244 lines
9.6 KiB
C++
244 lines
9.6 KiB
C++
/*
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* Copyright (C) 2011 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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*/
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#if defined(MATLAB_MEX_FILE) || defined(OCTAVE_MEX_FILE)
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#include "dynmex.h"
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#include "mex_ms_sbvar.h"
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extern "C" {
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#include "switch.h"
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#include "switchio.h"
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#include "VARio.h"
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#include "dw_rand.h"
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#include "dw_histogram.h"
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#include "sbvar_variance_decomposition.h"
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}
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void
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mexFunction(int nlhs, mxArray *plhs[],
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int nrhs, const mxArray *prhs[])
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{
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double *out_buf;
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int i, j, k, s, nfree, nstates, nvars, npre;
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TStateModel *model;
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SbvarOption *options = (SbvarOption *) NULL;
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T_VAR_Parameters *p = (T_VAR_Parameters *) NULL;
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TMatrixHistogram *histogram = (TMatrixHistogram *) NULL;
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TMatrix tvd;
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int type = F_FREE, ergodic = 1;
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/* Check the left hand and right hand side arguments to make sure they conform */
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if (nrhs != 1)
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DYN_MEX_FUNC_ERR_MSG_TXT("ms_variance_decomposition takes one cell array as an input argument.");
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if (nlhs != 2)
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DYN_MEX_FUNC_ERR_MSG_TXT("You must specify two output arguments.");
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model = initialize_model_and_options(&options, prhs, &nstates, &nvars, &npre, &nfree);
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if (model == NULL || options == NULL)
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DYN_MEX_FUNC_ERR_MSG_TXT("There was a problem initializing the model, can not continue");
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p = (T_VAR_Parameters *) (model->theta);
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/* Check to make sure that there is a simulation file present if we are
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* using parameter uncertainty
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*/
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if (options->parameter_uncertainty && options->simulation_file == NULL)
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DYN_MEX_FUNC_ERR_MSG_TXT("Paramter Uncertainty Was Specified but the simulation file was not found, please specify the simulation file to use with: 'simulation_file',<filename>");
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if (!options->parameter_uncertainty)
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options->simulation_file = (FILE *) NULL;
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/* Allocate the output matrix */
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if (options->regimes)
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if (options->num_percentiles > 1)
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{
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/* regimes x percentile x horizon x (nvar*nvar) */
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mwSize dims[4] = {nstates, options->num_percentiles, options->horizon, (nvars*nvars)};
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plhs[1] = mxCreateNumericArray(4, dims, mxDOUBLE_CLASS, mxREAL);
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out_buf = mxGetPr(plhs[1]);
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}
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else
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{
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/* regimes x horizon x (nvar*nvar) */
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mwSize dims[3] = {nstates, options->horizon, (nvars*nvars)};
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plhs[1] = mxCreateNumericArray(3, dims, mxDOUBLE_CLASS, mxREAL);
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out_buf = mxGetPr(plhs[1]);
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}
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else
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if (options->num_percentiles > 1)
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{
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/* percentile x horizon x (nvar*nvar) */
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mwSize dims[3] = {options->num_percentiles, options->horizon, (nvars*nvars)};
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plhs[1] = mxCreateNumericArray(3, dims, mxDOUBLE_CLASS, mxREAL);
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out_buf = mxGetPr(plhs[1]);
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}
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else
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{
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/* horizon x (nvar*nvar) */
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mwSize dims[2] = {options->horizon, (nvars*nvars)};
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plhs[1] = mxCreateNumericArray(2, dims, mxDOUBLE_CLASS, mxREAL);
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out_buf = mxGetPr(plhs[1]);
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}
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/* Use filter probabilities? */
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if (options->filtered_probabilities)
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ergodic = 0;
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try
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{
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if (options->regimes)
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{
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for (s = 0; s < nstates; s++)
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{
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printf("Constructing variance decomposition - regime %d\n", s);
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if (options->mean)
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{
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if (tvd = variance_decomposition_mean_regime(options->simulation_file, options->thin, s, options->horizon, model, type))
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{
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NormalizeVarianceDecomposition(tvd, p);
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ReorderVarianceDecomposition(tvd, p);
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for (i = 0; i < options->horizon; i++)
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for (j = 0; j < (nvars*nvars); j++)
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out_buf[(s) + ((i) + (j)*options->horizon)*nstates] = ElementM(tvd, i, j);
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}
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mxFree(tvd);
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}
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else
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{
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if (options->simulation_file) rewind(options->simulation_file);
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if (histogram = variance_decomposition_percentiles_regime(options->simulation_file, options->thin, s, options->horizon, model, type))
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{
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tvd = CreateMatrix(options->horizon, nvars*nvars);
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for (k = 0; k < options->num_percentiles; k++)
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{
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MatrixPercentile(tvd, options->percentiles[k], histogram);
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ReorderVarianceDecomposition(tvd, p);
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if (options->num_percentiles == 1)
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for (i = 0; i < options->horizon; i++)
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for (j = 0; j < (nvars*nvars); j++)
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out_buf[(s) + ((i) + (j)*options->horizon)*nstates] = ElementM(tvd, i, j);
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else
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for (i = 0; i < options->horizon; i++)
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for (j = 0; j < (nvars*nvars); j++)
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out_buf[(s) + ((k) + ((i) + (j)*options->horizon)*options->num_percentiles)*nstates] = ElementM(tvd, i, j);
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}
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mxFree(tvd);
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}
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mxFree(histogram);
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}
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}
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}
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else if (options->regime >= 0)
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{
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s = options->regime;
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printf("Constructing variance decomposition - regime %d\n", s);
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if (options->mean)
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{
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if (tvd = variance_decomposition_mean_regime(options->simulation_file, options->thin, s, options->horizon, model, type))
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{
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NormalizeVarianceDecomposition(tvd, p);
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ReorderVarianceDecomposition(tvd, p);
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for (i = 0; i < options->horizon; i++)
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for (j = 0; j < (nvars*nvars); j++)
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out_buf[(s) + ((i) + (j)*options->horizon)*nstates] = ElementM(tvd, i, j);
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}
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mxFree(tvd);
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}
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else
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{
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if (histogram = variance_decomposition_percentiles_regime(options->simulation_file, options->thin, s, options->horizon, model, type))
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{
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tvd = CreateMatrix(options->horizon, nvars*nvars);
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for (k = 0; k < options->num_percentiles; k++)
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{
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MatrixPercentile(tvd, options->percentiles[k], histogram);
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ReorderVarianceDecomposition(tvd, p);
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if (options->num_percentiles == 1)
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for (i = 0; i < options->horizon; i++)
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for (j = 0; j < (nvars*nvars); j++)
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out_buf[(i) + (j)*options->horizon] = ElementM(tvd, i, j);
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else
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for (i = 0; i < options->horizon; i++)
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for (j = 0; j < (nvars*nvars); j++)
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out_buf[(k) + ((i) + (j)*options->horizon)*options->num_percentiles] = ElementM(tvd, i, j);
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}
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mxFree(tvd);
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}
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mxFree(histogram);
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}
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}
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else
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{
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printf("Constructing variance decomposition - %d draws of regimes per posterior value\n", options->shocks);
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if (options->mean)
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{
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if (tvd = variance_decomposition_mean(options->shocks, options->simulation_file, options->thin, ergodic, options->horizon, model, type))
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{
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NormalizeVarianceDecomposition(tvd, p);
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ReorderVarianceDecomposition(tvd, p);
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for (i = 0; i < options->horizon; i++)
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for (j = 0; j < (nvars*nvars); j++)
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out_buf[(i) + (j)*options->horizon] = ElementM(tvd, i, j);
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}
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mxFree(tvd);
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}
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else
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{
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if (histogram = variance_decomposition_percentiles(options->shocks, options->simulation_file, options->thin, ergodic, options->horizon, model, type))
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{
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tvd = CreateMatrix(options->horizon, nvars*nvars);
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for (k = 0; k < options->num_percentiles; k++)
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{
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MatrixPercentile(tvd, options->percentiles[k], histogram);
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ReorderVarianceDecomposition(tvd, p);
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if (options->num_percentiles == 1)
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for (i = 0; i < options->horizon; i++)
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for (j = 0; j < (nvars*nvars); j++)
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out_buf[(i) + (j)*options->horizon] = ElementM(tvd, i, j);
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else
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for (i = 0; i < options->horizon; i++)
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for (j = 0; j < (nvars*nvars); j++)
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out_buf[(k) + ((i) + (j)*options->horizon)*options->num_percentiles] = ElementM(tvd, i, j);
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}
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mxFree(tvd);
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}
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mxFree(histogram);
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}
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}
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}
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catch (const char *s)
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{
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DYN_MEX_FUNC_ERR_MSG_TXT("Exception Thrown in Variance Decomposition: \n");
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}
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mxFree(p);
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mxFree(model);
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plhs[0] = mxCreateDoubleScalar(0);
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}
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#endif
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