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@#include "NKM_common.inc"
options_.TeX=1;
// -----------------Occbin ----------------------------------------------//
options_.occbin.smoother.debug=1;
occbin_setup(likelihood_piecewise_kalman_filter);
// use PKF
estimation(
datafile=dataobsfile, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
mh_replic=0, plot_priors=0, smoother,
consider_all_endogenous,filter_step_ahead=[1:8],smoothed_state_uncertainty);
// plot regimes
occbin.plot_regimes(oo_.occbin.smoother.regime_history,M_,options_)
// forecast starting from period 42, zero shocks (default)
smoother2histval(period=42);
[forecast, error_flag] = occbin.forecast(options_,M_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state,8);
// forecast with stochastic shocks
options_.occbin.forecast.qmc=true;
options_.occbin.forecast.replic=127;
[forecast1, error_flag] = occbin.forecast(options_,M_,oo_.dr,oo_.steady_state,oo_.exo_steady_state,oo_.exo_det_steady_state,8);
figure('Name','OccBin: Forecasts')
subplot(2,1,1)
plot(1:8,forecast.piecewise.Mean.inom,'b-',1:8,forecast1.piecewise.Mean.inom,'r--')
subplot(2,1,2)
plot(1:8,forecast.piecewise.Mean.y,'b-',1:8,forecast1.piecewise.Mean.y,'r--')
// GIRF given states in 42 and shocks in 43
t0=42;
options_.occbin.irf.exo_names=M_.exo_names;
options_.occbin.irf.t0=t0;
oo_.occbin.irfs = occbin.irf(M_,oo_,options_);
var_list_ = {'c','n','y','pigap','inom','inomnot'};
// if you want to scale ...
// options_occbin_.plot_irf.endo_scaling_factor = vars_irf(:,3);
options_.occbin.plot_irf.simulname = ['t0_' int2str(t0)];
options_.irf=40;
occbin.plot_irfs(M_,oo_.occbin.irfs,options_,var_list_);
var_list_={};
options_.occbin.plot_irf.simulname = ['t0_' int2str(t0) '_full'];
occbin.plot_irfs(M_,oo_.occbin.irfs,options_,var_list_);
oo0=oo_;
// use smoother_redux
estimation(
datafile=dataobsfile, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
mh_replic=0, plot_priors=0, smoother, smoother_redux,
consider_all_endogenous,filter_step_ahead=[1:8],smoothed_state_uncertainty);
// check consistency of smoother_redux
for k=1:M_.endo_nbr,
mer(k)=max(abs(oo_.SmoothedVariables.(M_.endo_names{k})-oo0.SmoothedVariables.(M_.endo_names{k})));
end
if max(mer)>1.e-10
error('smoother redux does not recover full smoother results!')
else
disp('smoother redux successfully recovers full smoother results!')
end
for k=1:M_.endo_nbr,
mer(k)=max(abs(oo_.UpdatedVariables.(M_.endo_names{k})-oo0.UpdatedVariables.(M_.endo_names{k})));
end
if max(mer)>1.e-10
error('smoother redux does not recover full updated variables results!')
else
disp('smoother redux successfully recovers full updated variables results!')
end
for k=1:M_.endo_nbr,
mer(k)=max(abs(oo_.FilteredVariables.(M_.endo_names{k})-oo0.FilteredVariables.(M_.endo_names{k})));
end
if max(mer)>1.e-10
error('smoother redux does not recover full filtered variables results!')
else
disp('smoother redux successfully recovers full filtered variables results!')
end
for k=1:M_.endo_nbr,
mer(k)=max(max(max(abs(oo_.FilteredVariablesKStepAhead(:,k,:)-oo0.FilteredVariablesKStepAhead(:,k,:)))));
end
if max(mer)>1.e-10
error('smoother redux does not recover full k-step ahead variables results!')
else
disp('smoother redux successfully recovers full k-step ahead variables results!')
end
//run PKF with MCMC
options_.smoother_redux=false;
estimation(
datafile=dataobsfile, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
mh_replic=50, plot_priors=0, smoother,
consider_all_endogenous,filter_step_ahead=[1:8],smoothed_state_uncertainty);
// use inversion filter (note that IF provides smoother together with likelihood)
occbin_setup(likelihood_inversion_filter,smoother_inversion_filter);
estimation(
datafile=dataobsfile, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
mh_replic=50, plot_priors=0, smoother,
consider_all_endogenous,filter_step_ahead=[1:8],smoothed_state_uncertainty);
// show initial condition effect of IF
figure('Name','OccBin: Smoothed shocks')
subplot(221)
plot([oo0.SmoothedShocks.epsg oo_.SmoothedShocks.epsg]), title('epsg')
subplot(222)
plot([oo0.SmoothedShocks.epsi oo_.SmoothedShocks.epsi]), title('epsi')
subplot(223)
plot([oo0.SmoothedShocks.epss oo_.SmoothedShocks.epss]), title('epss')
legend('PKF','IF')
figure('Name','OccBin: Smoothed Variables')
subplot(221)
plot([oo0.SmoothedVariables.inom oo_.SmoothedVariables.inom]), title('inom')
subplot(222)
plot([oo0.SmoothedVariables.yg oo_.SmoothedVariables.yg]), title('yg')
subplot(223)
plot([oo0.SmoothedVariables.pi oo_.SmoothedVariables.pi]), title('pi')
legend('PKF','IF')
occbin_write_regimes(smoother);
estimation(
datafile=dataobsfile, mode_file=NKM_mh_mode_saved,
mode_compute=0, nobs=120, first_obs=1,
mh_replic=50, plot_priors=0, smoother,
consider_all_endogenous,filter_step_ahead=[1:8],smoothed_state_uncertainty);
write_latex_dynamic_model;
collect_latex_files;
[status, cmdout]=system(['pdflatex -halt-on-error -interaction=nonstopmode ' M_.fname '_TeX_binder.tex']);
if status
cmdout
error('TeX-File did not compile.')
end
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