition')
oo_.realtime_conditional_shock_decomposition = ...
my_squeeze(oo_.realtime_conditional_shock_decomposition, i_var);
end
if isfield (oo_,'realtime_forecast_shock_decomposition')
oo_.realtime_forecast_shock_decomposition = ...
my_squeeze(oo_.realtime_forecast_shock_decomposition, i_var);
end
if isfield (oo_,'realtime_shock_decomposition')
oo_.realtime_shock_decomposition = ...
my_squeeze(oo_.realtime_shock_decomposition, i_var);
end
if isfield (oo_,'conditional_shock_decomposition')
oo_.conditional_shock_decomposition = ...
my_squeeze(oo_.conditional_shock_decomposition, i_var);
end
if isfield (oo_,'initval_decomposition')
oo_.initval_decomposition = oo_.initval_decomposition(i_var,:,:);
end
end
function shock_decomposition = my_squeeze(shock_decomposition, i_var)
fnam = fieldnames(shock_decomposition);
for k=1:length(fnam)
shock_decomposition.(fnam{k}) = shock_decomposition.(fnam{k})(i_var,:,:);
end
end

13
tests/shock_decomposition/ls2003_plot.mod
View File

@ -83,10 +83,14 @@ 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;
shock_decomposition(nograph);
// test for nothing to squeeze
oo_ = squeeze_shock_decomp(M_,oo_,options_);
// standard plot
plot_shock_decomposition y_obs R_obs pie_obs dq de;
// grouped shocks
plot_shock_decomposition(use_shock_groups=trade) 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) y_obs R_obs pie_obs dq de;
@ -107,6 +111,9 @@ close all,
// 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]) y_obs R_obs pie_obs dq de;
// test squeeze
oo_ = squeeze_shock_decomp(M_,oo_,options_);
//realtime pooled
plot_shock_decomposition(realtime = 1) y_obs R_obs pie_obs dq de;
@ -129,6 +136,7 @@ close all,
// now I test annualized variables
// options_.plot_shock_decomp.q2a=1;
// options_.plot_shock_decomp.islog=1;
// this also triggers re-computing of decompositions since y was not present in squeeze set
plot_shock_decomposition(detail_plot, type = aoa) y;
plot_shock_decomposition(realtime = 1) y;
@ -148,6 +156,9 @@ close all,
// testing realtime decomposition with fast_realtime option
realtime_shock_decomposition(fast_realtime=75) y_obs R_obs pie_obs dq de;
// re-test squeeze
oo_ = squeeze_shock_decomp(M_,oo_,options_);
collect_latex_files;
if system(['pdflatex -halt-on-error -interaction=batchmode ' M_.fname '_TeX_binder.tex'])
error('TeX-File did not compile.')