From 8ae9e1d01f069cf742d35567e34f879dc15fd4e5 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@jrc.ec.europa.eu>
Date: Tue, 14 Nov 2017 08:52:00 +0100
Subject: [PATCH] Bug fixes in 1) definition of
annualized_realtime_conditional_shock_decomposition 2) making plots when
vintage is not Q4. The latter required some restructuring and factorization
of the code
(cherry picked from commit 3e589d24401502e5b1fda8cdd69e1bc9c2545885)
Fixed conflicts:
matlab/annualized_shock_decomposition.m
---
matlab/annualized_shock_decomposition.m | 242 ++++++++++++------------
1 file changed, 121 insertions(+), 121 deletions(-)
diff --git a/matlab/annualized_shock_decomposition.m b/matlab/annualized_shock_decomposition.m
index 4972edb30..72591634d 100644
--- a/matlab/annualized_shock_decomposition.m
+++ b/matlab/annualized_shock_decomposition.m
@@ -57,17 +57,16 @@ islog = q2a.islog;
aux = q2a.aux;
aux0 = aux;
cumfix = q2a.cumfix;
-% usual shock decomp
-if isstruct(oo_)
- % z = oo_.shock_decomposition;
- myopts=options_;
- myopts.plot_shock_decomp.type='qoq';
- myopts.plot_shock_decomp.realtime=0;
- [z, junk] = plot_shock_decomposition(M_,oo_,myopts,[]);
-else
- z = oo_;
+qvintage_ = vintage_;
+tpoints = t0:4:t1;
+if ~ismember(vintage_,tpoints) && vintage_
+ ind1=min(find(tpoints>vintage_));
+ ind2=max(find(tpoints<vintage_));
+ vintage_=tpoints(ind1);
end
-z = z(i_var,:,:);
+
+nfrcst = options_.shock_decomp.forecast/4;
+%% initialize names
mytype=var_type;
if isfield(q2a,'name')
mytxt = q2a.name;
@@ -90,29 +89,6 @@ if isfield(q2a,'name')
end
mytype=0;
end
-if isstruct(aux)
- if ischar(aux.y)
- myopts=options_;
- myopts.plot_shock_decomp.type='qoq';
- myopts.plot_shock_decomp.realtime=0;
- [y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux.y);
- aux.y=y_aux;
- aux.yss=steady_state_aux;
- end
- yaux=aux.y;
-end
-if mytype==2
- gtxt = 'PHI'; % inflation rate
- gtex = '\pi';
-elseif mytype
- gtxt = 'G'; % growth rate
- gtex = 'g';
-end
-steady_state=steady_state(i_var);
-% endo_names = M_.endo_names(i_var,:);
-% endo_names_tex = M_.endo_names_tex(i_var,:);
-nterms = size(z,2);
-nfrcst = opts.forecast/4;
for j=1:nvar
if j>1
@@ -133,44 +109,47 @@ for j=1:nvar
gendo_names_tex = [gtex '(' deblank(endo_names_tex(j,:)) ')'];
end
end
- for k =1:nterms
- if isstruct(aux)
- aux.y = squeeze(yaux(j,k,min((t0-3):-4:1):end));
- end
- [za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
- quarterly2annual(squeeze(z(j,k,min((t0-3):-4:1):end)),steady_state(j),GYTREND0,var_type,islog,aux);
- end
- ztmp=squeeze(za(j,:,:));
- if cumfix==0
- zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
- ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
- else
- zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
- ztmp(end-1,:) = ztmp(end-1,:) + zres;
- end
- gztmp=squeeze(gza(j,:,:));
- if cumfix==0
- gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
- gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
- else
- gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
- gztmp(end-1,:) = gztmp(end-1,:)+gres;
- end
- za(j,:,:) = ztmp;
- gza(j,:,:) = gztmp;
end
if q2a.plot ==1
- z=gza;
endo_names = gendo_names;
endo_names_tex = gendo_names_tex;
-elseif q2a.plot == 2
- z=za;
-else
- z=cat(1,za,gza);
+elseif q2a.plot ~= 2
endo_names = char(endo_names,gendo_names);
endo_names_tex = char(endo_names_tex,gendo_names_tex);
end
+
+% end initialize names
+
+if realtime_==0
+ % usual shock decomp
+ if isstruct(oo_)
+ % z = oo_.shock_decomposition;
+ myopts=options_;
+ myopts.plot_shock_decomp.type='qoq';
+ myopts.plot_shock_decomp.realtime=0;
+ [z, junk] = plot_shock_decomposition(M_,oo_,myopts,[]);
+ else
+ z = oo_;
+ end
+ z = z(i_var,:,:);
+if isstruct(aux)
+ if ischar(aux.y)
+ myopts=options_;
+ myopts.plot_shock_decomp.type='qoq';
+ myopts.plot_shock_decomp.realtime=0;
+ [y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux.y);
+ aux.y=y_aux;
+ aux.yss=steady_state_aux;
+ end
+end
+steady_state=steady_state(i_var);
+% endo_names = M_.endo_names(i_var,:);
+% endo_names_tex = M_.endo_names_tex(i_var,:);
+
+ % make annualized shock decomp
+ [z, steady_state_a, steady_state_ga] = annualiz(z,t0,q2a,aux,steady_state);
+end
% if isstruct(oo_)
% oo_.annualized_shock_decomposition=z;
% end
@@ -180,76 +159,27 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
init=1;
for i=t0:4:t1
yr=floor(i/4);
- za=[];
- gza=[];
myopts=options_;
myopts.plot_shock_decomp.type='qoq';
myopts.plot_shock_decomp.realtime=1;
myopts.plot_shock_decomp.vintage=i;
- [z, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,[]);
+
+ % retrieve quarterly shock decomp
+ z = plot_shock_decomposition(M_,oo_,myopts,[]);
+ zdim = size(z);
z = z(i_var,:,:);
if isstruct(aux)
if ischar(aux0.y)
+ % retrieve quarterly shock decomp for aux variable
[y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux0.y);
aux.y=y_aux;
aux.yss=steady_state_aux;
end
- yaux=aux.y;
- end
- nterms = size(z,2);
-
- % z = oo_.realtime_shock_decomposition.(['time_' int2str(i)]);
- % z = z(i_var,:,:);
-
- for j=1:nvar
- for k =nterms:-1:1
- % if k<nterms
- % ztmp = squeeze(sum(z(j,[1:k-1,k+1:end-1],t0-4:end)));
- % else
- ztmp = squeeze(z(j,k,min((t0-3):-4:1):end));
- % end
- if isstruct(aux)
- aux.y = squeeze(yaux(j,k,min((t0-3):-4:1):end));
- end
- [za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
- quarterly2annual(ztmp,steady_state(j),GYTREND0,var_type,islog,aux);
- % if k<nterms
- % za(j,k,:) = za(j,end,:) - za(j,k,:);
- % gza(j,k,:) = gza(j,end,:) - gza(j,k,:);
- % end
-
- end
-
- ztmp=squeeze(za(j,:,:));
-
- if cumfix==0
- zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
- ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
- else
- zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
- ztmp(end-1,:) = ztmp(end-1,:) + zres;
- end
-
- gztmp=squeeze(gza(j,:,:));
- if cumfix==0
- gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
- gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
- else
- gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
- gztmp(end-1,:) = gztmp(end-1,:)+gres;
- end
-
- za(j,:,:) = ztmp;
- gza(j,:,:) = gztmp;
end
+
+ % make annualized shock decomp
+ [z, steady_state_a, steady_state_ga] = annualiz(z,t0,q2a,aux,steady_state);
- if q2a.plot ==1
- z=gza;
- elseif q2a.plot == 2
- z=za;
- else
- z=cat(1,za,gza);
- end
if init==1
oo_.annualized_realtime_shock_decomposition.pool = z;
@@ -258,7 +188,26 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
end
oo_.annualized_realtime_shock_decomposition.(['yr_' int2str(yr)]) = z;
- if opts.forecast
+ if options_.shock_decomp.forecast
+ if qvintage_>i-4 && qvintage_<i
+ myopts.plot_shock_decomp.vintage=qvintage_;
+ % retrieve quarterly shock decomp
+ z = plot_shock_decomposition(M_,oo_,myopts,[]);
+ z(:,:,end+1:zdim(3))=nan; % fill with nan's remaining time points to reach Q4
+ z = z(i_var,:,:);
+ if isstruct(aux)
+ if ischar(aux0.y)
+ % retrieve quarterly shock decomp for aux variable
+ [y_aux, steady_state_aux] = plot_shock_decomposition(M_,oo_,myopts,aux0.y);
+ aux.y=y_aux;
+ aux.yss=steady_state_aux;
+ end
+ end
+
+ % make annualized shock decomp
+ z = annualiz(z,t0,q2a,aux,steady_state);
+
+ end
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr)]) = z(:,:,end-nfrcst:end);
if init>nfrcst
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-nfrcst)]) = ...
@@ -277,6 +226,7 @@ if realtime_ && isstruct(oo_) && isfield(oo_, 'realtime_shock_decomposition')
oo_.annualized_realtime_shock_decomposition.pool(:,:,yr-my_forecast_:yr) - ...
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,:,1:my_forecast_+1);
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end-1,:) = ...
+ oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end-1,:) + ...
oo_.annualized_realtime_forecast_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,1:my_forecast_+1);
oo_.annualized_realtime_conditional_shock_decomposition.(['yr_' int2str(yr-my_forecast_)])(:,end,:) = ...
oo_.annualized_realtime_shock_decomposition.pool(:,end,yr-my_forecast_:yr);
@@ -331,3 +281,53 @@ else
steady_state = steady_state_a;
end
end
+
+return
+
+function [z, steady_state_a, steady_state_ga] = annualiz(z,t0,q2a,aux,steady_state)
+
+GYTREND0 = q2a.GYTREND0;
+var_type = q2a.type;
+islog = q2a.islog;
+cumfix = q2a.cumfix;
+if isstruct(aux)
+ yaux=aux.y;
+end
+
+[nvar , nterms, junk] = size(z);
+for j=1:nvar
+ for k =1:nterms
+ ztmp = squeeze(z(j,k,min((t0-3):-4:1):end));
+ if isstruct(aux)
+ aux.y = squeeze(yaux(j,k,min((t0-3):-4:1):end));
+ end
+ [za(j,k,:), steady_state_a(j,1), gza(j,k,:), steady_state_ga(j,1)] = ...
+ quarterly2annual(ztmp,steady_state(j),GYTREND0,var_type,islog,aux);
+ end
+ ztmp=squeeze(za(j,:,:));
+ if cumfix==0
+ zscale = sum(ztmp(1:end-1,:))./ztmp(end,:);
+ ztmp(1:end-1,:) = ztmp(1:end-1,:)./repmat(zscale,[nterms-1,1]);
+ else
+ zres = ztmp(end,:)-sum(ztmp(1:end-1,:));
+ ztmp(1:end-1,:) = ztmp(1:end-1,:) + repmat(zres,[nterms-1 1])/(nterms-1);
+ end
+ gztmp=squeeze(gza(j,:,:));
+ if cumfix==0
+ gscale = sum(gztmp(1:end-1,:))./ gztmp(end,:);
+ gztmp(1:end-1,:) = gztmp(1:end-1,:)./repmat(gscale,[nterms-1,1]);
+ else
+ gres = gztmp(end,:) - sum(gztmp(1:end-1,:));
+ gztmp(1:end-1,:) = gztmp(1:end-1,:) + repmat(gres,[nterms-1 1])/(nterms-1);
+ end
+ za(j,:,:) = ztmp;
+ gza(j,:,:) = gztmp;
+end
+
+if q2a.plot ==1
+ z=gza;
+elseif q2a.plot == 2
+ z=za;
+else
+ z=cat(1,za,gza);
+end
\ No newline at end of file
--
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