From 2d39991a0ad9e7c731f8dc01abe2486df006ebe5 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Sat, 1 May 2021 23:48:06 +0200
Subject: [PATCH] allow for a more accurate (and more expensive) fast realtime
modality, triggered by fast_realtime=INTEGER_VECTOR and where vector
fast_realtime controls periods for which the smoother is run. If
max(fast_realtime)<nobs, the smoother is also run for the full sample. Manual
updated accordingly.
---
doc/manual/source/the-model-file.rst | 8 ++--
matlab/realtime_shock_decomposition.m | 67 +++++++++++++--------------
2 files changed, 37 insertions(+), 38 deletions(-)
diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index 48f5be41c4..e194935891 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -7821,11 +7821,11 @@ Shock Decomposition
decomposition. Default: ``0``.
.. option:: fast_realtime = INTEGER
+ fast_realtime = [INTEGER1:INTEGER2]
+ fast_realtime = [INTEGER1 INTEGER2 ...]
- Runs the smoother only twice: once for the last in-sample and
- once for the last out-of-sample data point, where the provided
- integer defines the last observation (equivalent to
- :opt:`nobs`). Default: not enabled.
+ Runs the smoother only for the data vintages provided
+ by the specified integer (vector).
.. option:: with_epilogue
diff --git a/matlab/realtime_shock_decomposition.m b/matlab/realtime_shock_decomposition.m
index 6686d5c8e0..ab29c861fe 100644
--- a/matlab/realtime_shock_decomposition.m
+++ b/matlab/realtime_shock_decomposition.m
@@ -116,56 +116,55 @@ if forecast_ && any(forecast_params)
[~,~,~,~,~,~,oo1] = dynare_resolve(M1,options_,oo_);
end
-if fast_realtime
- skipline()
- skipline()
- running_text = 'Fast realtime shock decomposition ';
- newString=sprintf(running_text);
- fprintf(['%s'],newString);
- options_.nobs=fast_realtime;
- [oo0,M_,~,~,Smoothed_Variables_deviation_from_mean0] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
- gend0 = size(oo0.SmoothedShocks.(M_.exo_names{1}),1);
- prctdone=0.5;
- if isoctave
- printf([running_text,' %3.f%% done\r'], prctdone*100);
- else
- s0=repmat('\b',1,length(newString)+1);
- newString=sprintf([running_text,' %3.1f%% done'], prctdone*100);
- fprintf([s0,'%s'],newString);
- end
- options_.nobs=nobs;
- [oo2,M_,~,~,Smoothed_Variables_deviation_from_mean2] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
- prctdone=1;
- if isoctave
- printf([running_text,' %3.f%% done\r'], prctdone*100);
- else
- s0=repmat('\b',1,length(newString)+1);
- newString=sprintf([running_text,' %3.1f%% done'], prctdone*100);
- fprintf([s0,'%s'],newString);
- end
-end
+gend0=0;
skipline()
skipline()
-running_text = 'Realtime shock decomposition ';
+if isequal(fast_realtime,0)
+ running_text = 'Realtime shock decomposition ';
+else
+ running_text = 'Fast realtime shock decomposition ';
+end
newString=sprintf(running_text);
fprintf(['%s'],newString);
for j=presample+1:nobs
% evalin('base',['options_.nobs=' int2str(j) ';'])
options_.nobs=j;
- if ~fast_realtime
+ if isequal(fast_realtime,0)
[oo,M_,~,~,Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
gend = size(oo.SmoothedShocks.(M_.exo_names{1}),1);
else
- gend = gend0+j-fast_realtime;
- if j>fast_realtime
- oo=oo2;
- Smoothed_Variables_deviation_from_mean = Smoothed_Variables_deviation_from_mean2(:,1:gend);
+ if j<min(fast_realtime) && gend0<j
+ options_.nobs=min(fast_realtime);
+ [oo0,M_,~,~,Smoothed_Variables_deviation_from_mean0] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
+ gend0 = size(oo0.SmoothedShocks.(M_.exo_names{1}),1);
+ options_.nobs=j;
+ end
+
+ if ismember(j,fast_realtime) && gend0<j
+ [oo,M_,~,~,Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
+ gend = size(oo.SmoothedShocks.(M_.exo_names{1}),1);
+ gend0 = gend;
+ oo0=oo;
+ Smoothed_Variables_deviation_from_mean0=Smoothed_Variables_deviation_from_mean;
else
+ if j>gend0
+ if j>max(fast_realtime)
+ options_.nobs = nobs;
+ else
+ options_.nobs=min(fast_realtime(fast_realtime>j));
+ end
+ [oo0,M_,~,~,Smoothed_Variables_deviation_from_mean0] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
+ gend0 = size(oo0.SmoothedShocks.(M_.exo_names{1}),1);
+ options_.nobs=j;
+ end
+
+ gend = j;
oo=oo0;
Smoothed_Variables_deviation_from_mean = Smoothed_Variables_deviation_from_mean0(:,1:gend);
end
+
end
% reduced form
dr = oo.dr;
--
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