Merge branch 'smoother2histval' into 'master'

Improvements for smoother2histval

See merge request Dynare/dynare!1886

doc/manual/source/the-model-file.rst

@@ -4956,7 +4956,8 @@ block decomposition of the model (see :opt:`block`).
     computed on the variables listed after the ``estimation``
     command. Alternatively, one can choose to compute these quantities
     on all endogenous or on all observed variables (see
-    ``consider_all_endogenous`` and ``consider_only_observed`` options
+    ``consider_all_endogenous``, ``consider_all_endogenous_and_auxiliary``,
+    and ``consider_only_observed`` options
     below). If no variable is listed after the estimation command,
     then Dynare will interactively ask which variable set to use.
 
@@ -6756,6 +6757,14 @@ block decomposition of the model (see :opt:`block`).
        endogenous variables. This is equivalent to manually listing
        all the endogenous variables after the ``estimation`` command.
 
+    .. option:: consider_all_endogenous_and_auxiliary
+
+       Compute the posterior moments, smoothed variables, k-step ahead
+       filtered variables and forecasts (when requested) on all the
+       endogenous variables and the auxiliary variables introduced by the
+       preprocessor. This option is useful when e.g. running ``smoother2histval``
+       on the results of the Kalman smoother.
+
     .. option:: consider_only_observed
 
        Compute the posterior moments, smoothed variables, k-step ahead

matlab/check_list_of_variables.m

@@ -59,10 +59,12 @@ if options_.dsge_var && options_.bayesian_irf
 end
 
 if ~isempty(varlist) && ~isempty(options_.endo_vars_for_moment_computations_in_estimation)
-    error('You cannot use the consider_all_endogenous or consider_all_observed options when listing variables after the estimation command')
+    error('You cannot use the consider_all_endogenous, consider_all_endogenous_and_auxiliary or consider_all_observed options when listing variables after the estimation command')
 elseif isempty(varlist) && ~isempty(options_.endo_vars_for_moment_computations_in_estimation)
     if strcmp(options_.endo_vars_for_moment_computations_in_estimation,'all_endogenous_variables')
         varlist = M_.endo_names(1:M_.orig_endo_nbr);
+    elseif strcmp(options_.endo_vars_for_moment_computations_in_estimation,'all_endogenous_and_auxiliary_variables')
+        varlist = M_.endo_names;
     elseif strcmp(options_.endo_vars_for_moment_computations_in_estimation,'only_observed_variables')
         varlist = options_.varobs;
     else
@@ -119,6 +121,7 @@ elseif isempty(varlist) && isempty(options_.endo_vars_for_moment_computations_in
                 disp(' [1] Consider all the endogenous variables.')
                 disp(' [2] Consider all the observed endogenous variables.')
                 disp(' [3] Stop Dynare and change the mod file.')
+                disp(' [4] Consider all the endogenous and auxiliary variables.')
                 skipline()
                 choice = input('options [default is 1] =  ');
                 if isempty(choice)
@@ -130,9 +133,11 @@ elseif isempty(varlist) && isempty(options_.endo_vars_for_moment_computations_in
                     varlist = options_.varobs;
                 elseif choice==3
                     varlist = cell(0);
+                elseif choice==4
+                    varlist = M_.endo_names;
                 else
                     skipline()
-                    disp('YOU HAVE TO ANSWER 1, 2 or 3!')
+                    disp('YOU HAVE TO ANSWER 1, 2, 3 or 4!')
                     skipline()
                 end
             end

matlab/smoother2histval.m

@@ -78,6 +78,11 @@ end
 
 if post_metropolis
     tmp = fieldnames(smoothedvars.Mean);
+    if length(tmp)~=M_.endo_nbr
+        warning(['You are using smoother2histval although smoothed values have not'...
+            'been computed for all endogenous and auxiliary variables.'...
+            'The value of these variables will be set to 0.'])
+    end
     tmpexo = fieldnames(smoothedshocks.Mean);
 else
     tmp = fieldnames(smoothedvars);

preprocessor @ 5da01faa

-Subproject commit e1f7d8c73556398a774ab55c8dc578c79ebb6c3b
+Subproject commit 5da01faa743f8ca27055bc8389c54ec4ba9f5c41

tests/smoother2histval/fs2000_smooth.mod

@@ -82,6 +82,6 @@ varobs gp_obs gy_obs;
 
 options_.solve_tolf = 1e-12;
 
-estimation(order=1,datafile=fsdat_simul,mh_replic=1500,mh_nblocks=1,mh_jscale=0.8,smoother,consider_all_endogenous);
+estimation(order=1,datafile=fsdat_simul,mh_replic=1500,mh_nblocks=1,mh_jscale=0.8,smoother,consider_all_endogenous_and_auxiliary);
 
 smoother2histval(period = 5, outfile = 'fs2000_histval.mat');