diff --git a/matlab/+occbin/forecast.m b/matlab/+occbin/forecast.m
index 3cc855223134928d0fe1a29f177ee47ea8f873f4..480fc2067ed9c3930f2eaa8fdd5a77626db76944 100644
--- a/matlab/+occbin/forecast.m
+++ b/matlab/+occbin/forecast.m
@@ -1,143 +1,169 @@
-function [oo_, error_flag] = forecast(options_,M_,oo_,forecast) %,hist_period)
-%function oo_ = forecast(options_,M_,oo_,forecast)
-% forecast
+function [forecast, error_flag] = forecast(options_,M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,forecast_horizon)
+% [forecast, error_flag] = forecast(options_,M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,forecast_horizon)
+% Occbin forecasts
+%
+% INPUTS
+% - options_ [structure] Matlab's structure describing the current options
+% - M_ [structure] Matlab's structure describing the model
+% - dr_in [structure] model information structure
+% - endo_steady_state [double] steady state value for endogenous variables
+% - exo_steady_state [double] steady state value for exogenous variables
+% - exo_det_steady_state [double] steady state value for exogenous deterministic variables
+% - forecast_horizon [integer] forecast horizon
+%
+% OUTPUTS
+% - forecast [structure] forecast results
+% - error_flag [integer] error code
+%
+% SPECIAL REQUIREMENTS
+% none.
+
+% Copyright © 2022-2023 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
opts = options_.occbin.forecast;
options_.occbin.simul.maxit = opts.maxit;
options_.occbin.simul.check_ahead_periods = opts.check_ahead_periods;
-options_.occbin.simul.periods = forecast;
-SHOCKS0 = opts.SHOCKS0;
-if ~isempty(SHOCKS0)
- if iscell(SHOCKS0)
- for j=1:length(SHOCKS0)
- sname = SHOCKS0{j}{1};
- inds(j)=strmatch(sname,M_.exo_names);
- SHOCKS1(j,:)=SHOCKS0{j}{2};
+options_.occbin.simul.periods = forecast_horizon;
+shocks_input = opts.SHOCKS0;
+
+if ~isempty(shocks_input)
+ n_shocks=size(shocks_input,1);
+ if iscell(shocks_input)
+ inds=NaN(n_shocks,1);
+ periods=length(shocks_input{1}{2});
+ shock_mat=NaN(n_shocks,periods);
+ for j=1:n_shocks
+ exo_pos=strmatch(shocks_input{j}{1},M_.exo_names,'exact');
+ if isempty(exo_pos)
+ error('occbin.forecast: unknown exogenous shock %s',shocks_input{j}{1})
+ else
+ inds(j)=exo_pos;
+ end
+ if length(shocks_input{j}{2})~=periods
+ error('occbin.forecast: unknown exogenous shock %s',shocks_input{j}{1})
+ else
+ shock_mat(j,:)=shocks_input{j}{2};
+ end
end
- elseif isreal(SHOCKS0)
- SHOCKS1=SHOCKS0;
- inds = 1:M_.exo_nbr;
+ elseif isreal(shocks_input)
+ shock_mat=shocks_input;
+ inds = (1:M_.exo_nbr)';
end
end
+options_.occbin.simul.endo_init = M_.endo_histval(:,1)-endo_steady_state; %initial condition
+options_.occbin.simul.init_regime = opts.frcst_regimes;
+options_.occbin.simul.init_binding_indicator = [];
+
+shocks_base = zeros(forecast_horizon,M_.exo_nbr);
+if ~isempty(shocks_input)
+ for j=1:n_shocks
+ shocks_base(:,inds(j))=shock_mat(j,:);
+ end
+end
if opts.replic
h = dyn_waitbar(0,'Please wait occbin forecast replic ...');
ishock = find(sqrt(diag((M_.Sigma_e))));
+ options_.occbin.simul.exo_pos=ishock;
effective_exo_nbr= length(ishock);
- effective_exo_names = M_.exo_names(ishock);
- effective_Sigma_e = M_.Sigma_e(ishock,ishock);
+ effective_Sigma_e = M_.Sigma_e(ishock,ishock); % does not take heteroskedastic shocks into account
[U,S] = svd(effective_Sigma_e);
+ % draw random shocks
if opts.qmc
opts.replic =2^(round(log2(opts.replic+1)))-1;
- SHOCKS_ant = qmc_sequence(forecast*effective_exo_nbr, int64(1), 1, opts.replic)';
+ SHOCKS_add = qmc_sequence(forecast_horizon*effective_exo_nbr, int64(1), 1, opts.replic);
else
- SHOCKS_ant = randn(forecast*effective_exo_nbr,opts.replic)';
+ SHOCKS_add = randn(forecast_horizon*effective_exo_nbr,opts.replic);
end
- zlin0=zeros(forecast,M_.endo_nbr,opts.replic);
- zpiece0=zeros(forecast,M_.endo_nbr,opts.replic);
+ SHOCKS_add=reshape(SHOCKS_add,effective_exo_nbr,forecast_horizon,opts.replic);
+ z.linear=NaN(forecast_horizon,M_.endo_nbr,opts.replic);
+ z.piecewise=NaN(forecast_horizon,M_.endo_nbr,opts.replic);
+ error_flag=true(opts.replic,1);
+ simul_SHOCKS=NaN(forecast_horizon,M_.exo_nbr,opts.replic);
for iter=1:opts.replic
-
- if ~isempty(SHOCKS0)
- for j=1:length(SHOCKS0)
- SHOCKS(:,inds(j))=SHOCKS1(j,:);
- end
- end
-
- error_flagx=1;
- % while error_flagx,
- % SHOCKS=transpose(sqrt(diag(diag(effective_Sigma_e)))*(reshape(SHOCKS_ant(iter,:),forecast,effective_exo_nbr))');
- SHOCKS=transpose(U*sqrt(S)*(reshape(SHOCKS_ant(iter,:),forecast,effective_exo_nbr))');
- % SHOCKS=transpose(U*sqrt(S)*randn(forecast,M_.exo_nbr)'); %realized shocks
- options_.occbin.simul.endo_init = M_.endo_histval(:,1)-oo_.steady_state;
- options_.occbin.simul.init_regime = opts.frcst_regimes;
- options_.occbin.simul.init_binding_indicator = [];
- options_.occbin.simul.exo_pos=ishock;
- options_.occbin.simul.SHOCKS = SHOCKS;
+ options_.occbin.simul.SHOCKS = shocks_base+transpose(U*sqrt(S)*SHOCKS_add(:,:,iter));
options_.occbin.simul.waitbar=0;
- [~, out] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
- zlin0(:,:,iter)=out.linear;
- zpiece0(:,:,iter)=out.piecewise;
- ys=out.ys;
- frcst_regime_history(iter,:)=out.regime_history;
+ [~, out] = occbin.solver(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state);
error_flag(iter)=out.error_flag;
- error_flagx = error_flag(iter);
- % end
- simul_SHOCKS(:,:,iter) = SHOCKS;
-
- if error_flag(iter) && debug_flag
- % display('no solution')
-
-% keyboard;
- save no_solution SHOCKS zlin0 zpiece0 iter frcst_regime_history
+ if ~error_flag(iter)
+ z.linear(:,:,iter)=out.linear;
+ z.piecewise(:,:,iter)=out.piecewise;
+ frcst_regime_history(iter,:)=out.regime_history;
+ error_flag(iter)=out.error_flag;
+ simul_SHOCKS(:,:,iter) = shocks_base;
+ else
+ if options_.debug
+ save('Occbin_forecast_debug','simul_SHOCKS','z','iter','frcst_regime_history','error_flag','out','shocks_base')
+ end
end
dyn_waitbar(iter/opts.replic,h,['OccBin MC forecast replic ',int2str(iter),'/',int2str(opts.replic)])
end
dyn_waitbar_close(h);
- save temp zlin0 zpiece0 simul_SHOCKS error_flag
+ if options_.debug
+ save('Occbin_forecast_debug','simul_SHOCKS','z','iter','frcst_regime_history','error_flag')
+ end
inx=find(error_flag==0);
- zlin0=zlin0(:,:,inx);
- zpiece0=zpiece0(:,:,inx);
- zlin = mean(zlin0,3);
- zpiece = mean(zpiece0,3);
- zpiecemin = min(zpiece0,[],3);
- zpiecemax = max(zpiece0,[],3);
- zlinmin = min(zlin0,[],3);
- zlinmax = max(zlin0,[],3);
-
- for i=1:M_.endo_nbr
- for j=1:forecast
- [post_mean(j,1), post_median(j,1), post_var(j,1), hpd_interval(j,:), post_deciles(j,:)] = posterior_moments(squeeze(zlin0(j,i,:)),options_.forecasts.conf_sig);
- end
- oo_.occbin.linear_forecast.Mean.(M_.endo_names{i})=post_mean;
- oo_.occbin.linear_forecast.Median.(M_.endo_names{i})=post_median;
- oo_.occbin.linear_forecast.Var.(M_.endo_names{i})=post_var;
- oo_.occbin.linear_forecast.HPDinf.(M_.endo_names{i})=hpd_interval(:,1);
- oo_.occbin.linear_forecast.HPDsup.(M_.endo_names{i})=hpd_interval(:,2);
- oo_.occbin.linear_forecast.Deciles.(M_.endo_names{i})=post_deciles;
- oo_.occbin.linear_forecast.Min.(M_.endo_names{i})=zlinmin(:,i);
- oo_.occbin.linear_forecast.Max.(M_.endo_names{i})=zlinmax(:,i);
- for j=1:forecast
- [post_mean(j,1), post_median(j,1), post_var(j,1), hpd_interval(j,:), post_deciles(j,:)] = posterior_moments(squeeze(zpiece0(j,i,:)),options_.forecasts.conf_sig);
+ z.linear=z.linear(:,:,inx);
+ z.piecewise=z.piecewise(:,:,inx);
+ z.min.piecewise = min(z.piecewise,[],3);
+ z.max.piecewise = max(z.piecewise,[],3);
+ z.min.linear = min(z.linear,[],3);
+ z.max.linear = max(z.linear,[],3);
+
+ field_names={'linear','piecewise'};
+ post_mean=NaN(forecast_horizon,1);
+ post_median=NaN(forecast_horizon,1);
+ post_var=NaN(forecast_horizon,1);
+ hpd_interval=NaN(forecast_horizon,2);
+ post_deciles=NaN(forecast_horizon,9);
+ for field_iter=1:2
+ for i=1:M_.endo_nbr
+ for j=1:forecast_horizon
+ [post_mean(j,1), post_median(j,1), post_var(j,1), hpd_interval(j,:), post_deciles(j,:)] = posterior_moments(squeeze(z.(field_names{field_iter})(j,i,:)),options_.forecasts.conf_sig);
+ end
+ forecast.(field_names{field_iter}).Mean.(M_.endo_names{i})=post_mean;
+ forecast.(field_names{field_iter}).Median.(M_.endo_names{i})=post_median;
+ forecast.(field_names{field_iter}).Var.(M_.endo_names{i})=post_var;
+ forecast.(field_names{field_iter}).HPDinf.(M_.endo_names{i})=hpd_interval(:,1);
+ forecast.(field_names{field_iter}).HPDsup.(M_.endo_names{i})=hpd_interval(:,2);
+ forecast.(field_names{field_iter}).Deciles.(M_.endo_names{i})=post_deciles;
+ forecast.(field_names{field_iter}).Min.(M_.endo_names{i})=z.min.(field_names{field_iter})(:,i);
+ forecast.(field_names{field_iter}).Max.(M_.endo_names{i})=z.max.(field_names{field_iter})(:,i);
end
- oo_.occbin.forecast.Mean.(M_.endo_names{i})=post_mean;
- oo_.occbin.forecast.Median.(M_.endo_names{i})=post_median;
- oo_.occbin.forecast.Var.(M_.endo_names{i})=post_var;
- oo_.occbin.forecast.HPDinf.(M_.endo_names{i})=hpd_interval(:,1);
- oo_.occbin.forecast.HPDsup.(M_.endo_names{i})=hpd_interval(:,2);
- oo_.occbin.forecast.Deciles.(M_.endo_names{i})=post_deciles;
- oo_.occbin.forecast.Min.(M_.endo_names{i})=zpiecemin(:,i);
- oo_.occbin.forecast.Max.(M_.endo_names{i})=zpiecemax(:,i);
- % eval([M_.endo_names{i},'_ss=zdatass(i);']);
end
-
else
- SHOCKS = zeros(forecast,M_.exo_nbr);
- if ~isempty(SHOCKS0)
- for j=1:length(SHOCKS0)
- SHOCKS(:,inds(j))=SHOCKS1(j,:);
- end
- end
- options_.occbin.simul.endo_init = M_.endo_histval(:,1)-oo_.steady_state;
- options_.occbin.simul.init_regime = opts.frcst_regimes;
- options_.occbin.simul.init_violvecbool = [];
options_.occbin.simul.irfshock = M_.exo_names;
- options_.occbin.simul.SHOCKS = SHOCKS;
- [~, out] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
+ options_.occbin.simul.SHOCKS = shocks_base;
+ [~, out] = occbin.solver(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state);
+ error_flag=out.error_flag;
+ if out.error_flag
+ fprintf('occbin.forecast: forecast simulation failed.')
+ return;
+ end
- zlin=out.linear;
- zpiece=out.piecewise;
frcst_regime_history=out.regime_history;
error_flag=out.error_flag;
for i=1:M_.endo_nbr
- oo_.occbin.linear_forecast.Mean.(M_.endo_names{i})= zlin(:,i);
- oo_.occbin.forecast.Mean.(M_.endo_names{i})= zpiece(:,i);
- oo_.occbin.forecast.HPDinf.(M_.endo_names{i})= nan;
- oo_.occbin.forecast.HPDsup.(M_.endo_names{i})= nan;
+ forecast.linear.Mean.(M_.endo_names{i})= out.linear(:,i);
+ forecast.piecewise.Mean.(M_.endo_names{i})= out.piecewise(:,i);
end
-
end
-oo_.occbin.forecast.regimes=frcst_regime_history;
-
+forecast.regimes=frcst_regime_history;
\ No newline at end of file
diff --git a/matlab/+occbin/irf.m b/matlab/+occbin/irf.m
index a94b42b9d957ce4b56b9161d5bd98337556890f5..6266f1b69eed24f8ad6432f27a091989a61f897b 100644
--- a/matlab/+occbin/irf.m
+++ b/matlab/+occbin/irf.m
@@ -1,140 +1,124 @@
-function [oo_] = irf(M_,oo_,options_)
+function irfs = irf(M_,oo_,options_)
+% irfs = irf(M_,oo_,options_)
+% Calls a minimizer
+%
+% INPUTS
+% - M_ [structure] Matlab's structure describing the model
+% - oo_ [structure] Matlab's structure containing the results
+% - options_ [structure] Matlab's structure describing the current options
+%
+% OUTPUTS
+% - irfs [structure] IRF results
+%
+% SPECIAL REQUIREMENTS
+% none.
+%
+%
+% Copyright © 2022-2023 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
shocknames = options_.occbin.irf.exo_names;
-shocksigns = options_.occbin.irf.shocksigns;
+shocksigns = options_.occbin.irf.shocksigns; %'pos','neg'
shocksize = options_.occbin.irf.shocksize;
-t0 = options_.occbin.irf.t0;
+t_0 = options_.occbin.irf.t0;
+
+%% set simulation options based on IRF options
options_.occbin.simul.init_regime = options_.occbin.irf.init_regime;
options_.occbin.simul.check_ahead_periods = options_.occbin.irf.check_ahead_periods;
options_.occbin.simul.maxit = options_.occbin.irf.maxit;
options_.occbin.simul.periods = options_.irf;
-% Run inital conditions + other shocks
-if t0 == 0
- shocks0= zeros(options_.occbin.simul.periods+1,M_.exo_nbr);
+%% Run initial conditions + other shocks
+if t_0 == 0
+ shocks_base = zeros(options_.occbin.simul.periods+1,M_.exo_nbr);
options_.occbin.simul.endo_init = [];
else
- % girf conditional to smoothed states in t0 and shocks in t0+1
- shocks0= [oo_.occbin.smoother.etahat(:,t0+1)'; zeros(options_.occbin.simul.periods,M_.exo_nbr)];
- options_.occbin.simul.SHOCKS=shocks0;
- options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0);
+ if ~isfield(oo_.occbin,'smoother')
+ error('occbin.irfs: smoother must be run before requesting GIRFs based on smoothed results')
+ end
+ % GIRF conditional on smoothed states in t_0 and shocks in t_0+1
+ shocks_base= [oo_.occbin.smoother.etahat(:,t_0+1)'; zeros(options_.occbin.simul.periods,M_.exo_nbr)];
+ options_.occbin.simul.SHOCKS=shocks_base;
+ options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t_0);
+end
+options_.occbin.simul.SHOCKS=shocks_base;
+
+[~, out_base] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
+if out_base.error_flag
+ error('occbin.irfs: could not compute the solution')
end
-options_.occbin.simul.SHOCKS=shocks0;
-[~, out0] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
-zlin0 = out0.linear;
-zpiece0 = out0.piecewise;
-% Select shocks of interest
-jexo_all =zeros(size(shocknames,1),1);
+irfs.linear = struct();
+irfs.piecewise = struct();
+% Get indices of shocks of interest
+exo_index =zeros(size(shocknames,1),1);
for i=1:length(shocknames)
- jexo_all(i) = strmatch(shocknames{i},M_.exo_names,'exact');
+ exo_index(i) = strmatch(shocknames{i},M_.exo_names,'exact');
end
-oo_.occbin.linear_irfs = struct();
-oo_.occbin.irfs = struct();
+% cs=get_lower_cholesky_covariance(M_.Sigma_e,options_.add_tiny_number_to_cholesky);
+% irf_shocks_indx = getIrfShocksIndx(M_, options_);
+
% Set shock size
if isempty(shocksize)
- % if isfield(oo_.posterior_mode.shocks_std,M_.exo_names{jexo})
- shocksize = sqrt(diag(M_.Sigma_e(jexo_all,jexo_all))); %oo_.posterior_mode.shocks_std.(M_.exo_names{jexo});
+ shocksize = sqrt(diag(M_.Sigma_e(exo_index,exo_index)));
if any(shocksize < 1.e-9)
shocksize(shocksize < 1.e-9) = 0.01;
end
end
+
if numel(shocksize)==1
shocksize=repmat(shocksize,[length(shocknames),1]);
end
% Run IRFs
-for counter = 1:length(jexo_all)
-
- jexo = jexo_all(counter);
-
- if ~options_.noprint
- fprintf('Producing GIRFs for shock %s. Simulation %d out of %d. \n',M_.exo_names{jexo},counter,size(jexo_all,1));
- end
-
- if ismember('pos',shocksigns)
- % (+) shock
- shocks1=shocks0;
- shocks1(1,jexo)=shocks0(1,jexo)+shocksize(counter);
- if t0 == 0
- options_.occbin.simul.SHOCKS=shocks1;
- options_.occbin.simul.endo_init = [];
- [~, out_pos] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
- else
- options_.occbin.simul.SHOCKS=shocks1;
- options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0);
- [~, out_pos] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
+for sign_iter=1:length(shocksigns)
+ for IRF_counter = 1:length(exo_index)
+ jexo = exo_index(IRF_counter);
+ if ~options_.noprint && options_.debug
+ fprintf('occbin.irf: Producing GIRFs for shock %s. Simulation %d out of %d. \n',M_.exo_names{jexo},IRF_counter,size(exo_index,1));
end
- if out_pos.error_flag
- warning('Occbin error.')
- return
+ shocks1=shocks_base;
+ if ismember('pos',shocksigns{sign_iter})
+ shocks1(1,jexo)=shocks_base(1,jexo)+shocksize(IRF_counter);
+ elseif ismember('neg',shocksigns{sign_iter})
+ shocks1(1,jexo)=shocks_base(1,jexo)-shocksize(IRF_counter);
end
- zlin_pos = out_pos.linear;
- zpiece_pos = out_pos.piecewise;
- % Substract inital conditions + other shocks
- zlin_pos_diff = zlin_pos-zlin0;
- zpiece_pos_diff = zpiece_pos-zpiece0;
- end
-
- if ismember('neg',shocksigns)
- % (-) shock
- shocks_1=shocks0;
- shocks_1(1,jexo)=shocks0(1,jexo)-shocksize(counter);
- if t0 == 0
- options_.occbin.simul.SHOCKS=shocks_1;
+ options_.occbin.simul.SHOCKS=shocks1;
+ if t_0 == 0
options_.occbin.simul.endo_init = [];
- [~, out_neg] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
else
- options_.occbin.simul.SHOCKS=shocks_1;
- options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t0);
- [~, out_neg] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
+ options_.occbin.simul.endo_init = oo_.occbin.smoother.alphahat(oo_.dr.inv_order_var,t_0);
end
- if out_neg.error_flag
- warning('Occbin error.')
- return
+ [~, out_sim] = occbin.solver(M_,options_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
+ if out_sim.error_flag
+ warning('occbin.irfs: simulation failed')
+ skip
end
- zlin_neg = out_neg.linear;
- zpiece_neg = out_neg.piecewise;
- zlin_neg_diff = zlin_neg-zlin0;
- zpiece_neg_diff = zpiece_neg-zpiece0;
- end
-
- % Save
- if ~isfield(oo_.occbin,'linear_irfs')
- oo_.occbin.linear_irfs = struct();
- end
- if ~isfield(oo_.occbin,'irfs')
- oo_.occbin.irfs = struct();
- end
+ % Substract inital conditions + other shocks
+ zdiff.linear.(shocksigns{sign_iter}) = out_sim.linear-out_base.linear;
+ zdiff.piecewise.(shocksigns{sign_iter}) = out_sim.piecewise-out_base.piecewise;
- for jendo=1:M_.endo_nbr
-% oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zpiece_pos (:,jendo);
-% oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zpiece_neg (:,jendo);
-% oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zlin_pos (:,jendo);
-% oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zlin_neg(:,jendo);
-
- if ismember('pos',shocksigns)
- oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_pos']) = zpiece_pos_diff (:,jendo);
- oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_pos']) = zlin_pos_diff (:,jendo);
+ for j_endo=1:M_.endo_nbr
+ if ismember('pos',shocksigns)
+ irfs.piecewise.([M_.endo_names{j_endo} '_' M_.exo_names{jexo} '_' shocksigns{sign_iter}]) = zdiff.piecewise.(shocksigns{sign_iter})(:,j_endo);
+ irfs.linear.([M_.endo_names{j_endo} '_' M_.exo_names{jexo} '_' shocksigns{sign_iter}]) = zdiff.linear.(shocksigns{sign_iter})(:,j_endo);
+ end
end
-
- if ismember('neg',shocksigns)
- oo_.occbin.irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_neg']) = zpiece_neg_diff (:,jendo);
- oo_.occbin.linear_irfs.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_neg']) = zlin_neg_diff (:,jendo);
- end
-
-% %
-% oo_.occbin.irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zpiece0(:,jendo);
-% oo_.occbin.linear_irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '1']) = zlin0(:,jendo);
-% oo_.occbin.irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zpiece0(:,jendo);
-% oo_.occbin.linear_irfs0.([M_.endo_names{jendo} '_' M_.exo_names{jexo} '_1']) = zlin0(:,jendo);
-
end
-end
-
-
-
-end
-
+end
\ No newline at end of file
diff --git a/matlab/+occbin/plot_irfs.m b/matlab/+occbin/plot_irfs.m
index efe92854789c66490e625d6be5762b811807cef5..29c9c63c39039d49f8c6648e4d3aff828902591b 100644
--- a/matlab/+occbin/plot_irfs.m
+++ b/matlab/+occbin/plot_irfs.m
@@ -1,34 +1,74 @@
-function plot_irfs(M_,oo_,options_,irf3,irf4)
-
-shocknames = options_.occbin.plot_irf.exo_names;
-simulname = options_.occbin.plot_irf.simulname;
-if isempty(simulname)
- simulname_ = simulname;
-else
- simulname_ = [ simulname '_' ];
+function plot_irfs(M_,irfs,options_,var_list)
+% plot_irfs(M_,irfs,options_,var_list)
+%
+% INPUTS
+% - M_ [structure] Matlab's structure describing the model
+% - irfs [structure] IRF results
+% - options_ [structure] Matlab's structure describing the current options
+% - var_list [character array] list of endogenous variables specified
+%
+% OUTPUTS
+% none
+%
+% SPECIAL REQUIREMENTS
+% none.
+
+% Copyright © 2022-2023 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
+
+if (isfield(options_,'irf_shocks')==0)
+ shock_names = M_.exo_names;
+else
+ shock_names = options_.irf_shocks;
end
-vars_irf = options_.occbin.plot_irf.endo_names;
-endo_names_long = options_.occbin.plot_irf.endo_names_long;
-endo_scaling_factor = options_.occbin.plot_irf.endo_scaling_factor;
-length_irf = options_.occbin.plot_irf.tplot;
-if isempty(length_irf)
- length_irf = options_.irf;
+
+simul_name = options_.occbin.plot_irf.simulname;
+if isempty(simul_name)
+ save_name = simul_name;
+else
+ save_name = [ simul_name '_' ];
end
-irflocation_lin = oo_.occbin.linear_irfs;
-irflocation_piece = oo_.occbin.irfs;
+if isempty(var_list)
+ var_list = M_.endo_names(1:M_.orig_endo_nbr);
+end
+
+[i_var, ~, index_uniques] = varlist_indices(var_list, M_.endo_names);
+vars_irf=var_list(index_uniques);
+endo_scaling_factor = options_.occbin.plot_irf.endo_scaling_factor;
+length_irf = options_.irf;
-steps_irf = 1;
-warning('off','all')
+steps_irf = 1;
DirectoryName = CheckPath('graphs',M_.dname);
+latexFolder = CheckPath('latex',M_.dname);
+if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fidTeX = fopen([latexFolder '/' M_.fname '_occbin_irfs.tex'],'w');
+ fprintf(fidTeX,'%% TeX eps-loader file generated by occbin.plot_irfs.m (Dynare).\n');
+ fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
+ fprintf(fidTeX,' \n');
+end
iexo=[];
-for i=1:size(shocknames,1)
- itemp = strmatch(shocknames{i},M_.exo_names,'exact');
+for var_iter=1:size(shock_names,1)
+ itemp = strmatch(shock_names{var_iter},M_.exo_names,'exact');
if isempty(itemp)
- error(['Shock ',shocknames{i},' is not defined!'])
+ error(['Shock ',shock_names{var_iter},' is not defined!'])
else
iexo=[iexo, itemp];
end
@@ -38,104 +78,102 @@ ncols = options_.occbin.plot_irf.ncols;
nrows = options_.occbin.plot_irf.nrows;
npan = ncols*nrows;
-plot_grid = options_.occbin.plot_irf.grid;
-shocksigns = options_.occbin.plot_irf.shocksigns;
-threshold = options_.occbin.plot_irf.threshold;
-
-% Add steady_state
-if options_.occbin.plot_irf.add_steadystate
- add_stst = options_.occbin.plot_irf.add_steadystate;
-else
- add_stst = 0;
-end
-for sss = 1:numel(shocksigns)
-
- shocksign = shocksigns{sss};
-
- for j=1:size(shocknames,1)
- %shocknames = M_.exo_names{j};
+shocksigns = options_.occbin.plot_irf.shocksigns;
+threshold = options_.impulse_responses.plot_threshold;
+for shock_sign_iter = 1:numel(shocksigns)
+ shocksign = shocksigns{shock_sign_iter};
+ if strcmp(shocksign,'pos')
+ plot_title_sign='positive';
+ elseif strcmp(shocksign,'neg')
+ plot_title_sign='negative';
+ else
+ error('Unknown shock sign %s',shocksign);
+ end
+
+ for shock_iter=1:size(shock_names,1)
j1 = 0;
isub = 0;
ifig = 0;
-
% Variables
- % ----------------------
- for i = 1:length(vars_irf)
-
+ for var_iter = 1:length(vars_irf)
j1=j1+1;
if mod(j1,npan)==1
- % vector corresponds to [left bottom width height]. 680 and 678 for the left and bottom elements correspond to the default values used by MATLAB while creating a figure and width, .
- hfig = dyn_figure(options_.nodisplay,'name',['OccbinIRFs ' shocknames{j} ' ' simulname ' ' shocksign],'PaperPositionMode', 'auto','PaperType','A4','PaperOrientation','portrait','renderermode','auto','position',[10 10 950 650]);
+ % vector corresponds to [left bottom width height]. 680 and 678 for the left and bottom elements correspond to the default values used by MATLAB while creating a figure and width, .
+ screensize = get( groot, 'Screensize' );
+ hfig = dyn_figure(options_.nodisplay,'name',['OccBin IRFs to ' plot_title_sign ' ' shock_names{shock_iter} ' shock ' simul_name],'OuterPosition' ,[50 50 min(1000,screensize(3)-50) min(750,screensize(4)-50)]);
ifig=ifig+1;
isub=0;
end
- isub=isub+1;
-
+ isub=isub+1;
if isempty(endo_scaling_factor)
exofactor = 1;
- else
- exofactor = endo_scaling_factor{i};
- end
-
- subplot(nrows,ncols,isub)
- irf_field = strcat(vars_irf{i,1},'_',shocknames{j},'_',shocksign);
-
- irfvalues = irflocation_lin.(irf_field);
- if add_stst
- irfvalues = irfvalues + get_mean(vars_irf{i,1});
- end
-
- irfvalues(abs(irfvalues) <threshold) = 0;
-
- plot(irfvalues(1:steps_irf:length_irf)*exofactor,'linewidth',2);
- hold on
+ else
+ exofactor = endo_scaling_factor{var_iter};
+ end
- irfvalues = irflocation_piece.(irf_field);
- if add_stst
- irfvalues = irfvalues + get_mean(vars_irf{i,1});
+ subplot(nrows,ncols,isub)
+ irf_field = strcat(vars_irf{var_iter},'_',shock_names{shock_iter},'_',shocksign);
+
+ %%linear IRFs
+ if ~isfield(irfs.linear,irf_field)
+ warning('occbin.plot_irfs: no linear IRF for %s to %s detected',vars_irf{var_iter,1},shock_names{shock_iter})
+ else
+ irfvalues = irfs.linear.(irf_field);
+ irfvalues(abs(irfvalues) <threshold) = 0;
+ if options_.occbin.plot_irf.add_steadystate
+ irfvalues = irfvalues + get_mean(vars_irf{var_iter,1});
+ end
+ max_irf_length_1=min(length_irf,length(irfvalues));
+ plot(irfvalues(1:steps_irf:max_irf_length_1)*exofactor,'linewidth',2);
end
- irfvalues(abs(irfvalues) <threshold) = 0;
- plot(irfvalues(1:steps_irf:length_irf)*exofactor,'r--','linewidth',2);
-
hold on
- plot(irfvalues(1:steps_irf:length_irf)*0,'k-','linewidth',1.5);
- % Optional additional IRFs
- if nargin > 10
- irfvalues = irf3.(irf_field) ;
- irfvalues(abs(irfvalues) <threshold) = 0;
- plot(irfvalues(1:steps_irf:length_irf)*exofactor,'k:','linewidth',2);
- end
- if nargin > 11
- irfvalues = irf4.(irf_field) ;
- irfvalues(abs(irfvalues) <threshold) = 0;
- plot(irfvalues(1:steps_irf:length_irf)*exofactor,'g-.','linewidth',2);
- end
-
- if plot_grid
- grid on
+ if ~isfield(irfs.piecewise,irf_field)
+ warning('occbin.plot_irfs: no piecewise linear IRF for %s to %s detected',vars_irf{var_iter,1},shock_names{shock_iter})
+ else
+ irfvalues = irfs.piecewise.(irf_field);
+ irfvalues(abs(irfvalues) <threshold) = 0;
+ if options_.occbin.plot_irf.add_steadystate
+ irfvalues = irfvalues + get_mean(vars_irf{var_iter,1});
+ end
+ max_irf_length_2=min(length_irf,length(irfvalues));
+ plot(irfvalues(1:steps_irf:max_irf_length_2)*exofactor,'r--','linewidth',2);
end
- xlim([1 (length_irf/steps_irf)]);
-
- % title
- if isempty(endo_names_long)
- title(regexprep(vars_irf{i},'_',' '))
+ plot(irfvalues(1:steps_irf:max(max_irf_length_1,max_irf_length_2))*0,'k-','linewidth',1.5);
+
+ if options_.occbin.plot_irf.grid
+ grid on
+ end
+ xlim([1 max(max_irf_length_1,max_irf_length_2)]);
+ if options_.TeX
+ title(['$' M_.endo_names_tex{i_var(var_iter)}, '$'],'Interpreter','latex')
else
- title(endo_names_long{i})
+ title(M_.endo_names{i_var(var_iter)},'Interpreter','none')
end
-
% Annotation Box + save figure
% ----------------------
- if mod(j1,npan)==0 || (mod(j1,npan)~=0 && i==length(vars_irf))
+ if mod(j1,npan)==0 || (mod(j1,npan)~=0 && var_iter==length(vars_irf))
annotation('textbox', [0.1,0,0.35,0.05],'String', 'Linear','Color','Blue','horizontalalignment','center','interpreter','none');
annotation('textbox', [0.55,0,0.35,0.05],'String', 'Piecewise','Color','Red','horizontalalignment','center','interpreter','none');
- dyn_saveas(hfig,[DirectoryName,filesep,M_.fname,'_irf_occbin_',simulname_,shocknames{j},'_',shocksign,'_',int2str(ifig)],options_.nodisplay,options_.graph_format);
+ dyn_saveas(hfig,[DirectoryName,filesep,M_.fname,'_irf_occbin_',save_name,shock_names{shock_iter},'_',shocksign,'_',int2str(ifig)],options_.nodisplay,options_.graph_format);
+ if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fprintf(fidTeX,'\\begin{figure}[H]\n');
+ fprintf(fidTeX,'\\centering \n');
+ fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_irf_occbin_%s}\n',options_.figures.textwidth*min((j1-1)/ncols,1),...
+ [DirectoryName '/' ,M_.fname],[save_name,shock_names{shock_iter},'_',shocksign,'_',int2str(ifig)]);
+ fprintf(fidTeX,'\\caption{OccBin IRFs to %s shock to %s}\n',plot_title_sign,shock_names{shock_iter});
+ fprintf(fidTeX,'\\label{Fig:occbin_irfs:%s}\n',[save_name,shock_names{shock_iter},'_',shocksign,'_',int2str(ifig)]);
+ fprintf(fidTeX,'\\end{figure}\n');
+ fprintf(fidTeX,'\n');
+ end
end
- end
+ end
end
end
-warning('on','all')
+if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fprintf(fidTeX,'%% End Of TeX file.');
+ fclose(fidTeX);
end
\ No newline at end of file
diff --git a/matlab/+occbin/plot_regimes.m b/matlab/+occbin/plot_regimes.m
index 24e4aeb0c34c778cb95301af23995084d42ece93..a9fd4932be6577a146ba5aa0225e6a6c084b6bfd 100644
--- a/matlab/+occbin/plot_regimes.m
+++ b/matlab/+occbin/plot_regimes.m
@@ -1,4 +1,26 @@
function plot_regimes(regimes,M_,options_)
+% plot_regimes(regimes,M_,options_)
+% Inputs:
+% - regimes [structure] OccBin regime information
+% - M_ [structure] Matlab's structure describing the model
+% - options_ [structure] Matlab's structure containing the options
+
+% Copyright © 2021-2023 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
nperiods = size(regimes,2);
nconstr = length(fieldnames(regimes(1)))/2;
@@ -13,9 +35,15 @@ else
end
GraphDirectoryName = CheckPath('graphs',M_.dname);
+fhandle = dyn_figure(options_.nodisplay,'Name',[M_.fname ': OccBin regimes']);
-fhandle = dyn_figure(options_.nodisplay,'Name',[M_.fname ' occbin regimes']);
-
+latexFolder = CheckPath('latex',M_.dname);
+if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fidTeX = fopen([latexFolder '/' M_.fname '_occbin_regimes.tex'],'w');
+ fprintf(fidTeX,'%% TeX eps-loader file generated by occbin.plot_regimes.m (Dynare).\n');
+ fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
+ fprintf(fidTeX,' \n');
+end
for k=1:nconstr
subplot(nconstr,1,k)
@@ -36,12 +64,23 @@ for k=1:nconstr
end
end
end
- title(['regime ' int2str(k)])
- xlabel('historic period')
- ylabel('regime expected start')
+ xlim([1 nperiods])
+ title(['Regime ' int2str(k)])
+ xlabel('Historic period')
+ ylabel('Regime: expected start')
end
-annotation('textbox',[.25,0,.15,.05],'String','Unbinding','Color','blue');
-annotation('textbox',[.65,0,.15,.05],'String','Binding','Color','red');
-
+annotation('textbox',[.25,0,.15,.05],'String','Slack','Color','blue');
+annotation('textbox',[.65,0,.2,.05],'String','Binding','Color','red');
dyn_saveas(fhandle,[GraphDirectoryName, filesep, M_.fname '_occbin_regimes'],options_.nodisplay,options_.graph_format);
+
+if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fprintf(fidTeX,'\\begin{figure}[H]\n');
+ fprintf(fidTeX,'\\centering \n');
+ fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_occbin_regimes}\n',options_.figures.textwidth,[GraphDirectoryName '/' M_.fname]);
+ fprintf(fidTeX,'\\caption{OccBin: regime evolution over time.}\n');
+ fprintf(fidTeX,'\\label{Fig:occbin_regimes}\n');
+ fprintf(fidTeX,'\\end{figure}\n');
+ fprintf(fidTeX,'\n');
+ fclose(fidTeX);
+end
diff --git a/matlab/+occbin/set_default_options.m b/matlab/+occbin/set_default_options.m
index 99a1e2e1f8af76bff9413dfba5c886efe9f0e820..b720160c5392e6bcbba83ba096921b5141cf4d5d 100644
--- a/matlab/+occbin/set_default_options.m
+++ b/matlab/+occbin/set_default_options.m
@@ -55,9 +55,7 @@ if ismember(flag,{'forecast','all'})
options_occbin_.forecast.maxit=30;
options_occbin_.forecast.qmc=0;
options_occbin_.forecast.replic=0;
- options_occbin_.forecast.sepath=0;
options_occbin_.forecast.SHOCKS0=[];
- options_occbin_.forecast.treepath=1; % number of branches
end
if ismember(flag,{'irf','all'})
@@ -98,17 +96,12 @@ end
if ismember(flag,{'plot_irf','all'})
options_occbin_.plot_irf.add_steadystate = 0;
- options_occbin_.plot_irf.exo_names = [];
- options_occbin_.plot_irf.endo_names = M_.endo_names;
- options_occbin_.plot_irf.endo_names_long = [];
options_occbin_.plot_irf.endo_scaling_factor = [];
options_occbin_.plot_irf.grid = true;
options_occbin_.plot_irf.ncols = 3;
options_occbin_.plot_irf.nrows = 3;
options_occbin_.plot_irf.shocksigns = {'pos','neg'};
options_occbin_.plot_irf.simulname='';
- options_occbin_.plot_irf.threshold = 10^-6;
- options_occbin_.plot_irf.tplot = [];
end
if ismember(flag,{'plot_shock_decomp','all'})
diff --git a/tests/occbin/filter/NKM.mod b/tests/occbin/filter/NKM.mod
index 325e7740262a022936d1cee23b9f4c297b77e296..1b552290f4dce06214ae6430c3b87fdea665d224 100644
--- a/tests/occbin/filter/NKM.mod
+++ b/tests/occbin/filter/NKM.mod
@@ -13,66 +13,66 @@
// ----------------- Defintions -----------------------------------------//
var
- c //1 Consumption
- n //2 Labor
- y //5 Output
- yf //6 Final goods
- yg //11 Output growth gap
- w //12 Real wage rate
- wf //13 Flexible real wage
- pigap //15 Inflation rate -> pi(t)/pibar = pigap
- inom ${i^{nom}}$ //16 Nominal interest rate
- inomnot //17 Notional interest rate
- mc //19 Real marginal cost
- lam ${\lambda}$ //20 Inverse marginal utility of wealth
- g //21 Growth shock
- s //22 Risk premium shock
- mp //23 Monetary policy shock
- pi ${\pi}$ //24 Observed inflation
+ c $c$ (long_name='Consumption')
+ n (long_name='Labor')
+ y $y$ (long_name='Output')
+ yf (long_name='Final goods')
+ yg (long_name='Output growth gap')
+ w (long_name='Real wage rate')
+ wf (long_name='Flexible real wage')
+ pigap (long_name='Inflation rate -> pi(t)/pibar = pigap')
+ inom ${i^{nom}}$ (long_name='Nominal interest rate')
+ inomnot (long_name='Notional interest rate')
+ mc (long_name='Real marginal cost')
+ lam ${\lambda}$ (long_name='Inverse marginal utility of wealth')
+ g (long_name='Growth shock')
+ s (long_name='Risk premium shock')
+ mp (long_name='Monetary policy shock')
+ pi ${\pi}$ (long_name='Observed inflation')
@#if !(small_model)
- x //3 Investment
- k //4 Capital
- u //7 Utilization cost
- ups //8 Utilization choice
- wg //9 Real wage growth gap
- xg //10 Investment growth
- rk //14 Real rental rate
- q //18 Tobins q
+ x (long_name='Investment')
+ k (long_name='Capital')
+ u (long_name='Utilization cost')
+ ups (long_name='Utilization choice')
+ wg (long_name='Real wage growth gap')
+ xg (long_name='Investment growth')
+ rk (long_name='Real rental rate')
+ q (long_name='Tobins q')
@#endif
;
varexo
- epsg ${\varepsilon_g}$ // Productivity growth shock
- epsi // Notional interest rate shock
- epss // Risk premium shock
+ epsg ${\varepsilon_g}$ (long_name='Productivity growth shock')
+ epsi (long_name='Notional interest rate shock')
+ epss (long_name='Risk premium shock')
;
parameters
// Calibrated Parameters
- beta $\beta$ // Discount factor
- chi // Labor disutility scale
- thetap // Elasticity of subs. between intermediate goods
- thetaw // Elasticity of subs. between labor types
- nbar // Steady state labor
- eta // Inverse frish elasticity of labor supply
- delta // Depreciation
- alpha // Capital share
- gbar // Mean growth rate
- pibar // Inflation target
- inombar // Steady gross nom interest rate
- inomlb // Effective lower bound on gross nominal interest rate
- sbar // Average risk premium
+ beta $\beta$ (long_name='Discount factor')
+ chi (long_name='Labor disutility scale')
+ thetap (long_name='Elasticity of subs. between intermediate goods')
+ thetaw (long_name='Elasticity of subs. between labor types')
+ nbar (long_name='Steady state labor')
+ eta (long_name='Inverse frish elasticity of labor supply')
+ delta (long_name='Depreciation')
+ alpha (long_name='Capital share')
+ gbar (long_name='Mean growth rate')
+ pibar (long_name='Inflation target')
+ inombar (long_name='Steady gross nom interest rate')
+ inomlb (long_name='Effective lower bound on gross nominal interest rate')
+ sbar (long_name='Average risk premium')
// Parameters for DGP and Estimated parameters
- varphip // Rotemberg price adjustment cost
- varphiw // Rotemberg wage adjustment cost
- h // Habit persistence
- rhos // Persistence
- rhoi // Persistence
- sigz // Standard deviation technology
- sigs // Standard deviation risk premia
- sigi // Standard deviation mon pol
- phipi // Inflation responsiveness
- phiy // Output responsiveness
- nu // Investment adjustment cost
- sigups // Utilization
+ varphip (long_name='Rotemberg price adjustment cost')
+ varphiw (long_name='Rotemberg wage adjustment cost')
+ h (long_name='Habit persistence')
+ rhos (long_name='Persistence')
+ rhoi (long_name='Persistence')
+ sigz (long_name='Standard deviation technology')
+ sigs (long_name='Standard deviation risk premia')
+ sigi (long_name='Standard deviation mon pol')
+ phipi (long_name='Inflation responsiveness')
+ phiy (long_name='Output responsiveness')
+ nu (long_name='Investment adjustment cost')
+ sigups (long_name='Utilization')
;
@@ -316,36 +316,34 @@ varobs yg inom pi;
// forecast starting from period 42, zero shocks (default)
smoother2histval(period=42);
- [oo, error_flag] = occbin.forecast(options_,M_,oo_,8);
+ [forecast, error_flag] = occbin.forecast(options_,M_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state,8);
// forecast with stochastic shocks
options_.occbin.forecast.qmc=true;
options_.occbin.forecast.replic=127;
- [oo1, error_flag] = occbin.forecast(options_,M_,oo_,8);
+ [forecast1, error_flag] = occbin.forecast(options_,M_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state,8);
+
+ figure('Name','OccBin: Forecasts')
+ subplot(2,1,1)
+ plot(1:8,forecast.piecewise.Mean.inom,'b-',1:8,forecast1.piecewise.Mean.inom,'r--')
+ subplot(2,1,2)
+ plot(1:8,forecast.piecewise.Mean.y,'b-',1:8,forecast1.piecewise.Mean.y,'r--')
// GIRF given states in 42 and shocks in 43
t0=42;
options_.occbin.irf.exo_names=M_.exo_names;
options_.occbin.irf.t0=t0;
- oo_ = occbin.irf(M_,oo_,options_);
+ oo_.occbin.irfs = occbin.irf(M_,oo_,options_);
- vars_irf = {
- 'c', 'consumption'
- 'n', 'labor'
- 'y', 'output'
- 'pigap', 'inflation rate'
- 'inom', 'interest rate'
- 'inomnot', 'shadow rate'
- };
+ var_list_ = {'c','n','y','pigap','inom','inomnot'};
- options_.occbin.plot_irf.exo_names = M_.exo_names;
- options_.occbin.plot_irf.endo_names = vars_irf(:,1);
- options_.occbin.plot_irf.endo_names_long = vars_irf(:,2);
// if you want to scale ...
// options_occbin_.plot_irf.endo_scaling_factor = vars_irf(:,3);
options_.occbin.plot_irf.simulname = ['t0_' int2str(t0)];
- options_.occbin.plot_irf.tplot = min(40,options_.irf);
- occbin.plot_irfs(M_,oo_,options_);
-
+ options_.irf=40;
+ occbin.plot_irfs(M_,oo_.occbin.irfs,options_,var_list_);
+ var_list_={};
+ options_.occbin.plot_irf.simulname = ['t0_' int2str(t0) '_full'];
+ occbin.plot_irfs(M_,oo_.occbin.irfs,options_,var_list_);
oo0=oo_;
// use smoother_redux
estimation(
@@ -374,7 +372,7 @@ varobs yg inom pi;
consider_all_endogenous,heteroskedastic_filter,filter_step_ahead=[1],smoothed_state_uncertainty);
// show initial condition effect of IF
- figure,
+ figure('Name','OccBin: Smoothed shocks')
subplot(221)
plot([oo0.SmoothedShocks.epsg oo_.SmoothedShocks.epsg]), title('epsg')
subplot(222)
@@ -382,7 +380,7 @@ varobs yg inom pi;
subplot(223)
plot([oo0.SmoothedShocks.epss oo_.SmoothedShocks.epss]), title('epss')
legend('PKF','IF')
- figure,
+ figure('Name','OccBin: Smoothed Variables')
subplot(221)
plot([oo0.SmoothedVariables.inom oo_.SmoothedVariables.inom]), title('inom')
subplot(222)