130 lines
4.8 KiB
Matlab
130 lines
4.8 KiB
Matlab
function [options_, oo_]=ms_variance_decomposition(M_, options_, oo_)
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% function [options_, oo_]=ms_variance_decomposition(M_, options_, oo_)
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% Markov-switching SBVAR: Variance Decomposition
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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 Variance Decomposition');
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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_variance_decomposition_files(options_.ms.output_file_tag);
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vddir = [options_.ms.output_file_tag filesep 'Variance_Decomposition'];
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create_dir(vddir);
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% setup command line options
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opt = ['-variance_decomposition -seed ' num2str(options_.DynareRandomStreams.seed)];
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opt = [opt ' -do ' vddir];
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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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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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elseif options_.ms.filtered_probabilities
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opt = [opt ' -filtered'];
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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 = 1;
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outfile = [vddir filesep 'var_decomp_mean_'];
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if options_.ms.error_bands
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% error_bands / percentiles used differently by
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% Dan's variance decomposition code
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% no_error_bands => mean is computed
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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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outfile = [vddir filesep 'var_decomp_percentiles_'];
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end
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% variance_decomposition
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ms_sbvar_command_line(opt);
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if options_.ms.regime || options_.ms.regimes
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outfile = [outfile 'regime_'];
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if options_.ms.regime
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outfile = [outfile num2str(options_.ms.regime-1) ...
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'_' options_.ms.output_file_tag '.out'];
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end
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elseif options_.ms.filtered_probabilities
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outfile = [outfile 'filtered_' options_.ms.output_file_tag '.out'];
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else
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outfile = [outfile 'ergodic_' options_.ms.output_file_tag '.out'];
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end
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% Create plots
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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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vd_title = ['Variance Decomposition, Regime ' num2str(regime_i)];
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vd_data = load([outfile num2str(regime_i-1) '_' ...
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options_.ms.output_file_tag '.out'], '-ascii');
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vd_data = reshape_ascii_variance_decomposition_data( ...
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M_.endo_nbr, percentiles_size, options_.ms.horizon, vd_data);
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save([vddir filesep 'variance_decomposition_regime_' num2str(regime_i-1) '.mat'], 'vd_data');
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plot_ms_variance_decomposition(M_, options_, vd_data, vd_title);
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end
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else
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if options_.ms.regime
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vd_title = ['Variance Decomposition, Regime ' num2str(options_.ms.regime)];
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save_filename = ['variance_decomposition_regime_' num2str(options_.ms.regime-1) '.mat'];
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else
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save_filename = 'variance_decomposition.mat';
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if options_.ms.filtered_probabilities
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vd_title = 'Variance Decomposition Filtered';
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else
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vd_title = 'Variance Decomposition Ergodic';
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end
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end
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vd_data = load(outfile, '-ascii');
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vd_data = reshape_ascii_variance_decomposition_data( ...
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M_.endo_nbr, percentiles_size, options_.ms.horizon, vd_data);
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save([vddir filesep save_filename], 'vd_data');
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plot_ms_variance_decomposition(M_, options_, vd_data, vd_title);
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end
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end
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