From f57fc0a5a3eb0910e7b4433c2cf2419a5e2d6438 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Charybdis=29?=
 <stephane.adjemian@univ-lemans.fr>
Date: Wed, 5 Apr 2017 13:41:55 +0200
Subject: [PATCH] Added new routine for model inversion.

---
 matlab/model_inversion.m | 102 +++++++++++++++++++++++++++++++++++++++
 1 file changed, 102 insertions(+)
 create mode 100644 matlab/model_inversion.m

diff --git a/matlab/model_inversion.m b/matlab/model_inversion.m
new file mode 100644
index 000000000..311dc1ef2
--- /dev/null
+++ b/matlab/model_inversion.m
@@ -0,0 +1,102 @@
+function [endogenousvariables, exogenousvariables] = model_inversion(constraints, exogenousvariables, initialconditions, DynareModel)
+
+global oo_
+
+% INPUTS 
+% - constraints         [dseries]        with N constrained endogenous variables from t1 to t2.
+% - exogenousvariables  [dseries]        with Q exogenous variables.
+% - initialconditions   [dseries]        with M endogenous variables starting before t1 (M initialcond must contain at least the state variables).
+% - DynareModel         [struct]         M_, Dynare global structure containing informations related to the model.
+%
+% OUTPUTS 
+% - endogenous          [dseries]       
+% - exogenous           [dseries]
+%
+% REMARKS 
+
+% Copyright (C) 2017 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/>.
+
+if ~isequal(nargin, 4)
+    error('model_inversion: This routine require six input arguments!')
+end
+
+if ~isdseries(constraints)
+    error('model_inversion: First input argument must be a dseries object!')
+end
+
+if ~isdseries(exogenousvariables)
+    error('model_inversion: Second input argument must be a dseries object!')
+end
+
+if ~isdseries(initialconditions)
+    error('model_inversion: Third input argument must be a dseries object!')
+end
+
+if ~isstruct(DynareModel)
+    error('model_inversion: Last input argument must be structures (M_)!')
+end
+
+% Set range where the endogenous variables are constrained.  
+crange = constraints.dates;
+
+% Check that the number of instruments match the number of constrained endogenous variables.
+instruments = exogenousvariables(crange);
+freeinnovations = instruments.name(find(all(isnan(instruments))));
+if ~isequal(length(freeinnovations), constraints.vobs)
+    error('model_inversion: The number of instruments must be equal to the number of constrained variables!')
+end
+
+% Check if some of the exogenous variables are given.
+observed_exogenous_variables_flag = false;
+if exogenousvariables.vobs>constraints.vobs
+    observed_exogenous_variables_flag = true;
+end
+
+% Get the list of endogenous and exogenous variables.
+endo_names = cellstr(DynareModel.endo_names);
+exo_names = cellstr(DynareModel.exo_names);
+
+% Initialize fplan
+fplan = init_plan(crange);
+
+% Set the exogenous observed variables.
+if observed_exogenous_variables_flag
+    list_of_observed_exogenous_variables = setdiff(exo_names, freeinnovations);
+    observed_exogenous_variables = exogenousvariables{list_of_observed_exogenous_variables{:}};
+    for i=1:length(list_of_observed_exogenous_variables)
+        fplan = basic_plan(fplan, list_of_observed_exogenous_variables{i}, ...
+                           'surprise', crange, observed_exogenous_variables{list_of_observed_exogenous_variables{i}}.data(2:length(crange)+1));
+    end
+end
+
+% Set constrained path for the endogenous variables.
+for i = 1:constraints.vobs
+    fplan = flip_plan(fplan, constraints.name{i}, freeinnovations{i}, 'surprise', crange, transpose(constraints.data(:,i)));
+end
+
+% Identify the innovations (model inversion)
+f = det_cond_forecast(fplan, initialconditions, crange);
+
+endogenousvariables = f{endo_names{:}};
+exogenousvariables = f{exo_names{:}};
+
+%if observed_exogenous_variables_flag
+%    for i=1:length(list_of_observed_exogenous_variables)
+%        exogenousvariables{list_of_observed_exogenous_variables{i}} = observed_exogenous_variables{list_of_observed_exogenous_variables{i}};
+%    end
+%end
\ No newline at end of file