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function decomposition = shock_decomposition_backward(simulations, initialconditions, shocklist, endograph, use_shock_groups)
% Computes and possibly plots the shock decomposition of a backward (possibly nonlinear)
% model simulation.
%
% Inputs:
% - simulations dseries object as returned by simul_backward_model
% - initialconditions dseries object as passed to simul_backward_model
% - shocklist a cell array listing the (names of the) shocks whose contribution should be
% computed. The order matters: the contribution of a shock appearing at index
% i is computed as the difference between the simulation where all shocks ≥i+1
% are zero and the simulation where all shocks ≥i are zero. It is also
% possible to put in this list shock groups, as defined in a shock_groups
% block
% - endograph an optional cell array listing the (names of the) endogenous variables for
% which a shock decomposition graph should be created
% - use_shock_groups an optional string giving the name of the shock_groups block to be used to
% resolve shock groups listed in shocklist. If not given, 'default' is used.
%
% Output:
% - decomposition a 3D array of size endo_nbr×nshocks×nperiods where nshocks=length(shocklist)
% and nperiods is the number of simulation periods (i.e. excluding the initial
% conditions)
% Copyright © 2020-2021 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/>.
global M_ options_
narginchk(3, 5);
if nargin < 4
endograph = {};
end
if nargin < 5
use_shock_groups = 'default';
end
% Extract matrix of innovations from the whole simulation paths
simdates = simulations.dates(initialconditions.nobs+1:end);
innovations = simulations{M_.exo_names{:}}(simdates);
% Number of simulation periods
nperiods = simulations.nobs - initialconditions.nobs;
decomposition = NaN(M_.endo_nbr, length(shocklist), nperiods);
% Add auxiliary variables to simulation paths
if exist(sprintf('+%s/dynamic_set_auxiliary_series.m', M_.fname), 'file')
simulations = feval(sprintf('%s.dynamic_set_auxiliary_series', M_.fname), simulations, M_.params);
end
for i = length(shocklist):-1:1
% Zero the innovation(s) corresponding to this shock or shock group
if ismember(shocklist{i}, M_.exo_names)
innovations{shocklist{i}}(simdates) = zeros(nperiods, 1);
else % This is a shock group
if ~ismember(use_shock_groups, fieldnames(M_.shock_groups))
error(['Unknown shock_groups block: ' use_shock_groups])
end
groups = fieldnames(M_.shock_groups.(use_shock_groups));
shocks_in_group = [];
for j = 1:length(groups)
if strcmp(shocklist{i}, M_.shock_groups.(use_shock_groups).(groups{j}).label)
shocks_in_group = M_.shock_groups.(use_shock_groups).(groups{j}).shocks;
break
end
end
if isempty(shocks_in_group)
error(['Unknown shock group: ' shocklist{i}])
end
for j = 1:length(shocks_in_group)
innovations{shocks_in_group{j}}(simdates) = zeros(nperiods, 1);
end
end
% Compute simulation with the current shock or shock group removed
simulations_new = simul_backward_model(initialconditions, nperiods, innovations);
if exist(sprintf('+%s/dynamic_set_auxiliary_series.m', M_.fname), 'file')
simulations_new = feval(sprintf('%s.dynamic_set_auxiliary_series', M_.fname), simulations_new, M_.params);
end
% Compute the contribution of the current shock or shock group
if ~isoctave && matlab_ver_less_than('9.7')
% Workaround for MATLAB bug described in dseries#45
% The solution is to avoid using the "end" keyword
myend = nobs(simulations);
contribution = simulations{M_.endo_names{:}}.data(initialconditions.nobs+1:myend, :) ...
- simulations_new{M_.endo_names{:}}.data(initialconditions.nobs+1:myend, :);
else
contribution = simulations{M_.endo_names{:}}.data(initialconditions.nobs+1:end, :) ...
- simulations_new{M_.endo_names{:}}.data(initialconditions.nobs+1:end, :);
end
decomposition(:, i, :) = contribution';
simulations = simulations_new;
end
% Plot the decomposition
for i = 1:length(endograph)
h = dyn_figure(options_.plot_shock_decomp.nodisplay, 'Name', [ 'Shock decomposition for ' endograph{i}]);
endoidx = find(strcmp(endograph{i}, M_.endo_names));
bar(double(simdates), squeeze(decomposition(endoidx, :, :))', 'stacked')
legend(shocklist)
end
end
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