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Commit 3e589d24 authored by Marco Ratto's avatar Marco Ratto Committed by Stéphane Adjemian
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Bug fixes in 

1) definition of annualized_realtime_conditional_shock_decomposition
2) making plots when vintage is not Q4. The latter required some restructuring and factorization of the code
parent 6c5fc8d0
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matlab/annualized_shock_decomposition.m
+ 120
− 121
View file @ 3e589d24
......@@ -57,17 +57,16 @@ islog = q2a.islog;
aux = q2a.aux;
aux0 = aux;
cumfix = q2a.cumfix;
% usual shock decomp
if isstruct(oo_)
% z = oo_.shock_decomposition;
myopts=options_;
myopts.plot_shock_decomp.type='qoq';
myopts.plot_shock_decomp.realtime=0;
[z, junk] = plot_shock_decomposition(M_,oo_,myopts,[]);
else
z = oo_;
qvintage_ = vintage_;
tpoints = t0:4:t1;
if ~ismember(vintage_,tpoints) && vintage_
ind1=min(find(tpoints>vintage_));
ind2=max(find(tpoints<vintage_));
vintage_=tpoints(ind1);
end
z = z(i_var,:,:);
nfrcst = options_.shock_decomp.forecast/4;
%% initialize names
mytype=var_type;
if isfield(q2a,'name')
mytxt = q2a.name;
......@@ -90,27 +89,6 @@ if isfield(q2a,'name')
end
mytype=0;
end
if isstruct(aux)
if ischar(aux.y)
myopts=options_;
myopts.plot_shock_decomp.type='qoq';
myopts.plot_shock_decomp.realtime=0;
[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux.y);
aux.y=y_aux;
aux.yss=steady_state_aux;
end
yaux=aux.y;
end
if mytype==2
gtxt = 'PHI'; % inflation rate
gtex = '\pi';
elseif mytype
gtxt = 'G'; % growth rate
gtex = 'g';
end
steady_state=steady_state(i_var);
nterms = size(z,2);
nfrcst = opts.forecast/4;
for j=1:nvar
if j>1
......@@ -131,44 +109,47 @@ for j=1:nvar
gendo_names_tex = [gtex '(' endo_names_tex{j} ')'];
end
end
for k =1:nterms
if isstruct(aux)
aux.y = squeeze(yaux(j,k,min((t0-3):-4:1):end));
end
[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
quarterly2annual(squeeze(z(j,k,min((t0-3):-4:1):end)),steady_state(j),GYTREND0,var_type,islog,aux);
end
ztmp=squeeze(za(j,:,:));
if cumfix==0
zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
else
zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
ztmp(end-1,:) = ztmp(end-1,:) + zres;
end
gztmp=squeeze(gza(j,:,:));
if cumfix==0
gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
else
gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
gztmp(end-1,:) = gztmp(end-1,:)+gres;
end
za(j,:,:) = ztmp;
gza(j,:,:) = gztmp;
end
if q2a.plot ==1
z=gza;
endo_names = gendo_names;
endo_names_tex = gendo_names_tex;
elseif q2a.plot == 2
z=za;
else
z=cat(1,za,gza);
elseif q2a.plot ~= 2
endo_names = char(endo_names,gendo_names);
endo_names_tex = char(endo_names_tex,gendo_names_tex);
end
% end initialize names
if realtime_==0
% usual shock decomp
if isstruct(oo_)
% z = oo_.shock_decomposition;
myopts=options_;
myopts.plot_shock_decomp.type='qoq';
myopts.plot_shock_decomp.realtime=0;
[z, junk] = plot_shock_decomposition(M_,oo_,myopts,[]);
else
z = oo_;
end
z = z(i_var,:,:);
if isstruct(aux)
if ischar(aux.y)
myopts=options_;
myopts.plot_shock_decomp.type='qoq';
myopts.plot_shock_decomp.realtime=0;
[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux.y);
aux.y=y_aux;
aux.yss=steady_state_aux;
end
end
steady_state=steady_state(i_var);
% endo_names = M_.endo_names(i_var,:);
% endo_names_tex = M_.endo_names_tex(i_var,:);
% make annualized shock decomp
[z, steady_state_a, steady_state_ga] = annualiz(z,t0,q2a,aux,steady_state);
end
% if isstruct(oo_)
% oo_.annualized_shock_decomposition=z;
% end
......@@ -178,76 +159,27 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
init=1;
for i=t0:4:t1
yr=floor(i/4);
za=[];
gza=[];
myopts=options_;
myopts.plot_shock_decomp.type='qoq';
myopts.plot_shock_decomp.realtime=1;
myopts.plot_shock_decomp.vintage=i;
[z, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,[]);
% retrieve quarterly shock decomp
z = plot_shock_decomposition(M_,oo_,myopts,[]);
zdim = size(z);
z = z(i_var,:,:);
if isstruct(aux)
if ischar(aux0.y)
% retrieve quarterly shock decomp for aux variable
[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux0.y);
aux.y=y_aux;
aux.yss=steady_state_aux;
end
yaux=aux.y;
end
nterms = size(z,2);
% z = oo_.realtime_shock_decomposition.(['time_' int2str(i)]);
% z = z(i_var,:,:);
for j=1:nvar
for k =nterms:-1:1
% if k<nterms
% ztmp = squeeze(sum(z(j,[1:k-1,k+1:end-1],t0-4:end)));
% else
ztmp = squeeze(z(j,k,min((t0-3):-4:1):end));
% end
if isstruct(aux)
aux.y = squeeze(yaux(j,k,min((t0-3):-4:1):end));
end
[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
quarterly2annual(ztmp,steady_state(j),GYTREND0,var_type,islog,aux);
% if k<nterms
% za(j,k,:) = za(j,end,:) - za(j,k,:);
% gza(j,k,:) = gza(j,end,:) - gza(j,k,:);
% end
end
ztmp=squeeze(za(j,:,:));
% make annualized shock decomp
[z, steady_state_a, steady_state_ga] = annualiz(z,t0,q2a,aux,steady_state);
if cumfix==0
zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
else
zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
ztmp(end-1,:) = ztmp(end-1,:) + zres;
end
gztmp=squeeze(gza(j,:,:));
if cumfix==0
gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
else
gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
gztmp(end-1,:) = gztmp(end-1,:)+gres;
end
za(j,:,:) = ztmp;
gza(j,:,:) = gztmp;
end
if q2a.plot ==1
z=gza;
elseif q2a.plot == 2
z=za;
else
z=cat(1,za,gza);
end
if init==1
oo_.annualized_realtime_shock_decomposition.pool = z;
......@@ -256,7 +188,26 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
end
oo_.annualized_realtime_shock_decomposition.(['yr_' int2str(yr)]) = z;
if opts.forecast
if options_.shock_decomp.forecast
if qvintage_>i-4 && qvintage_<i
myopts.plot_shock_decomp.vintage=qvintage_;
% retrieve quarterly shock decomp
z = plot_shock_decomposition(M_,oo_,myopts,[]);
z(:,:,end+1:zdim(3))=nan; % fill with nan's remaining time points to reach Q4
z = z(i_var,:,:);
if isstruct(aux)
if ischar(aux0.y)
% retrieve quarterly shock decomp for aux variable
[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux0.y);
aux.y=y_aux;
aux.yss=steady_state_aux;
end
end
% make annualized shock decomp
z = annualiz(z,t0,q2a,aux,steady_state);
end
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr)]) = z(:,:,end-nfrcst:end);
if init>nfrcst
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)]) = ...
......@@ -275,6 +226,7 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
oo_.annualized_realtime_shock_decomposition.pool(:,:,yr-my_forecast_:yr) - ...
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,:,1:my_forecast_+1);
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end-1,:) = ...
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end-1,:) + ...
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,1:my_forecast_+1);
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,:) = ...
oo_.annualized_realtime_shock_decomposition.pool(:,end,yr-my_forecast_:yr);
......@@ -330,5 +282,52 @@ else
end
end
endo_names = cellstr(endo_names);
endo_names_tex = cellstr(endo_names_tex);
\ No newline at end of file
return
function [z, steady_state_a, steady_state_ga] = annualiz(z,t0,q2a,aux,steady_state)
GYTREND0 = q2a.GYTREND0;
var_type = q2a.type;
islog = q2a.islog;
cumfix = q2a.cumfix;
if isstruct(aux)
yaux=aux.y;
end
[nvar , nterms, junk] = size(z);
for j=1:nvar
for k =1:nterms
ztmp = squeeze(z(j,k,min((t0-3):-4:1):end));
if isstruct(aux)
aux.y = squeeze(yaux(j,k,min((t0-3):-4:1):end));
end
[za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
quarterly2annual(ztmp,steady_state(j),GYTREND0,var_type,islog,aux);
end
ztmp=squeeze(za(j,:,:));
if cumfix==0
zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
else
zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
ztmp(1:end-1,:) = ztmp(1:end-1,:) + repmat(zres,[nterms-1 1])/(nterms-1);
end
gztmp=squeeze(gza(j,:,:));
if cumfix==0
gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
else
gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
gztmp(1:end-1,:) = gztmp(1:end-1,:) + repmat(gres,[nterms-1 1])/(nterms-1);
end
za(j,:,:) = ztmp;
gza(j,:,:) = gztmp;
end
if q2a.plot ==1
z=gza;
elseif q2a.plot == 2
z=za;
else
z=cat(1,za,gza);
end
\ No newline at end of file
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