From 1b042f01e05f5e6deb3bf078e9a33de3adfd3b3b Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=28Charybdis=29?=
<stephane.adjemian@univ-lemans.fr>
Date: Thu, 12 Oct 2017 12:11:30 +0200
Subject: [PATCH] Added new interface for specifying shocks in backward models
IRFs.
By passing dseries objects to backward_model_irf routine.
(cherry picked from commit 366acf5bac82c751dc9bca275410dd252014549d)
---
matlab/backward/backward_model_irf.m | 69 +++++++++++++++++++++++-----
1 file changed, 58 insertions(+), 11 deletions(-)
diff --git a/matlab/backward/backward_model_irf.m b/matlab/backward/backward_model_irf.m
index 593311a1d..39f8ac551 100644
--- a/matlab/backward/backward_model_irf.m
+++ b/matlab/backward/backward_model_irf.m
@@ -3,11 +3,11 @@ function [deviations, baseline, irfs] = backward_model_irf(initialcondition, inn
% Returns impulse response functions.
%
% INPUTS
-% - initialcondition [dseries] Initial conditions for the endogenous variables, or period 0.
-% - innovationbaseline [dseries] Baseline for the future innovations. If empty the baseline scenario is zero for future shocks.
-% - listofshocks [cell of strings] The innovations for which the IRFs need to be computed.
-% - listofvariables [cell of strings] The endogenous variables which will be returned.
-% - periods [integer] scalar, the number of periods.
+% - initialcondition [dseries] Initial conditions for the endogenous variables, or period 0.
+% - innovationbaseline [dseries] Baseline for the future innovations. If empty the baseline scenario is zero for future shocks.
+% - listofshocks [cell of strings or dseries] The innovations for which the IRFs need to be computed.
+% - listofvariables [cell of strings] The endogenous variables which will be returned.
+% - periods [integer] scalar, the number of periods.
%
% OUTPUTS
% - irfs [struct of dseries]
@@ -59,6 +59,39 @@ else
transform = varargin{2};
end
+% Check third argument.
+if ~iscell(listofshocks)
+ error('Third input argument has to be a cell of string or dseries objects!')
+else
+ if all(cellfun(@ischar, listofshocks))
+ deterministicshockflag = false;
+ elseif all(cellfun(@isdseries, listofshocks))
+ deterministicshockflag = true;
+ else
+ error('Elements of third input argument must all be char arrays or dseries objects!')
+ end
+ if deterministicshockflag
+ numberofexperiments = length(listofshocks);
+ exonames = cellstr(M_.exo_names);
+ initialconditionperiod = initialcondition.dates(end);
+ for i=1:numberofexperiments
+ shock = listofshocks{i};
+ impulsenames = shock.name;
+ listofunknownexo = setdiff(impulsenames, exonames);
+ if ~isempty(listofunknownexo)
+ disp(listofunknownexo)
+ error('In experiment n°%s, some of the declared shocks are unknown!', int2str(i))
+ end
+ if initialconditionperiod>=shock.dates(1)
+ error('In experiment n°%s, the shock period must follow %s!', string(initialconditionperiod))
+ end
+ if shock.nobs>1
+ error('Shocks over multiple periods not implemented yet!')
+ end
+ end
+ end
+end
+
baselineflag = false;
% Set default values for the baseline paths.
%
@@ -119,11 +152,20 @@ end
for i=1:length(listofshocks)
innovations = Innovations;
% Add the shock.
- j = find(strcmp(listofshocks{i}, exonames));
- if isempty(j)
- error('backward_model_irf: Exogenous variable %s is unknown!', listofshocks{i})
+ if deterministicshockflag
+ shock = listofshocks{i};
+ timid = shock.dates(1)-initialconditionperiod;
+ for j=1:shock.vobs
+ k = find(strcmp(shock.name{i}, exonames));
+ innovations(timid,:) = innovations(timid,:) + shock.data(1,j);
+ end
+ else
+ j = find(strcmp(listofshocks{i}, exonames));
+ if isempty(j)
+ error('backward_model_irf: Exogenous variable %s is unknown!', listofshocks{i})
+ end
+ innovations(1,:) = innovations(1,:) + transpose(sigma(:,j));
end
- innovations(1,:) = innovations(1,:) + transpose(sigma(:,j));
if options_.linear
ysim__1 = simul_backward_linear_model_(initialcondition, periods, DynareOptions, DynareModel, DynareOutput, innovations, nx, ny1, iy1, jdx, model_dynamic);
else
@@ -141,9 +183,14 @@ for i=1:length(listofshocks)
allirfs = dseries(transpose(endo_simul__1), initialcondition.init, endonames(1:M_.orig_endo_nbr), cellstr(DynareModel.endo_names_tex(1:M_.orig_endo_nbr,:)));
end
% Extract a sub-dseries object
- deviations.(listofshocks{i}) = alldeviations{listofvariables{:}};
+ if deterministicshockflag
+ name = sprintf('experiment_%s', int2str(i));
+ else
+ name = listofshocks{i};
+ end
+ deviations.(name) = alldeviations{listofvariables{:}};
if nargout>2
- irfs.(listofshocks{i}) = allirfs{listofvariables{:}};
+ irfs.(name) = allirfs{listofvariables{:}};
end
end
--
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