Skip to content
Snippets Groups Projects
Select Git revision
  • db3a6bc3015422047695d59a65bcb005ee6bda79
  • master default protected
  • pac_composite_target_mce
  • ramsey_k_order
  • 4.6
  • occbin
  • uop
  • rework_pac
  • aux_vars_fix
  • created_preprocessor_repo
10 results

CommonEnums.hh

Blame
  • Forked from Dynare / preprocessor
    Source project has a limited visibility.
    dynare_estimation.m 8.58 KiB
    function oo_recursive_=dynare_estimation(var_list,dname)
    % function dynare_estimation(var_list, dname)
    % runs the estimation of the model
    %
    % INPUTS
    %   var_list:  selected endogenous variables vector
    %   dname:     alternative directory name
    %
    % OUTPUTS
    %   oo_recursive_: cell array containing the results structures from recursive estimation
    %
    % SPECIAL REQUIREMENTS
    %   none
    
    % Copyright (C) 2003-2021 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/>.
    
    global options_ oo_ M_ dataset_ dataset_info
    
    oo_recursive_={};
    mode_file0 = options_.mode_file; % store mode_file set by the user
                                     % Test if the order of approximation is nonzero (the preprocessor tests if order is non negative).
    if isequal(options_.order,0)
        error('Estimation:: The order of the Taylor approximation cannot be 0!')
    end
    
    % Decide if a DSGE or DSGE-VAR has to be estimated.
    if ~isempty(strmatch('dsge_prior_weight',M_.param_names))
        options_.dsge_var = 1;
    end
    
    % The TeX option crashes MATLAB R2014a run with "-nodisplay" option
    % (as is done from the testsuite).
    % Since we can’t directly test whether "-nodisplay" has been passed,
    % we test for the "TOP_TEST_DIR" environment variable, which is set
    % by the testsuite.
    % Note that it was not tested whether the crash happens with more
    % recent MATLAB versions, so when OLD_MATLAB_VERSION is increased,
    % one should make a test before removing this workaround.
    if options_.TeX && ~isoctave && matlab_ver_less_than('8.4') && ~isempty(getenv('TOP_TEST_DIR'))
        warning('Disabling TeX option due to a bug in MATLAB R2014a with -nodisplay')
        options_.TeX = false;
    end
    
    var_list = check_list_of_variables(options_, M_, var_list);
    options_.varlist = var_list;
    
    nobs = sort(options_.nobs);
    first_obs = sort(options_.first_obs);
    
    nnobs = length(nobs);
    nfirstobs = length(first_obs);
    
    if nnobs~=1 && nfirstobs~=1
        error('You cannot simultaneously do rolling window and recursive estimation')
    end
    
    horizon = options_.forecast;
    
    if nargin<2 || ~exist('dname','var') || isempty(dname)
        dname = options_.dirname;
    end
    
    M_.dname = dname;
    
    if (isnumeric(options_.mode_compute) && options_.mode_compute && options_.analytic_derivation) ... %no user supplied function
            || (~isnumeric(options_.mode_compute) && options_.analytic_derivation) % user supplied function
        analytic_derivation0=options_.analytic_derivation;
        options_.analytic_derivation=1;
    end
    
    if options_.logged_steady_state
        oo_.dr.ys=exp(oo_.dr.ys);
        oo_.steady_state=exp(oo_.steady_state);
        options_.logged_steady_state=0;
    end
    
    
    if nnobs>1 || nfirstobs > 1
        for i=1:max(nnobs,nfirstobs)
            if nnobs>1
                options_.nobs = nobs(i);
                M_.dname = [dname '_' int2str(nobs(i))];
            elseif nfirstobs>1
                options_.first_obs=first_obs(i);
                M_.dname = [dname '_' int2str(first_obs(i))];
            end
            dynare_estimation_1(var_list,M_.dname);
            if isequal(i,1) && options_.mode_compute ~= 0
                options_.mode_file = [M_.dname filesep 'Output' filesep M_.fname '_mode'];
            end
            if options_.recursive_estimation_restart
                for j=1:options_.recursive_estimation_restart
                    dynare_estimation_1(var_list,M_.dname);
                end
            end
            if nnobs>1
                oo_recursive_{nobs(i)} = oo_;
            elseif nfirstobs>1
                oo_recursive_{first_obs(i)} = oo_;
            end
        end
    else
        dynare_estimation_1(var_list,dname);
    end
    
    if isnumeric(options_.mode_compute) && options_.mode_compute && options_.analytic_derivation
        options_.analytic_derivation=analytic_derivation0;
    end
    
    if nnobs > 1 && horizon > 0
        mh_replic = options_.mh_replic;
    
        endo_names = M_.endo_names;
        n_varobs = length(options_.varobs);
    
        if isempty(var_list)
            var_list = endo_names;
            nvar = length(endo_names);
            SelecVariables = transpose(1:nvar);
        else
            nvar = length(var_list);
            SelecVariables = [];
            for i=1:nvar
                if ~isempty(strmatch(var_list{i}, endo_names, 'exact'))
                    SelecVariables = [SelecVariables; strmatch(var_list{i}, endo_names, 'exact')];
                else
                    error(['Estimation:: ' var_list{i} ' isn''t an endogenous variable'])
                end
            end
        end
    
        IdObs    = zeros(n_varobs,1);
        for j=1:n_varobs
            iobs = strmatch(options_.varobs{j},var_list,'exact');
            if ~isempty(iobs)
                IdObs(j,1) = iobs;
            end
        end
    
        gend = dataset_.nobs;
        time_offset=min(3,gend-1); %for observables, plot 3 previous periods unless data is shorter
        k = time_offset+min(nobs(end)-nobs(1)+horizon, ...
                            size(dataset_.data,1)-nobs(1));
        data2 = dataset_info.rawdata(end-k+1:end,:);
        [~,nr,nc,~,~,nstar] = pltorg(nvar);
        m = 1;
        plot_index=0;
        OutputDirectoryName = CheckPath('graphs',M_.dname);
        for i = 1:length(var_list)
            if mod(i,nstar) == 1
                plot_index=plot_index+1;
                hfig = dyn_figure(options_.nodisplay,'Name',['Out of sample forecasts (',num2str(plot_index),')']);
                m = 1;
            end
            subplot(nr,nc,m)
            hold on
            if any(i==IdObs)
                k2 = find(i==IdObs);
                offsetx = 3;
                plot(nobs(1)-offsetx+1:nobs(1)-offsetx+k,data2(end-k+1:end,k2)','-k','linewidth',2);
            else
                offsetx = 0;
            end
            vname = var_list{i};
            for j=1:nnobs
                if mh_replic > 0
                    oo_.RecursiveForecast.Mean.(vname)(j,:) = ...
                        oo_recursive_{nobs(j)}.MeanForecast.Mean.(vname);
                    oo_.RecursiveForecast.HPDinf.(vname)(j,:) = ...
                        oo_recursive_{nobs(j)}.MeanForecast.HPDinf.(vname);
                    oo_.RecursiveForecast.HPDsup.(vname)(j,:) = ...
                        oo_recursive_{nobs(j)}.MeanForecast.HPDsup.(vname);
                    oo_.RecursiveForecast.HPDTotalinf.(vname)(j,:) = ...
                        oo_recursive_{nobs(j)}.PointForecast.HPDinf.(vname);
                    oo_.RecursiveForecast.HPDTotalsup.(vname)(j,:) = ...
                        oo_recursive_{nobs(j)}.PointForecast.HPDsup.(vname);
                else
                    oo_.RecursiveForecast.Mean.(vname)(j,:) =...
                        oo_recursive_{nobs(j)}.forecast.Mean.(vname);
                    oo_.RecursiveForecast.HPDinf.(vname)(j,:) =...
                        oo_recursive_{nobs(j)}.forecast.HPDinf.(vname);
                    oo_.RecursiveForecast.HPDsup.(vname)(j,:) =...
                        oo_recursive_{nobs(j)}.forecast.HPDsup.(vname);
                end
                x = nobs(1)+nobs(j)-nobs(1)+(1:horizon);
    
                y = oo_.RecursiveForecast.Mean.(vname)(j,:);
                y1 = oo_.RecursiveForecast.HPDinf.(vname)(j,:);
                y2 = oo_.RecursiveForecast.HPDsup.(vname)(j,:);
                plot(x,y,'-b','linewidth',2)
                plot(x,y1,'--g', ...
                     'linewidth',1.5)
                plot(x,y2,'--g', ...
                     'linewidth',1.5)
                if mh_replic
                    y3 = oo_.RecursiveForecast.HPDTotalinf.(vname)(j,:);
                    y4 = oo_.RecursiveForecast.HPDTotalsup.(vname)(j,:);
                    plot(x,y3,'--r', ...
                         'linewidth',1.5)
                    plot(x,y4,'--r','linewidth',1.5)
                end
            end
            box on
            title(vname,'Interpreter','none')
            hold off
            xlim([nobs(1)-offsetx nobs(end)+horizon])
            m = m + 1;
            if mod(i+1,nstar) == 1 || i==length(var_list)
                dyn_saveas(hfig,[M_.dname,filesep,'graphs',filesep M_.fname '_RecursiveForecasts_' int2str(plot_index)],options_.nodisplay,options_.graph_format);
            end
        end
    end
    options_.mode_file = mode_file0;
    %reset stored mode-file to user defined one (and in case it was only set by the recursive estimation)
    oo_.gui.ran_estimation = true;
    
    if isoctave && isfield(options_, 'prior_restrictions') && ...
       isfield(options_.prior_restrictions, 'routine')
        % Octave crashes if it tries to save function handles (to the _results.mat file)
        % See https://savannah.gnu.org/bugs/?43215
        options_.prior_restrictions.routine = [];
    end