Improvements to smoother2histval.

- Support saving to an output MAT file.

- Handle smoothed variables computed by a Metropolis, by adding support for the
  parameter_set option.

- When an auxiliary variable is not in the output model, emit a warning instead
  of stopping with an error message (aux vars may be different between input
  and output models, even if the equations are identical).

Ref #594

matlab/smoother2histval.m

-function smoother2histval(file, period, invars, outvars)
+function smoother2histval(infile, invars, period, outfile, outvars)
 % This function takes values from oo_.SmoothedVariables and copies them into
 % M_.histval.
 % 
 % INPUTS
-%    file:        An optional *_results MAT file created by Dynare.
+%    infile:      An optional *_results MAT file created by Dynare.
 %                 If present, oo_.SmoothedVariables is read from there.
 %                 Otherwise, it is read from the global workspace.
+%    invars:      An optional cell array listing variables to read in
+%                 oo_.SmoothedVariables. If absent, all the endogenous
+%                 variables present in oo_.SmoothedVariables are used.
 %    period:      An optional period number to use as the starting point
 %                 for subsequent simulations. It should be between 1 and
 %                 the number of observations that were used to produce the
 %                 smoothed values. If absent, the last observation is used.
-%    invars:      An optional cell array listing variables to read in
-%                 oo_.SmoothedVariables. If absent, all the endogenous
-%                 variables of the current model are used (from M_.endo_names)
+%    outfile:     An optional MAT file in which to save the histval structure.
+%                 If absent, the output will be written in M_.endo_histval
 %    outvars:     An optional cell array listing variables to be written in
-%                 M_.histval. This cell must be of same length than invars,
-%                 and there is a mapping between the input variable at the
-%                 i-th position in invars, and the output variable at the
-%                 i-th position in outvars. If absent, then taken as equal
-%                 to invars.
+%                 outfile or M_.endo_histval. This cell must be of same
+%                 length than invars, and there is a mapping between the input
+%                 variable at the i-th position in invars, and the output
+%                 variable at the i-th position in outvars. If absent, then
+%                 taken as equal to invars.
+%
+% The function also uses the value of option_.parameter_set
 
 % Copyright (C) 2014 Dynare Team
 %
@@ -39,26 +43,68 @@ function smoother2histval(file, period, invars, outvars)
 
 global M_ options_ oo_
 
-if nargin == 0
+if nargin == 0 || isempty(infile)
     if ~isfield(oo_, 'SmoothedVariables')
         error('Could not find smoothed variables; did you set the "smoother" option?')
     end
     smoothedvals = oo_.SmoothedVariables;
 else
-    S = load(file);
+    S = load(infile);
     if ~isfield(S, 'oo_') || ~isfield(S.oo_, 'SmoothedVariables')
         error('Could not find smoothed variables in file; is this a Dynare results file, and did you set the "smoother" option when producing it?')
     end
     smoothedvals = S.oo_.SmoothedVariables;
 end
 
+% Hack to determine if oo_.SmoothedVariables was computed after a Metropolis
+if isstruct(getfield(smoothedvals, fieldnames(smoothedvals){1}))
+    post_metropolis = 1;
+else
+    post_metropolis = 0;
+end
+
+% If post-Metropolis, select the parameter set
+if isempty(options_.parameter_set)
+    if post_metropolis
+        smoothedvals = smoothedvals.Mean;
+    end
+else
+    switch options_.parameter_set
+      case 'calibration'
+        if post_metropolis
+            error('Option parameter_set=calibration is not consistent with computed smoothed values.')
+        end
+      case 'posterior_mode'
+        if post_metropolis
+            error('Option parameter_set=posterior_mode is not consistent with computed smoothed values.')
+        end
+      case 'posterior_mean'
+        if ~post_metropolis
+            error('Option parameter_set=posterior_mean is not consistent with computed smoothed values.')
+        end
+        smoothedvals = smoothedvals.Mean;
+      case 'posterior_median'
+        if ~post_metropolis
+            error('Option parameter_set=posterior_median is not consistent with computed smoothed values.')
+        end
+        smoothedvals = smoothedvals.Median;
+      otherwise
+        error([ 'Option parameter_set=' options_.parameter_set ' unsupported.' ])
+    end
+end
+
+% Determine number of periods
 n = size(getfield(smoothedvals, fieldnames(smoothedvals){1}));
 
 if n < M_.maximum_endo_lag
     error('Not enough observations to create initial conditions')
 end
 
-if nargin < 2
+if nargin < 2 || isempty(invars)
+    invars = fieldnames(smoothedvals);
+end
+
+if nargin < 3 || isempty(period)
     period = n;
 else
     if period > n
@@ -69,11 +115,7 @@ else
     end
 end
 
-if nargin < 3
-    invars = cellstr(M_.endo_names);
-end
-
-if nargin < 4
+if nargin < 5 || isempty(outvars)
     outvars = invars;
 else
     if length(invars) ~= length(outvars)
@@ -81,15 +123,26 @@ else
     end
 end
 
-M_.endo_histval = repmat(oo_.steady_state, 1, M_.maximum_endo_lag);
+endo_histval = repmat(oo_.steady_state, 1, M_.maximum_endo_lag);
 
 for i = 1:length(invars)
     s = getfield(smoothedvals, invars{i});
     j = strmatch(outvars{i}, M_.endo_names, 'exact');
     if isempty(j)
-        error(['Ouput variable ' outvars{i} ' does not exist'])
+        if strncmp('AUX_', outvars{i}, 4)
+            warning(['smoother2histval: output auxiliary variable ' outvars{i} ' does not exist, ignoring.'])
+        else
+            error(['smoother2histval: output variable ' outvars{i} ' does not exist.'])
+        end
+    else
+        endo_histval(j, :) = s((period-M_.maximum_endo_lag+1):period);
     end
-    M_.endo_histval(j, :) = s((period-M_.maximum_endo_lag+1):period);
+end
+
+if nargin < 4 || isempty(outfile)
+    M_.endo_histval = endo_histval;
+else
+    save(outfile, 'endo_histval')
 end
 
 end