diff --git a/matlab/mcforecast3.m b/matlab/+conditional_forecasts/get_shock_paths.m
similarity index 96%
rename from matlab/mcforecast3.m
rename to matlab/+conditional_forecasts/get_shock_paths.m
index 78ff228763fbe85fddc0deb2a59d3a65c8880f37..d8434f3c212393316170a3bed82cbf12691d75cd 100644
--- a/matlab/mcforecast3.m
+++ b/matlab/+conditional_forecasts/get_shock_paths.m
@@ -1,5 +1,5 @@
-function [forcs, e] = mcforecast3(cL, H, mcValue, shocks, forcs, T, R, mv, mu)
-% [forcs, e] = mcforecast3(cL, H, mcValue, shocks, forcs, T, R, mv, mu)
+function [forcs, e] = get_shock_paths(cL, H, mcValue, shocks, forcs, T, R, mv, mu)
+% [forcs, e] = get_shock_paths(cL, H, mcValue, shocks, forcs, T, R, mv, mu)
% Computes the shock values for constrained forecasts necessary to keep
% endogenous variables at their constrained paths
%
diff --git a/matlab/plot_icforecast.m b/matlab/+conditional_forecasts/plot.m
similarity index 89%
rename from matlab/plot_icforecast.m
rename to matlab/+conditional_forecasts/plot.m
index da4d88ebbd9eb576597a16231ec5c5883f9afb91..562d60a1868e6c175bd51d7a6ad297176c87d157 100644
--- a/matlab/plot_icforecast.m
+++ b/matlab/+conditional_forecasts/plot.m
@@ -1,4 +1,5 @@
-function plot_icforecast(Variables,periods,options_,oo_)
+function plot(Variables,periods,options_,oo_)
+% plot(Variables,periods,options_,oo_)
% Build plots for the conditional forecasts.
%
% INPUTS
@@ -11,7 +12,7 @@ function plot_icforecast(Variables,periods,options_,oo_)
% None.
%
% SPECIAL REQUIREMENTS
-% This routine has to be called after imcforecast.m.
+% This routine has to be called after conditional_forecasts.run
% Copyright © 2006-2023 Dynare Team
%
@@ -44,7 +45,7 @@ else
end
if periods>forecast_periods
- fprintf('\nplot_icforecast:: Number of periods for plotting exceeds forecast horizon. Setting periods to %d.\n',forecast_periods-1)
+ fprintf('\nconditional_forecasts.plot:: Number of periods for plotting exceeds forecast horizon. Setting periods to %d.\n',forecast_periods-1)
periods=forecast_periods;
end
diff --git a/matlab/imcforecast.m b/matlab/+conditional_forecasts/run.m
similarity index 90%
rename from matlab/imcforecast.m
rename to matlab/+conditional_forecasts/run.m
index e202943dc475d8bd487907b267a076db7f3820b0..9737147557f31084ae9952ba9578fdc8bc84864d 100644
--- a/matlab/imcforecast.m
+++ b/matlab/+conditional_forecasts/run.m
@@ -1,11 +1,16 @@
-function imcforecast(constrained_paths, constrained_vars, options_cond_fcst)
-
+function forecasts=run(M_,options_,oo_,bayestopt_,estim_params_,constrained_paths, constrained_vars, options_cond_fcst)
+% run(constrained_paths, constrained_vars, options_cond_fcst)
% Computes conditional forecasts.
%
% INPUTS
-% - constrained_paths [double] m*p array, where m is the number of constrained endogenous variables and p is the number of constrained periods.
-% - constrained_vars [integer] m*1 array, indices in M_.endo_names of the constrained variables.
-% - options_cond_fcst [structure] containing the options. The fields are:
+% M_ [structure] describing the model
+% options_ [structure] describing the options
+% oo_: [structure] storing the results
+% bayestopt_ [structure] describing the priors
+% estim_params_ [structure] characterizing parameters to be estimated
+% - constrained_paths [double] m*p array, where m is the number of constrained endogenous variables and p is the number of constrained periods.
+% - constrained_vars [integer] m*1 array, indices in M_.endo_names of the constrained variables.
+% - options_cond_fcst [structure] containing the options. The fields are:
%
% + replic [integer] scalar, number of monte carlo simulations.
% + parameter_set [char] values of the estimated parameters:
@@ -19,16 +24,16 @@ function imcforecast(constrained_paths, constrained_vars, options_cond_fcst)
% + conf_sig [double] scalar in [0,1], probability mass covered by the confidence bands.
%
% OUTPUTS
-% None.
+% - forecasts [structure] results of the conditional forecast exercise
%
% SPECIAL REQUIREMENTS
% This routine has to be called after an estimation statement or an estimated_params block.
%
% REMARKS
% [1] Results are stored in oo_.conditional_forecast.
-% [2] Use the function plot_icforecast to plot the results.
+% [2] Use the function conditional_forecasts.plot to plot the results.
-% Copyright © 2006-2020 Dynare Team
+% Copyright © 2006-2023 Dynare Team
%
% This file is part of Dynare.
%
@@ -45,8 +50,6 @@ function imcforecast(constrained_paths, constrained_vars, options_cond_fcst)
% 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_ bayestopt_ estim_params_
-
if ~isfield(options_cond_fcst,'parameter_set') || isempty(options_cond_fcst.parameter_set)
if isfield(oo_,'posterior_mode')
options_cond_fcst.parameter_set = 'posterior_mode';
@@ -123,7 +126,6 @@ if estimated_model
missing_value = dataset_info.missing.state;
%store qz_criterium
- qz_criterium_old=options_.qz_criterium;
options_=select_qz_criterium_value(options_);
options_smoothed_state_uncertainty_old = options_.smoothed_state_uncertainty;
[atT, ~, ~, ~,ys, ~, ~, ~, ~, ~, ~, ~, ~, ~,oo_,bayestopt_] = ...
@@ -155,7 +157,6 @@ if estimated_model
trend = constant(oo_.dr.order_var,:);
InitState(:,1) = atT(:,end);
else
- qz_criterium_old=options_.qz_criterium;
if isempty(options_.qz_criterium)
options_.qz_criterium = 1+1e-6;
end
@@ -246,7 +247,7 @@ FORCS1_shocks = zeros(n1,cL,options_cond_fcst.replic);
for b=1:options_cond_fcst.replic %conditional forecast using cL set to constrained values
shocks = sQ*randn(ExoSize,options_cond_fcst.periods);
shocks(controlled_varexo,:) = zeros(n1, options_cond_fcst.periods);
- [FORCS1(:,:,b), FORCS1_shocks(:,:,b)] = mcforecast3(cL,options_cond_fcst.periods,constrained_paths,shocks,FORCS1(:,:,b),T,R,mv, mu);
+ [FORCS1(:,:,b), FORCS1_shocks(:,:,b)] = conditional_forecasts.get_shock_paths(cL,options_cond_fcst.periods,constrained_paths,shocks,FORCS1(:,:,b),T,R,mv, mu);
FORCS1(:,:,b)=FORCS1(:,:,b)+trend; %add trend
end
if max(max(max(abs(bsxfun(@minus,FORCS1(constrained_vars,1+1:1+cL,:),trend(constrained_vars,1:cL)+constrained_paths)))))>1e-4
@@ -292,7 +293,7 @@ FORCS2(:,1,:) = repmat(InitState,1,options_cond_fcst.replic); %set initial stead
for b=1:options_cond_fcst.replic %conditional forecast using cL set to 0
shocks = sQ*randn(ExoSize,options_cond_fcst.periods);
shocks(controlled_varexo,:) = zeros(n1, options_cond_fcst.periods);
- FORCS2(:,:,b) = mcforecast3(0,options_cond_fcst.periods,constrained_paths,shocks,FORCS2(:,:,b),T,R,mv, mu)+trend;
+ FORCS2(:,:,b) = conditional_forecasts.get_shock_paths(0,options_cond_fcst.periods,constrained_paths,shocks,FORCS2(:,:,b),T,R,mv, mu)+trend;
end
mFORCS2 = mean(FORCS2,3);
@@ -307,8 +308,4 @@ for i = 1:EndoSize
forecasts.uncond.ci.(M_.endo_names{oo_.dr.order_var(i)}) = [tmp(t1,:)' ,tmp(t2,:)' ]';
end
forecasts.graph.title = graph_title;
-forecasts.graph.fname = M_.fname;
-
-%reset qz_criterium
-options_.qz_criterium=qz_criterium_old;
-oo_.conditional_forecast = forecasts;
+forecasts.graph.fname = M_.fname;
\ No newline at end of file
diff --git a/preprocessor b/preprocessor
index cf45c77343c50cddf89ab848b4300932e3bdf673..3dadac8f191dfa1dd660442d5bc4526c4c218149 160000
--- a/preprocessor
+++ b/preprocessor
@@ -1 +1 @@
-Subproject commit cf45c77343c50cddf89ab848b4300932e3bdf673
+Subproject commit 3dadac8f191dfa1dd660442d5bc4526c4c218149
diff --git a/tests/conditional_forecasts/3/fs2000_conditional_forecast_initval.mod b/tests/conditional_forecasts/3/fs2000_conditional_forecast_initval.mod
index 4bd3e6ae063906bfde4ea9e7494ec163eb1a37f1..5a061b3e13da6e6c70d05a65f8db7a2903f0e652 100644
--- a/tests/conditional_forecasts/3/fs2000_conditional_forecast_initval.mod
+++ b/tests/conditional_forecasts/3/fs2000_conditional_forecast_initval.mod
@@ -59,7 +59,7 @@ var e_a; stderr 0.014;
var e_m; stderr 0.005;
end;
-steady;
+steady(tolx=1e-10,tolf=1e-12);
check;