diff --git a/doc/dynare.texi b/doc/dynare.texi
index e3049ec56b704df72e977600fd0eff2759a0267d..944c952568e254cea4f46287f77abb9bd165efa9 100644
--- a/doc/dynare.texi
+++ b/doc/dynare.texi
@@ -5933,10 +5933,6 @@ while data files are contained in @code{<output_file_tag/Forecast>}.
@item data_obs_nbr = @var{INTEGER}
The number of data points included in the output. Default: @code{0}
-@item no_error_bands
-@anchor{no_error_bands} Do not output error bands. Default: @code{off}
-(@i{i.e.} output error bands)
-
@item error_band_percentiles = [@var{DOUBLE1} @dots{}]
@xref{error_band_percentiles}.
@@ -5952,6 +5948,16 @@ The number of data points included in the output. Default: @code{0}
@item free_parameters = @var{NUMERICAL_VECTOR}
@xref{free_parameters}.
+@item parameter_uncertainty
+@xref{parameter_uncertainty}.
+
+@item regime = @var{INTEGER}
+@xref{regime}.
+
+@item regimes
+
+@xref{regimes}.
+
@item median
@xref{median}.
@@ -5988,7 +5994,8 @@ are contained in @code{<output_file_tag/Variance_Decomposition>}.
@xref{filtered_probabilities}.
@item no_error_bands
-@xref{no_error_bands}.
+Do not output error bands. Default: @code{off}
+(@i{i.e.} output error bands)
@item error_band_percentiles = [@var{DOUBLE1} @dots{}]
@xref{error_band_percentiles}.
diff --git a/matlab/ms-sbvar/initialize_ms_sbvar_options.m b/matlab/ms-sbvar/initialize_ms_sbvar_options.m
index 3937641e8dce8dae9869758bc8844a242e8234d0..69da2963ad27f02336867f2dd46a06e1914c0d69 100644
--- a/matlab/ms-sbvar/initialize_ms_sbvar_options.m
+++ b/matlab/ms-sbvar/initialize_ms_sbvar_options.m
@@ -108,6 +108,7 @@ options_.ms.median = 0;
options_.ms.regime = 0;
options_.ms.regimes = 0;
% forecast
-options_.ms.error_bands = 1;
options_.ms.forecast_data_obs = 0;
+% variance decomposition
+options_.ms.error_bands = 1;
end
diff --git a/matlab/ms-sbvar/ms_forecast.m b/matlab/ms-sbvar/ms_forecast.m
index a8788ba7482d23e718c4d673a0c8f5ff6b54d511..e267319b9379ac1b252f226e72471285346c6543 100644
--- a/matlab/ms-sbvar/ms_forecast.m
+++ b/matlab/ms-sbvar/ms_forecast.m
@@ -14,7 +14,7 @@ function [options_, oo_]=ms_forecast(M_, options_, oo_)
% SPECIAL REQUIREMENTS
% none
-% Copyright (C) 2011 Dynare Team
+% Copyright (C) 2011-2012 Dynare Team
%
% This file is part of Dynare.
%
@@ -34,46 +34,88 @@ function [options_, oo_]=ms_forecast(M_, options_, oo_)
disp('MS-SBVAR Forecasts');
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_, 'forecast')
+clean_ms_forecast_files(options_.ms.output_file_tag);
forecastdir = [options_.ms.output_file_tag filesep 'Forecast'];
create_dir(forecastdir);
-opt = { ...
- {'file_tag', options_.ms.file_tag}, ...
- {'seed', options_.DynareRandomStreams.seed}, ...
- {'horizon', options_.ms.horizon}, ...
- {'number_observations', options_.ms.forecast_data_obs}, ...
- {'error_bands', options_.ms.error_bands}, ...
- {'percentiles', options_.ms.percentiles}, ...
- {'thin', options_.ms.thinning_factor}
- };
+% setup command line options
+opt = ['-forecast -nodate -seed ' num2str(options_.DynareRandomStreams.seed)];
+opt = [opt ' -do ' forecastdir];
+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 = [opt ' -data ' num2str(options_.ms.forecast_data_obs)];
+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)];
+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
+
+percentiles_size = 0;
if options_.ms.median
- opt = [opt(:)' {{'median'}}];
+ percentiles_size = 1;
+ opt = [opt ' -percentiles ' num2str(percentiles_size) ' 0.5'];
+else
+ 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
end
-[err, forecast] = mex_ms_forecast([opt(:)', {{'free_parameters',oo_.ms.maxparams}, ...
- {'shocks_per_parameter', options_.ms.shock_draws}}]);
-mexErrCheck('mex_ms_forecast ergodic ', err);
-plot_ms_forecast(M_,options_,forecast,'Forecast',options_.graph_save_formats,options_.TeX);
+% forecast
+[err] = ms_sbvar_command_line(opt);
+mexErrCheck('ms_forecast',err);
-[err, regime_forecast] = mex_ms_forecast([opt(:)', {{'free_parameters',oo_.ms.maxparams}, ...
- {'shocks_per_parameter', options_.ms.shock_draws}, {'regimes'}}]);
-mexErrCheck('mex_ms_forecast ergodic regimes', err);
-save([forecastdir filesep 'ergodic_forecast.mat'], 'forecast', 'regime_forecast');
+% Plot Forecasts
+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
-if exist(options_.ms.mh_file,'file') > 0
- [err, forecast] = mex_ms_forecast([opt(:)', {{'free_parameters',oo_.ms.maxparams}, ...
- {'shocks_per_parameter', options_.ms.shocks_per_parameter}, ...
- {'simulation_file', options_.ms.mh_file}, {'parameter_uncertainty'}}]);
- mexErrCheck('mex_ms_forecast bayesian ', err);
- plot_ms_forecast(M_,options_,forecast,'Forecast w/ Parameter Uncertainty',options_.graph_save_formats,options_.TeX);
+ for state_i=1:n_states
+ forecast_data = load([forecastdir filesep 'forecasts_percentiles_regime_' ...
+ num2str(state_i-1) '_' options_.ms.output_file_tag ...
+ '.out'], '-ascii');
+ forecast_data = reshape_ascii_forecast_data(M_.endo_nbr, ...
+ percentiles_size, options_.ms.horizon, forecast_data);
+ save([forecastdir filesep 'forecast_state_' num2str(state_i-1)], ...
+ 'forecast_data');
+ plot_ms_forecast(M_, options_, forecast_data, ...
+ ['Forecast, Regimes' num2str(state_i)], ...
+ options_.graph_save_formats, options_.TeX);
+ end
+else
+ if options_.ms.regime
+ forecast_data = load([forecastdir filesep 'forecasts_percentiles_regime_' ...
+ num2str(options_.ms.regime-1) '_' options_.ms.output_file_tag ...
+ '.out'], '-ascii');
+ forecast_title = ['Forecast, State ' num2str(options_.ms.regime)];
+ save_filename = ['forecast_regime_' num2str(options_.ms.regime-1)];
+ else
+ forecast_data = load([forecastdir filesep 'forecasts_percentiles_' ...
+ options_.ms.output_file_tag '.out'], '-ascii');
+ forecast_title = 'Forecast';
+ save_filename = 'forecast';
+ end
- [err, regime_forecast] = mex_ms_forecast([opt(:)', {{'free_parameters',oo_.ms.maxparams}, ...
- {'shocks_per_parameter', options_.ms.shocks_per_parameter}, ...
- {'simulation_file', options_.ms.mh_file}, {'parameter_uncertainty','regimes'}}]);
- mexErrCheck('mex_ms_forecast bayesian regimes ', err);
- save([forecastdir filesep 'bayesian_forecast.mat'], 'forecast', 'regime_forecast');
+ forecast_data = reshape_ascii_forecast_data(M_.endo_nbr, ...
+ percentiles_size, options_.ms.horizon, forecast_data);
+ save([forecastdir filesep save_filename], 'forecast_data');
+ plot_ms_forecast(M_, options_, forecast_data, forecast_title, ...
+ options_.graph_save_formats, options_.TeX);
end
end
diff --git a/matlab/ms-sbvar/reshape_ascii_forecast_data.m b/matlab/ms-sbvar/reshape_ascii_forecast_data.m
new file mode 100644
index 0000000000000000000000000000000000000000..6c2c06ff40b7cd6977ff4705eebfba0df2657347
--- /dev/null
+++ b/matlab/ms-sbvar/reshape_ascii_forecast_data.m
@@ -0,0 +1,44 @@
+function forecast_data=reshape_ascii_forecast_data(endo_nbr, psize, horizon, ascii_data)
+% function forecast_data=reshape_ascii_forecast_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
+% forecast_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
+ forecast_data = ascii_data;
+ return
+end
+
+forecast_data = zeros(psize, horizon, endo_nbr);
+for i=1:endo_nbr
+ for j=1:psize
+ forecast_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 1f703bbed7ff4e7ac022bd3163c20d3e85fb3e36..6270789b224366148fd7a810f891fcee55c31b77 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_forecast mex_ms_variance_decomposition
+noinst_PROGRAMS = ms_sbvar_create_init_file ms_sbvar_command_line mex_ms_convert_free_parameters mex_ms_variance_decomposition
DWSWITCHDIR = $(top_srcdir)/../../../ms-sbvar/switch_dw
DWUTILITIESDIR = $(top_srcdir)/../../../ms-sbvar/utilities_dw
@@ -62,9 +62,9 @@ nodist_ms_sbvar_command_line_SOURCES = \
$(DWSWITCHDIR)/state_space/sbvar/dw_csminwel.c \
$(DWUTILS) \
$(MSMEXSRC)
-
+
nodist_mex_ms_convert_free_parameters_SOURCES = \
- $(DWSWITCHDIR)/switching/dw_switch.c \
+ $(DWSWITCHDIR)/switching/dw_switch.c \
$(DWSWITCHDIR)/switching/dw_switchio.c \
$(DWSWITCHDIR)/switching/dw_dirichlet_restrictions.c \
$(DWSWITCHDIR)/switching/dw_metropolis_theta.c \
@@ -73,51 +73,28 @@ nodist_mex_ms_convert_free_parameters_SOURCES = \
$(DWSWITCHDIR)/state_space/sbvar/VARio_matlab.c \
$(MSMEXSRCDIR)/mex_ms_convert_free_parameters.cc \
$(MSMEXSRCDIR)/mex_ms_sbvar.cc \
- $(MSMEXSRCDIR)/modify_for_mex.cc \
+ $(MSMEXSRCDIR)/modify_for_mex.cc \
$(DWUTILS)
-nodist_mex_ms_forecast_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_forecast.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 \
+ $(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_forecast.cc b/mex/sources/ms-sbvar/mex_ms_forecast.cc
deleted file mode 100644
index 5a27ca3a4394a06cc25fd2e690bf40f6abba8f00..0000000000000000000000000000000000000000
--- a/mex/sources/ms-sbvar/mex_ms_forecast.cc
+++ /dev/null
@@ -1,187 +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"
-
-#include <iostream>
-
-extern "C" {
-#include "modify_for_mex.h"
-#include "switch.h"
-#include "switchio.h"
-#include "VARio.h"
-#include "dw_histogram.h"
-#include "sbvar_forecast.h"
-}
-
-void
-mexFunction(int nlhs, mxArray *plhs[],
- int nrhs, const mxArray *prhs[])
-{
- double *out_buf;
- int i, j, k, s, nfree, nstates, nvars, npre, T;
-
- TStateModel *model;
- SbvarOption *options = (SbvarOption *) NULL;
- T_VAR_Parameters *p = (T_VAR_Parameters *) NULL;
- TMatrixHistogram *histogram = (TMatrixHistogram *) NULL;
- TMatrix forecast;
-
- int type = F_FREE;
-
- // Check the left hand and right hand side arguments to make sure they conform
- if (nrhs != 1)
- DYN_MEX_FUNC_ERR_MSG_TXT("ms_forecast 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);
- T = p->nobs;
-
- // 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
- mwSize dims[4] = {nstates, options->num_percentiles, options->horizon, 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};
- 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};
- plhs[1] = mxCreateNumericArray(3, dims, mxDOUBLE_CLASS, mxREAL);
- out_buf = mxGetPr(plhs[1]);
- }
- else
- {
- // horizon x (nvar*nvar)
- mwSize dims[2] = {options->horizon, nvars};
- plhs[1] = mxCreateNumericArray(2, dims, mxDOUBLE_CLASS, mxREAL);
- out_buf = mxGetPr(plhs[1]);
- }
-
- // hard coding dates for now to be off
- int dates = 0;
- try
- {
- if (options->regimes)
- for (s = 0; s < nstates; s++)
- {
- printf("Constructing percentiles for forecast - regime %d\n", s);
- if (options->simulation_file) rewind(options->simulation_file);
- if (histogram = forecast_percentile_regime(options->shocks, options->simulation_file, options->thin, s, T, options->horizon, model, type))
- {
- for (k = 0; k < options->num_percentiles; k++)
- if (forecast = ForecastHistogramToPercentile((TMatrix) NULL, options->number_observations, options->horizon, T, options->percentiles[k], histogram, model, dates))
- {
- // the case where we are only dealing with one percentile so we can reduce dimensionality of output argument
- if (options->num_percentiles == 1)
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < nvars; j++)
- out_buf[(s) + ((i) + (j)*options->horizon)*nstates] = ElementM(forecast, i, j);
- else
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < nvars; j++)
- out_buf[(s) + ((k) + ((i) + (j)*options->horizon)*options->num_percentiles)*nstates] = ElementM(forecast, i, j);
- mxFree(forecast);
- }
- mxFree(histogram);
- }
- }
-
- else if (options->regime >= 0)
- {
- s = options->regime;
- printf("Constructing percentiles for forecast - regime %d\n", s);
- if (histogram = forecast_percentile_regime(options->shocks, options->simulation_file, options->thin, s, T, options->horizon, model, type))
- {
- for (k = 0; k < options->num_percentiles; k++)
- if (forecast = ForecastHistogramToPercentile((TMatrix) NULL, options->number_observations, options->horizon, T, options->percentiles[k], histogram, model, dates))
- {
- // the case where we are only dealing with one percentile so we can reduce dimensionality of output argument
- if (options->num_percentiles == 1)
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < nvars; j++)
- out_buf[(i) + (j)*options->horizon] = ElementM(forecast, i, j);
- else
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < nvars; j++)
- out_buf[(k) + ((i) + (j)*options->horizon)*options->num_percentiles] = ElementM(forecast, i, j);
- mxFree(forecast);
- }
- mxFree(histogram);
- }
- }
- else
- {
- printf("Constructing percentiles for forecasts - %d draws of shocks/regimes per posterior value\n", options->shocks);
- if (histogram = forecast_percentile(options->shocks, options->simulation_file, options->thin, T, options->horizon, model, type))
- {
- for (k = 0; k < options->num_percentiles; k++)
- if (forecast = ForecastHistogramToPercentile((TMatrix) NULL, options->number_observations, options->horizon, T, options->percentiles[k], histogram, model, dates))
- {
- // the case where we are only dealing with one percentile so we can reduce dimensionality of output argument
- if (options->num_percentiles == 1)
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < nvars; j++)
- out_buf[(i) + (j)*options->horizon] = ElementM(forecast, i, j);
- else
- for (i = 0; i < options->horizon; i++)
- for (j = 0; j < nvars; j++)
- out_buf[(k) + ((i) + (j)*options->horizon)*options->num_percentiles] = ElementM(forecast, i, j);
- mxFree(forecast);
- }
- }
- mxFree(histogram);
- }
- }
- catch (const char *s)
- {
- DYN_MEX_FUNC_ERR_MSG_TXT("Exception Thrown in Forecast: \n");
- }
-
- mxFree(p);
- mxFree(model);
- plhs[0] = mxCreateDoubleScalar(0);
-}
-
-#endif
diff --git a/preprocessor/ComputingTasks.cc b/preprocessor/ComputingTasks.cc
index 9702bf9b30f6f6df7a47a43d514194ee1974df85..56c5df7a7c04505fa88182ba2fa929b59e110df4 100644
--- a/preprocessor/ComputingTasks.cc
+++ b/preprocessor/ComputingTasks.cc
@@ -1093,6 +1093,13 @@ void
MSSBVARForecastStatement::checkPass(ModFileStructure &mod_file_struct, WarningConsolidation &warnings)
{
mod_file_struct.bvar_present = true;
+
+ if (options_list.num_options.find("ms.regimes") != options_list.num_options.end())
+ if (options_list.num_options.find("ms.regime") != options_list.num_options.end())
+ {
+ cerr << "ERROR: You may only pass one of regime and regimes to ms_forecast" << endl;
+ exit(EXIT_FAILURE);
+ }
}
void
diff --git a/preprocessor/DynareBison.yy b/preprocessor/DynareBison.yy
index 43781f5618572663dce744e9703e05d75dc624bb..abc9e1351ad8deacfdf8a5fe0d7aac461950815f 100644
--- a/preprocessor/DynareBison.yy
+++ b/preprocessor/DynareBison.yy
@@ -1652,13 +1652,15 @@ ms_forecast_option : o_output_file_tag
| o_file_tag
| o_simulation_file_tag
| o_data_obs_nbr
- | o_no_error_bands
| o_error_band_percentiles
| o_shock_draws
| o_shocks_per_parameter
| o_thinning_factor
| o_free_parameters
| o_median
+ | o_regime
+ | o_regimes
+ | o_parameter_uncertainty
;
ms_forecast_options_list : ms_forecast_option COMMA ms_forecast_options_list