diff --git a/doc/dynare.texi b/doc/dynare.texi
index 944c952568e254cea4f46287f77abb9bd165efa9..7f97ab7e40091c369e88d14c866d3859970af791 100644
--- a/doc/dynare.texi
+++ b/doc/dynare.texi
@@ -5854,7 +5854,7 @@ model. Output @code{.eps} files are contained in
@xref{simulation_file_tag}.
@item horizon = @var{INTEGER}
-The forecast horizon. Default: @code{12}
+@anchor{horizon} The forecast horizon. Default: @code{12}
@item filtered_probabilities
@anchor{filtered_probabilities} Uses filtered probabilities at the end
@@ -5990,12 +5990,15 @@ are contained in @code{<output_file_tag/Variance_Decomposition>}.
@item simulation_file_tag = @var{FILENAME}
@xref{simulation_file_tag}.
+@item horizon = @var{INTEGER}
+@xref{horizon}.
+
@item filtered_probabilities
@xref{filtered_probabilities}.
@item no_error_bands
-Do not output error bands. Default: @code{off}
-(@i{i.e.} output error bands)
+Do not output percentile error bands (@i{i.e.} compute mean). Default:
+@code{off} (@i{i.e.} output error bands)
@item error_band_percentiles = [@var{DOUBLE1} @dots{}]
@xref{error_band_percentiles}.
@@ -6012,9 +6015,15 @@ Do not output error bands. Default: @code{off}
@item free_parameters = @var{NUMERICAL_VECTOR}
@xref{free_parameters}.
-@item median
+@item parameter_uncertainty
+@xref{parameter_uncertainty}.
-@xref{median}.
+@item regime = @var{INTEGER}
+@xref{regime}.
+
+@item regimes
+
+@xref{regimes}.
@end table
diff --git a/matlab/ms-sbvar/ms_variance_decomposition.m b/matlab/ms-sbvar/ms_variance_decomposition.m
index 5469465b48b3fe558c7d5243a60ecfeb2c89db28..8b9822f130a8a06f23d416931939043bc10c4fc0 100644
--- a/matlab/ms-sbvar/ms_variance_decomposition.m
+++ b/matlab/ms-sbvar/ms_variance_decomposition.m
@@ -34,46 +34,100 @@ function [options_, oo_]=ms_variance_decomposition(M_, options_, oo_)
disp('MS-SBVAR Variance Decomposition');
options_ = set_file_tags(options_);
[options_, oo_] = set_ms_estimation_file(options_.ms.file_tag, options_, oo_);
-options_ = set_ms_simulation_file(options_);
-clean_files_for_second_type_of_mex(M_, options_, 'variance_decomposition')
+clean_ms_variance_decomposition_files(options_.ms.output_file_tag);
vddir = [options_.ms.output_file_tag filesep 'Variance_Decomposition'];
create_dir(vddir);
-% NOTICE THAT VARIANCE DECOMPOSITION DEFAULTS TO USING THE MEAN, NOT MEDIAN OR BANDED
+% setup command line options
+opt = ['-variance_decomposition -seed ' num2str(options_.DynareRandomStreams.seed)];
+opt = [opt ' -do ' vddir];
+opt = [opt ' -ft ' options_.ms.file_tag];
+opt = [opt ' -fto ' options_.ms.output_file_tag];
+opt = [opt ' -horizon ' num2str(options_.ms.horizon)];
+opt = [opt ' -thin ' num2str(options_.ms.thinning_factor)];
-opt = {
- {'file_tag', options_.ms.file_tag}, ...
- {'seed', options_.DynareRandomStreams.seed}, ...
- {'horizon', options_.ms.horizon}, ...
- {'filtered', options_.ms.filtered_probabilities}, ...
- {'error_bands', options_.ms.error_bands}, ...
- {'percentiles', options_.ms.percentiles}, ...
- {'thin', options_.ms.thinning_factor}, ...
- {'mean'} ...
- };
+if options_.ms.regimes
+ opt = [opt ' -regimes'];
+elseif options_.ms.regime
+ % regime-1 since regime is 0-indexed in C but 1-indexed in Matlab
+ opt = [opt ' -regime ' num2str(options_.ms.regime-1)];
+elseif options_.ms.filtered_probabilities
+ opt = [opt ' -filtered'];
+end
+
+if options_.ms.parameter_uncertainty
+ options_ = set_ms_simulation_file(options_);
+ opt = [opt ' -parameter_uncertainty'];
+ opt = [opt ' -shocks_per_parameter ' num2str(options_.ms.shocks_per_parameter)];
+else
+ opt = [opt ' -shocks_per_parameter ' num2str(options_.ms.shock_draws)];
+end
-if options_.ms.median
- opt = [opt(:)' {{'median'}}];
+percentiles_size = 1;
+outfile = [vddir filesep 'var_decomp_mean_'];
+if options_.ms.error_bands
+ % error_bands / percentiles used differently by
+ % Dan's variance decomposition code
+ % no_error_bands => mean is computed
+ percentiles_size = size(options_.ms.percentiles,2);
+ opt = [opt ' -percentiles ' num2str(percentiles_size)];
+ for i=1:size(options_.ms.percentiles,2)
+ opt = [opt ' ' num2str(options_.ms.percentiles(i))];
+ end
+ outfile = [vddir filesep 'var_decomp_percentiles_'];
end
-[err, vd] = mex_ms_variance_decomposition([opt(:)', {{'free_parameters',oo_.ms.maxparams}, ...
- {'shocks_per_parameter', options_.ms.shock_draws}}]);
-mexErrCheck('mex_ms_variance_decomposition ergodic ', err);
-plot_ms_variance_decomposition(M_,options_,vd, 'Ergodic Variance Decomposition',options_.graph_save_formats,options_.TeX);
+% variance_decomposition
+[err] = ms_sbvar_command_line(opt);
+mexErrCheck('ms_variance_decomposition',err);
-[err, regime_vd] = mex_ms_variance_decomposition([opt(:)', {{'free_parameters',oo_.ms.maxparams}, ...
- {'shocks_per_parameter', options_.ms.shock_draws}, {'regimes'}}]);
-mexErrCheck('mex_ms_variance_decomposition ergodic regimes', err);
-save([vddir filesep 'ergodic_vd.mat'], 'vd', 'regime_vd');
+if options_.ms.regime || options_.ms.regimes
+ outfile = [outfile 'regime_'];
+ if options_.ms.regime
+ outfile = [outfile num2str(options_.ms.regime-1) ...
+ '_' options_.ms.output_file_tag '.out'];
+ end
+elseif options_.ms.filtered_probabilities
+ outfile = [outfile 'filtered_' options_.ms.output_file_tag '.out'];
+else
+ outfile = [outfile 'ergodic_' options_.ms.output_file_tag '.out'];
+end
-if exist(options_.ms.mh_file,'file') > 0
- [err, vd] = mex_ms_variance_decomposition([opt(:)', {{'simulation_file',options_.ms.mh_file}, ...
- {'shocks_per_parameter', options_.ms.shocks_per_parameter}, {'parameter_uncertainty'}}]);
- mexErrCheck('mex_ms_variance_decomposition bayesian ', err);
+% Create plots
+if options_.ms.regimes
+ n_chains = length(options_.ms.ms_chain);
+ n_states=1;
+ for i_chain=1:n_chains
+ n_states = n_states*length(options_.ms.ms_chain(i_chain).regime);
+ end
- [err, regime_vd] = mex_ms_variance_decomposition([opt(:)', {{'simulation_file',options_.ms.mh_file}, ...
- {'shocks_per_parameter', options_.ms.shocks_per_parameter}, {'parameter_uncertainty'}, {'regimes'}}]);
- mexErrCheck('mex_ms_variance_decomposition bayesian regimes ', err);
- save([vddir filesep 'bayesian_vd.mat'], 'vd', 'regime_vd');
+ for state_i=1:n_states
+ vd_data = load([outfile num2str(state_i-1) '_' ...
+ options_.ms.output_file_tag '.out'], '-ascii');
+ vd_data = reshape_ascii_variance_decomposition_data( ...
+ M_.endo_nbr, percentiles_size, options_.ms.horizon, vd_data);
+ save([vddir filesep 'variance_decomposition_state_' num2str(state_i-1)], 'vd_data');
+ plot_ms_variance_decomposition(M_, options_, vd_data, ...
+ ['Variance Decomposition, State ...' num2str(state_i)], ...
+ options_.graph_save_formats, options_.TeX);
+ end
+else
+ if options_.ms.regime
+ vd_title = ['Variance Decomposition, State ' num2str(options_.ms.regime)];
+ save_filename = ['variance_decomposition_regime_' num2str(options_.ms.regime-1)];
+ else
+ save_filename = 'variance_decomposition';
+ if options_.ms.filtered_probabilities
+ vd_title = 'Variance Decomposition Filtered';
+ else
+ vd_title = 'Variance Decomposition Ergodic';
+ end
+ end
+ vd_data = load(outfile, '-ascii');
+ vd_data = reshape_ascii_variance_decomposition_data( ...
+ M_.endo_nbr, percentiles_size, options_.ms.horizon, vd_data);
+ save([vddir filesep save_filename], 'vd_data');
+ plot_ms_variance_decomposition(M_, options_, vd_data, ...
+ vd_title, options_.graph_save_formats, options_.TeX);
end
end
diff --git a/matlab/ms-sbvar/plot_ms_variance_decomposition.m b/matlab/ms-sbvar/plot_ms_variance_decomposition.m
index ba30b487f7a8f9a1b2d46ce7b462b39e8514212b..74b5e470d330783a71c7a61c8b484ede5d42e07d 100644
--- a/matlab/ms-sbvar/plot_ms_variance_decomposition.m
+++ b/matlab/ms-sbvar/plot_ms_variance_decomposition.m
@@ -34,6 +34,11 @@ function plot_ms_variance_decomposition(M_, options_, vd, title_, graph_save_for
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
+if length(size(vd)) == 3
+ plot_ms_variance_decomposition_error_bands(M_, options_, vd, title_);
+ return;
+end
+
nvars = M_.endo_nbr;
endo_names = M_.endo_names;
diff --git a/matlab/ms-sbvar/plot_ms_variance_decomposition_error_bands.m b/matlab/ms-sbvar/plot_ms_variance_decomposition_error_bands.m
new file mode 100644
index 0000000000000000000000000000000000000000..4ddecbd7b43285dab10b001c5cff9103ecebc6d2
--- /dev/null
+++ b/matlab/ms-sbvar/plot_ms_variance_decomposition_error_bands.m
@@ -0,0 +1,100 @@
+function plot_ms_variance_decomposition_error_bands(M_, options_, vddata, title_)
+% function plot_ms_variance_decomposition_error_bands(M_, options_, vddata, title_)
+% plots the variance decomposition with percentiles
+%
+% INPUTS
+% M_: (struct) model structure
+% options_: (struct) options
+% vddata: (matrix) variance_decomposition (percentile, options_.ms.horizon, nvar
+% x nvar)
+% title: (string) title
+%
+
+% Copyright (C) 2011-2012 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/>.
+
+nvars = M_.endo_nbr;
+endo_names = M_.endo_names;
+var_list = endo_names(1:M_.orig_endo_nbr,:);
+
+names = {};
+tex_names = {};
+m = 1;
+for i = 1:size(var_list)
+ tmp = strmatch(var_list(i,:), endo_names, 'exact');
+ if isempty(tmp)
+ error([var_list(i,:) ' isn''t an endogenous variable'])
+ end
+ tex_name = deblank(M_.endo_names_tex(tmp,:));
+ if ~isempty(tex_name)
+ names{m} = deblank(var_list(i,:));
+ tex_names{m} = tex_name;
+ m = m + 1;
+ end
+end
+
+for i=1:M_.exo_nbr
+ tex_name = deblank(M_.exo_names_tex(i,:));
+ if ~isempty(tex_name)
+ names{m} = deblank(M_.exo_names(i,:));
+ tex_names{m} = tex_name;
+ m = m + 1;
+ end
+end
+
+dims = size(vddata);
+if length(dims) ~= 3
+ error('The variance decomposition matrix passed to be plotted does not appear to be the correct size');
+end
+num_percentiles = dims(1);
+
+if size(endo_names, 1) ~= nvars
+ error('The names passed are not the same length as the number of variables')
+end
+
+for s=1:nvars
+ shock = zeros(options_.ms.horizon, nvars, num_percentiles);
+ for n=1:num_percentiles
+ for i=1:nvars
+ shock(:,i,n) = vddata(n, :, ((i-1) + ((s-1)*nvars)+1));
+ end
+ end
+ plot_banded_vddata_for_shock(shock, nvars, endo_names, ...
+ deblank(endo_names(s,:)), title_, ...
+ [options_.ms.output_file_tag filesep 'Output' filesep 'Variance_Decomposition'], ...
+ options_, names, tex_names);
+end
+end
+
+function [fig] = plot_banded_vddata_for_shock(vddata, nvars, endo_names, ...
+ shock_name, title_, dirname, options_, names, tex_names)
+fig = figure('Name', title_);
+npercentiles = size(vddata,3);
+for k=1:nvars
+ subplot(ceil(sqrt(nvars)), ceil(sqrt(nvars)),k);
+ for nn=1:npercentiles
+ plot(vddata(:,k,nn))
+ hold on
+ end
+ hold off
+ disp([endo_names(k,:) ' contribution to ' shock_name]);
+ title([endo_names(k,:) ' contribution to ' shock_name]);
+end
+dyn_save_graph(dirname, [title_ ' ' shock_name], ...
+ options_.graph_save_formats, options_.TeX, names, tex_names, ...
+ [title_ ' ' shock_name]);
+end
diff --git a/matlab/ms-sbvar/reshape_ascii_variance_decomposition_data.m b/matlab/ms-sbvar/reshape_ascii_variance_decomposition_data.m
new file mode 100644
index 0000000000000000000000000000000000000000..a96833fd56153cbc613b41d874349467c8b88361
--- /dev/null
+++ b/matlab/ms-sbvar/reshape_ascii_variance_decomposition_data.m
@@ -0,0 +1,44 @@
+function vd_data=reshape_ascii_variance_decomposition_data(endo_nbr, psize, horizon, ascii_data)
+% function vd_data=reshape_ascii_vd_data(endo_nbr, psize, horizon, ascii_data)
+%
+% INPUTS
+% endo_nbr: number of endogenous
+% psize: number of percentiles
+% horizon: forecast horizon
+% ascii_data: data from .out file created by Dan's C code
+%
+% OUTPUTS
+% vd_data: new 3-d array holding data with error bands
+%
+% SPECIAL REQUIREMENTS
+% none
+
+% Copyright (C) 2011-2012 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/>.
+
+if psize <= 1
+ vd_data = ascii_data;
+ return
+end
+
+vd_data = zeros(psize, horizon, endo_nbr*endo_nbr);
+for i=1:endo_nbr*endo_nbr
+ for j=1:psize
+ vd_data(j,:,i) = ascii_data(1+horizon*(j-1):horizon*j,i)';
+ end
+end
+end
diff --git a/mex/build/ms_sbvar.am b/mex/build/ms_sbvar.am
index 6270789b224366148fd7a810f891fcee55c31b77..219bf5d127a0b1b57920dc9630450394b52b9d3b 100644
--- a/mex/build/ms_sbvar.am
+++ b/mex/build/ms_sbvar.am
@@ -1,4 +1,4 @@
-noinst_PROGRAMS = ms_sbvar_create_init_file ms_sbvar_command_line mex_ms_convert_free_parameters mex_ms_variance_decomposition
+noinst_PROGRAMS = ms_sbvar_create_init_file ms_sbvar_command_line mex_ms_convert_free_parameters
DWSWITCHDIR = $(top_srcdir)/../../../ms-sbvar/switch_dw
DWUTILITIESDIR = $(top_srcdir)/../../../ms-sbvar/utilities_dw
@@ -75,26 +75,3 @@ nodist_mex_ms_convert_free_parameters_SOURCES = \
$(MSMEXSRCDIR)/mex_ms_sbvar.cc \
$(MSMEXSRCDIR)/modify_for_mex.cc \
$(DWUTILS)
-
-nodist_mex_ms_variance_decomposition_SOURCES = \
- $(DWSWITCHDIR)/switching/dw_switch.c \
- $(DWSWITCHDIR)/switching/dw_switchio.c \
- $(DWSWITCHDIR)/switching/dw_dirichlet_restrictions.c \
- $(DWSWITCHDIR)/switching/dw_metropolis_theta.c \
- $(DWSWITCHDIR)/switching/dw_switch_opt.c \
- $(DWSWITCHDIR)/switching/dw_mdd_switch.c \
- $(DWSWITCHDIR)/state_space/sbvar/VARbase.c \
- $(DWSWITCHDIR)/state_space/sbvar/VARio.c \
- $(DWSWITCHDIR)/state_space/sbvar/dw_sbvar_command_line.c \
- $(DWSWITCHDIR)/state_space/sbvar/sbvar_estimate.c \
- $(DWSWITCHDIR)/state_space/sbvar/sbvar_simulate.c \
- $(DWSWITCHDIR)/state_space/sbvar/sbvar_probabilities.c \
- $(DWSWITCHDIR)/state_space/sbvar/sbvar_mdd.c \
- $(DWSWITCHDIR)/state_space/sbvar/sbvar_forecast.c \
- $(DWSWITCHDIR)/state_space/sbvar/sbvar_variance_decomposition.c \
- $(DWSWITCHDIR)/state_space/sbvar/sbvar_impulse_responses.c \
- $(DWSWITCHDIR)/state_space/sbvar/dw_csminwel.c \
- $(MSMEXSRCDIR)/mex_ms_sbvar.cc \
- $(MSMEXSRCDIR)/modify_for_mex.cc \
- $(MSMEXSRCDIR)/mex_ms_variance_decomposition.cc \
- $(DWUTILS)
diff --git a/mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc b/mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc
deleted file mode 100644
index 2ef5f5d8b02a668594acab31faad075a8266636a..0000000000000000000000000000000000000000
--- a/mex/sources/ms-sbvar/mex_ms_variance_decomposition.cc
+++ /dev/null
@@ -1,243 +0,0 @@
-/*
- * Copyright (C) 2011 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/>.
- */
-
-#if defined(MATLAB_MEX_FILE) || defined(OCTAVE_MEX_FILE)
-#include "dynmex.h"
-
-#include "mex_ms_sbvar.h"
-
-extern "C" {
-#include "switch.h"
-#include "switchio.h"
-#include "VARio.h"
-#include "dw_rand.h"
-#include "dw_histogram.h"
-#include "sbvar_variance_decomposition.h"
-}
-
-void
-mexFunction(int nlhs, mxArray *plhs[],
- int nrhs, const mxArray *prhs[])
-{
- double *out_buf;
- int i, j, k, s, nfree, nstates, nvars, npre;
-
- TStateModel *model;
- SbvarOption *options = (SbvarOption *) NULL;
- T_VAR_Parameters *p = (T_VAR_Parameters *) NULL;
- TMatrixHistogram *histogram = (TMatrixHistogram *) NULL;
- TMatrix tvd;
-
- int type = F_FREE, ergodic = 1;
-
- /* Check the left hand and right hand side arguments to make sure they conform */
- if (nrhs != 1)
- DYN_MEX_FUNC_ERR_MSG_TXT("ms_variance_decomposition takes one cell array as an input argument.");
- if (nlhs != 2)
- DYN_MEX_FUNC_ERR_MSG_TXT("You must specify two output arguments.");
-
- model = initialize_model_and_options(&options, prhs, &nstates, &nvars, &npre, &nfree);
- if (model == NULL || options == NULL)
- DYN_MEX_FUNC_ERR_MSG_TXT("There was a problem initializing the model, can not continue");
-
- p = (T_VAR_Parameters *) (model->theta);
-
- /* Check to make sure that there is a simulation file present if we are
- * using parameter uncertainty
- */
- if (options->parameter_uncertainty && options->simulation_file == NULL)
- DYN_MEX_FUNC_ERR_MSG_TXT("Paramter Uncertainty Was Specified but the simulation file was not found, please specify the simulation file to use with: 'simulation_file',<filename>");
- if (!options->parameter_uncertainty)
- options->simulation_file = (FILE *) NULL;
-
- /* Allocate the output matrix */
- if (options->regimes)
- if (options->num_percentiles > 1)
- {
- /* regimes x percentile x horizon x (nvar*nvar) */
- mwSize dims[4] = {nstates, options->num_percentiles, options->horizon, (nvars*nvars)};
- plhs[1] = mxCreateNumericArray(4, dims, mxDOUBLE_CLASS, mxREAL);
- out_buf = mxGetPr(plhs[1]);
- }
- else
- {
- /* regimes x horizon x (nvar*nvar) */
- mwSize dims[3] = {nstates, options->horizon, (nvars*nvars)};
- plhs[1] = mxCreateNumericArray(3, dims, mxDOUBLE_CLASS, mxREAL);
- out_buf = mxGetPr(plhs[1]);
- }
- else
- if (options->num_percentiles > 1)
- {
- /* percentile x horizon x (nvar*nvar) */
- mwSize dims[3] = {options->num_percentiles, options->horizon, (nvars*nvars)};
- plhs[1] = mxCreateNumericArray(3, dims, mxDOUBLE_CLASS, mxREAL);
- out_buf = mxGetPr(plhs[1]);
- }
- else
- {
- /* horizon x (nvar*nvar) */
- mwSize dims[2] = {options->horizon, (nvars*nvars)};
- plhs[1] = mxCreateNumericArray(2, dims, mxDOUBLE_CLASS, mxREAL);
- out_buf = mxGetPr(plhs[1]);
- }
-
- /* Use filter probabilities? */
- if (options->filtered_probabilities)
- ergodic = 0;
-
- try
- {
- if (options->regimes)
- {
- for (s = 0; s < nstates; s++)
- {
- printf("Constructing variance decomposition - regime %d\n", s);
-
- if (options->mean)
- {
- if (tvd = variance_decomposition_mean_regime(options->simulation_file, options->thin, s, options->horizon, model, type))
- {
- NormalizeVarianceDecomposition(tvd, p);
- ReorderVarianceDecomposition(tvd, p);
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < (nvars*nvars); j++)
- out_buf[(s) + ((i) + (j)*options->horizon)*nstates] = ElementM(tvd, i, j);
- }
- mxFree(tvd);
- }
- else
- {
- if (options->simulation_file) rewind(options->simulation_file);
- if (histogram = variance_decomposition_percentiles_regime(options->simulation_file, options->thin, s, options->horizon, model, type))
- {
- tvd = CreateMatrix(options->horizon, nvars*nvars);
- for (k = 0; k < options->num_percentiles; k++)
- {
- MatrixPercentile(tvd, options->percentiles[k], histogram);
- ReorderVarianceDecomposition(tvd, p);
- if (options->num_percentiles == 1)
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < (nvars*nvars); j++)
- out_buf[(s) + ((i) + (j)*options->horizon)*nstates] = ElementM(tvd, i, j);
- else
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < (nvars*nvars); j++)
- out_buf[(s) + ((k) + ((i) + (j)*options->horizon)*options->num_percentiles)*nstates] = ElementM(tvd, i, j);
- }
- mxFree(tvd);
- }
- mxFree(histogram);
- }
- }
-
- }
- else if (options->regime >= 0)
- {
- s = options->regime;
- printf("Constructing variance decomposition - regime %d\n", s);
- if (options->mean)
- {
- if (tvd = variance_decomposition_mean_regime(options->simulation_file, options->thin, s, options->horizon, model, type))
- {
- NormalizeVarianceDecomposition(tvd, p);
- ReorderVarianceDecomposition(tvd, p);
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < (nvars*nvars); j++)
- out_buf[(s) + ((i) + (j)*options->horizon)*nstates] = ElementM(tvd, i, j);
- }
- mxFree(tvd);
-
- }
- else
- {
- if (histogram = variance_decomposition_percentiles_regime(options->simulation_file, options->thin, s, options->horizon, model, type))
- {
- tvd = CreateMatrix(options->horizon, nvars*nvars);
- for (k = 0; k < options->num_percentiles; k++)
- {
- MatrixPercentile(tvd, options->percentiles[k], histogram);
- ReorderVarianceDecomposition(tvd, p);
- if (options->num_percentiles == 1)
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < (nvars*nvars); j++)
- out_buf[(i) + (j)*options->horizon] = ElementM(tvd, i, j);
- else
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < (nvars*nvars); j++)
- out_buf[(k) + ((i) + (j)*options->horizon)*options->num_percentiles] = ElementM(tvd, i, j);
- }
- mxFree(tvd);
- }
- mxFree(histogram);
- }
- }
- else
- {
-
- printf("Constructing variance decomposition - %d draws of regimes per posterior value\n", options->shocks);
- if (options->mean)
- {
- if (tvd = variance_decomposition_mean(options->shocks, options->simulation_file, options->thin, ergodic, options->horizon, model, type))
- {
- NormalizeVarianceDecomposition(tvd, p);
- ReorderVarianceDecomposition(tvd, p);
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < (nvars*nvars); j++)
- out_buf[(i) + (j)*options->horizon] = ElementM(tvd, i, j);
- }
- mxFree(tvd);
- }
- else
- {
-
- if (histogram = variance_decomposition_percentiles(options->shocks, options->simulation_file, options->thin, ergodic, options->horizon, model, type))
- {
-
- tvd = CreateMatrix(options->horizon, nvars*nvars);
- for (k = 0; k < options->num_percentiles; k++)
- {
- MatrixPercentile(tvd, options->percentiles[k], histogram);
- ReorderVarianceDecomposition(tvd, p);
- if (options->num_percentiles == 1)
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < (nvars*nvars); j++)
- out_buf[(i) + (j)*options->horizon] = ElementM(tvd, i, j);
- else
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < (nvars*nvars); j++)
- out_buf[(k) + ((i) + (j)*options->horizon)*options->num_percentiles] = ElementM(tvd, i, j);
- }
- mxFree(tvd);
- }
- mxFree(histogram);
- }
- }
- }
- catch (const char *s)
- {
- DYN_MEX_FUNC_ERR_MSG_TXT("Exception Thrown in Variance Decomposition: \n");
- }
-
- mxFree(p);
- mxFree(model);
- plhs[0] = mxCreateDoubleScalar(0);
-}
-
-#endif
diff --git a/preprocessor/ComputingTasks.cc b/preprocessor/ComputingTasks.cc
index 56c5df7a7c04505fa88182ba2fa929b59e110df4..525d8070f1e9e72a2669989caa5782cdf0751d2e 100644
--- a/preprocessor/ComputingTasks.cc
+++ b/preprocessor/ComputingTasks.cc
@@ -1119,6 +1119,31 @@ void
MSSBVARVarianceDecompositionStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings)
{
mod_file_struct.bvar_present = true;
+
+ bool regime_present = false;
+ bool regimes_present = false;
+ bool filtered_probabilities_present = false;
+
+ OptionsList::num_options_t::const_iterator it = options_list.num_options.find("ms.regimes");
+ if (it != options_list.num_options.end())
+ regimes_present = true;
+
+ it = options_list.num_options.find("ms.regime");
+ if (it != options_list.num_options.end())
+ regime_present = true;
+
+ it = options_list.num_options.find("ms.filtered_probabilities");
+ if (it != options_list.num_options.end())
+ filtered_probabilities_present = true;
+
+ if ((filtered_probabilities_present && regime_present) ||
+ (filtered_probabilities_present && regimes_present) ||
+ (regimes_present && regime_present))
+ {
+ cerr << "ERROR: You may only pass one of regime, regimes and "
+ << "filtered_probabilities to ms_variance_decomposition" << endl;
+ exit(EXIT_FAILURE);
+ }
}
void
diff --git a/preprocessor/DynareBison.yy b/preprocessor/DynareBison.yy
index abc9e1351ad8deacfdf8a5fe0d7aac461950815f..f6b4ebf88da633efb453534cff435871a778be8e 100644
--- a/preprocessor/DynareBison.yy
+++ b/preprocessor/DynareBison.yy
@@ -1635,7 +1635,10 @@ ms_variance_decomposition_option : o_output_file_tag
| o_shocks_per_parameter
| o_thinning_factor
| o_free_parameters
- | o_median
+ | o_regime
+ | o_regimes
+ | o_parameter_uncertainty
+ | o_horizon
;
ms_variance_decomposition_options_list : ms_variance_decomposition_option COMMA ms_variance_decomposition_options_list
diff --git a/tests/ms-sbvar/test_ms_variances.mod b/tests/ms-sbvar/test_ms_variances.mod
index 034624ffeedee0a4dad9bb1962c2d240257a3d79..d9bca5a987d4787f53cbe531b143b26c0f75e875 100644
--- a/tests/ms-sbvar/test_ms_variances.mod
+++ b/tests/ms-sbvar/test_ms_variances.mod
@@ -25,4 +25,4 @@ ms_compute_mdd;
ms_compute_probabilities;
ms_irf(parameter_uncertainty);
ms_forecast;
-ms_variance_decomposition;
+ms_variance_decomposition(no_error_bands);