149 lines
7.2 KiB
Matlab
149 lines
7.2 KiB
Matlab
function [oo_,M_,options_,bayestopt_,Smoothed_variables_declaration_order_deviation_form,initial_date]=evaluate_smoother(parameters,var_list,M_,oo_,options_,bayestopt_,estim_params_)
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% [oo_,M_,options_,bayestopt_,Smoothed_variables_declaration_order_deviation_form,initial_date]=evaluate_smoother(parameters,var_list,M_,oo_,options_,bayestopt_,estim_params_)
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% Evaluate the smoother at parameters.
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%
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% INPUTS
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% o parameters a string ('posterior mode','posterior mean','posterior median','prior mode','prior mean','mle_mode','calibration') or a vector of values for
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% the (estimated) parameters of the model.
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% o var_list subset of endogenous variables
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% o M_ [structure] Definition of the model
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% o oo_ [structure] Storage of results
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% o options_ [structure] Options
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% o bayestopt_ [structure] describing the priors
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% o estim_params_ [structure] characterizing parameters to be estimated
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%
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% OUTPUTS
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% o oo [structure] results:
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% - SmoothedVariables
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% - SmoothedShocks
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% - FilteredVariablesShockDecomposition
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% - UpdatedVariables
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% - FilteredVariables
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% - SmoothedMeasurementErrors
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% - FilteredVariablesKStepAhead
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% - FilteredVariablesKStepAheadVariances
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% o M_ [structure] Definition of the model
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% o options_ [structure] Options; returns options_.first_obs
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% o bayestopt_ [structure] describing the priors; returns fields like bayestopt_.smoother_var_list from the smoother
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% o Smoothed_variables_declaration_order_deviation_form
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% Smoothed variables from the Kalman smoother in
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% order of declaration of variables (M_.endo_names)
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% in deviations from their respective mean, i.e.
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% without trend and constant part (used for shock_decomposition)
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% o initial_date [dseries] initial period, used for shock_decomposition
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%
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% SPECIAL REQUIREMENTS
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% None
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%
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% REMARKS
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% [1] This function use persistent variables for the dataset and the description of the missing observations. Consequently, if this function
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% is called more than once (by changing the value of parameters) the sample *must not* change.
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% Copyright © 2010-2023 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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% store qz_criterium
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qz_criterium_old=options_.qz_criterium;
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if ischar(parameters) && strcmp(parameters,'calibration')
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options_.smoother=1;
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end
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[dataset_,dataset_info, ~, ~, M_, options_, oo_, estim_params_,bayestopt_] = dynare_estimation_init(var_list, M_.fname, [], M_, options_, oo_, estim_params_, bayestopt_);
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initial_date=dataset_.firstdate;
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% set the qz_criterium
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options_=select_qz_criterium_value(options_);
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if nargin==0
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parameters = 'posterior_mode';
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end
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if ischar(parameters)
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switch parameters
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case 'posterior_mode'
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parameters = get_posterior_parameters('mode',M_,estim_params_,oo_,options_);
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case 'posterior_mean'
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parameters = get_posterior_parameters('mean',M_,estim_params_,oo_,options_);
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case 'posterior_median'
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parameters = get_posterior_parameters('median',M_,estim_params_,oo_,options_);
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case 'mle_mode'
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parameters = get_posterior_parameters('mode',M_,estim_params_,oo_,options_,'mle_');
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case 'prior_mode'
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parameters = bayestopt_.p5(:);
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case 'prior_mean'
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parameters = bayestopt_.p1;
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case 'calibration'
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if isempty(oo_.dr)
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error('You must run ''stoch_simul'' first.');
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end
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parameters = [];
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otherwise
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disp('evaluate_smoother:: If the input argument is a string, then it has to be equal to:')
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disp(' ''posterior_mode'', ')
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disp(' ''posterior_mean'', ')
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disp(' ''posterior_median'', ')
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disp(' ''prior_mode'' or')
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disp(' ''prior_mean''.')
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disp(' ''calibration''.')
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error
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end
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end
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if options_.occbin.smoother.status
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if options_.occbin.smoother.inversion_filter
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[~, info, ~, ~, ~, ~, ~, ~, ~, ~, oo_.dr, atT, innov] = occbin.IVF_posterior(parameters,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,prior_bounds(bayestopt_,options_.prior_trunc),oo_.dr, oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
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if ismember(info(1),[303,304,306])
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oo_.occbin.smoother.error_flag=1;
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else
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oo_.occbin.smoother.error_flag=0;
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updated_variables = atT*nan;
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measurement_error=[];
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ys = oo_.dr.ys;
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trend_coeff = zeros(length(options_.varobs_id),1);
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bayestopt_.mf = bayestopt_.smoother_var_list(bayestopt_.smoother_mf);
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end
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else
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[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,oo_,bayestopt_] = ...
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occbin.DSGE_smoother(parameters,dataset_.nobs,transpose(dataset_.data),dataset_info.missing.aindex,dataset_info.missing.state,M_,oo_,options_,bayestopt_,estim_params_,dataset_,dataset_info);
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end
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else
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[atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp,Trend,state_uncertainty,oo_,bayestopt_] = ...
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DsgeSmoother(parameters,dataset_.nobs,transpose(dataset_.data),dataset_info.missing.aindex,dataset_info.missing.state,M_,oo_,options_,bayestopt_,estim_params_);
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end
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if ~(options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter)
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if ~options_.occbin.smoother.status || (options_.occbin.smoother.status && oo_.occbin.smoother.error_flag==0)
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[oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
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end
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else
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if ~oo_.occbin.smoother.error_flag
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options_nk=options_.nk;
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options_.nk=[]; %unset options_.nk and reset it later
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[oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff);
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options_.nk=options_nk;
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else
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fprintf('\nIVF: smoother did not succeed. No results will be written to oo_.\n')
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end
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end
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if nargout>4
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Smoothed_variables_declaration_order_deviation_form=atT(oo_.dr.inv_order_var(bayestopt_.smoother_var_list),:);
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end
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%reset qz_criterium
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options_.qz_criterium=qz_criterium_old;
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oo_.gui.ran_calib_smoother = true;
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