function smoother2histval(opts) % This function takes values from oo_.SmoothedVariables (and possibly % oo_.SmoothedShocks) and copies them into M_.histval. % % Optional fields in 'opts' structure: % infile: An optional *_results MAT file created by Dynare. % If present, oo_.Smoothed{Variables,Shocks} are read from % there. Otherwise, they are read from the global workspace. % invars: An optional char or cell array listing variables to read in % oo_.SmoothedVariables. If absent, all the endogenous % variables present in oo_.SmoothedVariables are used. % period: An optional period number to use as the starting point % for subsequent simulations. It should be between 1 and % the number of observations that were used to produce the % smoothed values. If absent, the last observation is used. % outfile: An optional MAT file in which to save the histval structure. % If absent, the output will be written in M_.endo_histval % outvars: An optional char or cell array listing variables to be written in % outfile or M_.endo_histval. This cell must be of same % length than invars, and there is a mapping between the input % variable at the i-th position in invars, and the output % variable at the i-th position in outvars. If absent, then % taken as equal to invars. % % The function also uses the value of option_.parameter_set % Copyright (C) 2014-2018 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 . global M_ options_ oo_ if ~isfield(opts, 'infile') if ~isfield(oo_, 'SmoothedVariables') error('Could not find smoothed variables; did you set the "smoother" option?') end smoothedvars = oo_.SmoothedVariables; smoothedshocks = oo_.SmoothedShocks; steady_state = oo_.steady_state; else S = load(opts.infile); if ~isfield(S, 'oo_') || ~isfield(S.oo_, 'SmoothedVariables') error('Could not find smoothed variables in file; is this a Dynare results file, and did you set the "smoother" option when producing it?') end smoothedvars = S.oo_.SmoothedVariables; smoothedshocks = S.oo_.SmoothedShocks; steady_state = S.oo_.steady_state; end % Hack to determine if oo_.SmoothedVariables was computed after a Metropolis tmp = fieldnames(smoothedvars); if isstruct(getfield(smoothedvars, tmp{1})) post_metropolis = 1; if ~ isstruct(getfield(smoothedvars, tmp{end})) % point and metropolis results are simultaneously present post_metropolis = 2; end elseif isstruct(getfield(smoothedvars, tmp{end})) % point and metropolis results are simultaneously present post_metropolis = 2; else post_metropolis = 0; end if post_metropolis tmp = fieldnames(smoothedvars.Mean); tmpexo = fieldnames(smoothedshocks.Mean); else tmp = fieldnames(smoothedvars); tmpexo = fieldnames(smoothedshocks); end % If post-Metropolis, select the parameter set if isempty(options_.parameter_set) if post_metropolis smoothedvars = smoothedvars.Mean; smoothedshocks = smoothedshocks.Mean; steady_state = zeros(size(steady_state)); end else switch options_.parameter_set case 'calibration' if post_metropolis == 1 error('Option parameter_set=calibration is not consistent with computed smoothed values.') end case 'posterior_mode' if post_metropolis == 1 error('Option parameter_set=posterior_mode is not consistent with computed smoothed values.') end case 'posterior_mean' if ~post_metropolis error('Option parameter_set=posterior_mean is not consistent with computed smoothed values.') end smoothedvars = smoothedvars.Mean; smoothedshocks = smoothedshocks.Mean; steady_state = zeros(size(steady_state)); case 'posterior_median' if ~post_metropolis error('Option parameter_set=posterior_median is not consistent with computed smoothed values.') end smoothedvars = smoothedvars.Median; smoothedshocks = smoothedshocks.Median; steady_state = zeros(size(steady_state)); otherwise error([ 'Option parameter_set=' options_.parameter_set ' unsupported.' ]) end end % Determine number of periods n = size(getfield(smoothedvars, tmp{1})); if n < M_.maximum_endo_lag error('Not enough observations to create initial conditions') end if isfield(opts, 'invars') invars = opts.invars; if ischar(invars) invars = cellstr(invars); end else invars = [tmp; tmpexo]; end if isfield(opts, 'period') period = opts.period; if period > n error('The period that you indicated is beyond the data sample') end if period < M_.maximum_endo_lag error('The period that you indicated is too small to construct initial conditions') end else period = n; end if isfield(opts, 'outvars') outvars = opts.outvars; if ischar(outvars) outvars = cellstr(outvars); end if length(invars) ~= length(outvars) error('The number of input and output variables is not the same') end else outvars = invars; end % Initialize outputs if ~isfield(opts, 'outfile') % Output to M_.endo_histval M_.endo_histval = repmat(oo_.steady_state, 1, M_.maximum_endo_lag); else % Output to a file o = struct(); end % Handle all endogenous variables to be copied for i = 1:length(invars) if isempty(strmatch(invars{i}, M_.endo_names)) % Skip exogenous continue end s = getfield(smoothedvars, invars{i}); j = strmatch(invars{i}, M_.endo_names, 'exact'); v = s((period-M_.maximum_endo_lag+1):period);% + steady_state(j); if ~isfield(opts, 'outfile') j = strmatch(outvars{i}, M_.endo_names, 'exact'); if isempty(j) error(['smoother2histval: output variable ' outvars{i} ' does not exist.']) else M_.endo_histval(j, :) = v; end else % When saving to a file, x(-1) is in the variable called "x_" o = setfield(o, [ outvars{i} '_' ], v); end end % Handle auxiliary variables for lags (both on endogenous and exogenous) for i = 1:length(M_.aux_vars) if ~ ismember(M_.endo_names{M_.aux_vars(i).endo_index},invars) if M_.aux_vars(i).type ~= 1 && M_.aux_vars(i).type ~= 3 continue end if M_.aux_vars(i).type == 1 % Endogenous orig_var = M_.endo_names{M_.aux_vars(i).orig_index}; else % Exogenous orig_var = M_.exo_names{M_.aux_vars(i).orig_index}; end [m, k] = ismember(orig_var, outvars); if m if ~isempty(strmatch(invars{k}, M_.endo_names)) s = getfield(smoothedvars, invars{k}); else s = getfield(smoothedshocks, invars{k}); end l = M_.aux_vars(i).orig_lead_lag; if period-M_.maximum_endo_lag+1+l < 1 error('The period that you indicated is too small to construct initial conditions') end j = M_.aux_vars(i).endo_index; v = s((period-M_.maximum_endo_lag+1+l):(period+l)); %+steady_state(j); if ~isfield(opts, 'outfile') M_.endo_histval(j, :) = v; else % When saving to a file, x(-2) is in the variable called "x_l2" lead_lag = num2str(l); lead_lag = regexprep(lead_lag, '-', 'l'); o = setfield(o, [ orig_var '_' lead_lag ], v); end end end end % Finalize output if isfield(opts, 'outfile') save(opts.outfile, '-struct', 'o') end end