dynare/matlab/smoother2histval.m

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 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 <http://www.gnu.org/licenses/>.

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;
else
    post_metropolis = 0;
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
            error('Option parameter_set=calibration is not consistent with computed smoothed values.')
        end
      case 'posterior_mode'
        if post_metropolis
            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
tmp = fieldnames(smoothedvars);
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 = [fieldnames(smoothedvars); fieldnames(smoothedshocks)];
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 M_.aux_vars(i).type ~= 1 && M_.aux_vars(i).type ~= 3
        continue
    end
    if M_.aux_vars(i).type == 1
        % Endogenous
        orig_var = deblank(M_.endo_names(M_.aux_vars(i).orig_index, :));
    else
        % Exogenous
        orig_var = deblank(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

% Finalize output
if isfield(opts, 'outfile')
    save(opts.outfile, '-struct', 'o')
end

end