119 lines
4.5 KiB
Matlab
119 lines
4.5 KiB
Matlab
function [options_, oo_]=ms_forecast(M_, options_, oo_)
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% function [options_, oo_]=ms_forecast(M_, options_, oo_)
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% Markov-switching SBVAR: Forecast
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%
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% INPUTS
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% M_: (struct) model structure
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% options_: (struct) options
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% oo_: (struct) results
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%
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% OUTPUTS
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% options_: (struct) options
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% oo_: (struct) results
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2011-2020 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 <http://www.gnu.org/licenses/>.
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disp('MS-SBVAR Forecasts');
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options_ = set_file_tags(options_);
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[options_, oo_] = set_ms_estimation_file(options_.ms.file_tag, options_, oo_);
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clean_ms_forecast_files(options_.ms.output_file_tag);
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forecastdir = [options_.ms.output_file_tag filesep 'Forecast'];
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create_dir(forecastdir);
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% setup command line options
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opt = ['-forecast -nodate -seed ' num2str(options_.DynareRandomStreams.seed)];
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opt = [opt ' -do ' forecastdir];
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opt = [opt ' -ft ' options_.ms.file_tag];
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opt = [opt ' -fto ' options_.ms.output_file_tag];
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opt = [opt ' -horizon ' num2str(options_.ms.horizon)];
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opt = [opt ' -thin ' num2str(options_.ms.thinning_factor)];
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opt = [opt ' -data ' num2str(options_.ms.forecast_data_obs)];
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if options_.ms.regimes
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opt = [opt ' -regimes'];
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elseif options_.ms.regime
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% regime-1 since regime is 0-indexed in C but 1-indexed in Matlab
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opt = [opt ' -regime ' num2str(options_.ms.regime-1)];
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end
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if options_.ms.parameter_uncertainty
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options_ = set_ms_simulation_file(options_);
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opt = [opt ' -parameter_uncertainty'];
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opt = [opt ' -shocks_per_parameter ' num2str(options_.ms.shocks_per_parameter)];
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else
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opt = [opt ' -shocks_per_parameter ' num2str(options_.ms.shock_draws)];
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end
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percentiles_size = 0;
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if options_.ms.median
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percentiles_size = 1;
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opt = [opt ' -percentiles ' num2str(percentiles_size) ' 0.5'];
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else
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percentiles_size = size(options_.ms.percentiles,2);
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opt = [opt ' -percentiles ' num2str(percentiles_size)];
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for i=1:size(options_.ms.percentiles,2)
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opt = [opt ' ' num2str(options_.ms.percentiles(i))];
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end
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end
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% forecast
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ms_sbvar_command_line(opt);
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% Plot Forecasts
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if options_.ms.regimes
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n_chains = length(options_.ms.ms_chain);
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n_regimes=1;
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for i_chain=1:n_chains
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n_regimes = n_regimes*length(options_.ms.ms_chain(i_chain).regime);
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end
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for regime_i=1:n_regimes
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forecast_title = ['Forecast, Regimes ' num2str(regime_i)];
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forecast_data = load([forecastdir filesep 'forecasts_percentiles_regime_' ...
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num2str(regime_i-1) '_' options_.ms.output_file_tag ...
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'.out'], '-ascii');
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forecast_data = reshape_ascii_forecast_data(M_.endo_nbr, ...
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percentiles_size, options_.ms.horizon, forecast_data);
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save([forecastdir filesep 'forecast_regime_' num2str(regime_i-1) '.mat'], ...
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'forecast_data');
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plot_ms_forecast(M_, options_, forecast_data, forecast_title);
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end
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else
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if options_.ms.regime
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forecast_data = load([forecastdir filesep 'forecasts_percentiles_regime_' ...
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num2str(options_.ms.regime-1) '_' options_.ms.output_file_tag ...
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'.out'], '-ascii');
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forecast_title = ['Forecast, Regime ' num2str(options_.ms.regime)];
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save_filename = ['forecast_regime_' num2str(options_.ms.regime-1) '.mat'];
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else
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forecast_data = load([forecastdir filesep 'forecasts_percentiles_' ...
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options_.ms.output_file_tag '.out'], '-ascii');
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forecast_title = 'Forecast';
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save_filename = 'forecast.mat';
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end
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forecast_data = reshape_ascii_forecast_data(M_.endo_nbr, ...
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percentiles_size, options_.ms.horizon, forecast_data);
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save([forecastdir filesep save_filename], 'forecast_data');
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plot_ms_forecast(M_, options_, forecast_data, forecast_title);
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end
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end
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