124 lines
4.8 KiB
Matlab
124 lines
4.8 KiB
Matlab
function irfs = irf(M_,oo_,options_)
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% irfs = irf(M_,oo_,options_)
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% Calls a minimizer
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%
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% INPUTS
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% - M_ [structure] Matlab's structure describing the model
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% - oo_ [structure] Matlab's structure containing the results
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% - options_ [structure] Matlab's structure describing the current options
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%
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% OUTPUTS
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% - irfs [structure] IRF results
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%
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% SPECIAL REQUIREMENTS
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% none.
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%
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%
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% Copyright © 2022-2023 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 <https://www.gnu.org/licenses/>.
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shocknames = options_.occbin.irf.exo_names;
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shocksigns = options_.occbin.irf.shocksigns; %'pos','neg'
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shocksize = options_.occbin.irf.shocksize;
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t_0 = options_.occbin.irf.t0;
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%% set simulation options based on IRF options
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options_.occbin.simul.init_regime = options_.occbin.irf.init_regime;
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options_.occbin.simul.check_ahead_periods = options_.occbin.irf.check_ahead_periods;
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options_.occbin.simul.maxit = options_.occbin.irf.maxit;
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options_.occbin.simul.periods = options_.irf;
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%% Run initial conditions + other shocks
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if t_0 == 0
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shocks_base = zeros(options_.occbin.simul.periods+1,M_.exo_nbr);
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options_.occbin.simul.endo_init = [];
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else
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if ~isfield(oo_.occbin,'smoother')
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error('occbin.irfs: smoother must be run before requesting GIRFs based on smoothed results')
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end
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% GIRF conditional on smoothed states in t_0 and shocks in t_0+1
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shocks_base= [oo_.occbin.smoother.etahat(:,t_0+1)'; zeros(options_.occbin.simul.periods,M_.exo_nbr)];
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options_.occbin.simul.SHOCKS=shocks_base;
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options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t_0);
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end
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options_.occbin.simul.SHOCKS=shocks_base;
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[~, out_base] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
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if out_base.error_flag
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error('occbin.irfs: could not compute the solution')
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end
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irfs.linear = struct();
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irfs.piecewise = struct();
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% Get indices of shocks of interest
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exo_index =zeros(size(shocknames,1),1);
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for i=1:length(shocknames)
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exo_index(i) = strmatch(shocknames{i},M_.exo_names,'exact');
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end
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% cs=get_lower_cholesky_covariance(M_.Sigma_e,options_.add_tiny_number_to_cholesky);
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% irf_shocks_indx = getIrfShocksIndx(M_, options_);
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% Set shock size
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if isempty(shocksize)
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shocksize = sqrt(diag(M_.Sigma_e(exo_index,exo_index)));
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if any(shocksize < 1.e-9)
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shocksize(shocksize < 1.e-9) = 0.01;
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end
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end
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if numel(shocksize)==1
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shocksize=repmat(shocksize,[length(shocknames),1]);
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end
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% Run IRFs
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for sign_iter=1:length(shocksigns)
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for IRF_counter = 1:length(exo_index)
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jexo = exo_index(IRF_counter);
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if ~options_.noprint && options_.debug
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fprintf('occbin.irf: Producing GIRFs for shock %s. Simulation %d out of %d. \n',M_.exo_names{jexo},IRF_counter,size(exo_index,1));
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end
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shocks1=shocks_base;
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if ismember('pos',shocksigns{sign_iter})
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shocks1(1,jexo)=shocks_base(1,jexo)+shocksize(IRF_counter);
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elseif ismember('neg',shocksigns{sign_iter})
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shocks1(1,jexo)=shocks_base(1,jexo)-shocksize(IRF_counter);
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end
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options_.occbin.simul.SHOCKS=shocks1;
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if t_0 == 0
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options_.occbin.simul.endo_init = [];
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else
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options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t_0);
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end
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[~, out_sim] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
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if out_sim.error_flag
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warning('occbin.irfs: simulation failed')
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skip
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end
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% Substract inital conditions + other shocks
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zdiff.linear.(shocksigns{sign_iter}) = out_sim.linear-out_base.linear;
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zdiff.piecewise.(shocksigns{sign_iter}) = out_sim.piecewise-out_base.piecewise;
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for j_endo=1:M_.endo_nbr
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if ismember('pos',shocksigns)
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irfs.piecewise.([M_.endo_names{j_endo} '_' M_.exo_names{jexo} '_' shocksigns{sign_iter}]) = zdiff.piecewise.(shocksigns{sign_iter})(:,j_endo);
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irfs.linear.([M_.endo_names{j_endo} '_' M_.exo_names{jexo} '_' shocksigns{sign_iter}]) = zdiff.linear.(shocksigns{sign_iter})(:,j_endo);
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end
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end
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end
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end |