315 lines
13 KiB
Matlab
315 lines
13 KiB
Matlab
function imcforecast(constrained_paths, constrained_vars, options_cond_fcst)
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% Computes conditional forecasts.
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%
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% INPUTS
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% - constrained_paths [double] m*p array, where m is the number of constrained endogenous variables and p is the number of constrained periods.
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% - constrained_vars [integer] m*1 array, indices in M_.endo_names of the constrained variables.
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% - options_cond_fcst [structure] containing the options. The fields are:
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%
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% + replic [integer] scalar, number of monte carlo simulations.
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% + parameter_set [char] values of the estimated parameters:
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% 'posterior_mode',
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% 'posterior_mean',
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% 'posterior_median',
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% 'prior_mode' or
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% 'prior mean'.
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% [double] np*1 array, values of the estimated parameters.
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% + controlled_varexo [cell] m*1 cell of row char array, list of controlled exogenous variables.
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% + conf_sig [double] scalar in [0,1], probability mass covered by the confidence bands.
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%
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% OUTPUTS
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% None.
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%
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% SPECIAL REQUIREMENTS
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% This routine has to be called after an estimation statement or an estimated_params block.
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%
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% REMARKS
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% [1] Results are stored in oo_.conditional_forecast.
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% [2] Use the function plot_icforecast to plot the results.
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% Copyright (C) 2006-2020 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 options_ oo_ M_ bayestopt_ estim_params_
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if ~isfield(options_cond_fcst,'parameter_set') || isempty(options_cond_fcst.parameter_set)
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if isfield(oo_,'posterior_mode')
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options_cond_fcst.parameter_set = 'posterior_mode';
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elseif isfield(oo_,'mle_mode')
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options_cond_fcst.parameter_set = 'mle_mode';
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else
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error('No valid parameter set found')
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end
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end
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if ~isfield(options_cond_fcst,'replic') || isempty(options_cond_fcst.replic)
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options_cond_fcst.replic = 5000;
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end
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if ~isfield(options_cond_fcst,'periods') || isempty(options_cond_fcst.periods)
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options_cond_fcst.periods = 40;
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end
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if ~isfield(options_cond_fcst,'conditional_forecast') || ~isfield(options_cond_fcst.conditional_forecast,'conf_sig') || isempty(options_cond_fcst.conditional_forecast.conf_sig)
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options_cond_fcst.conditional_forecast.conf_sig = .8;
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end
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if isequal(options_cond_fcst.parameter_set,'calibration')
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estimated_model = 0;
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else
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estimated_model = 1;
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end
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if estimated_model
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if options_.prefilter
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error('imcforecast:: Conditional forecasting does not support the prefiltering option')
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end
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if ischar(options_cond_fcst.parameter_set)
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switch options_cond_fcst.parameter_set
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case 'posterior_mode'
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xparam = get_posterior_parameters('mode',M_,estim_params_,oo_,options_);
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graph_title='Posterior Mode';
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case 'posterior_mean'
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xparam = get_posterior_parameters('mean',M_,estim_params_,oo_,options_);
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graph_title='Posterior Mean';
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case 'posterior_median'
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xparam = get_posterior_parameters('median',M_,estim_params_,oo_,options_);
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graph_title='Posterior Median';
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case 'mle_mode'
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xparam = get_posterior_parameters('mode',M_,estim_params_,oo_,options_,'mle_');
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graph_title='ML Mode';
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case 'prior_mode'
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xparam = bayestopt_.p5(:);
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graph_title='Prior Mode';
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case 'prior_mean'
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xparam = bayestopt_.p1;
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graph_title='Prior Mean';
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otherwise
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disp('imcforecast:: If the input argument is a string, then it has to be equal to:')
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disp(' ''calibration'', ')
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disp(' ''posterior_mode'', ')
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disp(' ''posterior_mean'', ')
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disp(' ''posterior_median'', ')
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disp(' ''prior_mode'' or')
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disp(' ''prior_mean''.')
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error('imcforecast:: Wrong argument type!')
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end
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else
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xparam = options_cond_fcst.parameter_set;
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if length(xparam)~=length(M_.params)
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error('imcforecast:: The dimension of the vector of parameters doesn''t match the number of estimated parameters!')
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end
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end
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set_parameters(xparam);
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[dataset_,dataset_info] = makedataset(options_);
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data = transpose(dataset_.data);
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data_index = dataset_info.missing.aindex;
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gend = dataset_.nobs;
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missing_value = dataset_info.missing.state;
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%store qz_criterium
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qz_criterium_old=options_.qz_criterium;
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options_=select_qz_criterium_value(options_);
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options_smoothed_state_uncertainty_old = options_.smoothed_state_uncertainty;
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[atT, ~, ~, ~,ys, ~, ~, ~, ~, ~, ~, ~, ~, ~,M_,oo_,bayestopt_] = ...
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DsgeSmoother(xparam, gend, data, data_index, missing_value, M_, oo_, options_, bayestopt_, estim_params_);
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options_.smoothed_state_uncertainty = options_smoothed_state_uncertainty_old;
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%get constant part
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if options_.noconstant
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constant = zeros(size(ys,1),options_cond_fcst.periods+1);
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else
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if options_.loglinear
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constant = repmat(log(ys),1,options_cond_fcst.periods+1);
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else
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constant = repmat(ys,1,options_cond_fcst.periods+1);
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end
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end
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%get trend part (which also takes care of prefiltering); needs to
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%include the last period
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if bayestopt_.with_trend == 1
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[trend_addition] =compute_trend_coefficients(M_,options_,size(bayestopt_.smoother_mf,1),gend+options_cond_fcst.periods);
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trend_addition = trend_addition(:,gend:end);
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else
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trend_addition=zeros(size(bayestopt_.smoother_mf,1),1+options_cond_fcst.periods);
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end
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% add trend to constant
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for obs_iter=1:length(options_.varobs)
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j = strcmp(options_.varobs{obs_iter}, M_.endo_names);
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constant(j,:) = constant(j,:) + trend_addition(obs_iter,:);
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end
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trend = constant(oo_.dr.order_var,:);
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InitState(:,1) = atT(:,end);
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else
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qz_criterium_old=options_.qz_criterium;
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if isempty(options_.qz_criterium)
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options_.qz_criterium = 1+1e-6;
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end
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graph_title='Calibration';
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if ~isfield(oo_.dr,'kstate')
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error('You need to call stoch_simul before conditional_forecast')
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end
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end
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if options_.logged_steady_state %if steady state was previously logged, undo this
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oo_.dr.ys=exp(oo_.dr.ys);
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oo_.steady_state=exp(oo_.steady_state);
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options_.logged_steady_state=0;
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end
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[T, R, ys, ~, M_, oo_] = dynare_resolve(M_, options_, oo_);
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if options_.loglinear && isfield(oo_.dr,'ys') && options_.logged_steady_state==0 %log steady state
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oo_.dr.ys=log_variable(1:M_.endo_nbr,oo_.dr.ys,M_);
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ys=oo_.dr.ys;
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oo_.steady_state=log_variable(1:M_.endo_nbr,oo_.steady_state,M_);
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options_.logged_steady_state=1; %set option for use in stoch_simul
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end
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if ~isdiag(M_.Sigma_e)
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warning(sprintf('The innovations are correlated (the covariance matrix has non zero off diagonal elements), the results of the conditional forecasts will\ndepend on the ordering of the innovations (as declared after varexo) because a Cholesky decomposition is used to factorize the covariance matrix.\n\n=> It is preferable to declare the correlations in the model block (explicitly imposing the identification restrictions), unless you are satisfied\nwith the implicit identification restrictions implied by the Cholesky decomposition.'))
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sQ = chol(M_.Sigma_e,'lower');
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else
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sQ = sqrt(M_.Sigma_e);
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end
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if ~estimated_model
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if isempty(M_.endo_histval)
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y0 = ys;
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else
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if options_.loglinear
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%make sure that only states are updated (controls have value of 0 in vector)
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y0=zeros(size(ys));
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y0_logged = log_variable(1:M_.endo_nbr,M_.endo_histval,M_);
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y0(M_.endo_histval~=0)=y0_logged(M_.endo_histval~=0);
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else
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y0 = M_.endo_histval;
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end
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end
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InitState(:,1) = y0(oo_.dr.order_var)-ys(oo_.dr.order_var,:); %initial state in deviations from steady state
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trend = repmat(ys(oo_.dr.order_var,:),1,options_cond_fcst.periods+1); %trend needs to contain correct steady state
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end
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NumberOfStates = length(InitState);
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FORCS1 = zeros(NumberOfStates,options_cond_fcst.periods+1,options_cond_fcst.replic);
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FORCS1(:,1,:) = repmat(InitState,1,options_cond_fcst.replic); %set initial steady state to deviations from steady state in first period
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EndoSize = M_.endo_nbr;
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ExoSize = M_.exo_nbr;
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n1 = size(constrained_vars,1);
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n2 = size(options_cond_fcst.controlled_varexo,1);
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constrained_vars = oo_.dr.inv_order_var(constrained_vars); % must be in decision rule order
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if n1 ~= n2
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error('imcforecast:: The number of constrained variables doesn''t match the number of controlled shocks')
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end
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% Get indices of controlled varexo.
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[~, controlled_varexo] = ismember(options_cond_fcst.controlled_varexo,M_.exo_names);
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mv = zeros(n1, NumberOfStates);
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mu = zeros(ExoSize, n2);
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for i=1:n1
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mv(i,constrained_vars(i)) = 1;
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mu(controlled_varexo(i),i) = 1;
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end
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% number of periods with constrained values
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cL = size(constrained_paths,2);
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%transform constrained periods into deviations from steady state; note that
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%trend includes last actual data point and therefore we need to start in
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%period 2
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constrained_paths = bsxfun(@minus,constrained_paths,trend(constrained_vars,2:1+cL));
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FORCS1_shocks = zeros(n1,cL,options_cond_fcst.replic);
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%randn('state',0);
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for b=1:options_cond_fcst.replic %conditional forecast using cL set to constrained values
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shocks = sQ*randn(ExoSize,options_cond_fcst.periods);
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shocks(controlled_varexo,:) = zeros(n1, options_cond_fcst.periods);
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[FORCS1(:,:,b), FORCS1_shocks(:,:,b)] = mcforecast3(cL,options_cond_fcst.periods,constrained_paths,shocks,FORCS1(:,:,b),T,R,mv, mu);
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FORCS1(:,:,b)=FORCS1(:,:,b)+trend; %add trend
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end
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if max(max(max(abs(bsxfun(@minus,FORCS1(constrained_vars,1+1:1+cL,:),trend(constrained_vars,1:cL)+constrained_paths)))))>1e-4
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fprintf('\nconditional_forecasts: controlling of variables was not successful.\n')
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fprintf('This can be due to numerical imprecision (e.g. explosive simulations)\n')
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fprintf('or because the instrument(s) do not allow controlling the variable(s).\n')
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end
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mFORCS1 = mean(FORCS1,3);
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mFORCS1_shocks = mean(FORCS1_shocks,3);
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tt = (1-options_cond_fcst.conditional_forecast.conf_sig)/2;
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t1 = max(1,round(options_cond_fcst.replic*tt));
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t2 = min(options_cond_fcst.replic,round(options_cond_fcst.replic*(1-tt)));
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forecasts.controlled_variables = constrained_vars;
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forecasts.instruments = options_cond_fcst.controlled_varexo;
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for i = 1:EndoSize
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forecasts.cond.Mean.(M_.endo_names{oo_.dr.order_var(i)}) = mFORCS1(i,:)';
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if size(FORCS1,2)>1
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tmp = sort(squeeze(FORCS1(i,:,:))');
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else
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tmp = sort(squeeze(FORCS1(i,:,:)));
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end
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forecasts.cond.ci.(M_.endo_names{oo_.dr.order_var(i)}) = [tmp(t1,:)' ,tmp(t2,:)' ]';
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end
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for i = 1:n1
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forecasts.controlled_exo_variables.Mean.(options_cond_fcst.controlled_varexo{i}) = mFORCS1_shocks(i,:)';
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if size(FORCS1_shocks,2)>1
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tmp = sort(squeeze(FORCS1_shocks(i,:,:))');
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else
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tmp = sort(squeeze(FORCS1_shocks(i,:,:)));
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end
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forecasts.controlled_exo_variables.ci.(options_cond_fcst.controlled_varexo{i}) = [tmp(t1,:)' ,tmp(t2,:)' ]';
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end
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clear FORCS1 mFORCS1_shocks;
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FORCS2 = zeros(NumberOfStates,options_cond_fcst.periods+1,options_cond_fcst.replic);
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FORCS2(:,1,:) = repmat(InitState,1,options_cond_fcst.replic); %set initial steady state to deviations from steady state in first period
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for b=1:options_cond_fcst.replic %conditional forecast using cL set to 0
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shocks = sQ*randn(ExoSize,options_cond_fcst.periods);
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shocks(controlled_varexo,:) = zeros(n1, options_cond_fcst.periods);
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FORCS2(:,:,b) = mcforecast3(0,options_cond_fcst.periods,constrained_paths,shocks,FORCS2(:,:,b),T,R,mv, mu)+trend;
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end
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mFORCS2 = mean(FORCS2,3);
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for i = 1:EndoSize
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forecasts.uncond.Mean.(M_.endo_names{oo_.dr.order_var(i)})= mFORCS2(i,:)';
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if size(FORCS2,2)>1
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tmp = sort(squeeze(FORCS2(i,:,:))');
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else
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tmp = sort(squeeze(FORCS2(i,:,:)));
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end
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forecasts.uncond.ci.(M_.endo_names{oo_.dr.order_var(i)}) = [tmp(t1,:)' ,tmp(t2,:)' ]';
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end
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forecasts.graph.title = graph_title;
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forecasts.graph.fname = M_.fname;
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%reset qz_criterium
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options_.qz_criterium=qz_criterium_old;
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oo_.conditional_forecast = forecasts;
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