diff --git a/matlab/dyn_forecast.m b/matlab/dyn_forecast.m
index 828fa0e5dd2621087194fb2e5d4463f86c5a2f4c..5cbc3b2990880eedeacd645a9f6a7c899ce694f3 100644
--- a/matlab/dyn_forecast.m
+++ b/matlab/dyn_forecast.m
@@ -54,6 +54,16 @@ elseif nargin==6
mean_varobs=dataset_info.descriptive.mean';
end
+if options_.order>1 && M_.exo_det_nbr == 0
+ error('forecasting without varexo_det does not support order>1.')
+end
+if options_.order>2 && M_.exo_det_nbr > 0
+ error('forecasting with varexo_det does not support order>2.')
+end
+if options_.order==2 && options_.pruning
+ error('forecasting with varexo_det does not support pruning.')
+end
+
oo_=make_ex_(M_,options_,oo_);
maximum_lag = M_.maximum_lag;
@@ -152,9 +162,9 @@ end
if M_.exo_det_nbr == 0
if isequal(M_.H,0)
- [yf,int_width] = forcst(oo_.dr,y0,horizon,var_list,M_,oo_,options_);
+ [yf,int_width] = forcst(oo_.dr,y0,horizon,var_list,M_,options_);
else
- [yf,int_width,int_width_ME] = forcst(oo_.dr,y0,horizon,var_list,M_,oo_,options_);
+ [yf,int_width,int_width_ME] = forcst(oo_.dr,y0,horizon,var_list,M_,options_);
end
else
exo_det_length = size(oo_.exo_det_simul,1)-M_.maximum_lag;
diff --git a/matlab/estimation/dynare_estimation_1.m b/matlab/estimation/dynare_estimation_1.m
index d291f9388d53f77f04883cac5a93b5f2e04a8a35..8d1efefbc4b2c4cc48206352a3923d96b2522f4e 100644
--- a/matlab/estimation/dynare_estimation_1.m
+++ b/matlab/estimation/dynare_estimation_1.m
@@ -12,7 +12,7 @@ function dynare_estimation_1(var_list_,dname)
% SPECIAL REQUIREMENTS
% none
-% Copyright © 2003-2023 Dynare Team
+% Copyright © 2003-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -582,12 +582,25 @@ if options_.particle.status
end
%Run and store classical smoother if needed
-if (~((any(bayestopt_.pshape > 0) && options_.mh_replic) || (any(bayestopt_.pshape> 0) && options_.load_mh_file)) ...
- || ~options_.smoother ) && ~options_.partial_information % to be fixed
+if options_.smoother && ... %Bayesian smoother requested before
+ (any(bayestopt_.pshape > 0) && options_.mh_replic || ... % Bayesian with MCMC run
+ any(bayestopt_.pshape > 0) && options_.load_mh_file) % Bayesian with loaded MCMC
+ % nothing to do
+elseif options_.partial_information ||...
+ options_.order>1 %no particle smoother
+ % smoothing not yet supported
+else
%% ML estimation, or posterior mode without Metropolis-Hastings or Metropolis without Bayesian smoothed variables
oo_=save_display_classical_smoother_results(xparam1,M_,oo_,options_,bayestopt_,dataset_,dataset_info,estim_params_);
end
-if options_.forecast > 0 && options_.mh_replic == 0 && ~options_.load_mh_file
+
+if options_.forecast == 0 || options_.mh_replic > 0 || options_.load_mh_file
+ % nothing to do
+elseif options_.order>1 && M_.exo_det_nbr == 0 || ...
+ options_.order>2 && M_.exo_det_nbr > 0 || ...
+ options_.order==2 && options_.pruning
+ %forecasting not yet supported
+else
oo_.forecast = dyn_forecast(var_list_,M_,options_,oo_,'smoother',dataset_info);
end
diff --git a/matlab/forcst.m b/matlab/forcst.m
index 79c1af76e495a8a31bdff63298e2dfb112435207..6ab1e0078dd914c5c7f71ca37f4fd44029f82341 100644
--- a/matlab/forcst.m
+++ b/matlab/forcst.m
@@ -1,5 +1,5 @@
-function [yf,int_width,int_width_ME]=forcst(dr,y0,horizon,var_list,M_,oo_,options_)
-% function [yf,int_width,int_width_ME]=forecst(dr,y0,horizon,var_list,M_,oo_,options_)
+function [yf,int_width,int_width_ME]=forcst(dr,y0,horizon,var_list,M_,options_)
+% function [yf,int_width,int_width_ME]=forecst(dr,y0,horizon,var_list,M_,options_)
% computes mean forecast for a given value of the parameters
% computes also confidence band for the forecast
%
@@ -10,7 +10,6 @@ function [yf,int_width,int_width_ME]=forcst(dr,y0,horizon,var_list,M_,oo_,option
% var_list: list of variables (character matrix)
% M_: Dynare model structure
% options_: Dynare options structure
-% oo_: Dynare results structure
% OUTPUTS:
% yf: mean forecast
@@ -22,7 +21,7 @@ function [yf,int_width,int_width_ME]=forcst(dr,y0,horizon,var_list,M_,oo_,option
% SPECIAL REQUIREMENTS
% none
-% Copyright © 2003-2019 Dynare Team
+% Copyright © 2003-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -39,6 +38,10 @@ function [yf,int_width,int_width_ME]=forcst(dr,y0,horizon,var_list,M_,oo_,option
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
+if options_.order>1
+ error('forcst.m: Only order=1 is supported. Skipping computuations.')
+end
+
yf = simult_(M_,options_,y0,dr,zeros(horizon,M_.exo_nbr),1);
nstatic = M_.nstatic;
nspred = M_.nspred;
diff --git a/matlab/stochastic_solver/simultxdet.m b/matlab/stochastic_solver/simultxdet.m
index 7585ddfe96f3e46b87f2ed64d9c9e6c58ff6444c..b5aee2536d985565c7f44842e2968c864fba5cd6 100644
--- a/matlab/stochastic_solver/simultxdet.m
+++ b/matlab/stochastic_solver/simultxdet.m
@@ -1,5 +1,5 @@
function [y_,int_width,int_width_ME]=simultxdet(y0,ex,ex_det, iorder,var_list,M_,oo_,options_)
-%function [y_,int_width]=simultxdet(y0,ex,ex_det, iorder,var_list,M_,oo_,options_)
+%function [y_,int_width,int_width_ME]=simultxdet(y0,ex,ex_det, iorder,var_list,M_,oo_,options_)
%
% Simulates a stochastic model in the presence of deterministic exogenous shocks
%
@@ -39,6 +39,11 @@ function [y_,int_width,int_width_ME]=simultxdet(y0,ex,ex_det, iorder,var_list,M_
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
+if options_.order>2
+ error('simultxdet.m: Forecasting with varexo_det does not support order>2.')
+elseif options_.order==2 && options_.pruning
+ error('simultxdet.m: Forecasting with varexo_det does not support pruning.')
+end
dr = oo_.dr;
ykmin = M_.maximum_lag;
endo_nbr = M_.endo_nbr;
@@ -50,7 +55,6 @@ iter = size(ex,1);
if size(ex_det, 1) ~= iter+ykmin
error('Size mismatch: number of forecasting periods for stochastic exogenous and deterministic exogenous don''t match')
end
-nx = size(dr.ghu,2);
y_ = zeros(size(y0,1),iter+ykmin);
y_(:,1:ykmin) = y0;
k1 = ykmin:-1:1;
diff --git a/tests/conditional_forecasts/3/fs2000_conditional_forecast_initval.mod b/tests/conditional_forecasts/3/fs2000_conditional_forecast_initval.mod
index 5a061b3e13da6e6c70d05a65f8db7a2903f0e652..4f986280dcdbb9d8c8f4ac9bd20e80bf7ed66091 100644
--- a/tests/conditional_forecasts/3/fs2000_conditional_forecast_initval.mod
+++ b/tests/conditional_forecasts/3/fs2000_conditional_forecast_initval.mod
@@ -63,7 +63,7 @@ steady(tolx=1e-10,tolf=1e-12);
check;
-stoch_simul(irf=0);
+stoch_simul(irf=0,order=1);
conditional_forecast_paths;
var gy_obs;
diff --git a/tests/conditional_forecasts/4/fs2000_conditional_forecast_histval.mod b/tests/conditional_forecasts/4/fs2000_conditional_forecast_histval.mod
index 51433faebb55eeff21ec863ad9b5a655ffa1aec2..3c073b553e12442b260cc04e50437b70915bd161 100644
--- a/tests/conditional_forecasts/4/fs2000_conditional_forecast_histval.mod
+++ b/tests/conditional_forecasts/4/fs2000_conditional_forecast_histval.mod
@@ -61,7 +61,7 @@ steady;
check;
-stoch_simul(irf=0);
+stoch_simul(irf=0,order=1);
conditional_forecast_paths;
var gy_obs;
diff --git a/tests/smoother2histval/fs2000_smooth_stoch_simul.mod b/tests/smoother2histval/fs2000_smooth_stoch_simul.mod
index 587c789d82d66bcea6c4474fa979e01c454c4c05..081ea37b949e216453163890f16055ebd0cadd72 100644
--- a/tests/smoother2histval/fs2000_smooth_stoch_simul.mod
+++ b/tests/smoother2histval/fs2000_smooth_stoch_simul.mod
@@ -87,6 +87,6 @@ steady;
smoother2histval(period = 5);
options_.loglinear=0;
-stoch_simul(nomoments);
+stoch_simul(nomoments,order=1);
forecast;
diff --git a/tests/stochastic_simulations/histval_predetermined.mod b/tests/stochastic_simulations/histval_predetermined.mod
index 4bfdbc3e97cebfb97444d4519673de55ede8d7b0..372a3c795078d51c5de9b8ef831c873e74e13c36 100644
--- a/tests/stochastic_simulations/histval_predetermined.mod
+++ b/tests/stochastic_simulations/histval_predetermined.mod
@@ -54,6 +54,6 @@ b(0) = 0.1;
a(0) = 0.3;
end;
-stoch_simul(nograph, periods = 200);
+stoch_simul(nograph, periods = 200,order=1);
forecast;
\ No newline at end of file
diff --git a/tests/stochastic_simulations/histval_sto.mod b/tests/stochastic_simulations/histval_sto.mod
index db4ab3c616b9e5e390dd60726b5a5e86d658baeb..eaffc92c1be4aef8903cf8de4cce7a2f62a92363 100644
--- a/tests/stochastic_simulations/histval_sto.mod
+++ b/tests/stochastic_simulations/histval_sto.mod
@@ -49,7 +49,7 @@ a(-1) = 0.3;
u(-1) = 0.1;
end;
-stoch_simul(nograph, periods = 200);
+stoch_simul(nograph, periods = 200,order=1);
forecast;