diff --git a/matlab/+get/irf.m b/matlab/+get/irf.m
new file mode 100755
index 000000000..e247d2054
--- /dev/null
+++ b/matlab/+get/irf.m
@@ -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 .
+
+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
+
diff --git a/matlab/+get/mean.m b/matlab/+get/mean.m
new file mode 100755
index 000000000..f307210dc
--- /dev/null
+++ b/matlab/+get/mean.m
@@ -0,0 +1,56 @@
+function y0 = get_mean(varargin)
+% function x = get_mean(vname1, vname2, )
+% 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 .
+
+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);
diff --git a/matlab/+get/shock_stderr_by_name.m b/matlab/+get/shock_stderr_by_name.m
new file mode 100755
index 000000000..b1143a69a
--- /dev/null
+++ b/matlab/+get/shock_stderr_by_name.m
@@ -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 .
+
+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));
diff --git a/matlab/+get/smooth.m b/matlab/+get/smooth.m
new file mode 100755
index 000000000..c81cbbc1b
--- /dev/null
+++ b/matlab/+get/smooth.m
@@ -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 .
+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
+
diff --git a/matlab/+get/update.m b/matlab/+get/update.m
new file mode 100755
index 000000000..994a6e47b
--- /dev/null
+++ b/matlab/+get/update.m
@@ -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 .
+global oo_
+
+y0=zeros(length(oo_.UpdatedVariables.(varargin{1})),length(varargin));
+for j=1:length(varargin)
+ y0(:,j)=oo_.UpdatedVariables.(varargin{j});
+end
+
diff --git a/matlab/WriteShockDecomp2Excel.m b/matlab/WriteShockDecomp2Excel.m
index f9c18fc7a..a11110455 100644
--- a/matlab/WriteShockDecomp2Excel.m
+++ b/matlab/WriteShockDecomp2Excel.m
@@ -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.'};
diff --git a/matlab/annualized_shock_decomposition.m b/matlab/annualized_shock_decomposition.m
index e7a645764..03b5feb44 100644
--- a/matlab/annualized_shock_decomposition.m
+++ b/matlab/annualized_shock_decomposition.m
@@ -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_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
diff --git a/matlab/expand_group.m b/matlab/expand_group.m
index 8011b471b..0992e4967 100644
--- a/matlab/expand_group.m
+++ b/matlab/expand_group.m
@@ -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_});
diff --git a/matlab/graph_decomp.m b/matlab/graph_decomp.m
index b0c865f13..b3190bf7f 100644
--- a/matlab/graph_decomp.m
+++ b/matlab/graph_decomp.m
@@ -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
diff --git a/matlab/graph_decomp_detail.m b/matlab/graph_decomp_detail.m
index 7ff2be01b..448abae6c 100644
--- a/matlab/graph_decomp_detail.m
+++ b/matlab/graph_decomp_detail.m
@@ -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 .
@@ -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))
diff --git a/matlab/initial_condition_decomposition.m b/matlab/initial_condition_decomposition.m
index f6164cab2..12e39691a 100644
--- a/matlab/initial_condition_decomposition.m
+++ b/matlab/initial_condition_decomposition.m
@@ -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
diff --git a/matlab/plot_shock_decomposition.m b/matlab/plot_shock_decomposition.m
index 3033b2e22..50b978cbc 100644
--- a/matlab/plot_shock_decomposition.m
+++ b/matlab/plot_shock_decomposition.m
@@ -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
diff --git a/matlab/realtime_shock_decomposition.m b/matlab/realtime_shock_decomposition.m
index 4160c10fc..f7574ab87 100644
--- a/matlab/realtime_shock_decomposition.m
+++ b/matlab/realtime_shock_decomposition.m
@@ -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 .
+
+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
diff --git a/matlab/set_default_option.m b/matlab/set_default_option.m
index 43910ba29..a388ca94e 100644
--- a/matlab/set_default_option.m
+++ b/matlab/set_default_option.m
@@ -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
diff --git a/matlab/shock_decomposition.m b/matlab/shock_decomposition.m
index 2793b1a9e..20e6adfe8 100644
--- a/matlab/shock_decomposition.m
+++ b/matlab/shock_decomposition.m
@@ -41,6 +41,16 @@ function [oo_,M_] = shock_decomposition(M_,oo_,options_,varlist,bayestopt_,estim
% along with Dynare. If not, see .
% 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
\ No newline at end of file
diff --git a/matlab/squeeze_shock_decomp.m b/matlab/squeeze_shock_decomp.m
new file mode 100644
index 000000000..49073ee08
--- /dev/null
+++ b/matlab/squeeze_shock_decomp.m
@@ -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
diff --git a/tests/shock_decomposition/ls2003_plot.mod b/tests/shock_decomposition/ls2003_plot.mod
index e07876b20..3ef63d277 100644
--- a/tests/shock_decomposition/ls2003_plot.mod
+++ b/tests/shock_decomposition/ls2003_plot.mod
@@ -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.')