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
|
function [options_, oo_]=ms_variance_decomposition(M_, options_, oo_)
% function [options_, oo_]=ms_variance_decomposition(M_, options_, oo_)
% Markov-switching SBVAR: Variance Decomposition
%
% INPUTS
% 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 Variance Decomposition');
options_ = set_file_tags(options_);
[options_, oo_] = set_ms_estimation_file(options_.ms.file_tag, options_, oo_);
clean_ms_variance_decomposition_files(options_.ms.output_file_tag);
vddir = [options_.ms.output_file_tag filesep 'Variance_Decomposition'];
create_dir(vddir);
% setup command line options
opt = ['-variance_decomposition -seed ' num2str(options_.DynareRandomStreams.seed)];
opt = [opt ' -do ' vddir];
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 = 1;
outfile = [vddir filesep 'var_decomp_mean_'];
if options_.ms.error_bands
% error_bands / percentiles used differently by
% Dan's variance decomposition code
% no_error_bands => mean is computed
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
outfile = [vddir filesep 'var_decomp_percentiles_'];
end
% variance_decomposition
ms_sbvar_command_line(opt);
if options_.ms.regime || options_.ms.regimes
outfile = [outfile 'regime_'];
if options_.ms.regime
outfile = [outfile num2str(options_.ms.regime-1) ...
'_' options_.ms.output_file_tag '.out'];
end
elseif options_.ms.filtered_probabilities
outfile = [outfile 'filtered_' options_.ms.output_file_tag '.out'];
else
outfile = [outfile 'ergodic_' options_.ms.output_file_tag '.out'];
end
% Create plots
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
vd_title = ['Variance Decomposition, Regime ' num2str(regime_i)];
vd_data = load([outfile num2str(regime_i-1) '_' ...
options_.ms.output_file_tag '.out'], '-ascii');
vd_data = reshape_ascii_variance_decomposition_data( ...
M_.endo_nbr, percentiles_size, options_.ms.horizon, vd_data);
save([vddir filesep 'variance_decomposition_regime_' num2str(regime_i-1) '.mat'], 'vd_data');
plot_ms_variance_decomposition(M_, options_, vd_data, vd_title);
end
else
if options_.ms.regime
vd_title = ['Variance Decomposition, Regime ' num2str(options_.ms.regime)];
save_filename = ['variance_decomposition_regime_' num2str(options_.ms.regime-1) '.mat'];
else
save_filename = 'variance_decomposition.mat';
if options_.ms.filtered_probabilities
vd_title = 'Variance Decomposition Filtered';
else
vd_title = 'Variance Decomposition Ergodic';
end
end
vd_data = load(outfile, '-ascii');
vd_data = reshape_ascii_variance_decomposition_data( ...
M_.endo_nbr, percentiles_size, options_.ms.horizon, vd_data);
save([vddir filesep save_filename], 'vd_data');
plot_ms_variance_decomposition(M_, options_, vd_data, vd_title);
end
end
|
