178 lines
7.3 KiB
Matlab
178 lines
7.3 KiB
Matlab
function oo_ = initial_condition_decomposition(M_,oo_,options_,varlist,bayestopt_,estim_params_)
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% function oo_ = initial_condition_decomposition(M_,oo_,options_,varlist,bayestopt_,estim_params_)
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% Computes initial condition contribution to a simulated trajectory. The field set is
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% oo_.initval_decomposition. It is a n_var by n_var+2 by nperiods array. The
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% first n_var columns store the respective endogenous initval contribution, column n+1
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% stores the role of the shocks, while column n+2 stores the
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% value of the smoothed variables. Variables are stored
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% in the order of declaration, i.e. M_.endo_names.
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%
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% INPUTS
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% M_: [structure] Definition of the model
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% oo_: [structure] Storage of results
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% options_: [structure] Options
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% varlist: [cell of char array] List of variables
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% bayestopt_: [structure] Description of the priors
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% estim_params_: [structure] Estimated parameters
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%
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% OUTPUTS
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% oo_: [structure] Storage of results
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2017-2018 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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options_.plot_shock_decomp.colormap = options_.initial_condition_decomp.colormap;
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options_.plot_shock_decomp.nodisplay = options_.initial_condition_decomp.nodisplay;
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options_.plot_shock_decomp.graph_format = options_.initial_condition_decomp.graph_format;
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options_.plot_shock_decomp.fig_name = options_.initial_condition_decomp.fig_name;
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options_.plot_shock_decomp.detail_plot = options_.initial_condition_decomp.detail_plot;
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options_.plot_shock_decomp.init2shocks = options_.initial_condition_decomp.init2shocks;
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options_.plot_shock_decomp.steadystate = options_.initial_condition_decomp.steadystate;
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options_.plot_shock_decomp.write_xls = options_.initial_condition_decomp.write_xls;
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options_.plot_shock_decomp.type = options_.initial_condition_decomp.type;
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options_.plot_shock_decomp.plot_init_date = options_.initial_condition_decomp.plot_init_date;
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options_.plot_shock_decomp.plot_end_date = options_.initial_condition_decomp.plot_end_date;
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options_.plot_shock_decomp.diff = options_.initial_condition_decomp.diff;
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options_.plot_shock_decomp.flip = options_.initial_condition_decomp.flip;
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options_.plot_shock_decomp.max_nrows = options_.initial_condition_decomp.max_nrows;
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if isfield(options_.initial_condition_decomp,'init2shocks') % private trap for uimenu calls
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init2shocks=options_.initial_condition_decomp.init2shocks;
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else
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init2shocks=[];
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end
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% indices of endogenous variables
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if isempty(varlist)
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varlist = M_.endo_names(1:M_.orig_endo_nbr);
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end
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if ~isequal(varlist,0)
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[i_var, nvar, index_uniques] = varlist_indices(varlist, M_.endo_names);
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varlist = varlist(index_uniques);
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end
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% number of variables
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endo_nbr = M_.endo_nbr;
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% parameter set
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parameter_set = options_.parameter_set;
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if isempty(parameter_set)
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if isfield(oo_,'posterior_mean')
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parameter_set = 'posterior_mean';
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elseif isfield(oo_,'mle_mode')
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parameter_set = 'mle_mode';
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elseif isfield(oo_,'posterior')
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parameter_set = 'posterior_mode';
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else
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error(['shock_decomposition: option parameter_set is not specified ' ...
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'and posterior mode is not available'])
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end
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end
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if ~isfield(oo_,'initval_decomposition') || isequal(varlist,0)
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if isfield(oo_,'shock_decomposition_info') && isfield(oo_.shock_decomposition_info,'i_var')
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if isfield (oo_,'realtime_conditional_shock_decomposition') ...
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|| isfield (oo_,'realtime_forecast_shock_decomposition') ...
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|| isfield (oo_,'realtime_shock_decomposition') ...
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|| isfield (oo_,'conditional_shock_decomposition') ...
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|| isfield (oo_,'shock_decomposition')
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error('initval_decomposition::squeezed shock decompositions are already stored in oo_')
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end
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end
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with_epilogue = options_.initial_condition_decomp.with_epilogue;
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options_.selected_variables_only = 0; %make sure all variables are stored
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options_.plot_priors=0;
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[oo_local,M,~,~,Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
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% reduced form
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dr = oo_local.dr;
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% data reordering
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order_var = dr.order_var;
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inv_order_var = dr.inv_order_var;
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% coefficients
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A = dr.ghx;
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B = dr.ghu;
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% initialization
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gend = length(oo_local.SmoothedShocks.(M_.exo_names{1})); %+options_.forecast;
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z = zeros(endo_nbr,endo_nbr+2,gend);
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z(:,end,:) = Smoothed_Variables_deviation_from_mean;
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for i=1:endo_nbr
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z(i,i,1) = Smoothed_Variables_deviation_from_mean(i,1);
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end
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maximum_lag = M_.maximum_lag;
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k2 = dr.kstate(find(dr.kstate(:,2) <= maximum_lag+1),[1 2]);
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i_state = order_var(k2(:,1))+(min(i,maximum_lag)+1-k2(:,2))*M_.endo_nbr;
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for i=1:gend
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if i > 1 && i <= maximum_lag+1
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lags = min(i-1,maximum_lag):-1:1;
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end
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if i > 1
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tempx = permute(z(:,1:endo_nbr,lags),[1 3 2]);
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m = min(i-1,maximum_lag);
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tempx = [reshape(tempx,endo_nbr*m,endo_nbr); zeros(endo_nbr*(maximum_lag-i+1),endo_nbr)];
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z(:,1:endo_nbr,i) = A(inv_order_var,:)*tempx(i_state,:);
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lags = lags+1;
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end
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z(:,endo_nbr+1,i) = z(:,endo_nbr+2,i) - sum(z(:,1:endo_nbr,i),2);
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end
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if with_epilogue
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[z, epilogue_steady_state] = epilogue_shock_decomposition(z, M_, oo_);
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if ~isfield(oo_,'shock_decomposition_info') || ~isfield(oo_.shock_decomposition_info,'epilogue_steady_state')
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oo_.shock_decomposition_info.epilogue_steady_state = epilogue_steady_state;
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end
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end
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oo_.initval_decomposition = z;
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end
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% when varlist==0, we only store results in oo_ and do not make any plot
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if ~isequal(varlist,0)
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% if ~options_.no_graph.shock_decomposition
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oo_local=oo_;
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oo_local.shock_decomposition = oo_.initval_decomposition;
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if ~isempty(init2shocks)
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init2shocks = M_.init2shocks.(init2shocks);
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n=size(init2shocks,1);
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for i=1:n
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j=strmatch(init2shocks{i}{1},M_.endo_names,'exact');
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oo_local.shock_decomposition(:,end-1,:)=oo_local.shock_decomposition(:,j,:)+oo_local.shock_decomposition(:,end-1,:);
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oo_local.shock_decomposition(:,j,:)=0;
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end
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end
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M_.exo_names = M_.endo_names;
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M_.exo_nbr = M_.endo_nbr;
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options_.plot_shock_decomp.realtime=0;
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options_.plot_shock_decomp.screen_shocks=1;
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options_.plot_shock_decomp.use_shock_groups = '';
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options_.plot_shock_decomp.init_cond_decomp = 1; % private flag to plotting utilities
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plot_shock_decomposition(M_,oo_local,options_,varlist);
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end
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