function [options_, oo_]=ms_forecast(M_, options_, oo_) % function [options_, oo_]=ms_forecast(M_, options_, oo_) % Markov-switching SBVAR: Forecast % % INPUTS % M_: (struct) model structure % options_: (struct) options % oo_: (struct) results % % OUTPUTS % options_: (struct) options % oo_: (struct) results % % SPECIAL REQUIREMENTS % none % Copyright (C) 2011-2020 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 . disp('MS-SBVAR Forecasts'); options_ = set_file_tags(options_); [options_, oo_] = set_ms_estimation_file(options_.ms.file_tag, options_, oo_); clean_ms_forecast_files(options_.ms.output_file_tag); forecastdir = [options_.ms.output_file_tag filesep 'Forecast']; create_dir(forecastdir); % setup command line options opt = ['-forecast -nodate -seed ' num2str(options_.DynareRandomStreams.seed)]; opt = [opt ' -do ' forecastdir]; opt = [opt ' -ft ' options_.ms.file_tag]; opt = [opt ' -fto ' options_.ms.output_file_tag]; opt = [opt ' -horizon ' num2str(options_.ms.horizon)]; opt = [opt ' -thin ' num2str(options_.ms.thinning_factor)]; opt = [opt ' -data ' num2str(options_.ms.forecast_data_obs)]; if options_.ms.regimes opt = [opt ' -regimes']; elseif options_.ms.regime % regime-1 since regime is 0-indexed in C but 1-indexed in Matlab opt = [opt ' -regime ' num2str(options_.ms.regime-1)]; end if options_.ms.parameter_uncertainty options_ = set_ms_simulation_file(options_); opt = [opt ' -parameter_uncertainty']; opt = [opt ' -shocks_per_parameter ' num2str(options_.ms.shocks_per_parameter)]; else opt = [opt ' -shocks_per_parameter ' num2str(options_.ms.shock_draws)]; end percentiles_size = 0; if options_.ms.median percentiles_size = 1; opt = [opt ' -percentiles ' num2str(percentiles_size) ' 0.5']; else percentiles_size = size(options_.ms.percentiles,2); opt = [opt ' -percentiles ' num2str(percentiles_size)]; for i=1:size(options_.ms.percentiles,2) opt = [opt ' ' num2str(options_.ms.percentiles(i))]; end end % forecast ms_sbvar_command_line(opt); % Plot Forecasts if options_.ms.regimes n_chains = length(options_.ms.ms_chain); n_regimes=1; for i_chain=1:n_chains n_regimes = n_regimes*length(options_.ms.ms_chain(i_chain).regime); end for regime_i=1:n_regimes forecast_title = ['Forecast, Regimes ' num2str(regime_i)]; forecast_data = load([forecastdir filesep 'forecasts_percentiles_regime_' ... num2str(regime_i-1) '_' options_.ms.output_file_tag ... '.out'], '-ascii'); forecast_data = reshape_ascii_forecast_data(M_.endo_nbr, ... percentiles_size, options_.ms.horizon, forecast_data); save([forecastdir filesep 'forecast_regime_' num2str(regime_i-1) '.mat'], ... 'forecast_data'); plot_ms_forecast(M_, options_, forecast_data, forecast_title); end else if options_.ms.regime forecast_data = load([forecastdir filesep 'forecasts_percentiles_regime_' ... num2str(options_.ms.regime-1) '_' options_.ms.output_file_tag ... '.out'], '-ascii'); forecast_title = ['Forecast, Regime ' num2str(options_.ms.regime)]; save_filename = ['forecast_regime_' num2str(options_.ms.regime-1) '.mat']; else forecast_data = load([forecastdir filesep 'forecasts_percentiles_' ... options_.ms.output_file_tag '.out'], '-ascii'); forecast_title = 'Forecast'; save_filename = 'forecast.mat'; end forecast_data = reshape_ascii_forecast_data(M_.endo_nbr, ... percentiles_size, options_.ms.horizon, forecast_data); save([forecastdir filesep save_filename], 'forecast_data'); plot_ms_forecast(M_, options_, forecast_data, forecast_title); end end