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fixing bug for shock_decomposition with calibrated model (issue #259)

time-shift
Michel Juillard 2013-06-03 16:44:59 +02:00
parent 2f248dcec4
commit ed4d184c9d
2 changed files with 13 additions and 48 deletions
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57
matlab/evaluate_smoother.m
View File

@ -1,9 +1,10 @@
function oo = evaluate_smoother(parameters)
function oo = evaluate_smoother(parameters,var_list)
% Evaluate the smoother at parameters.
%
% INPUTS
% o parameters a string ('posterior mode','posterior mean','posterior median','prior mode','prior mean') or a vector of values for
% the (estimated) parameters of the model.
% o var_list subset of endogenous variables
%
%
% OUTPUTS
@ -24,7 +25,7 @@ function oo = evaluate_smoother(parameters)
% [1] This function use persistent variables for the dataset and the description of the missing observations. Consequently, if this function
% is called more than once (by changing the value of parameters) the sample *must not* change.
% Copyright (C) 2010-2012 Dynare Team
% Copyright (C) 2010-2013 Dynare Team
%
% This file is part of Dynare.
%
@ -41,10 +42,17 @@ function oo = evaluate_smoother(parameters)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global options_ M_ bayestopt_ oo_
global options_ M_ bayestopt_ oo_ estim_params_ % estim_params_ may be emty
persistent dataset_
if isempty(dataset_) || isempty(bayestopt_)
options = options_;
options.smoother = 1; % this is necessary because of a check in dynare_estimation_init()
[dataset_,xparam1, M_, options_, oo_, estim_params_,bayestopt_] = dynare_estimation_init(var_list, M_.fname, [], M_, options, oo_, estim_params_, bayestopt_);
end
if nargin==0
parameters = 'posterior_mode';
end
@ -78,49 +86,6 @@ if ischar(parameters)
end
end
if isempty(dataset_)
% Load and transform data.
transformation = [];
if options_.loglinear && ~options_.logdata
transformation = @log;
end
xls.sheet = options_.xls_sheet;
xls.range = options_.xls_range;
if ~isfield(options_,'nobs')
options_.nobs = [];
end
dataset_ = initialize_dataset(options_.datafile,options_.varobs,options_.first_obs,options_.nobs,transformation,options_.prefilter,xls);
options_.nobs = dataset_.info.ntobs;
% Determine if a constant is needed.
if options_.steadystate_flag% if the *_steadystate.m file is provided.
[ys,params,info] = evaluate_steady_state(oo_.steady_state,M_,options_,oo_,1);
if size(ys,1) < M_.endo_nbr
if length(M_.aux_vars) > 0
ys = add_auxiliary_variables_to_steadystate(ys,M_.aux_vars,...
M_.fname,...
zeros(M_.exo_nbr,1),...
oo_.exo_det_steady_state,...
M_.params,...
options_.bytecode);
else
error([M_.fname '_steadystate.m doesn''t match the model']);
end
end
oo_.steady_state = ys;
else% if the steady state file is not provided.
[dd,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
oo_.steady_state = dd.ys; clear('dd');
end
if all(abs(oo_.steady_state(bayestopt_.mfys))<1e-9)
options_.noconstant = 1;
else
options_.noconstant = 0;
end
end
pshape_original = bayestopt_.pshape;
bayestopt_.pshape = Inf(size(bayestopt_.pshape));
clear('priordens')

4
matlab/shock_decomposition.m
View File

@ -14,7 +14,7 @@ function oo_ = shock_decomposition(M_,oo_,options_,varlist)
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2009-2011 Dynare Team
% Copyright (C) 2009-2013 Dynare Team
%
% This file is part of Dynare.
%
@ -57,7 +57,7 @@ if isempty(parameter_set)
end
end
oo = evaluate_smoother(parameter_set);
oo = evaluate_smoother(parameter_set,varlist);
% reduced form
dr = oo.dr;