1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237
|
function smoother2histval(opts)
% This function takes values from oo_.SmoothedVariables (and possibly
% oo_.SmoothedShocks) and copies them into M_.histval.
%
% Optional fields in 'opts' structure:
% infile: An optional *_results MAT file created by Dynare.
% If present, oo_.Smoothed{Variables,Shocks} are read from
% there. Otherwise, they are read from the global workspace.
% invars: An optional char or cell array listing variables to read in
% oo_.SmoothedVariables. If absent, all the endogenous
% variables present in oo_.SmoothedVariables are used.
% period: An optional period number to use as the starting point
% for subsequent simulations. It should be between 1 and
% the number of observations that were used to produce the
% smoothed values. If absent, the last observation is used.
% outfile: An optional MAT file in which to save the histval structure.
% If absent, the output will be written in M_.endo_histval
% outvars: An optional char or cell array listing variables to be written in
% outfile or M_.endo_histval. This cell must be of same
% length than invars, and there is a mapping between the input
% variable at the i-th position in invars, and the output
% variable at the i-th position in outvars. If absent, then
% taken as equal to invars.
%
% The function also uses the value of option_.parameter_set
% Copyright (C) 2014-2018 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 <http://www.gnu.org/licenses/>.
global M_ options_ oo_
if ~isfield(opts, 'infile')
if ~isfield(oo_, 'SmoothedVariables')
error('Could not find smoothed variables; did you set the "smoother" option?')
end
smoothedvars = oo_.SmoothedVariables;
smoothedshocks = oo_.SmoothedShocks;
steady_state = oo_.steady_state;
else
S = load(opts.infile);
if ~isfield(S, 'oo_') || ~isfield(S.oo_, 'SmoothedVariables')
error('Could not find smoothed variables in file; is this a Dynare results file, and did you set the "smoother" option when producing it?')
end
smoothedvars = S.oo_.SmoothedVariables;
smoothedshocks = S.oo_.SmoothedShocks;
steady_state = S.oo_.steady_state;
end
% Hack to determine if oo_.SmoothedVariables was computed after a Metropolis
tmp = fieldnames(smoothedvars);
if isstruct(smoothedvars.(tmp{1}))
post_metropolis = 1;
if ~ isstruct(smoothedvars.(tmp{end}))
% point and metropolis results are simultaneously present
post_metropolis = 2;
end
elseif isstruct(smoothedvars.(tmp{end}))
% point and metropolis results are simultaneously present
post_metropolis = 2;
else
post_metropolis = 0;
end
if post_metropolis
tmp = fieldnames(smoothedvars.Mean);
tmpexo = fieldnames(smoothedshocks.Mean);
else
tmp = fieldnames(smoothedvars);
tmpexo = fieldnames(smoothedshocks);
end
% If post-Metropolis, select the parameter set
if isempty(options_.parameter_set)
if post_metropolis
smoothedvars = smoothedvars.Mean;
smoothedshocks = smoothedshocks.Mean;
steady_state = zeros(size(steady_state));
end
else
switch options_.parameter_set
case 'calibration'
if post_metropolis == 1
error('Option parameter_set=calibration is not consistent with computed smoothed values.')
end
case 'posterior_mode'
if post_metropolis == 1
error('Option parameter_set=posterior_mode is not consistent with computed smoothed values.')
end
case 'posterior_mean'
if ~post_metropolis
error('Option parameter_set=posterior_mean is not consistent with computed smoothed values.')
end
smoothedvars = smoothedvars.Mean;
smoothedshocks = smoothedshocks.Mean;
steady_state = zeros(size(steady_state));
case 'posterior_median'
if ~post_metropolis
error('Option parameter_set=posterior_median is not consistent with computed smoothed values.')
end
smoothedvars = smoothedvars.Median;
smoothedshocks = smoothedshocks.Median;
steady_state = zeros(size(steady_state));
otherwise
error([ 'Option parameter_set=' options_.parameter_set ' unsupported.' ])
end
end
% Determine number of periods
n = size(smoothedvars.(tmp{1}));
if n < M_.maximum_endo_lag
error('Not enough observations to create initial conditions')
end
if isfield(opts, 'invars')
invars = opts.invars;
if ischar(invars)
invars = cellstr(invars);
end
else
invars = [tmp; tmpexo];
end
if isfield(opts, 'period')
period = opts.period;
if period > n
error('The period that you indicated is beyond the data sample')
end
if period < M_.maximum_endo_lag
error('The period that you indicated is too small to construct initial conditions')
end
else
period = n;
end
if isfield(opts, 'outvars')
outvars = opts.outvars;
if ischar(outvars)
outvars = cellstr(outvars);
end
if length(invars) ~= length(outvars)
error('The number of input and output variables is not the same')
end
else
outvars = invars;
end
% Initialize outputs
if ~isfield(opts, 'outfile')
% Output to M_.endo_histval
M_.endo_histval = repmat(oo_.steady_state, 1, M_.maximum_endo_lag);
else
% Output to a file
o = struct();
end
% Handle all endogenous variables to be copied
for i = 1:length(invars)
if isempty(strmatch(invars{i}, M_.endo_names))
% Skip exogenous
continue
end
s = smoothedvars.(invars{i});
j = strmatch(invars{i}, M_.endo_names, 'exact');
v = s((period-M_.maximum_endo_lag+1):period);% + steady_state(j);
if ~isfield(opts, 'outfile')
j = strmatch(outvars{i}, M_.endo_names, 'exact');
if isempty(j)
error(['smoother2histval: output variable ' outvars{i} ' does not exist.'])
else
M_.endo_histval(j, :) = v;
end
else
% When saving to a file, x(-1) is in the variable called "x_"
o.([ outvars{i} '_' ]) = v;
end
end
% Handle auxiliary variables for lags (both on endogenous and exogenous)
for i = 1:length(M_.aux_vars)
if ~ ismember(M_.endo_names{M_.aux_vars(i).endo_index},invars)
if M_.aux_vars(i).type ~= 1 && M_.aux_vars(i).type ~= 3
continue
end
if M_.aux_vars(i).type == 1
% Endogenous
orig_var = M_.endo_names{M_.aux_vars(i).orig_index};
else
% Exogenous
orig_var = M_.exo_names{M_.aux_vars(i).orig_index};
end
[m, k] = ismember(orig_var, outvars);
if m
if ~isempty(strmatch(invars{k}, M_.endo_names))
s = smoothedvars.(invars{k});
else
s = smoothedshocks.(invars{k});
end
l = M_.aux_vars(i).orig_lead_lag;
if period-M_.maximum_endo_lag+1+l < 1
error('The period that you indicated is too small to construct initial conditions')
end
j = M_.aux_vars(i).endo_index;
v = s((period-M_.maximum_endo_lag+1+l):(period+l)); %+steady_state(j);
if ~isfield(opts, 'outfile')
M_.endo_histval(j, :) = v;
else
% When saving to a file, x(-2) is in the variable called "x_l2"
lead_lag = num2str(l);
lead_lag = regexprep(lead_lag, '-', 'l');
o.([ orig_var '_' lead_lag ]) = v;
end
end
end
end
% Finalize output
if isfield(opts, 'outfile')
save(opts.outfile, '-struct', 'o')
end
end
|