Merge branch 'forecast' into 'master'

 forecast and smoothing: disallow unsupported options

See merge request !2317

matlab/dyn_forecast.m

@@ -54,6 +54,16 @@ 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;
@@ -152,9 +162,9 @@ end
 
 if M_.exo_det_nbr == 0
     if isequal(M_.H,0)
-        [yf,int_width] = forcst(oo_.dr,y0,horizon,var_list,M_,oo_,options_);
+        [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_,oo_,options_);
+        [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;

matlab/estimation/dynare_estimation_1.m

@@ -12,7 +12,7 @@ function dynare_estimation_1(var_list_,dname)
 % SPECIAL REQUIREMENTS
 %   none
 
-% Copyright © 2003-2023 Dynare Team
+% Copyright © 2003-2024 Dynare Team
 %
 % This file is part of Dynare.
 %
@@ -582,12 +582,25 @@ if options_.particle.status
 end
 
 %Run and store classical smoother if needed
-if (~((any(bayestopt_.pshape > 0) && options_.mh_replic) || (any(bayestopt_.pshape> 0) && options_.load_mh_file)) ...
-    || ~options_.smoother ) && ~options_.partial_information  % to be fixed
+if options_.smoother && ... %Bayesian smoother requested before
+    (any(bayestopt_.pshape > 0) && options_.mh_replic || ... % Bayesian with MCMC run
+    any(bayestopt_.pshape > 0) && options_.load_mh_file) % Bayesian with loaded MCMC
+    % nothing to do
+elseif options_.partial_information ||...
+    options_.order>1 %no particle smoother
+    % smoothing not yet supported
+else
     %% ML estimation, or posterior mode without Metropolis-Hastings or Metropolis without Bayesian smoothed variables
     oo_=save_display_classical_smoother_results(xparam1,M_,oo_,options_,bayestopt_,dataset_,dataset_info,estim_params_);
 end
-if options_.forecast > 0 && options_.mh_replic == 0 && ~options_.load_mh_file
+
+if options_.forecast == 0 || options_.mh_replic > 0 || options_.load_mh_file
+    % nothing to do
+elseif options_.order>1 && M_.exo_det_nbr == 0 || ...
+        options_.order>2 && M_.exo_det_nbr > 0 || ...
+        options_.order==2 && options_.pruning
+    %forecasting not yet supported
+else
     oo_.forecast = dyn_forecast(var_list_,M_,options_,oo_,'smoother',dataset_info);
 end
 

matlab/forcst.m

-function [yf,int_width,int_width_ME]=forcst(dr,y0,horizon,var_list,M_,oo_,options_)
-% function [yf,int_width,int_width_ME]=forecst(dr,y0,horizon,var_list,M_,oo_,options_)
+function [yf,int_width,int_width_ME]=forcst(dr,y0,horizon,var_list,M_,options_)
+% function [yf,int_width,int_width_ME]=forecst(dr,y0,horizon,var_list,M_,options_)
 %   computes mean forecast for a given value of the parameters
 %   computes also confidence band for the forecast
 %
@@ -10,7 +10,6 @@ function [yf,int_width,int_width_ME]=forcst(dr,y0,horizon,var_list,M_,oo_,option
 %   var_list:    list of variables (character matrix)
 %   M_:          Dynare model structure
 %   options_:    Dynare options structure
-%   oo_:         Dynare results structure
 
 % OUTPUTS:
 %   yf:          mean forecast
@@ -22,7 +21,7 @@ function [yf,int_width,int_width_ME]=forcst(dr,y0,horizon,var_list,M_,oo_,option
 % SPECIAL REQUIREMENTS
 %    none
 
-% Copyright © 2003-2019 Dynare Team
+% Copyright © 2003-2024 Dynare Team
 %
 % This file is part of Dynare.
 %
@@ -39,6 +38,10 @@ function [yf,int_width,int_width_ME]=forcst(dr,y0,horizon,var_list,M_,oo_,option
 % You should have received a copy of the GNU General Public License
 % along with Dynare.  If not, see <https://www.gnu.org/licenses/>.
 
+if options_.order>1
+    error('forcst.m: Only order=1 is supported. Skipping computuations.')
+end
+
 yf = simult_(M_,options_,y0,dr,zeros(horizon,M_.exo_nbr),1);
 nstatic = M_.nstatic;
 nspred = M_.nspred;

matlab/stochastic_solver/simultxdet.m

 function [y_,int_width,int_width_ME]=simultxdet(y0,ex,ex_det, iorder,var_list,M_,oo_,options_)
-%function [y_,int_width]=simultxdet(y0,ex,ex_det, iorder,var_list,M_,oo_,options_)
+%function [y_,int_width,int_width_ME]=simultxdet(y0,ex,ex_det, iorder,var_list,M_,oo_,options_)
 %
 % Simulates a stochastic model in the presence of deterministic exogenous shocks
 %
@@ -39,6 +39,11 @@ function [y_,int_width,int_width_ME]=simultxdet(y0,ex,ex_det, iorder,var_list,M_
 % You should have received a copy of the GNU General Public License
 % along with Dynare.  If not, see <https://www.gnu.org/licenses/>.
 
+if options_.order>2 
+    error('simultxdet.m: Forecasting with varexo_det does not support order>2.')   
+elseif options_.order==2 && options_.pruning
+    error('simultxdet.m: Forecasting with varexo_det does not support pruning.')
+end
 dr = oo_.dr;
 ykmin = M_.maximum_lag;
 endo_nbr = M_.endo_nbr;
@@ -50,7 +55,6 @@ iter = size(ex,1);
 if size(ex_det, 1) ~= iter+ykmin
     error('Size mismatch: number of forecasting periods for stochastic exogenous and deterministic exogenous don''t match')
 end
-nx = size(dr.ghu,2);
 y_ = zeros(size(y0,1),iter+ykmin);
 y_(:,1:ykmin) = y0;
 k1 = ykmin:-1:1;

tests/conditional_forecasts/3/fs2000_conditional_forecast_initval.mod

@@ -63,7 +63,7 @@ steady(tolx=1e-10,tolf=1e-12);
 
 check;
 
-stoch_simul(irf=0);
+stoch_simul(irf=0,order=1);
 
 conditional_forecast_paths;
 var gy_obs;

tests/conditional_forecasts/4/fs2000_conditional_forecast_histval.mod

@@ -61,7 +61,7 @@ steady;
 
 check;
 
-stoch_simul(irf=0);
+stoch_simul(irf=0,order=1);
 
 conditional_forecast_paths;
 var gy_obs;

tests/smoother2histval/fs2000_smooth_stoch_simul.mod

@@ -87,6 +87,6 @@ steady;
 smoother2histval(period = 5);
 
 options_.loglinear=0;
-stoch_simul(nomoments);
+stoch_simul(nomoments,order=1);
 
 forecast;

tests/stochastic_simulations/histval_predetermined.mod

@@ -54,6 +54,6 @@ b(0) = 0.1;
 a(0) = 0.3;
 end;
 
-stoch_simul(nograph, periods = 200);
+stoch_simul(nograph, periods = 200,order=1);
 
 forecast;
\ No newline at end of file

tests/stochastic_simulations/histval_sto.mod

@@ -49,7 +49,7 @@ a(-1) = 0.3;
 u(-1) = 0.1;
 end;
 
-stoch_simul(nograph, periods = 200);
+stoch_simul(nograph, periods = 200,order=1);
 
 forecast;