function oo_ = initial_condition_decomposition(M_,oo_,options_,varlist,bayestopt_,estim_params_) % function oo_ = initial_condition_decomposition(M_,oo_,options_,varlist,bayestopt_,estim_params_) % Computes initial condition contribution to a simulated trajectory. The field set is % oo_.initval_decomposition. It is a n_var by n_var+2 by nperiods array. The % first n_var columns store the respective endogenous initval contribution, column n+1 % stores the role of the shocks, while column n+2 stores the % value of the smoothed variables. Variables are stored % in the order of declaration, i.e. M_.endo_names. % % INPUTS % M_: [structure] Definition of the model % oo_: [structure] Storage of results % options_: [structure] Options % varlist: [cell of char array] List of variables % bayestopt_: [structure] Description of the priors % estim_params_: [structure] Estimated parameters % % OUTPUTS % oo_: [structure] Storage of results % % SPECIAL REQUIREMENTS % none % Copyright © 2017-2018 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 . options_.plot_shock_decomp.colormap = options_.initial_condition_decomp.colormap; options_.plot_shock_decomp.nodisplay = options_.initial_condition_decomp.nodisplay; options_.plot_shock_decomp.graph_format = options_.initial_condition_decomp.graph_format; options_.plot_shock_decomp.fig_name = options_.initial_condition_decomp.fig_name; options_.plot_shock_decomp.detail_plot = options_.initial_condition_decomp.detail_plot; options_.plot_shock_decomp.init2shocks = options_.initial_condition_decomp.init2shocks; options_.plot_shock_decomp.steadystate = options_.initial_condition_decomp.steadystate; options_.plot_shock_decomp.write_xls = options_.initial_condition_decomp.write_xls; options_.plot_shock_decomp.type = options_.initial_condition_decomp.type; options_.plot_shock_decomp.plot_init_date = options_.initial_condition_decomp.plot_init_date; options_.plot_shock_decomp.plot_end_date = options_.initial_condition_decomp.plot_end_date; options_.plot_shock_decomp.diff = options_.initial_condition_decomp.diff; options_.plot_shock_decomp.flip = options_.initial_condition_decomp.flip; options_.plot_shock_decomp.max_nrows = options_.initial_condition_decomp.max_nrows; if isfield(options_.initial_condition_decomp,'init2shocks') % private trap for uimenu calls init2shocks=options_.initial_condition_decomp.init2shocks; else init2shocks=[]; end % indices of endogenous variables if isempty(varlist) varlist = M_.endo_names(1:M_.orig_endo_nbr); end 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; % parameter set parameter_set = options_.parameter_set; if isempty(parameter_set) if isfield(oo_,'posterior_mean') parameter_set = 'posterior_mean'; elseif isfield(oo_,'mle_mode') parameter_set = 'mle_mode'; elseif isfield(oo_,'posterior') parameter_set = 'posterior_mode'; else error(['shock_decomposition: option parameter_set is not specified ' ... 'and posterior mode is not available']) end end 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 with_epilogue = options_.initial_condition_decomp.with_epilogue; options_.selected_variables_only = 0; %make sure all variables are stored options_.plot_priors=0; [oo_local,M,~,~,Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_); % reduced form dr = oo_local.dr; % data reordering order_var = dr.order_var; inv_order_var = dr.inv_order_var; % coefficients A = dr.ghx; B = dr.ghu; % initialization gend = length(oo_local.SmoothedShocks.(M_.exo_names{1})); %+options_.forecast; z = zeros(endo_nbr,endo_nbr+2,gend); z(:,end,:) = Smoothed_Variables_deviation_from_mean; for i=1:endo_nbr z(i,i,1) = Smoothed_Variables_deviation_from_mean(i,1); end maximum_lag = M_.maximum_lag; k2 = dr.kstate(find(dr.kstate(:,2) <= maximum_lag+1),[1 2]); i_state = order_var(k2(:,1))+(min(i,maximum_lag)+1-k2(:,2))*M_.endo_nbr; for i=1:gend if i > 1 && i <= maximum_lag+1 lags = min(i-1,maximum_lag):-1:1; end if i > 1 tempx = permute(z(:,1:endo_nbr,lags),[1 3 2]); m = min(i-1,maximum_lag); tempx = [reshape(tempx,endo_nbr*m,endo_nbr); zeros(endo_nbr*(maximum_lag-i+1),endo_nbr)]; z(:,1:endo_nbr,i) = A(inv_order_var,:)*tempx(i_state,:); lags = lags+1; end z(:,endo_nbr+1,i) = z(:,endo_nbr+2,i) - sum(z(:,1:endo_nbr,i),2); end if with_epilogue [z, epilogue_steady_state] = epilogue_shock_decomposition(z, M_, oo_); if ~isfield(oo_,'shock_decomposition_info') || ~isfield(oo_.shock_decomposition_info,'epilogue_steady_state') oo_.shock_decomposition_info.epilogue_steady_state = epilogue_steady_state; end end oo_.initval_decomposition = z; 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_local=oo_; oo_local.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_local.shock_decomposition(:,end-1,:)=oo_local.shock_decomposition(:,j,:)+oo_local.shock_decomposition(:,end-1,:); oo_local.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_local,options_,varlist); end