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dyn_forecast.m
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Dynare / dynare
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Johannes Pfeifer authored
dyn_forecast.m 8.30 KiB
function forecast = dyn_forecast(var_list,M_,options_,oo_,task,dataset_info)
% function forecast = dyn_forecast(var_list,M_,options_,oo_,task,dataset_info)
% computes mean forecast for a given value of the parameters
% computes also confidence bands for the forecast
%
% INPUTS
% var_list: list of variables (character matrix)
% M_: Dynare model structure
% options_: Dynare options structure
% oo_: Dynare results structure
% task: indicates how to initialize the forecast
% either 'simul' or 'smoother'
% dataset_info: Various informations about the dataset (descriptive statistics and missing observations).
%
% OUTPUTS
% forecast: structure containing fields
% Mean: point estimate
% HPDinf: lower bound of confidence band, ignoring
% measurement error
% HPDsup: upper bound of confidence band, ignoring
% measurement error
% HPDinf_ME: lower bound of confidence band, accounting
% for measurement error
% HPDsup_ME: upper bound of confidence band, accounting
% for measurement error
% Exogenous: path for var_exo_det
% SPECIAL REQUIREMENTS
% none
% Copyright © 2003-2023 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/>.
if ~isfield(oo_,'dr') || isempty(oo_.dr)
error('dyn_forecast: the decision rules have not been computed. Did you forget a stoch_simul-command?')
end
if nargin<6 && options_.prefilter
error('The prefiltering option is not allowed without providing a dataset')
elseif nargin==6
mean_varobs=dataset_info.descriptive.mean';
end
if options_.order>1 && M_.exo_det_nbr == 0
error('forecasting without varexo_det does not support order>1.')
end
if options_.order>2 && M_.exo_det_nbr > 0
error('forecasting with varexo_det does not support order>2.')
end
if options_.order==2 && options_.pruning
error('forecasting with varexo_det does not support pruning.')
end
oo_=make_ex_(M_,options_,oo_);
maximum_lag = M_.maximum_lag;
endo_names = M_.endo_names;
if isempty(var_list)
var_list = endo_names(1:M_.orig_endo_nbr);
end
i_var = [];
for i = 1:length(var_list)
tmp = strmatch(var_list{i}, endo_names, 'exact');
if isempty(tmp)
error([var_list{i} ' isn''t an endogenous variable'])
end
i_var = [i_var; tmp];
end
n_var = length(i_var);
trend = 0;
switch task
case 'simul'
horizon = options_.periods;
if horizon == 0
horizon = 5;
end
if isempty(M_.endo_histval)
if options_.loglinear && ~options_.logged_steady_state
y0 = repmat(log(oo_.dr.ys),1,maximum_lag);
else
y0 = repmat(oo_.dr.ys,1,maximum_lag);
end
else
if options_.loglinear
y0 = log_variable(1:M_.endo_nbr,M_.endo_histval,M_);
else
y0 = M_.endo_histval;
end
end
case 'smoother'
horizon = options_.forecast;
if isnan(options_.first_obs)
first_obs=1;
else
first_obs=options_.first_obs;
end
if isfield(oo_.SmoothedVariables,'Mean')
y_smoothed = oo_.SmoothedVariables.Mean;
else
y_smoothed = oo_.SmoothedVariables;
end
y0 = zeros(M_.endo_nbr,maximum_lag);
for i = 1:M_.endo_nbr
v_name = M_.endo_names{i};
y0(i,:) = y_smoothed.(v_name)(end-maximum_lag+1:end); %includes steady state or mean, but simult_ will subtract only steady state
% 2. Subtract mean/steady state and add steady state; takes care of prefiltering
if isfield(oo_.Smoother,'Constant') && isfield(oo_.Smoother.Constant,v_name)
y0(i,:)=y0(i,:)-oo_.Smoother.Constant.(v_name)(end-maximum_lag+1:end); %subtract mean or steady state
if options_.loglinear
y0(i,:)=y0(i,:)+log_variable(i,oo_.dr.ys,M_);
else
y0(i,:)=y0(i,:)+oo_.dr.ys(strmatch(v_name, M_.endo_names, 'exact'));
end
end
% 2. Subtract trend
if isfield(oo_.Smoother,'Trend') && isfield(oo_.Smoother.Trend,v_name)
y0(i,:)=y0(i,:)-oo_.Smoother.Trend.(v_name)(end-maximum_lag+1:end); %subtract trend, which is not subtracted by simult_
end
end
gend = options_.nobs;
if isfield(oo_.Smoother,'TrendCoeffs')
var_obs = options_.varobs;
endo_names = M_.endo_names;
i_var_obs = []; trend_coeffs = [];
for i=1:length(var_obs)
tmp = strmatch(var_obs{i}, endo_names(i_var), 'exact');
trend_var_index = strmatch(var_obs{i}, M_.endo_names, 'exact');
if ~isempty(tmp)
i_var_obs = [ i_var_obs; tmp];
trend_coeffs = [trend_coeffs; oo_.Smoother.TrendCoeffs(trend_var_index)];
end
end
if ~isempty(trend_coeffs)
trend = trend_coeffs*(first_obs+gend-1+(1-M_.maximum_lag:horizon));
if options_.prefilter
trend = trend - repmat(mean(trend_coeffs*[first_obs:first_obs+gend-1],2),1,horizon+1); %subtract mean trend
end
end
else
trend_coeffs=zeros(length(options_.varobs),1);
end
otherwise
error('Wrong flag value')
end
if M_.exo_det_nbr == 0
if isequal(M_.H,0)
[yf,int_width] = forcst(oo_.dr,y0,horizon,var_list,M_,options_);
else
[yf,int_width,int_width_ME] = forcst(oo_.dr,y0,horizon,var_list,M_,options_);
end
else
exo_det_length = size(oo_.exo_det_simul,1)-M_.maximum_lag;
if horizon > exo_det_length
ex = zeros(horizon,M_.exo_nbr);
oo_.exo_det_simul = [ oo_.exo_det_simul;...
repmat(oo_.exo_det_steady_state',...
horizon- ...
exo_det_length,1)];
elseif horizon <= exo_det_length
ex = zeros(exo_det_length,M_.exo_nbr);
end
if options_.linear
iorder = 1;
else
iorder = options_.order;
end
if isequal(M_.H,0)
[yf,int_width] = simultxdet(y0,ex,oo_.exo_det_simul,...
iorder,var_list,M_,oo_,options_);
else
[yf,int_width,int_width_ME] = simultxdet(y0,ex,oo_.exo_det_simul,...
iorder,var_list,M_,oo_,options_);
end
end
if ~isscalar(trend) %add trend back to forecast
yf(i_var_obs,:) = yf(i_var_obs,:) + trend;
end
if options_.loglinear
if options_.prefilter == 1 %subtract steady state and add mean for observables
yf(i_var_obs,:)=yf(i_var_obs,:)-repmat(log(oo_.dr.ys(i_var_obs)),1,horizon+M_.maximum_lag)+ repmat(mean_varobs,1,horizon+M_.maximum_lag);
end
else
if options_.prefilter == 1 %subtract steady state and add mean for observables
yf(i_var_obs,:)=yf(i_var_obs,:)-repmat(oo_.dr.ys(i_var_obs),1,horizon+M_.maximum_lag)+ repmat(mean_varobs,1,horizon+M_.maximum_lag);
end
end
for i=1:n_var
vname = var_list{i};
forecast.Mean.(vname) = yf(i,maximum_lag+(1:horizon))'; forecast.HPDinf.(vname)= yf(i,maximum_lag+(1:horizon))' - int_width(1:horizon,i);
forecast.HPDsup.(vname) = yf(i,maximum_lag+(1:horizon))' + int_width(1:horizon,i);
if ~isequal(M_.H,0) && ismember(var_list{i},options_.varobs)
forecast.HPDinf_ME.(vname)= yf(i,maximum_lag+(1:horizon))' - int_width_ME(1:horizon,i);
forecast.HPDsup_ME.(vname) = yf(i,maximum_lag+(1:horizon))' + int_width_ME(1:horizon,i);
end
end
for i=1:M_.exo_det_nbr
forecast.Exogenous.(M_.exo_det_names{i}) = oo_.exo_det_simul(maximum_lag+(1:horizon),i);
end
if ~options_.nograph
oo_.forecast = forecast;
forecast_graphs(var_list, M_, oo_, options_)
end