From 2b313b0308c8449e110a5a725b4e1376783b47d3 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Fri, 8 Sep 2023 15:36:25 +0200
Subject: [PATCH] BVAR: move to subfolder
---
doc/manual/source/the-model-file.rst | 9 +++++
license.txt | 4 +-
matlab/{bvar_density.m => +bvar/density.m} | 8 ++--
matlab/{bvar_forecast.m => +bvar/forecast.m} | 38 +++++++++----------
.../graph_init.m} | 0
matlab/{bvar_irf.m => +bvar/irf.m} | 21 +++++-----
matlab/{bvar_toolbox.m => +bvar/toolbox.m} | 0
preprocessor | 2 +-
8 files changed, 47 insertions(+), 35 deletions(-)
rename matlab/{bvar_density.m => +bvar/density.m} (94%)
rename matlab/{bvar_forecast.m => +bvar/forecast.m} (80%)
rename matlab/{dynare_graph_init.m => +bvar/graph_init.m} (100%)
rename matlab/{bvar_irf.m => +bvar/irf.m} (84%)
rename matlab/{bvar_toolbox.m => +bvar/toolbox.m} (100%)
diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index 66177ad8b3..fb70d98ae7 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -8886,6 +8886,15 @@ Dynare also has the ability to estimate Bayesian VARs:
See ``bvar-a-la-sims.pdf``, which comes with Dynare distribution,
for more information on this command.
+.. command:: bvar_irf ;
+
+ |br| Computes the impulse responses of an estimated BVAR model, using
+ Minnesota priors.
+
+ See ``bvar-a-la-sims.pdf``, which comes with Dynare distribution,
+ for more information on this command.
+
+
Estimation based on moments
===========================
diff --git a/license.txt b/license.txt
index be78e6d1a1..72cb108f87 100644
--- a/license.txt
+++ b/license.txt
@@ -88,8 +88,8 @@ License: public-domain-aim
Files: matlab/optimization/bfgsi1.m matlab/csolve.m matlab/optimization/csminit1.m matlab/optimization/numgrad2.m
matlab/optimization/numgrad3.m matlab/optimization/numgrad3_.m matlab/optimization/numgrad5.m
- matlab/optimization/numgrad5_.m matlab/optimization/csminwel1.m matlab/bvar_density.m
- matlab/bvar_toolbox.m matlab/partial_information/PI_gensys.m matlab/partial_information/qzswitch.m
+ matlab/optimization/numgrad5_.m matlab/optimization/csminwel1.m matlab/+bvar/density.m
+ matlab/+bvar/toolbox.m matlab/partial_information/PI_gensys.m matlab/partial_information/qzswitch.m
matlab/partial_information/qzdiv.m
Copyright: 1993-2009 Christopher Sims
2006-2023 Dynare Team
diff --git a/matlab/bvar_density.m b/matlab/+bvar/density.m
similarity index 94%
rename from matlab/bvar_density.m
rename to matlab/+bvar/density.m
index dd469a79b3..ba69bf9bbc 100644
--- a/matlab/bvar_density.m
+++ b/matlab/+bvar/density.m
@@ -1,5 +1,5 @@
-function bvar_density(maxnlags)
-% function bvar_density(maxnlags)
+function density(maxnlags)
+% function density(maxnlags)
% computes the density of a bayesian var
%
% INPUTS
@@ -12,7 +12,7 @@ function bvar_density(maxnlags)
% none
% Copyright © 2003-2007 Christopher Sims
-% Copyright © 2007-2017 Dynare Team
+% Copyright © 2007-2023 Dynare Team
%
% This file is part of Dynare.
%
@@ -34,7 +34,7 @@ global oo_
oo_.bvar.log_marginal_data_density=NaN(maxnlags,1);
for nlags = 1:maxnlags
- [ny, nx, posterior, prior] = bvar_toolbox(nlags);
+ [ny, nx, posterior, prior] = bvar.toolbox(nlags);
oo_.bvar.posterior{nlags}=posterior;
oo_.bvar.prior{nlags}=prior;
diff --git a/matlab/bvar_forecast.m b/matlab/+bvar/forecast.m
similarity index 80%
rename from matlab/bvar_forecast.m
rename to matlab/+bvar/forecast.m
index 1ceb1a7996..2ca24f4ddb 100644
--- a/matlab/bvar_forecast.m
+++ b/matlab/+bvar/forecast.m
@@ -1,5 +1,5 @@
-function bvar_forecast(nlags)
-% function bvar_forecast(nlags)
+function forecast(nlags)
+% function forecast(nlags)
% builds forecats for a bvar model
%
% INPUTS
@@ -11,7 +11,7 @@ function bvar_forecast(nlags)
% SPECIAL REQUIREMENTS
% none
-% Copyright © 2007-2017 Dynare Team
+% Copyright © 2007-2023 Dynare Team
%
% This file is part of Dynare.
%
@@ -31,9 +31,9 @@ function bvar_forecast(nlags)
global options_ oo_ M_
if options_.forecast == 0
- error('bvar_forecast: you must specify "forecast" option')
+ error('bvar.forecast: you must specify "forecast" option')
end
-[ny, nx, posterior, prior, forecast_data] = bvar_toolbox(nlags);
+[ny, nx, posterior, prior, forecast_data] = bvar.toolbox(nlags);
sims_no_shock = NaN(options_.forecast, ny, options_.bvar_replic);
sims_with_shocks = NaN(options_.forecast, ny, options_.bvar_replic);
@@ -116,7 +116,7 @@ sims_with_shocks_up_conf = sims_with_shocks_sort(:, :, sort_idx(2));
OutputDirectoryName = CheckPath('graphs',M_.dname);
-dyn_graph=dynare_graph_init(sprintf('BVAR forecasts (nlags = %d)', nlags), ny, {'b-' 'g-' 'g-' 'r-' 'r-'});
+dyn_graph=bvar.graph_init(sprintf('BVAR forecasts (nlags = %d)', nlags), ny, {'b-' 'g-' 'g-' 'r-' 'r-'});
for i = 1:ny
dyn_graph=dynare_graph(dyn_graph,[ sims_no_shock_median(:, i) ...
@@ -166,20 +166,20 @@ for i = 1:length(options_.varobs)
name = options_.varobs{i};
sims = squeeze(sims_with_shocks(:,i,:));
- eval(['oo_.bvar.forecast.with_shocks.Mean.' name ' = mean(sims, 2);']);
- eval(['oo_.bvar.forecast.with_shocks.Median.' name ' = median(sims, 2);']);
- eval(['oo_.bvar.forecast.with_shocks.Var.' name ' = var(sims, 0, 2);']);
- eval(['oo_.bvar.forecast.with_shocks.HPDsup.' name ' = sims_with_shocks_up_conf(:,i);']);
- eval(['oo_.bvar.forecast.with_shocks.HPDinf.' name ' = sims_with_shocks_down_conf(:,i);']);
+ oo_.bvar.forecast.with_shocks.Mean.(name) = mean(sims, 2);
+ oo_.bvar.forecast.with_shocks.Median.(name) = median(sims, 2);
+ oo_.bvar.forecast.with_shocks.Var.(name) = var(sims, 0, 2);
+ oo_.bvar.forecast.with_shocks.HPDsup.(name) = sims_with_shocks_up_conf(:,i);
+ oo_.bvar.forecast.with_shocks.HPDinf.(name) = sims_with_shocks_down_conf(:,i);
sims = squeeze(sims_no_shock(:,i,:));
- eval(['oo_.bvar.forecast.no_shock.Mean.' name ' = sims_no_shock_mean(:,i);']);
- eval(['oo_.bvar.forecast.no_shock.Median.' name ' = sims_no_shock_median(:,i);']);
- eval(['oo_.bvar.forecast.no_shock.Var.' name ' = var(sims, 0, 2);']);
- eval(['oo_.bvar.forecast.no_shock.HPDsup.' name ' = sims_no_shock_up_conf(:,i);']);
- eval(['oo_.bvar.forecast.no_shock.HPDinf.' name ' = sims_no_shock_down_conf(:,i);']);
-
- if exist('rmse')
- eval(['oo_.bvar.forecast.rmse.' name ' = rmse(i);']);
+ oo_.bvar.forecast.no_shock.Mean.(name) = sims_no_shock_mean(:,i);
+ oo_.bvar.forecast.no_shock.Median.(name) = sims_no_shock_median(:,i);
+ oo_.bvar.forecast.no_shock.Var.(name) = var(sims, 0, 2);
+ oo_.bvar.forecast.no_shock.HPDsup.(name) = sims_no_shock_up_conf(:,i);
+ oo_.bvar.forecast.no_shock.HPDinf.(name) = sims_no_shock_down_conf(:,i);
+
+ if exist('rmse','var')
+ oo_.bvar.forecast.rmse.(name) = rmse(i);
end
end
diff --git a/matlab/dynare_graph_init.m b/matlab/+bvar/graph_init.m
similarity index 100%
rename from matlab/dynare_graph_init.m
rename to matlab/+bvar/graph_init.m
diff --git a/matlab/bvar_irf.m b/matlab/+bvar/irf.m
similarity index 84%
rename from matlab/bvar_irf.m
rename to matlab/+bvar/irf.m
index ec8d8e0f70..05ec9b31e2 100644
--- a/matlab/bvar_irf.m
+++ b/matlab/+bvar/irf.m
@@ -1,5 +1,6 @@
-function bvar_irf(nlags,identification)
-% builds IRFs for a bvar model
+function irf(nlags,identification)
+% function irf(nlags,identification)
+% builds IRFs for a BVAR model
%
% INPUTS
% nlags [integer] number of lags for the bvar
@@ -11,7 +12,7 @@ function bvar_irf(nlags,identification)
% SPECIAL REQUIREMENTS
% none
-% Copyright © 2007-2017 Dynare Team
+% Copyright © 2007-2023 Dynare Team
%
% This file is part of Dynare.
%
@@ -34,7 +35,7 @@ if nargin==1
identification = 'Cholesky';
end
-[ny, nx, posterior, prior] = bvar_toolbox(nlags);
+[ny, nx, posterior, prior] = bvar.toolbox(nlags);
S_inv_upper_chol = chol(inv(posterior.S));
@@ -77,6 +78,8 @@ for draw=1:options_.bvar_replic
StructuralMat = Sigma_lower_chol;
elseif strcmpi(identification,'SquareRoot')
StructuralMat = sqrtm(Sigma);
+ else
+ error('Unknown identification option. Valid choices are ''Cholesky'' and ''SquareRoot''.')
end
% Build the IRFs...
@@ -137,10 +140,10 @@ for i=1:ny
shock_name = options_.varobs{i};
for j=1:ny
variable_name = options_.varobs{j};
- eval(['oo_.bvar.irf.Mean.' variable_name '.' shock_name ' = posterior_mean_irfs(' int2str(j) ',' int2str(i) ',:);'])
- eval(['oo_.bvar.irf.Median.' variable_name '.' shock_name ' = posterior_median_irfs(' int2str(j) ',' int2str(i) ',:);'])
- eval(['oo_.bvar.irf.Var.' variable_name '.' shock_name ' = posterior_variance_irfs(' int2str(j) ',' int2str(i) ',:);'])
- eval(['oo_.bvar.irf.Upper_bound.' variable_name '.' shock_name ' = posterior_up_conf_irfs(' int2str(j) ',' int2str(i) ',:);'])
- eval(['oo_.bvar.irf.Lower_bound.' variable_name '.' shock_name ' = posterior_down_conf_irfs(' int2str(j) ',' int2str(i) ',:);'])
+ oo_.bvar.irf.Mean.(variable_name).(shock_name) = posterior_mean_irfs(j,i,:);
+ oo_.bvar.irf.Median.(variable_name).(shock_name) = posterior_median_irfs(j,i,:);
+ oo_.bvar.irf.Var.(variable_name).(shock_name) = posterior_variance_irfs(j,i,:);
+ oo_.bvar.irf.Upper_bound.(variable_name).(shock_name) = posterior_up_conf_irfs(j,i,:);
+ oo_.bvar.irf.Lower_bound.(variable_name).(shock_name) = posterior_down_conf_irfs(j,i,:);
end
end
\ No newline at end of file
diff --git a/matlab/bvar_toolbox.m b/matlab/+bvar/toolbox.m
similarity index 100%
rename from matlab/bvar_toolbox.m
rename to matlab/+bvar/toolbox.m
diff --git a/preprocessor b/preprocessor
index 978789d02a..6fde1b0598 160000
--- a/preprocessor
+++ b/preprocessor
@@ -1 +1 @@
-Subproject commit 978789d02a4a27c479094512e791576414c54a73
+Subproject commit 6fde1b05981ba3351ae8662121111bb89bcf6882
--
GitLab