335 lines
12 KiB
Matlab
335 lines
12 KiB
Matlab
function [z, endo_names, endo_names_tex, steady_state, i_var, oo_] = annualized_shock_decomposition(oo_, M_, options_, i_var, t0, t1, realtime_, vintage_, steady_state, q2a, cumfix)
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% function oo_ = annualized_shock_decomposition(oo_,t0,options_.nobs);
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% Computes annualized shocks contribution to a simulated trajectory. The fields set are
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% oo_.annualized_shock_decomposition, oo_.annualized_realtime_shock_decomposition,
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% oo_.annualized_realtime_conditional_shock_decomposition and oo_.annualized_realtime_forecast_shock_decomposition.
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% Subfields are arrays n_var by nshock+2 by nperiods. The
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% first nshock columns store the respective shock contributions, column n+1
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% stores the role of the initial conditions, while column n+2 stores the
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% value of the smoothed variables. Both the variables and shocks are stored
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% in the order of endo_names and M_.exo_names, respectively.
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%
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% INPUTS
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% oo_: [structure] Storage of results
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% M_: [structure] Storage of model
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% opts: [structure] options for shock decomp
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% i_var: [array] index of vars
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% t0: [integer] first period
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% t1: [integer] last period
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% realtime_: [integer]
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% vintage_: [integer]
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% steady_state: [array] steady state value of quarterly (log-) level vars
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% q2a: [structure] info on q2a
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%
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% OUTPUTS
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% z: [matrix] shock decomp to plot
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% endo_names: [char] updated var names
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% endo_names_tex: [char] updated TeX var names
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% steady_state: [array] updated stady state of vars
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% i_var: [integer array] updated var indices to plot
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% oo_: [structure] Storage of results
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2017 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 <http://www.gnu.org/licenses/>.
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opts = options_.plot_shock_decomp;
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nvar = length(i_var);
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GYTREND0 = q2a.GYTREND0;
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var_type = q2a.type;
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islog = q2a.islog;
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aux = q2a.aux;
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aux0 = aux;
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cumfix = q2a.cumfix;
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% usual shock decomp
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if isstruct(oo_)
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% z = oo_.shock_decomposition;
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myopts=options_;
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myopts.plot_shock_decomp.type='qoq';
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myopts.plot_shock_decomp.realtime=0;
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[z, junk] = plot_shock_decomposition(M_,oo_,myopts,[]);
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else
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z = oo_;
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end
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z = z(i_var,:,:);
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mytype=var_type;
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if isfield(q2a,'name')
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mytxt = q2a.name;
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mytex = q2a.name;
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if isfield(q2a,'tex_name')
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mytex = q2a.tex_name;
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end
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if mytype==2,
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gtxt = ['PHI' mytxt]; % inflation rate
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gtex = ['{\pi(' mytex ')}'];
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elseif mytype
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gtxt = ['G' mytxt]; % inflation rate
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gtex = ['{g(' mytex ')}'];
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end
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if isfield(q2a,'gname')
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gtxt = q2a.gname;
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end
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if isfield(q2a,'tex_gname')
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gtex = q2a.tex_gname;
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end
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mytype=0;
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end
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if isstruct(aux)
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if ischar(aux.y)
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myopts=options_;
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myopts.plot_shock_decomp.type='qoq';
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myopts.plot_shock_decomp.realtime=0;
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[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux.y);
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aux.y=y_aux;
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aux.yss=steady_state_aux;
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end
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yaux=aux.y;
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end
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if mytype==2,
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gtxt = 'PHI'; % inflation rate
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gtex = '\pi';
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elseif mytype
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gtxt = 'G'; % growth rate
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gtex = 'g';
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end
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steady_state=steady_state(i_var);
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% endo_names = M_.endo_names(i_var,:);
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% endo_names_tex = M_.endo_names_tex(i_var,:);
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nterms = size(z,2);
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nfrcst = opts.forecast/4;
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for j=1:nvar
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if j>1,
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endo_names = char(endo_names,[deblank(M_.endo_names(i_var(j),:)) '_A']);
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endo_names_tex = char(endo_names_tex,['{' deblank(M_.endo_names_tex(i_var(j),:)) '}^A']);
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gendo_names = char(gendo_names,[gtxt endo_names(j,:)]);
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gendo_names_tex = char(gendo_names_tex,[gtex '(' deblank(endo_names_tex(j,:)) ')']);
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else
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if nvar==1 && ~mytype
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endo_names = mytxt;
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endo_names_tex = mytex;
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gendo_names = gtxt;
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gendo_names_tex = gtex;
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else
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endo_names = [deblank(M_.endo_names(i_var(j),:)) '_A'];
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endo_names_tex = ['{' deblank(M_.endo_names_tex(i_var(j),:)) '}^A'];
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gendo_names = [gtxt endo_names(j,:)];
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gendo_names_tex = [gtex '(' deblank(endo_names_tex(j,:)) ')'];
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end
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end
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for k =1:nterms,
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if isstruct(aux),
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aux.y = squeeze(yaux(j,k,min((t0-3):-4:1):end));
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end
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[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
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quarterly2annual(squeeze(z(j,k,min((t0-3):-4:1):end)),steady_state(j),GYTREND0,var_type,islog,aux);
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end
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ztmp=squeeze(za(j,:,:));
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if cumfix==0,
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zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
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ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
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else
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zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
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ztmp(end-1,:) = ztmp(end-1,:) + zres;
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end
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gztmp=squeeze(gza(j,:,:));
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if cumfix==0,
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gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
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gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
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else
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gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
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gztmp(end-1,:) = gztmp(end-1,:)+gres;
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end
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za(j,:,:) = ztmp;
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gza(j,:,:) = gztmp;
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end
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if q2a.plot ==1,
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z=gza;
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endo_names = gendo_names;
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endo_names_tex = gendo_names_tex;
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elseif q2a.plot == 2
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z=za;
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else
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z=cat(1,za,gza);
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endo_names = char(endo_names,gendo_names);
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endo_names_tex = char(endo_names_tex,gendo_names_tex);
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end
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% if isstruct(oo_)
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% oo_.annualized_shock_decomposition=z;
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% end
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% realtime
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if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition'),
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init=1;
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for i=t0:4:t1,
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yr=floor(i/4);
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za=[];
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gza=[];
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myopts=options_;
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myopts.plot_shock_decomp.type='qoq';
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myopts.plot_shock_decomp.realtime=1;
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myopts.plot_shock_decomp.vintage=i;
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[z, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,[]);
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z = z(i_var,:,:);
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if isstruct(aux)
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if ischar(aux0.y)
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[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux0.y);
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aux.y=y_aux;
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aux.yss=steady_state_aux;
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end
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yaux=aux.y;
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end
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nterms = size(z,2);
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% z = oo_.realtime_shock_decomposition.(['time_' int2str(i)]);
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% z = z(i_var,:,:);
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for j=1:nvar
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for k =nterms:-1:1,
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% if k<nterms
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% ztmp = squeeze(sum(z(j,[1:k-1,k+1:end-1],t0-4:end)));
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% else
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ztmp = squeeze(z(j,k,min((t0-3):-4:1):end));
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% end
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if isstruct(aux),
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aux.y = squeeze(yaux(j,k,min((t0-3):-4:1):end));
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end
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[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
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quarterly2annual(ztmp,steady_state(j),GYTREND0,var_type,islog,aux);
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% if k<nterms
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% za(j,k,:) = za(j,end,:) - za(j,k,:);
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% gza(j,k,:) = gza(j,end,:) - gza(j,k,:);
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% end
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end
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ztmp=squeeze(za(j,:,:));
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if cumfix==0,
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zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
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ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
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else
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zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
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ztmp(end-1,:) = ztmp(end-1,:) + zres;
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end
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gztmp=squeeze(gza(j,:,:));
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if cumfix==0,
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gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
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gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
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else
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gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
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gztmp(end-1,:) = gztmp(end-1,:)+gres;
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end
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za(j,:,:) = ztmp;
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gza(j,:,:) = gztmp;
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end
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if q2a.plot ==1,
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z=gza;
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elseif q2a.plot == 2
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z=za;
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else
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z=cat(1,za,gza);
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end
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if init==1,
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oo_.annualized_realtime_shock_decomposition.pool = z;
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else
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oo_.annualized_realtime_shock_decomposition.pool(:,:,yr) = z(:,:,end-nfrcst);
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end
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oo_.annualized_realtime_shock_decomposition.(['yr_' int2str(yr)]) = z;
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if opts.forecast
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oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr)]) = z(:,:,end-nfrcst:end);
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if init>nfrcst
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)]) = ...
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oo_.annualized_realtime_shock_decomposition.pool(:,:,yr-nfrcst:end) - ...
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oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-nfrcst)]);
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% fix others
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end-1,:) = ...
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end-1,:) + ...
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oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end,:);
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% fix total
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)])(:,end,:) = ...
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oo_.annualized_realtime_shock_decomposition.pool(:,end,yr-nfrcst:end);
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if i==t1
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for my_forecast_=(nfrcst-1):-1:1,
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)]) = ...
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oo_.annualized_realtime_shock_decomposition.pool(:,:,yr-my_forecast_:yr) - ...
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oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,:,1:my_forecast_+1);
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end-1,:) = ...
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oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,1:my_forecast_+1);
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oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,:) = ...
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oo_.annualized_realtime_shock_decomposition.pool(:,end,yr-my_forecast_:yr);
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end
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end
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end
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end
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% ztmp=oo_.realtime_shock_decomposition.pool(:,:,21:29)-oo_.realtime_forecast_shock_decomposition.time_21;
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init=init+1;
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end
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switch realtime_
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case 0
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z = oo_.annualized_shock_decomposition;
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case 1 % realtime
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if vintage_
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z = oo_.annualized_realtime_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
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else
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z = oo_.annualized_realtime_shock_decomposition.pool;
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end
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case 2 % conditional
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if vintage_
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z = oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
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else
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error();
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end
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case 3 % forecast
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if vintage_
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z = oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(floor(vintage_/4))]);
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else
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error()
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end
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end
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end
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if q2a.plot ==0,
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i_var=1:2*nvar;
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steady_state = [steady_state_a;steady_state_ga];
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else
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i_var=1:nvar;
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if q2a.plot ==1,
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steady_state = steady_state_ga;
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else
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steady_state = steady_state_a;
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end
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end
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