From 867b4acaec1597b47020d6f605d60e37a8013ff8 Mon Sep 17 00:00:00 2001
From: Marco Ratto <marco.ratto@ec.europa.eu>
Date: Thu, 22 Feb 2024 12:26:40 +0100
Subject: [PATCH] retrieve regimes found by inversion filter
---
matlab/+occbin/IVF_core.m | 5 +++--
matlab/+occbin/IVF_posterior.m | 4 ++--
matlab/estimation/dynare_estimation_1.m | 2 +-
matlab/kalman/save_display_classical_smoother_results.m | 2 +-
4 files changed, 7 insertions(+), 6 deletions(-)
diff --git a/matlab/+occbin/IVF_core.m b/matlab/+occbin/IVF_core.m
index 30666cd32..a4c26fd0a 100644
--- a/matlab/+occbin/IVF_core.m
+++ b/matlab/+occbin/IVF_core.m
@@ -1,4 +1,4 @@
-function [filtered_errs, resids, Emat, stateval, error_code] = IVF_core(M_,dr, endo_steady_state, exo_steady_state, exo_det_steady_state,options_,err_index,filtered_errs_init,my_obs_list,obs,init_val)
+function [filtered_errs, resids, Emat, stateval, error_code, regime_history] = IVF_core(M_,dr, endo_steady_state, exo_steady_state, exo_det_steady_state,options_,err_index,filtered_errs_init,my_obs_list,obs,init_val)
% [filtered_errs, resids, Emat, stateval, error_code] = IVF_core(M_,dr, endo_steady_state, exo_steady_state, exo_det_steady_state,options_,err_index,filtered_errs_init,my_obs_list,obs,init_val)
% Calls the solver to get the shocks explaining the data for the inversion filter
%
@@ -99,9 +99,10 @@ for this_period=1:sample_length
opts_simul.SHOCKS = err_vals_out;
- [ resids(this_period,inan), ~, stateval(this_period,:), Emat(:,inan,this_period), M_] = occbin.match_function(...
+ [ resids(this_period,inan), ~, stateval(this_period,:), Emat(:,inan,this_period), M_, out] = occbin.match_function(...
err_vals_out,obs_list,current_obs,opts_simul, M_,dr, endo_steady_state, exo_steady_state, exo_det_steady_state,options_);
init_val = stateval(this_period,:); %update
+ regime_history(this_period) = out.regime_history(1);
if max(abs(err_vals_out))>1e8
error_code(1) = 306;
error_code(4) = max(abs(err_vals_out))/1000;
diff --git a/matlab/+occbin/IVF_posterior.m b/matlab/+occbin/IVF_posterior.m
index 69c6c110d..77329eb24 100644
--- a/matlab/+occbin/IVF_posterior.m
+++ b/matlab/+occbin/IVF_posterior.m
@@ -1,4 +1,4 @@
-function [fval,info,exit_flag,DLIK,Hess,SteadyState,trend_coeff,M_,options_,bayestopt_,dr, atT, innov] = IVF_posterior(xparam1,...
+function [fval,info,exit_flag,DLIK,Hess,SteadyState,trend_coeff,M_,options_,bayestopt_,dr, atT, innov, regime_history] = IVF_posterior(xparam1,...
dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,BoundsInfo,dr, endo_steady_state, exo_steady_state, exo_det_steady_state)
% [fval,info,exit_flag,DLIK,Hess,SteadyState,trend_coeff,M_,options_,bayestopt_,dr, atT, innov] = IVF_posterior(xparam1,...
% dataset_,dataset_info,options_,M_,estim_params_,bayestopt_,BoundsInfo,dr, endo_steady_state, exo_steady_state, exo_det_steady_state)
@@ -107,7 +107,7 @@ end
sample_length = size(obs,1);
filtered_errs_init = zeros(sample_length,sum(err_index));
-[filtered_errs, resids, Emat, stateval, info] = occbin.IVF_core(M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,options_,err_index,filtered_errs_init,obs_list,obs);
+[filtered_errs, resids, Emat, stateval, info, regime_history] = occbin.IVF_core(M_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state,options_,err_index,filtered_errs_init,obs_list,obs);
if info(1)
fval = Inf;
exit_flag = 0;
diff --git a/matlab/estimation/dynare_estimation_1.m b/matlab/estimation/dynare_estimation_1.m
index 52a51a4cf..a1a010392 100644
--- a/matlab/estimation/dynare_estimation_1.m
+++ b/matlab/estimation/dynare_estimation_1.m
@@ -189,7 +189,7 @@ if isequal(options_.mode_compute,0) && isempty(options_.mode_file) && ~options_.
if options_.order==1 && ~options_.particle.status
if options_.smoother
if options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter
- [~, info, ~, ~, ~, ~, ~, ~, ~, ~, oo_.dr, atT, innov] = 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);
+ [~, 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);
if ismember(info(1),[303,304,306])
fprintf('\nIVF: smoother did not succeed. No results will be written to oo_.\n')
else
diff --git a/matlab/kalman/save_display_classical_smoother_results.m b/matlab/kalman/save_display_classical_smoother_results.m
index 48dcad0b5..f7f2f981e 100644
--- a/matlab/kalman/save_display_classical_smoother_results.m
+++ b/matlab/kalman/save_display_classical_smoother_results.m
@@ -36,7 +36,7 @@ gend= dataset_.nobs;
n_varobs = length(options_.varobs);
if options_.occbin.smoother.status && options_.occbin.smoother.inversion_filter
- [~, info, ~, ~, ~, ~, ~, ~, ~, ~, oo_.dr, atT, innov] = 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);
+ [~, 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);
if ismember(info(1),[303,304,306])
fprintf('\nIVF: smoother did not succeed. No results will be written to oo_.\n')
else
--
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