122 lines
5.3 KiB
Matlab
122 lines
5.3 KiB
Matlab
function decomposition = shock_decomposition_backward(simulations, initialconditions, shocklist, endograph, use_shock_groups)
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% Computes and possibly plots the shock decomposition of a backward (possibly nonlinear)
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% model simulation.
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%
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% Inputs:
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% - simulations dseries object as returned by simul_backward_model
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% - initialconditions dseries object as passed to simul_backward_model
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% - shocklist a cell array listing the (names of the) shocks whose contribution should be
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% computed. The order matters: the contribution of a shock appearing at index
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% i is computed as the difference between the simulation where all shocks ≥i+1
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% are zero and the simulation where all shocks ≥i are zero. It is also
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% possible to put in this list shock groups, as defined in a shock_groups
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% block
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% - endograph an optional cell array listing the (names of the) endogenous variables for
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% which a shock decomposition graph should be created
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% - use_shock_groups an optional string giving the name of the shock_groups block to be used to
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% resolve shock groups listed in shocklist. If not given, 'default' is used.
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%
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% Output:
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% - decomposition a 3D array of size endo_nbr×nshocks×nperiods where nshocks=length(shocklist)
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% and nperiods is the number of simulation periods (i.e. excluding the initial
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% conditions)
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% Copyright © 2020-2021 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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global M_ options_
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narginchk(3, 5);
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if nargin < 4
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endograph = {};
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end
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if nargin < 5
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use_shock_groups = 'default';
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end
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% Extract matrix of innovations from the whole simulation paths
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simdates = simulations.dates(initialconditions.nobs+1:end);
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innovations = simulations{M_.exo_names{:}}(simdates);
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% Number of simulation periods
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nperiods = simulations.nobs - initialconditions.nobs;
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decomposition = NaN(M_.endo_nbr, length(shocklist), nperiods);
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% Add auxiliary variables to simulation paths
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if exist(sprintf('+%s/dynamic_set_auxiliary_series.m', M_.fname), 'file')
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simulations = feval(sprintf('%s.dynamic_set_auxiliary_series', M_.fname), simulations, M_.params);
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end
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for i = length(shocklist):-1:1
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% Zero the innovation(s) corresponding to this shock or shock group
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if ismember(shocklist{i}, M_.exo_names)
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innovations{shocklist{i}}(simdates) = zeros(nperiods, 1);
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else % This is a shock group
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if ~ismember(use_shock_groups, fieldnames(M_.shock_groups))
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error(['Unknown shock_groups block: ' use_shock_groups])
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end
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groups = fieldnames(M_.shock_groups.(use_shock_groups));
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shocks_in_group = [];
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for j = 1:length(groups)
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if strcmp(shocklist{i}, M_.shock_groups.(use_shock_groups).(groups{j}).label)
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shocks_in_group = M_.shock_groups.(use_shock_groups).(groups{j}).shocks;
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break
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end
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end
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if isempty(shocks_in_group)
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error(['Unknown shock group: ' shocklist{i}])
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end
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for j = 1:length(shocks_in_group)
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innovations{shocks_in_group{j}}(simdates) = zeros(nperiods, 1);
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end
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end
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% Compute simulation with the current shock or shock group removed
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simulations_new = simul_backward_model(initialconditions, nperiods, innovations);
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if exist(sprintf('+%s/dynamic_set_auxiliary_series.m', M_.fname), 'file')
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simulations_new = feval(sprintf('%s.dynamic_set_auxiliary_series', M_.fname), simulations_new, M_.params);
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end
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% Compute the contribution of the current shock or shock group
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if ~isoctave && matlab_ver_less_than('9.7')
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% Workaround for MATLAB bug described in dseries#45
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% The solution is to avoid using the "end" keyword
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myend = nobs(simulations);
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contribution = simulations{M_.endo_names{:}}.data(initialconditions.nobs+1:myend, :) ...
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- simulations_new{M_.endo_names{:}}.data(initialconditions.nobs+1:myend, :);
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else
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contribution = simulations{M_.endo_names{:}}.data(initialconditions.nobs+1:end, :) ...
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- simulations_new{M_.endo_names{:}}.data(initialconditions.nobs+1:end, :);
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end
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decomposition(:, i, :) = contribution';
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simulations = simulations_new;
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end
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% Plot the decomposition
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for i = 1:length(endograph)
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h = dyn_figure(options_.plot_shock_decomp.nodisplay, 'Name', [ 'Shock decomposition for ' endograph{i}]);
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endoidx = find(strcmp(endograph{i}, M_.endo_names));
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bar(double(simdates), squeeze(decomposition(endoidx, :, :))', 'stacked')
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legend(shocklist)
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end
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end
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