1function [oo_,M_] = shock_decomposition(M_,oo_,options_,varlist,bayestopt_,estim_params_) 2% function z = shock_decomposition(M_,oo_,options_,varlist) 3% Computes shocks contribution to a simulated trajectory. The field set is 4% oo_.shock_decomposition. It is a n_var by nshock+2 by nperiods array. The 5% first nshock columns store the respective shock contributions, column n+1 6% stores the role of the initial conditions, while column n+2 stores the 7% value of the smoothed variables. Both the variables and shocks are stored 8% in the order of declaration, i.e. M_.endo_names and M_.exo_names, respectively. 9% 10% INPUTS 11% M_: [structure] Definition of the model 12% oo_: [structure] Storage of results 13% options_: [structure] Options 14% varlist: [char] List of variables 15% bayestopt_: [structure] describing the priors 16% estim_params_: [structure] characterizing parameters to be estimated 17% 18% OUTPUTS 19% oo_: [structure] Storage of results 20% M_: [structure] Definition of the model; makes sure that 21% M_.params is correctly updated 22% 23% SPECIAL REQUIREMENTS 24% none 25 26% Copyright (C) 2009-2020 Dynare Team 27% 28% This file is part of Dynare. 29% 30% Dynare is free software: you can redistribute it and/or modify 31% it under the terms of the GNU General Public License as published by 32% the Free Software Foundation, either version 3 of the License, or 33% (at your option) any later version. 34% 35% Dynare is distributed in the hope that it will be useful, 36% but WITHOUT ANY WARRANTY; without even the implied warranty of 37% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 38% GNU General Public License for more details. 39% 40% You should have received a copy of the GNU General Public License 41% along with Dynare. If not, see <http://www.gnu.org/licenses/>. 42 43% indices of endogenous variables 44 45if isfield(oo_,'shock_decomposition_info') && isfield(oo_.shock_decomposition_info,'i_var') 46 if isfield (oo_,'realtime_conditional_shock_decomposition') ... 47 || isfield (oo_,'realtime_forecast_shock_decomposition') ... 48 || isfield (oo_,'realtime_shock_decomposition') ... 49 || isfield (oo_,'conditional_shock_decomposition') ... 50 || isfield (oo_,'initval_decomposition') 51 error('shock_decomposition::squeezed shock decompositions are already stored in oo_') 52 end 53end 54with_epilogue = options_.shock_decomp.with_epilogue; 55 56if isempty(varlist) 57 varlist = M_.endo_names(1:M_.orig_endo_nbr); 58end 59 60[~, ~,index_uniques] = varlist_indices(varlist, M_.endo_names); 61varlist = varlist(index_uniques); 62 63% number of variables 64endo_nbr = M_.endo_nbr; 65 66% number of shocks 67nshocks = M_.exo_nbr; 68 69% parameter set 70parameter_set = options_.parameter_set; 71if isempty(parameter_set) 72 if isfield(oo_,'posterior_mean') 73 parameter_set = 'posterior_mean'; 74 elseif isfield(oo_,'mle_mode') 75 parameter_set = 'mle_mode'; 76 elseif isfield(oo_,'posterior') 77 parameter_set = 'posterior_mode'; 78 else 79 error(['shock_decomposition: option parameter_set is not specified ' ... 80 'and posterior mode is not available']) 81 end 82end 83 84 85options_.selected_variables_only = 0; %make sure all variables are stored 86options_.plot_priors=0; 87[oo_, M_, ~, ~, Smoothed_Variables_deviation_from_mean] = evaluate_smoother(parameter_set, varlist, M_, oo_, options_, bayestopt_, estim_params_); 88 89% reduced form 90dr = oo_.dr; 91 92% data reordering 93order_var = dr.order_var; 94inv_order_var = dr.inv_order_var; 95 96 97% coefficients 98A = dr.ghx; 99B = dr.ghu; 100 101% initialization 102gend = size(oo_.SmoothedShocks.(M_.exo_names{1}),1); 103epsilon=NaN(nshocks,gend); 104for i=1:nshocks 105 epsilon(i,:) = oo_.SmoothedShocks.(M_.exo_names{i}); 106end 107 108z = zeros(endo_nbr,nshocks+2,gend); 109 110z(:,end,:) = Smoothed_Variables_deviation_from_mean; 111 112maximum_lag = M_.maximum_lag; 113 114k2 = dr.kstate(find(dr.kstate(:,2) <= maximum_lag+1),[1 2]); 115i_state = order_var(k2(:,1))+(min(i,maximum_lag)+1-k2(:,2))*M_.endo_nbr; 116for i=1:gend 117 if i > 1 && i <= maximum_lag+1 118 lags = min(i-1,maximum_lag):-1:1; 119 end 120 121 if i > 1 122 tempx = permute(z(:,1:nshocks,lags),[1 3 2]); 123 m = min(i-1,maximum_lag); 124 tempx = [reshape(tempx,endo_nbr*m,nshocks); zeros(endo_nbr*(maximum_lag-i+1),nshocks)]; 125 z(:,1:nshocks,i) = A(inv_order_var,:)*tempx(i_state,:); 126 lags = lags+1; 127 end 128 129 if i > options_.shock_decomp.init_state 130 z(:,1:nshocks,i) = z(:,1:nshocks,i) + B(inv_order_var,:).*repmat(epsilon(:,i)',endo_nbr,1); 131 end 132 z(:,nshocks+1,i) = z(:,nshocks+2,i) - sum(z(:,1:nshocks,i),2); 133end 134 135if with_epilogue 136 [z, oo_.shock_decomposition_info.epilogue_steady_state] = epilogue_shock_decomposition(z, M_, oo_); 137end 138 139oo_.shock_decomposition = z; 140 141if ~options_.no_graph.shock_decomposition 142 oo_ = plot_shock_decomposition(M_,oo_,options_,varlist); 143end 144 145oo_.gui.ran_shock_decomposition = true; 146