85 lines
3.5 KiB
Matlab
85 lines
3.5 KiB
Matlab
function [options_, oo_]=ms_irf(varlist, M_, options_, oo_)
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% function [options_, oo_]=ms_irf(varlist, M_, options_, oo_)
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% Markov-switching SBVAR: Impulse Response Function
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%
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% INPUTS
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% varlist: (chararray) list of selected endogenous variables
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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 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 Impulse Response Function');
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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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options_ = set_ms_simulation_file(options_);
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clean_files_for_second_type_of_mex(M_, options_, 'irf')
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irfdir = [options_.ms.output_file_tag filesep 'IRF'];
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create_dir(irfdir);
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opt = { ...
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{'file_tag', options_.ms.file_tag}, ...
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{'seed', options_.DynareRandomStreams.seed}, ...
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{'horizon', options_.ms.horizon}, ...
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{'filtered', options_.ms.filtered_probabilities}, ...
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{'error_bands', options_.ms.error_bands}, ...
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{'percentiles', options_.ms.percentiles}, ...
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{'thin', options_.ms.thinning_factor}
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};
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if options_.ms.median
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opt = [opt(:)' {{'median'}}];
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end
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[err, irf] = mex_ms_irf([opt(:)', {{'free_parameters', oo_.ms.maxparams}, {'shocks_per_parameter', options_.ms.shock_draws}}]);
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mexErrCheck('mex_ms_irf ergodic ', err);
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plot_ms_irf(M_,options_,irf,options_.varobs,'Ergodic Impulse Responses',varlist);
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[err, regime_irfs] = mex_ms_irf([opt(:)', {{'free_parameters',oo_.ms.maxparams}, {'shocks_per_parameter', options_.ms.shock_draws}, {'regimes'}}]);
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mexErrCheck('mex_ms_irf ergodic regimes ',err);
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for i=1:size(regime_irfs,1)
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plot_ms_irf(M_,options_,squeeze(regime_irfs(i,:,:,:)),options_.varobs,['Ergodic ' ...
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'Impulse Responses State ' int2str(i)],varlist);
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end
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save([irfdir filesep 'ergodic_irf.mat'], 'irf', 'regime_irfs');
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if exist(options_.ms.mh_file,'file') > 0
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[err, irf] = mex_ms_irf([opt(:)', {{'shocks_per_parameter', options_.ms.shocks_per_parameter}, ...
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{'parameter_uncertainty'},{'simulation_file',options_.ms.mh_file}}]);
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mexErrCheck('mex_ms_irf bayesian ',err);
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plot_ms_irf(M_,options_,irf,options_.varobs,'Impulse Responses with Parameter Uncertainty',varlist);
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[err, regime_irfs] = mex_ms_irf([opt(:)', {{'shocks_per_parameter', options_.ms.shocks_per_parameter}, ...
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{'simulation_file',options_.ms.mh_file},{'parameter_uncertainty'},{'regimes'}}]);
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mexErrCheck('mex_ms_irf bayesian regimes ',err);
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for i=1:size(regime_irfs,1)
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plot_ms_irf(M_,options_,squeeze(regime_irfs(i,:,:,:)),options_.varobs,['Impulse ' ...
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'Responses with Parameter Uncertainty State ' int2str(i)],varlist);
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end
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save([irfdir filesep 'bayesian_irf.mat'], 'irf', 'regime_irfs');
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end
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end
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