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

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
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

47
matlab/+get/irf.m Executable file
View File

@ -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
View File

@ -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
View File

@ -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
View File

@ -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
View File

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

14
matlab/annualized_shock_decomposition.m
View File

@ -158,7 +158,7 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
myopts.plot_shock_decomp.realtime=1; myopts.plot_shock_decomp.realtime=1;
myopts.plot_shock_decomp.vintage=i; myopts.plot_shock_decomp.vintage=i;
% retrieve quarterly shock decomp % retrieve quarterly shock decomp
z = plot_shock_decomposition(M_,oo_,myopts,[]); [z, ~] = plot_shock_decomposition(M_,oo_,myopts,[]);
zdim = size(z); zdim = size(z);
z = z(i_var,:,:); z = z(i_var,:,:);
if isstruct(aux) if isstruct(aux)
@ -185,13 +185,14 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
if qvintage_>i-4 && qvintage_<i if qvintage_>i-4 && qvintage_<i
myopts.plot_shock_decomp.vintage=qvintage_; myopts.plot_shock_decomp.vintage=qvintage_;
% retrieve quarterly shock decomp % 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(:,:,end+1:zdim(3))=nan; % fill with nan's remaining time points to reach Q4
z = z(i_var,:,:); z = z(i_var,:,:);
if isstruct(aux) if isstruct(aux)
if ischar(aux0.y) if ischar(aux0.y)
% retrieve quarterly shock decomp for aux variable % retrieve quarterly shock decomp for aux variable
[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux0.y); [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.y=y_aux;
aux.yss=steady_state_aux; aux.yss=steady_state_aux;
end end
@ -202,6 +203,7 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
end end
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr)]) = z(:,:,end-nfrcst: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 if init>nfrcst
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)]) = ... oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)]) = ...
oo_.annualized_realtime_shock_decomposition.pool(:,:,yr-nfrcst:end) - ... 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_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_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,:) = ...
oo_.annualized_realtime_shock_decomposition.pool(:,end,yr-my_forecast_:yr); 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
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
end end
% ztmp=oo_.realtime_shock_decomposition.pool(:,:,21:29)-oo_.realtime_forecast_shock_decomposition.time_21; % 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_ if vintage_
z = oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]); z = oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
else else
error(); z = oo_.annualized_realtime_conditional_shock_decomposition.pool;
end end
case 3 % forecast case 3 % forecast
if vintage_ if vintage_
z = oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]); z = oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
else else
error() z = oo_.annualized_realtime_forecast_shock_decomposition.pool;
end end
end 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 = mydata.endo_names;
options.plot_shock_decomp.endo_names_tex = mydata.endo_names_tex; 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'); ax=axes('Position',[0.1 0.1 0.6 0.8],'box','on');
% plot(ax,x(2:end),z1(end,:),'k-','LineWidth',2) % plot(ax,x(2:end),z1(end,:),'k-','LineWidth',2)
% axis(ax,[xmin xmax ymin ymax]); % axis(ax,[xmin xmax ymin ymax]);
if strcmp('aoa',DynareOptions.plot_shock_decomp.type)
bgap = 0.15;
else
bgap = 0;
end
hold on; hold on;
for i=1:gend for i=1:gend
i_1 = i-1; i_1 = i-1;
@ -156,10 +161,10 @@ for j=1:nvar
for k = 1:comp_nbr for k = 1:comp_nbr
zz = z1(k,i); zz = z1(k,i);
if zz > 0 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; yp = yp+zz;
else 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; ym = ym+zz;
end end
hold on; hold on;
@ -220,7 +225,7 @@ for j=1:nvar
c = uicontextmenu; c = uicontextmenu;
hl.UIContextMenu=c; hl.UIContextMenu=c;
browse_menu = uimenu(c,'Label','Browse group'); 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)]); set(expand_menu,'UserData',mydata,'Tag',['group' int2str(i)]);
for jmember = mydata.shock_group.shocks for jmember = mydata.shock_group.shocks
uimenu('parent',browse_menu,'Label',char(jmember)) 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); 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 end
end end
%% write LaTeX-Footer %% 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 % but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details. % GNU General Public License for more details.
% %xf
% You should have received a copy of the GNU General Public License % You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>. % along with Dynare. If not, see <http://www.gnu.org/licenses/>.
@ -36,6 +36,7 @@ fig_mode='';
fig_mode1=''; fig_mode1='';
% fig_name=''; % fig_name='';
% screen_shocks=0; % screen_shocks=0;
initval = DynareOptions.plot_shock_decomp.initval;
use_shock_groups = DynareOptions.plot_shock_decomp.use_shock_groups; use_shock_groups = DynareOptions.plot_shock_decomp.use_shock_groups;
if use_shock_groups if use_shock_groups
shock_groups = DynareModel.shock_groups.(use_shock_groups); shock_groups = DynareModel.shock_groups.(use_shock_groups);
@ -59,6 +60,11 @@ if isfield(opts_decomp,'init_cond_decomp')
else else
init_cond_decomp = 0; init_cond_decomp = 0;
end end
if isfield(opts_decomp,'min_nrows')
min_nrows = opts_decomp.min_nrows ;
else
max_nrows = 6;
end
screen_shocks = opts_decomp.screen_shocks; screen_shocks = opts_decomp.screen_shocks;
if ~isempty(DynareOptions.plot_shock_decomp.use_shock_groups) || comp_nbr<=18 if ~isempty(DynareOptions.plot_shock_decomp.use_shock_groups) || comp_nbr<=18
screen_shocks=0; screen_shocks=0;
@ -138,9 +144,13 @@ end
ncol=3; ncol=3;
nrow=ceil(comp_nbr/ncol); nrow=ceil(comp_nbr/ncol);
ntotrow = nrow; ntotrow = nrow;
nrow = min(ntotrow, 6); nrow = min(ntotrow, max_nrows);
nfigs = ceil(ntotrow/nrow); 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) if ~(screen_shocks && comp_nbr>18)
screen_shocks=0; screen_shocks=0;
end end
@ -150,7 +160,11 @@ for j=1:nvar
z1 = squeeze(z(i_var(j),:,:)); z1 = squeeze(z(i_var(j),:,:));
if screen_shocks, if screen_shocks,
[~, isort] = sort(mean(abs(z1(1:end-2,:)')), 'descend'); [~, 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); zres = sum(z1(isort(17:end),:),1);
z1 = [z1(isort(1:16),:); zres; z1(comp_nbr0:end,:)]; z1 = [z1(isort(1:16),:); zres; z1(comp_nbr0:end,:)];
comp_nbr=18; comp_nbr=18;
@ -221,7 +235,7 @@ for j=1:nvar
c = uicontextmenu; c = uicontextmenu;
hax.UIContextMenu=c; hax.UIContextMenu=c;
browse_menu = uimenu(c,'Label','Browse group'); 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)]); set(expand_menu,'UserData',mydata,'Tag',['group' int2str(ic)]);
for jmember = mydata.shock_group.shocks for jmember = mydata.shock_group.shocks
uimenu('parent',browse_menu,'Label',char(jmember)) 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); varlist = M_.endo_names(1:M_.orig_endo_nbr);
end end
[i_var, nvar, index_uniques] = varlist_indices(varlist, M_.endo_names); if ~isequal(varlist,0)
varlist = varlist(index_uniques); [i_var, nvar, index_uniques] = varlist_indices(varlist, M_.endo_names);
varlist = varlist(index_uniques);
end
% number of variables % number of variables
endo_nbr = M_.endo_nbr; endo_nbr = M_.endo_nbr;
@ -83,7 +85,16 @@ if isempty(parameter_set)
end end
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_.selected_variables_only = 0; %make sure all variables are stored
options_.plot_priors=0; options_.plot_priors=0;
[oo,M,~,~,Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_); [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 end
oo_.initval_decomposition = z; oo_.initval_decomposition = z;
end 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); % when varlist==0, we only store results in oo_ and do not make any plot
% end 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) % function plot_shock_decomposition(M_,oo_,options_,varlist)
% Plots the results of shock_decomposition % 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_.nodisplay = options_.plot_shock_decomp.nodisplay;
options_.graph_format = options_.plot_shock_decomp.graph_format; 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 % indices of endogenous variables
if isempty(varlist) exist_varlist = 1;
varlist = M_.endo_names(1:M_.orig_endo_nbr); 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 end
if isfield(options_.plot_shock_decomp,'init2shocks') % private trap for uimenu calls if isfield(options_.plot_shock_decomp,'init2shocks') % private trap for uimenu calls
@ -45,10 +59,66 @@ if ~isempty(init2shocks)
init2shocks=M_.init2shocks.(init2shocks); init2shocks=M_.init2shocks.(init2shocks);
end 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); 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 % number of variables
endo_nbr = M_.endo_nbr; 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; options_.plot_shock_decomp.init_cond_decomp=0;
end end
options_.plot_shock_decomp.initval=0;
if ~isempty(options_.plot_shock_decomp.fig_name) if ~isempty(options_.plot_shock_decomp.fig_name)
fig_name=[' ' 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 end
type=options_.plot_shock_decomp.type;
detail_plot=options_.plot_shock_decomp.detail_plot; detail_plot=options_.plot_shock_decomp.detail_plot;
realtime_= options_.plot_shock_decomp.realtime; realtime_= options_.plot_shock_decomp.realtime;
vintage_ = options_.plot_shock_decomp.vintage; vintage_ = options_.plot_shock_decomp.vintage;
@ -200,8 +274,8 @@ if isequal(type,'aoa') && isstruct(q2a)
if isempty(t0) if isempty(t0)
error('the realtime decompositions are not stored in Q4! Please check your dates and settings.') error('the realtime decompositions are not stored in Q4! Please check your dates and settings.')
end end
if ~isfield(q2a,'var_type') % private trap for aoa calls if ~isfield(q2a,'type') % private trap for aoa calls
q2a.var_type=1; q2a.type=1;
end end
if ~isfield(q2a,'islog') % private trap for aoa calls if ~isfield(q2a,'islog') % private trap for aoa calls
q2a.islog=0; 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_); [z, shock_names, M_] = make_the_groups(z,gend,endo_nbr,nshocks,M_,options_);
M_.endo_names = endo_names; M_.endo_names = endo_names;
M_.endo_names_tex = endo_names_tex; 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 end
else else
gend = size(z,3); gend = size(z,3);
@ -333,8 +421,8 @@ switch type
end end
if isstruct(q2a) if isstruct(q2a)
if realtime_ == 0 if realtime_ == 0
if ~isfield(q2a,'var_type') % private trap for aoa calls if ~isfield(q2a,'type') % private trap for aoa calls
q2a.var_type=1; q2a.type=1;
end end
if ~isfield(q2a,'islog') % private trap for aoa calls if ~isfield(q2a,'islog') % private trap for aoa calls
q2a.islog=0; q2a.islog=0;
@ -356,17 +444,19 @@ switch type
if isstruct(q2a.aux) && ischar(q2a.aux.y) if isstruct(q2a.aux) && ischar(q2a.aux.y)
opts=options_; opts=options_;
opts.plot_shock_decomp.type='qoq'; 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); [y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,opts,q2a.aux.y);
q2a.aux.y=y_aux; q2a.aux.y=y_aux;
q2a.aux.yss=steady_state_aux; q2a.aux.yss=steady_state_aux;
end end
i_var0 = i_var;
[za, endo_names, endo_names_tex, steady_state, i_var, oo_] = ... [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); 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) if options_.plot_shock_decomp.interactive && ~isempty(options_.plot_shock_decomp.use_shock_groups)
mygroup = options_.plot_shock_decomp.use_shock_groups; mygroup = options_.plot_shock_decomp.use_shock_groups;
options_.plot_shock_decomp.use_shock_groups=''; options_.plot_shock_decomp.use_shock_groups='';
zafull = ... 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; options_.plot_shock_decomp.use_shock_groups = mygroup;
end end
end end
@ -378,7 +468,7 @@ switch type
M_.endo_names = endo_names; M_.endo_names = endo_names;
M_.endo_names_tex = endo_names_tex; M_.endo_names_tex = endo_names_tex;
% endo_nbr = size(z,1); % endo_nbr = size(z,1);
if realtime_<2 if realtime_<2 || vintage_ == 0
initial_date = initial_date1; initial_date = initial_date1;
else else
initial_date = initial_date0; initial_date = initial_date0;
@ -412,8 +502,8 @@ if steadystate
options_.plot_shock_decomp.steady_state=steady_state; options_.plot_shock_decomp.steady_state=steady_state;
end end
if nargout if nargout == 2
z=z(i_var,:,:); out=z(i_var,:,:);
steady_state = steady_state(i_var); steady_state = steady_state(i_var);
return return
end 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); a = find((initial_date:initial_date+b-1)==options_.plot_shock_decomp.plot_init_date);
end end
if ~isempty(options_.plot_shock_decomp.plot_end_date) 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 end
z = z(:,:,a:b); z = z(:,:,a:b);
% end crop data % end crop data
@ -438,10 +532,12 @@ if options_.plot_shock_decomp.interactive && ~isempty(options_.plot_shock_decomp
options_.plot_shock_decomp.zfull = zfull; options_.plot_shock_decomp.zfull = zfull;
end end
if detail_plot if ~options_.no_graph.plot_shock_decomposition
graph_decomp_detail(z, shock_names, M_.endo_names, i_var, my_initial_date, M_, options_) if detail_plot
else graph_decomp_detail(z, shock_names, M_.endo_names, i_var, my_initial_date, M_, options_);
graph_decomp(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 end
if write_xls 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 % You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>. % 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 % indices of endogenous variables
if isempty(varlist) if isempty(varlist)
varlist = M_.endo_names(1:M_.orig_endo_nbr); varlist = M_.endo_names(1:M_.orig_endo_nbr);
@ -68,9 +80,10 @@ if isempty(parameter_set)
end end
end end
presample = max(1,options_.presample); presample = max(1,options_.presample-1);
if isfield(options_.shock_decomp,'presample') 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 end
% forecast_=0; % forecast_=0;
forecast_ = options_.shock_decomp.forecast; 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(:,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); zn(:,nshocks+1,i) = zn(:,nshocks+2,i) - sum(zn(:,1:nshocks,i),2);
end 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 end
%% %%
@ -260,28 +275,39 @@ for j=presample+1:nobs
if forecast_ if forecast_
zfrcst(:,:,j+1) = z(:,:,gend+1); 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 if j>forecast_+presample
%% realtime conditional shock decomp k step ahead %% 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) - ... zreal(:,:,j-forecast_:j) - ...
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j-forecast_)]); ootmp.realtime_forecast_shock_decomposition.(['time_' int2str(j-forecast_)]);
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end-1,:) = ... ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end-1,:) = ...
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end-1,:) + ... ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end-1,:) + ...
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end,:); ootmp.realtime_forecast_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end,:);
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end,:) = ... ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-forecast_)])(:,end,:) = ...
zreal(:,end,j-forecast_:j); 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 if j==nobs
for my_forecast_=(forecast_-1):-1:1 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) - ... zreal(:,:,j-my_forecast_:j) - ...
oo_.realtime_forecast_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,:,1:my_forecast_+1); ootmp.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,:) = ... ootmp.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end-1,:) = ...
oo_.realtime_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end-1,:) + ... ootmp.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); ootmp.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_conditional_shock_decomposition.(['time_' int2str(j-my_forecast_)])(:,end,:) = ...
zreal(:,end,j-my_forecast_:j); 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
end end

2
matlab/set_default_option.m
View File

@ -41,7 +41,7 @@ if isempty(options.(field))
return return
end end
if ~iscell(options.(field)) && ~isdates(options.(field)) if ~iscell(options.(field)) && ~isdates(options.(field)) && ~isstruct(options.(field))
if isnan(options.(field)) if isnan(options.(field))
options.(field) = default; options.(field) = default;
return 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/>. % along with Dynare. If not, see <http://www.gnu.org/licenses/>.
% indices of endogenous variables % 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) if isempty(varlist)
varlist = M_.endo_names(1:M_.orig_endo_nbr); varlist = M_.endo_names(1:M_.orig_endo_nbr);
end end
@ -123,5 +133,5 @@ end
oo_.shock_decomposition = z; oo_.shock_decomposition = z;
if ~options_.no_graph.shock_decomposition if ~options_.no_graph.shock_decomposition
plot_shock_decomposition(M_,oo_,options_,varlist); oo_ = plot_shock_decomposition(M_,oo_,options_,varlist);
end 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; end;
options_.initial_date=dates('1989Q4'); % date arbitrarily set for testing purposes 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 // standard plot
plot_shock_decomposition y_obs R_obs pie_obs dq de; 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 // 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; 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] // 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; 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 //realtime pooled
plot_shock_decomposition(realtime = 1) y_obs R_obs pie_obs dq de; plot_shock_decomposition(realtime = 1) y_obs R_obs pie_obs dq de;
@ -129,6 +136,7 @@ close all,
// now I test annualized variables // now I test annualized variables
// options_.plot_shock_decomp.q2a=1; // options_.plot_shock_decomp.q2a=1;
// options_.plot_shock_decomp.islog=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(detail_plot, type = aoa) y;
plot_shock_decomposition(realtime = 1) y; plot_shock_decomposition(realtime = 1) y;
@ -148,6 +156,9 @@ close all,
// testing realtime decomposition with fast_realtime option // testing realtime decomposition with fast_realtime option
realtime_shock_decomposition(fast_realtime=75) y_obs R_obs pie_obs dq de; 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; collect_latex_files;
if system(['pdflatex -halt-on-error -interaction=batchmode ' M_.fname '_TeX_binder.tex']) if system(['pdflatex -halt-on-error -interaction=batchmode ' M_.fname '_TeX_binder.tex'])
error('TeX-File did not compile.') error('TeX-File did not compile.')