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: [char] List of variables % bayestopt_: [structure] describing the priors % estim_params_: [structure] characterizing parameters to be estimated % % OUTPUTS % oo_: [structure] Storage of results % % SPECIAL REQUIREMENTS % none % 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 . options_.plot_shock_decomp.detail_plot = options_.initial_condition_decomp.detail_plot; 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; % indices of endogenous variables if size(varlist,1) == 0 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,:); % 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') options_.selected_variables_only = 0; %make sure all variables are stored options_.plot_priors=0; [oo,junk1,junk2,Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_); % reduced form dr = oo.dr; % data reordering order_var = dr.order_var; inv_order_var = dr.inv_order_var; % coefficients A = dr.ghx; B = dr.ghu; % initialization gend = size(oo.SmoothedShocks.(deblank(M_.exo_names(1,:))),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 oo_.initval_decomposition = z; end % if ~options_.no_graph.shock_decomposition oo=oo_; oo.shock_decomposition = oo_.initval_decomposition; M_.exo_names = M_.endo_names; M_.exo_nbr = M_.endo_nbr; options_.plot_shock_decomp.screen_shocks=1; options_.plot_shock_decomp.use_shock_groups = ''; options_.plot_shock_decomp.fig_names='initval'; plot_shock_decomposition(M_,oo,options_,varlist); % end