Merge pull request #1421 from rattoma/shock_decomp

utility to decompose initial condition effect

matlab/initial_condition_decomposition.m

+function oo_ = initial_condition_decomposition(M_,oo_,options_,varlist,bayestopt_,estim_params_)
+% function z = initial_condition_decomposition(M_,oo_,options_,varlist,bayestopt_,estim_params_)
+% Computes initial condition contribution to a simulated trajectory. The field set is
+% oo_.initval_decomposition. It is a n_var by n_var+2 by nperiods array. The
+% first n_var columns store the respective endogenous initval contribution, column n+1
+% stores the role of the shocks, while column n+2 stores the
+% value of the smoothed variables.  Variables are stored 
+% in the order of declaration, i.e. M_.endo_names.
+%
+% INPUTS
+%    M_:          [structure]  Definition of the model
+%    oo_:         [structure]  Storage of results
+%    options_:    [structure]  Options
+%    varlist:     [char]       List of variables
+%    bayestopt_:  [structure]  describing the priors
+%    estim_params_: [structure] characterizing parameters to be estimated
+%
+% OUTPUTS
+%    oo_:         [structure]  Storage of results
+%
+% SPECIAL REQUIREMENTS
+%    none
+
+% Copyright (C) 2017 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 <http://www.gnu.org/licenses/>.
+
+% indices of endogenous variables
+if size(varlist,1) == 0
+    varlist = M_.endo_names(1:M_.orig_endo_nbr,:);
+end
+
+[i_var,nvar] = varlist_indices(varlist,M_.endo_names);
+
+% number of variables
+endo_nbr = M_.endo_nbr;
+
+% parameter set
+parameter_set = options_.parameter_set;
+if isempty(parameter_set)
+    if isfield(oo_,'posterior_mean')
+        parameter_set = 'posterior_mean';
+    elseif isfield(oo_,'mle_mode') 
+        parameter_set = 'mle_mode';
+    elseif isfield(oo_,'posterior') 
+        parameter_set = 'posterior_mode';
+    else
+        error(['shock_decomposition: option parameter_set is not specified ' ...
+               'and posterior mode is not available'])
+    end
+end
+
+if ~isfield(oo_,'initval_decomposition')
+options_.selected_variables_only = 0; %make sure all variables are stored
+options_.plot_priors=0;
+[oo,junk1,junk2,Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set,varlist,M_,oo_,options_,bayestopt_,estim_params_);
+
+% reduced form
+dr = oo.dr;
+
+% data reordering
+order_var = dr.order_var;
+inv_order_var = dr.inv_order_var;
+
+
+% coefficients
+A = dr.ghx;
+B = dr.ghu;
+
+% initialization
+gend = size(oo.SmoothedShocks.(deblank(M_.exo_names(1,:))),1); %+options_.forecast;
+z = zeros(endo_nbr,endo_nbr+2,gend);
+z(:,end,:) = Smoothed_Variables_deviation_from_mean;
+
+for i=1:endo_nbr,
+    z(i,i,1) = Smoothed_Variables_deviation_from_mean(i,1);
+end
+
+maximum_lag = M_.maximum_lag;
+
+k2 = dr.kstate(find(dr.kstate(:,2) <= maximum_lag+1),[1 2]);
+i_state = order_var(k2(:,1))+(min(i,maximum_lag)+1-k2(:,2))*M_.endo_nbr;
+for i=1:gend
+    if i > 1 && i <= maximum_lag+1
+        lags = min(i-1,maximum_lag):-1:1;
+    end
+    
+    if i > 1
+        tempx = permute(z(:,1:endo_nbr,lags),[1 3 2]);
+        m = min(i-1,maximum_lag);
+        tempx = [reshape(tempx,endo_nbr*m,endo_nbr); zeros(endo_nbr*(maximum_lag-i+1),endo_nbr)];
+        z(:,1:endo_nbr,i) = A(inv_order_var,:)*tempx(i_state,:);
+        lags = lags+1;
+    end
+    z(:,endo_nbr+1,i) = z(:,endo_nbr+2,i) - sum(z(:,1:endo_nbr,i),2);
+
+end
+
+
+oo_.initval_decomposition = z;
+end
+% if ~options_.no_graph.shock_decomposition
+    oo=oo_;
+    oo.shock_decomposition = oo_.initval_decomposition;
+    M_.exo_names = M_.endo_names;
+    M_.exo_nbr = M_.endo_nbr;
+    options_.plot_shock_decomp.screen_shocks=1;
+    options_.use_shock_groups = '';
+    options_.plot_shock_decomp.fig_names='initval';
+    plot_shock_decomposition(M_,oo,options_,varlist);
+% end
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