added possibility to do conditional forecast with a calibrated model + bug...

added possibility to do conditional forecast with a calibrated model + bug correction + new test file

doc/dynare.texi

@@ -4322,7 +4322,7 @@ Use @code{plot_conditional_forecast} to graph the results.
 
 @table @code
 
-@item parameter_set = @code{prior_mode} | @code{prior_mean} | @code{posterior_mode} | @code{posterior_mean} | @code{posterior_median}
+@item parameter_set = @code{calibration} | @code{prior_mode} | @code{prior_mean} | @code{posterior_mode} | @code{posterior_mean} | @code{posterior_median}
 Specify the parameter set to use for the forecasting. No default
 value, mandatory option.
 
@@ -4362,7 +4362,7 @@ end;
 
 conditional_forecast(parameter_set = calibration, controlled_varexo = (e, u), replic = 3000);
 
-plot_conditional_forecast(periods = 10) e u;
+plot_conditional_forecast(periods = 10) a y;
 @end example
 
 @end deffn

matlab/imcforecast.m

@@ -45,10 +45,29 @@ function imcforecast(constrained_paths, constrained_vars, options_cond_fcst)
 
 global options_ oo_ M_ bayestopt_
 
-if isfield(options_cond_fcst,'parameter_set') || isempty(options_cond_fcst.parameter_set)
+if ~isfield(options_cond_fcst,'parameter_set') || isempty(options_cond_fcst.parameter_set)
     options_cond_fcst.parameter_set = 'posterior_mode';
 end
 
+if ~isfield(options_cond_fcst,'replic') || isempty(options_cond_fcst.replic)
+    options_cond_fcst.replic = 5000;
+end
+
+if ~isfield(options_cond_fcst,'periods') || isempty(options_cond_fcst.periods)
+    options_cond_fcst.periods = 40;
+end
+
+if ~isfield(options_cond_fcst,'conf_sig') || isempty(options_cond_fcst.conf_sig)
+    options_cond_fcst.conf_sig = .8;
+end
+
+if isequal(options_cond_fcst.parameter_set,'calibration')
+    estimated_model = 0;
+else
+    estimated_model = 1;
+end
+
+if estimated_model
     if ischar(options_cond_fcst.parameter_set)
         switch options_cond_fcst.parameter_set
           case 'posterior_mode'
@@ -62,7 +81,8 @@ if ischar(options_cond_fcst.parameter_set)
           case 'prior_mean'
             xparam = bayestopt_.p1;
           otherwise
-        disp('eval_likelihood:: If the input argument is a string, then it has to be equal to:')
+            disp('imcforecast:: If the input argument is a string, then it has to be equal to:')
+            disp('                   ''calibration'', ')
             disp('                   ''posterior_mode'', ')
             disp('                   ''posterior_mean'', ')
             disp('                   ''posterior_median'', ')
@@ -77,18 +97,6 @@ else
         end
     end
 
-if ~isfield(options_cond_fcst,'replic') || isempty(options_cond_fcst.replic)
-    options_cond_fcst.replic = 5000;
-end
-
-if ~isfield(options_cond_fcst,'periods') || isempty(options_cond_fcst.periods)
-    options_cond_fcst.periods = 40;
-end
-
-if ~isfield(options_cond_fcst,'conf_sig') || isempty(options_cond_fcst.conf_sig)
-    options_cond_fcst.conf_sig = .8;
-end
-
     set_parameters(xparam);
 
     n_varobs = size(options_.varobs,1);
@@ -139,6 +147,14 @@ end
     trend = trend(oo_.dr.order_var,:);
 
     InitState(:,1) = atT(:,end);
+else
+    InitState(:,1) = zeros(M_.endo_nbr,1);
+    trend = repmat(oo_.steady_state(oo_.dr.order_var),1,options_cond_fcst.periods+1);
+end
+
+if isempty(options_.qz_criterium)
+    options_.qz_criterium = 1+1e-6;
+end
 [T,R,ys,info] = dynare_resolve;
 
 sQ = sqrt(M_.Sigma_e);
@@ -146,9 +162,7 @@ sQ = sqrt(M_.Sigma_e);
 NumberOfStates = length(InitState);
 FORCS1 = zeros(NumberOfStates,options_cond_fcst.periods+1,options_cond_fcst.replic);
 
-for b=1:options_cond_fcst.replic
-    FORCS1(:,1,b) = InitState;
-end
+FORCS1(:,1,:) = repmat(InitState,1,options_cond_fcst.replic);
 
 EndoSize = M_.endo_nbr;
 ExoSize = M_.exo_nbr;
@@ -164,7 +178,7 @@ idx = [];
 jdx = [];
 
 for i = 1:n1
-    idx = [idx ; oo_.dr.inv_order_var(strmatch(deblank(constrained_vars(i,:)),M_.endo_names,'exact'))];
+    idx = [idx ; oo_.dr.inv_order_var(constrained_vars(i,:))];
     jdx = [jdx ; strmatch(deblank(options_cond_fcst.controlled_varexo(i,:)),M_.exo_names,'exact')];
 end
 mv = zeros(n1,NumberOfStates);
@@ -182,7 +196,7 @@ end
 
 constrained_paths = bsxfun(@minus,constrained_paths,trend(idx,1:cL));
 
-randn('state',0);
+%randn('state',0);
 
 for b=1:options_cond_fcst.replic
     shocks = sQ*randn(ExoSize,options_cond_fcst.periods);

preprocessor/DynareBison.yy

@@ -94,7 +94,7 @@ class ParsingDriver;
 %token BVAR_PRIOR_MU BVAR_PRIOR_OMEGA BVAR_PRIOR_TAU BVAR_PRIOR_TRAIN
 %token BVAR_REPLIC BYTECODE
 %token CHANGE_TYPE CHECK CONDITIONAL_FORECAST CONDITIONAL_FORECAST_PATHS CONF_SIG CONSTANT CONTROLLED_VAREXO CORR COVAR CUTOFF
-%token DATAFILE DR_ALGO DROP DSAMPLE DYNASAVE DYNATYPE
+%token DATAFILE DR_ALGO DROP DSAMPLE DYNASAVE DYNATYPE CALIBRATION
 %token END ENDVAL EQUAL ESTIMATION ESTIMATED_PARAMS ESTIMATED_PARAMS_BOUNDS ESTIMATED_PARAMS_INIT
 %token FILENAME FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS
 %token <string_val> FLOAT_NUMBER
@@ -1969,6 +1969,8 @@ o_parameter_set : PARAMETER_SET EQUAL PRIOR_MODE
                   { driver.option_str("parameter_set", "posterior_mode"); }
                 | PARAMETER_SET EQUAL POSTERIOR_MEDIAN
                   { driver.option_str("parameter_set", "posterior_median"); }
+                | PARAMETER_SET EQUAL CALIBRATION
+                  { driver.option_str("parameter_set", "calibration"); }
                 ;
 o_shocks : SHOCKS EQUAL '(' list_of_symbol_lists ')' { driver.option_symbol_list("shocks"); };
 o_labels : LABELS EQUAL '(' symbol_list ')' { driver.option_symbol_list("labels"); };

preprocessor/DynareFlex.ll

@@ -443,6 +443,7 @@ string eofbuff;
 <DYNARE_STATEMENT>mh_recover {return token::MH_RECOVER;}
 <DYNARE_STATEMENT>planner_discount {return token::PLANNER_DISCOUNT;}
 <DYNARE_STATEMENT>labels {return token::LABELS;}
+<DYNARE_STATEMENT>calibration {return token::CALIBRATION;}
 
 <DYNARE_BLOCK>equation {return token::EQUATION;}
 <DYNARE_BLOCK>exclusion {return token::EXCLUSION;}

preprocessor/Shocks.cc

@@ -289,9 +289,9 @@ ConditionalForecastPathsStatement::writeOutput(ostream &output, const string &ba
        it != paths.end(); it++)
     {
       if (it == paths.begin())
-        output << "constrained_vars_ = '" << it->first << "';" << endl;
+        output << "constrained_vars_ = " << it->first << ";" << endl;
       else
-        output << "constrained_vars_ = char(constrained_vars_, '" << it->first << "');" << endl;
+        output << "constrained_vars_ = [constrained_vars_; " << it->first << "];" << endl;
 
       const vector<AbstractShocksStatement::DetShockElement> &elems = it->second;
       for (int i = 0; i < (int) elems.size(); i++)

tests/conditional_forecasts/fs2000.mod

+// See fs2000.mod in the examples/ directory for details on the model
+
+var m P c e W R k d n l gy_obs gp_obs y dA;
+varexo e_a e_m;
+
+parameters alp bet gam mst rho psi del;
+
+alp = 0.33;
+bet = 0.99;
+gam = 0.003;
+mst = 1.011;
+rho = 0.7;
+psi = 0.787;
+del = 0.02;
+
+model;
+dA = exp(gam+e_a);
+log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
+-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
+W = l/n;
+-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
+R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
+1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
+c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
+P*c = m;
+m-1+d = l;
+e = exp(e_a);
+y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
+gy_obs = dA*y/y(-1);
+gp_obs = (P/P(-1))*m(-1)/dA;
+end;
+
+initval;
+k = 6;
+m = mst;
+P = 2.25;
+c = 0.45;
+e = 1;
+W = 4;
+R = 1.02;
+d = 0.85;
+n = 0.19;
+l = 0.86;
+y = 0.6;
+gy_obs = exp(gam);
+gp_obs = exp(-gam);
+dA = exp(gam);
+end;
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+end;
+
+steady;
+
+check;
+
+stoch_simul(irf=0);
+
+conditional_forecast_paths;
+var gy_obs;
+periods  1  2  3:5;
+values   0.01 -0.02 0;
+var gp_obs;
+periods 1:5;
+values  0.05;
+end;
+
+conditional_forecast(parameter_set=calibration, controlled_varexo=(e_a,e_m));
+
+plot_conditional_forecast(periods=10) gy_obs gp_obs;
\ No newline at end of file