diff --git a/matlab/kalman/evaluate_smoother.m b/matlab/kalman/evaluate_smoother.m
index f093701df8e428693db326b38b37710e69bc5026..599bc5b96de928021f2cb6059390504892241905 100644
--- a/matlab/kalman/evaluate_smoother.m
+++ b/matlab/kalman/evaluate_smoother.m
@@ -39,7 +39,7 @@ function [oo_,M_,options_,bayestopt_,Smoothed_variables_declaration_order_deviat
% [1] This function use persistent variables for the dataset and the description of the missing observations. Consequently, if this function
% is called more than once (by changing the value of parameters) the sample *must not* change.
-% Copyright © 2010-2023 Dynare Team
+% Copyright © 2010-2024 Dynare Team
%
% This file is part of Dynare.
%
@@ -127,13 +127,13 @@ else
end
if ~(options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter)
if ~options_.occbin.smoother.status || (options_.occbin.smoother.status && oo_.occbin.smoother.error_flag==0)
- [oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
+ [oo_,yf]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,P,PK,decomp,Trend,state_uncertainty);
end
else
if ~oo_.occbin.smoother.error_flag
options_nk=options_.nk;
options_.nk=[]; %unset options_.nk and reset it later
- [oo_]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff);
+ [oo_,yf]=store_smoother_results(M_,oo_,options_,bayestopt_,dataset_,dataset_info,atT,innov,measurement_error,updated_variables,ys,trend_coeff);
options_.nk=options_nk;
else
fprintf('\nIVF: smoother did not succeed. No results will be written to oo_.\n')
@@ -143,6 +143,10 @@ if nargout>4
Smoothed_variables_declaration_order_deviation_form=atT(oo_.dr.inv_order_var(bayestopt_.smoother_var_list),:);
end
+if ~options_.occbin.smoother.status || (options_.occbin.smoother.status && oo_.occbin.smoother.error_flag==0)
+ plot_classical_smoother_results(M_,oo_,options_,dataset_info,dataset_,estim_params_,yf)
+end
+
%reset qz_criterium
options_.qz_criterium=qz_criterium_old;
oo_.gui.ran_calib_smoother = true;
diff --git a/matlab/kalman/plot_classical_smoother_results.m b/matlab/kalman/plot_classical_smoother_results.m
new file mode 100644
index 0000000000000000000000000000000000000000..578d3166a146a40cbff6e9b57dde54fbeb61575c
--- /dev/null
+++ b/matlab/kalman/plot_classical_smoother_results.m
@@ -0,0 +1,219 @@
+function plot_classical_smoother_results(M_,oo_,options_,dataset_info,dataset_,estim_params_,yf)
+% function plot_classical_smoother_results(M_,oo_,options_,dataset_info,dataset_,estim_params_,yf)
+% Inputs:
+% M_ [structure] storing the model information
+% oo_ [structure] storing the results
+% options_ [structure] storing the options
+% dataset_ [structure] storing the dataset
+% estim_params_ [structure] storing information about estimated parameters
+% yf [double] (nvarobs*T) matrix storing the smoothed observed variables (order of options_.varobs)
+%
+% Outputs:
+% None
+
+% Copyright © 2024 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 <https://www.gnu.org/licenses/>.
+
+gend= dataset_.nobs;
+n_varobs = length(options_.varobs);
+
+if ~options_.nograph
+ [nbplt,nr,nc,~,~,nstar] = pltorg(M_.exo_nbr);
+ if ~exist([M_.dname '/graphs'],'dir')
+ mkdir(M_.dname,'graphs');
+ end
+ if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fidTeX = fopen([M_.dname, '/graphs/' M_.fname '_SmoothedShocks.tex'],'w');
+ fprintf(fidTeX,'%% TeX eps-loader file generated by dynare_estimation_1.m (Dynare).\n');
+ fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
+ fprintf(fidTeX,' \n');
+ end
+ for plt = 1:nbplt
+ fh = dyn_figure(options_.nodisplay,'Name','Smoothed shocks');
+ nstar0=min(nstar,M_.exo_nbr-(plt-1)*nstar);
+ if gend==1
+ marker_string{1,1}='-ro';
+ marker_string{2,1}='-ko';
+ else
+ marker_string{1,1}='-r';
+ marker_string{2,1}='-k';
+ end
+ for i=1:nstar0
+ k = (plt-1)*nstar+i;
+ subplot(nr,nc,i);
+ plot([1 gend],[0 0],marker_string{1,1},'linewidth',.5)
+ hold on
+ plot(1:gend,oo_.SmoothedShocks.(M_.exo_names{k}),marker_string{2,1},'linewidth',1)
+ hold off
+ name = M_.exo_names{k};
+ if ~isempty(options_.XTick)
+ set(gca,'XTick',options_.XTick)
+ set(gca,'XTickLabel',options_.XTickLabel)
+ end
+ if gend>1
+ xlim([1 gend])
+ end
+ if options_.TeX
+ title(['$' M_.exo_names_tex{k} '$'],'Interpreter','latex')
+ else
+ title(name,'Interpreter','none')
+ end
+ end
+ dyn_saveas(fh,[M_.dname, '/graphs/' M_.fname '_SmoothedShocks' int2str(plt)],options_.nodisplay,options_.graph_format);
+ if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fprintf(fidTeX,'\\begin{figure}[H]\n');
+ fprintf(fidTeX,'\\centering \n');
+ fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_SmoothedShocks%s}\n',options_.figures.textwidth*min(i/nc,1),[M_.dname, '/graphs/' M_.fname],int2str(plt));
+ fprintf(fidTeX,'\\caption{Smoothed shocks.}');
+ fprintf(fidTeX,'\\label{Fig:SmoothedShocks:%s}\n',int2str(plt));
+ fprintf(fidTeX,'\\end{figure}\n');
+ fprintf(fidTeX,'\n');
+ end
+ end
+ if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fprintf(fidTeX,'\n');
+ fprintf(fidTeX,'%% End of TeX file.\n');
+ fclose(fidTeX);
+ end
+end
+if estim_params_.nvn
+ number_of_plots_to_draw = 0;
+ index = [];
+ for obs_iter=1:n_varobs
+ if max(abs(oo_.SmoothedMeasurementErrors.(options_.varobs{obs_iter}))) > options_.ME_plot_tol
+ number_of_plots_to_draw = number_of_plots_to_draw + 1;
+ index = cat(1,index,obs_iter);
+ end
+ end
+ if ~options_.nograph
+ [nbplt,nr,nc,~,~,nstar] = pltorg(number_of_plots_to_draw);
+ if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fidTeX = fopen([M_.dname, '/graphs/' M_.fname '_SmoothedObservationErrors.tex'],'w');
+ fprintf(fidTeX,'%% TeX eps-loader file generated by dynare_estimation_1.m (Dynare).\n');
+ fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
+ fprintf(fidTeX,' \n');
+ end
+ for plt = 1:nbplt
+ fh = dyn_figure(options_.nodisplay,'Name','Smoothed observation errors');
+ nstar0=min(nstar,number_of_plots_to_draw-(plt-1)*nstar);
+ if gend==1
+ marker_string{1,1}='-ro';
+ marker_string{2,1}='-ko';
+ else
+ marker_string{1,1}='-r';
+ marker_string{2,1}='-k';
+ end
+ for i=1:nstar0
+ k = (plt-1)*nstar+i;
+ subplot(nr,nc,i);
+ name = options_.varobs{index(k)};
+ plot([1 gend],[0 0],marker_string{1,1},'linewidth',.5)
+ hold on
+ plot(1:gend,oo_.SmoothedMeasurementErrors.(name),marker_string{2,1},'linewidth',1)
+ hold off
+ if gend>1
+ xlim([1 gend])
+ end
+ if ~isempty(options_.XTick)
+ set(gca,'XTick',options_.XTick)
+ set(gca,'XTickLabel',options_.XTickLabel)
+ end
+ if options_.TeX
+ idx = strmatch(options_.varobs{index(k)}, M_.endo_names, 'exact');
+ title(['$' M_.endo_names_tex{idx} '$'],'Interpreter','latex')
+ else
+ title(name,'Interpreter','none')
+ end
+ end
+ dyn_saveas(fh,[M_.dname, '/graphs/' M_.fname '_SmoothedObservationErrors' int2str(plt)],options_.nodisplay,options_.graph_format);
+ if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fprintf(fidTeX,'\\begin{figure}[H]\n');
+ fprintf(fidTeX,'\\centering \n');
+ fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_SmoothedObservationErrors%s}\n',options_.figures.textwidth*min(i/nc,1),[M_.dname, '/graphs/' M_.fname],int2str(plt));
+ fprintf(fidTeX,'\\caption{Smoothed observation errors.}');
+ fprintf(fidTeX,'\\label{Fig:SmoothedObservationErrors:%s}\n',int2str(plt));
+ fprintf(fidTeX,'\\end{figure}\n');
+ fprintf(fidTeX,'\n');
+ end
+ end
+ if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fprintf(fidTeX,'\n');
+ fprintf(fidTeX,'%% End of TeX file.\n');
+ fclose(fidTeX);
+ end
+ end
+end
+%%
+%% Historical and smoothed variabes
+%%
+if ~options_.nograph
+ [nbplt,nr,nc,~,~,nstar] = pltorg(n_varobs);
+ if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fidTeX = fopen([M_.dname, '/graphs/' M_.fname '_HistoricalAndSmoothedVariables.tex'],'w');
+ fprintf(fidTeX,'%% TeX eps-loader file generated by dynare_estimation_1.m (Dynare).\n');
+ fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
+ fprintf(fidTeX,' \n');
+ end
+ for plt = 1:nbplt
+ fh = dyn_figure(options_.nodisplay,'Name','Historical and smoothed variables');
+ nstar0=min(nstar,n_varobs-(plt-1)*nstar);
+ if gend==1
+ marker_string{1,1}='-ro';
+ marker_string{2,1}='--ko';
+ else
+ marker_string{1,1}='-r';
+ marker_string{2,1}='--k';
+ end
+ for i=1:nstar0
+ k = (plt-1)*nstar+i;
+ subplot(nr,nc,i);
+ name = options_.varobs{k};
+ plot(1:gend,yf(k,:),marker_string{1,1},'linewidth',1)
+ hold on
+ plot(1:gend,dataset_info.rawdata(:,k),marker_string{2,1},'linewidth',1)
+ hold off
+ if ~isempty(options_.XTick)
+ set(gca,'XTick',options_.XTick)
+ set(gca,'XTickLabel',options_.XTickLabel)
+ end
+ if gend>1
+ xlim([1 gend])
+ end
+ if options_.TeX
+ idx = strmatch(options_.varobs{k}, M_.endo_names,'exact');
+ title(['$' M_.endo_names_tex{idx} '$'],'Interpreter','latex')
+ else
+ title(name,'Interpreter','none')
+ end
+ end
+ dyn_saveas(fh,[M_.dname, '/graphs/' M_.fname '_HistoricalAndSmoothedVariables' int2str(plt)],options_.nodisplay,options_.graph_format);
+ if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fprintf(fidTeX,'\\begin{figure}[H]\n');
+ fprintf(fidTeX,'\\centering \n');
+ fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_HistoricalAndSmoothedVariables%s}\n',options_.figures.textwidth*min(i/nc,1),[M_.dname, '/graphs/' M_.fname],int2str(plt));
+ fprintf(fidTeX,'\\caption{Historical and smoothed variables.}');
+ fprintf(fidTeX,'\\label{Fig:HistoricalAndSmoothedVariables:%s}\n',int2str(plt));
+ fprintf(fidTeX,'\\end{figure}\n');
+ fprintf(fidTeX,'\n');
+ end
+ end
+ if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
+ fprintf(fidTeX,'\n');
+ fprintf(fidTeX,'%% End of TeX file.\n');
+ fclose(fidTeX);
+ end
+end
diff --git a/matlab/kalman/save_display_classical_smoother_results.m b/matlab/kalman/save_display_classical_smoother_results.m
index e1e5f87cacaa298770710d1cf04289056592b7cd..46d42c99694af366a4b6df4cc0602eba134ec0ba 100644
--- a/matlab/kalman/save_display_classical_smoother_results.m
+++ b/matlab/kalman/save_display_classical_smoother_results.m
@@ -30,10 +30,6 @@ function oo_=save_display_classical_smoother_results(xparam1,M_,oo_,options_,bay
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
-
-gend= dataset_.nobs;
-% Set the number of observed variables.
-n_varobs = length(options_.varobs);
smoother_error=false;
if options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter
[~, info, ~, ~, ~, ~, ~, ~, ~, ~, oo_.dr, atT, innov, oo_.occbin.smoother.regime_history] = occbin.IVF_posterior(xparam1,dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,prior_bounds(bayestopt_,options_.prior_trunc),oo_.dr, oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state);
@@ -66,190 +62,5 @@ else
end
end
if ~smoother_error
- if ~options_.nograph
- [nbplt,nr,nc,~,~,nstar] = pltorg(M_.exo_nbr);
- if ~exist([M_.dname '/graphs'],'dir')
- mkdir(M_.dname,'graphs');
- end
- if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
- fidTeX = fopen([M_.dname, '/graphs/' M_.fname '_SmoothedShocks.tex'],'w');
- fprintf(fidTeX,'%% TeX eps-loader file generated by dynare_estimation_1.m (Dynare).\n');
- fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
- fprintf(fidTeX,' \n');
- end
- for plt = 1:nbplt
- fh = dyn_figure(options_.nodisplay,'Name','Smoothed shocks');
- nstar0=min(nstar,M_.exo_nbr-(plt-1)*nstar);
- if gend==1
- marker_string{1,1}='-ro';
- marker_string{2,1}='-ko';
- else
- marker_string{1,1}='-r';
- marker_string{2,1}='-k';
- end
- for i=1:nstar0
- k = (plt-1)*nstar+i;
- subplot(nr,nc,i);
- plot([1 gend],[0 0],marker_string{1,1},'linewidth',.5)
- hold on
- plot(1:gend,innov(k,:),marker_string{2,1},'linewidth',1)
- hold off
- name = M_.exo_names{k};
- if ~isempty(options_.XTick)
- set(gca,'XTick',options_.XTick)
- set(gca,'XTickLabel',options_.XTickLabel)
- end
- if gend>1
- xlim([1 gend])
- end
- if options_.TeX
- title(['$' M_.exo_names_tex{k} '$'],'Interpreter','latex')
- else
- title(name,'Interpreter','none')
- end
- end
- dyn_saveas(fh,[M_.dname, '/graphs/' M_.fname '_SmoothedShocks' int2str(plt)],options_.nodisplay,options_.graph_format);
- if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
- fprintf(fidTeX,'\\begin{figure}[H]\n');
- fprintf(fidTeX,'\\centering \n');
- fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_SmoothedShocks%s}\n',options_.figures.textwidth*min(i/nc,1),[M_.dname, '/graphs/' M_.fname],int2str(plt));
- fprintf(fidTeX,'\\caption{Smoothed shocks.}');
- fprintf(fidTeX,'\\label{Fig:SmoothedShocks:%s}\n',int2str(plt));
- fprintf(fidTeX,'\\end{figure}\n');
- fprintf(fidTeX,'\n');
- end
- end
- if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
- fprintf(fidTeX,'\n');
- fprintf(fidTeX,'%% End of TeX file.\n');
- fclose(fidTeX);
- end
- end
- if estim_params_.nvn
- number_of_plots_to_draw = 0;
- index = [];
- for obs_iter=1:n_varobs
- if max(abs(measurement_error(obs_iter,:))) > options_.ME_plot_tol
- number_of_plots_to_draw = number_of_plots_to_draw + 1;
- index = cat(1,index,obs_iter);
- end
- end
- if ~options_.nograph
- [nbplt,nr,nc,~,~,nstar] = pltorg(number_of_plots_to_draw);
- if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
- fidTeX = fopen([M_.dname, '/graphs/' M_.fname '_SmoothedObservationErrors.tex'],'w');
- fprintf(fidTeX,'%% TeX eps-loader file generated by dynare_estimation_1.m (Dynare).\n');
- fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
- fprintf(fidTeX,' \n');
- end
- for plt = 1:nbplt
- fh = dyn_figure(options_.nodisplay,'Name','Smoothed observation errors');
- nstar0=min(nstar,number_of_plots_to_draw-(plt-1)*nstar);
- if gend==1
- marker_string{1,1}='-ro';
- marker_string{2,1}='-ko';
- else
- marker_string{1,1}='-r';
- marker_string{2,1}='-k';
- end
- for i=1:nstar0
- k = (plt-1)*nstar+i;
- subplot(nr,nc,i);
- plot([1 gend],[0 0],marker_string{1,1},'linewidth',.5)
- hold on
- plot(1:gend,measurement_error(index(k),:),marker_string{2,1},'linewidth',1)
- hold off
- name = options_.varobs{index(k)};
- if gend>1
- xlim([1 gend])
- end
- if ~isempty(options_.XTick)
- set(gca,'XTick',options_.XTick)
- set(gca,'XTickLabel',options_.XTickLabel)
- end
- if options_.TeX
- idx = strmatch(options_.varobs{index(k)}, M_.endo_names, 'exact');
- title(['$' M_.endo_names_tex{idx} '$'],'Interpreter','latex')
- else
- title(name,'Interpreter','none')
- end
- end
- dyn_saveas(fh,[M_.dname, '/graphs/' M_.fname '_SmoothedObservationErrors' int2str(plt)],options_.nodisplay,options_.graph_format);
- if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
- fprintf(fidTeX,'\\begin{figure}[H]\n');
- fprintf(fidTeX,'\\centering \n');
- fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_SmoothedObservationErrors%s}\n',options_.figures.textwidth*min(i/nc,1),[M_.dname, '/graphs/' M_.fname],int2str(plt));
- fprintf(fidTeX,'\\caption{Smoothed observation errors.}');
- fprintf(fidTeX,'\\label{Fig:SmoothedObservationErrors:%s}\n',int2str(plt));
- fprintf(fidTeX,'\\end{figure}\n');
- fprintf(fidTeX,'\n');
- end
- end
- if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
- fprintf(fidTeX,'\n');
- fprintf(fidTeX,'%% End of TeX file.\n');
- fclose(fidTeX);
- end
- end
- end
- %%
- %% Historical and smoothed variabes
- %%
- if ~options_.nograph
- [nbplt,nr,nc,~,~,nstar] = pltorg(n_varobs);
- if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
- fidTeX = fopen([M_.dname, '/graphs/' M_.fname '_HistoricalAndSmoothedVariables.tex'],'w');
- fprintf(fidTeX,'%% TeX eps-loader file generated by dynare_estimation_1.m (Dynare).\n');
- fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
- fprintf(fidTeX,' \n');
- end
- for plt = 1:nbplt
- fh = dyn_figure(options_.nodisplay,'Name','Historical and smoothed variables');
- nstar0=min(nstar,n_varobs-(plt-1)*nstar);
- if gend==1
- marker_string{1,1}='-ro';
- marker_string{2,1}='--ko';
- else
- marker_string{1,1}='-r';
- marker_string{2,1}='--k';
- end
- for i=1:nstar0
- k = (plt-1)*nstar+i;
- subplot(nr,nc,i);
- plot(1:gend,yf(k,:),marker_string{1,1},'linewidth',1)
- hold on
- plot(1:gend,dataset_info.rawdata(:,k),marker_string{2,1},'linewidth',1)
- hold off
- name = options_.varobs{k};
- if ~isempty(options_.XTick)
- set(gca,'XTick',options_.XTick)
- set(gca,'XTickLabel',options_.XTickLabel)
- end
- if gend>1
- xlim([1 gend])
- end
- if options_.TeX
- idx = strmatch(options_.varobs{k}, M_.endo_names,'exact');
- title(['$' M_.endo_names_tex{idx} '$'],'Interpreter','latex')
- else
- title(name,'Interpreter','none')
- end
- end
- dyn_saveas(fh,[M_.dname, '/graphs/' M_.fname '_HistoricalAndSmoothedVariables' int2str(plt)],options_.nodisplay,options_.graph_format);
- if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
- fprintf(fidTeX,'\\begin{figure}[H]\n');
- fprintf(fidTeX,'\\centering \n');
- fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_HistoricalAndSmoothedVariables%s}\n',options_.figures.textwidth*min(i/nc,1),[M_.dname, '/graphs/' M_.fname],int2str(plt));
- fprintf(fidTeX,'\\caption{Historical and smoothed variables.}');
- fprintf(fidTeX,'\\label{Fig:HistoricalAndSmoothedVariables:%s}\n',int2str(plt));
- fprintf(fidTeX,'\\end{figure}\n');
- fprintf(fidTeX,'\n');
- end
- end
- if options_.TeX && any(strcmp('eps',cellstr(options_.graph_format)))
- fprintf(fidTeX,'\n');
- fprintf(fidTeX,'%% End of TeX file.\n');
- fclose(fidTeX);
- end
- end
+ plot_classical_smoother_results(M_,oo_,options_,dataset_info,dataset_,estim_params_,yf);
end
\ No newline at end of file