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function [options_, oo_]=ms_irf(varlist, M_, options_, oo_)
% function [options_, oo_]=ms_irf(varlist, M_, options_, oo_)
% Markov-switching SBVAR: Impulse Response Function
%
% INPUTS
% varlist: (chararray) list of selected endogenous variables
% M_: (struct) model structure
% options_: (struct) options
% oo_: (struct) results
%
% OUTPUTS
% options_: (struct) options
% oo_: (struct) results
%
% SPECIAL REQUIREMENTS
% none
% Copyright © 2011-2020 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/>.
disp('MS-SBVAR Impulse Response Function');
options_ = set_file_tags(options_);
[options_, oo_] = set_ms_estimation_file(options_.ms.file_tag, options_, oo_);
clean_ms_irf_files(options_.ms.output_file_tag);
irfdir = [options_.ms.output_file_tag filesep 'IRF'];
create_dir(irfdir);
% setup command line options
opt = ['-ir -seed ' num2str(options_.DynareRandomStreams.seed)];
opt = [opt ' -do ' irfdir];
opt = [opt ' -ft ' options_.ms.file_tag];
opt = [opt ' -fto ' options_.ms.output_file_tag];
opt = [opt ' -horizon ' num2str(options_.ms.horizon)];
opt = [opt ' -thin ' num2str(options_.ms.thinning_factor)];
if options_.ms.regimes
opt = [opt ' -regimes'];
elseif options_.ms.regime
% regime-1 since regime is 0-indexed in C but 1-indexed in Matlab
opt = [opt ' -regime ' num2str(options_.ms.regime-1)];
elseif options_.ms.filtered_probabilities
opt = [opt ' -filtered'];
end
if options_.ms.parameter_uncertainty
options_ = set_ms_simulation_file(options_);
opt = [opt ' -parameter_uncertainty'];
opt = [opt ' -shocks_per_parameter ' num2str(options_.ms.shocks_per_parameter)];
else
opt = [opt ' -shocks_per_parameter ' num2str(options_.ms.shock_draws)];
end
percentiles_size = 0;
if options_.ms.median
percentiles_size = 1;
opt = [opt ' -percentiles ' num2str(percentiles_size) ' 0.5'];
else
percentiles_size = size(options_.ms.percentiles,2);
opt = [opt ' -percentiles ' num2str(percentiles_size)];
for i=1:size(options_.ms.percentiles,2)
opt = [opt ' ' num2str(options_.ms.percentiles(i))];
end
end
% irf
ms_sbvar_command_line(opt);
% Plot IRFs
if options_.ms.regimes
n_chains = length(options_.ms.ms_chain);
n_regimes=1;
for i_chain=1:n_chains
n_regimes = n_regimes*length(options_.ms.ms_chain(i_chain).regime);
end
for regime_i=1:n_regimes
irf_title = ['Impulse Responses, Regime ' num2str(regime_i)];
irf_data = load([irfdir filesep 'ir_percentiles_regime_' ...
num2str(regime_i-1) '_' options_.ms.output_file_tag ...
'.out'], '-ascii');
irf_data = reshape_ascii_irf_data(M_.endo_nbr, percentiles_size, ...
options_.ms.horizon, irf_data);
save([irfdir filesep 'irf_regime_' num2str(regime_i-1) '.mat'], 'irf_data');
plot_ms_irf(M_, options_, irf_data, irf_title, varlist);
end
else
if options_.ms.regime
irf_data = load([irfdir filesep 'ir_percentiles_regime_' ...
num2str(options_.ms.regime-1) '_' options_.ms.output_file_tag ...
'.out'], '-ascii');
irf_title = ['Impulse Response, Regime ' num2str(options_.ms.regime)];
save_filename = ['irf_regime_' num2str(options_.ms.regime-1) '.mat'];
elseif options_.ms.filtered_probabilities
irf_data = load([irfdir filesep 'ir_percentiles_filtered_' ...
options_.ms.output_file_tag '.out'], '-ascii');
irf_title = 'Impulse Response Filtered';
save_filename = 'irf.mat';
else
irf_data = load([irfdir filesep 'ir_percentiles_ergodic_' ...
options_.ms.output_file_tag '.out'], '-ascii');
irf_title = 'Impulse Response Ergodic';
save_filename = 'irf.mat';
end
irf_data = reshape_ascii_irf_data(M_.endo_nbr, percentiles_size, ...
options_.ms.horizon, irf_data);
save([irfdir filesep save_filename], 'irf_data');
plot_ms_irf(M_, options_, irf_data, irf_title, varlist);
end
end
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