Initial commit

.gitignore

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+*~ 
+trash/
+
+# Ignore files used in estimation
+g1.mat
+g2.mat
+g3.mat
+H.dat
+
+# Ignore large output files
+save/*
+!mode_in
+
+# Ignore directories for user-generate output
+figures/*tex
+figures/*pdf
+graphs/*

Main.m

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+%% Main.m
+%% This script produces all output associated with the FRBNY DSGE model. 
+% 
+% Copyright Federal Reserve Bank of New York.  You may reproduce, use, modify,
+% make derivative works of, and distribute and this code in whole or in part
+% so long as you keep this notice in the documentation associated with any
+% distributed works.   Neither the name of the Federal Reserve Bank of New
+% York (FRBNY) nor the names of any of the authors may be used to endorse or
+% promote works derived from this code without prior written permission.
+% Portions of the code attributed to third parties are subject to applicable
+% third party licenses and rights.  By your use of this code you accept this
+% license and any applicable third party license.  
+% 
+% THIS CODE IS PROVIDED ON AN "AS IS" BASIS, WITHOUT ANY WARRANTIES OR
+% CONDITIONS OF ANY KIND, EITHER EXPRESS OR IMPLIED, INCLUDING WITHOUT
+% LIMITATION ANY WARRANTIES OR CONDITIONS OF TITLE, NON-INFRINGEMENT,
+% MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, EXCEPT TO THE EXTENT
+% THAT THESE DISCLAIMERS ARE HELD TO BE LEGALLY INVALID.  FRBNY IS NOT, UNDER
+% ANY CIRCUMSTANCES, LIABLE TO YOU FOR DAMAGES OF ANY KIND ARISING OUT OF OR
+% IN CONNECTION WITH USE OF OR INABILITY TO USE THE CODE, INCLUDING, BUT NOT
+% LIMITED TO DIRECT, INDIRECT, INCIDENTAL, CONSEQUENTIAL, PUNITIVE, SPECIAL OR
+% EXEMPLARY DAMAGES, WHETHER BASED ON BREACH OF CONTRACT, BREACH OF WARRANTY,
+% TORT OR OTHER LEGAL OR EQUITABLE THEORY, EVEN IF FRBNY HAS BEEN ADVISED OF
+% THE POSSIBILITY OF SUCH DAMAGES OR LOSS AND REGARDLESS OF WHETHER SUCH
+% DAMAGES OR LOSS IS FORESEEABLE.
+
+%% Initialization
+clear
+close all
+spec_990  % sets important variables and flags
+set_paths % adds necessary paths
+
+%% Estimation
+% In this stage we draw from the distribution for the parameters. The modal
+% parameters as well as the draws of parameters, are outputted in the /save
+% folder.
+gibb
+
+
+%% Forecasting
+% Here we produce forecasts for our observable variables, one associated
+% with each draw of the parameters, and saves them in the /save folder. 
+forecast_parallel_est_ant
+
+%% Plotting
+forplot          % produces series to be plotted
+plotPresentation % produces plots of series outputted from forplot, which 
+                 % are saved in the /graphs folder

README.md

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+# FRBNY DSGE Model (Version 990.2)
+
+MATLAB code to estimate and forecast the model discussed in the Liberty Street Economics blog post "The FRBNY DSGE Model Forecast".
+
+# Running the Code
+
+## Running with Default Settings
+
+All you need to do is run the file `Main.m`. This script will run the entire
+set of code, calling
+
+  - `set_paths.m`: Set default directories for input and output; add code
+    subfolders to MATLAB path.
+  - `spec_990.m`: Set model specifications and important flags for estimation
+    and forecasting.
+  - `gibb_est_ant.m`: Find posterior mode and sample from posterior distribution.
+  - `forecast_parallel_est_ant.m`: Forecast observables; can run in parallel.
+  - `forplot.m`: Load forecasts into data structures to prepare for plotting.
+  - `plotPresentation.m`: Plot forecasts.
+
+## Running with Modified Settings
+
+If you would like to change defaults for estimation and forecasts, see
+`spec_990.m`. There, you can modify
+
+  - **Estimation Parameters**
+    - `reoptimize`: Whether to re-optimize and find the mode or use saved mode. 
+    - `CH`: Whether to re-compute the hession or use saved.
+    - `nsim`: The number of posterior draws per block.
+    - `nblocks`: The number of blocks.
+    - `nburn`: Size of the burn-in.
+    - `jstep`: From the blocks, the forecasting code will only use every
+      jstep-th element.
+  - **Forecast Parameters**
+    - `zerobound`: Whether to incorporate anticipated policy shocks.
+    - `peachflag`: Whether to condition time T+1 forecasts of observables on
+      user-provided forecasts of observables (treating the information supplied
+      by the user as data).
+    - `distr`: Flag to specify whether to parallelize the forecast procedure.
+    - `nMaxWorkers`: Number of workers to use in parallel forecast procedure.
+
+# Directory Structure
+
+In the main folder, there exist the following directories to house code
+components:
+
+  - `data/`: Input data
+  - `dsgesolv/`: Solving the model; includes `gensys.m` code.
+  - `estimation/`: Mode-finding and posterior sampling.
+  - `figures/`: For output including parameter moment-tables and TeX tables.
+  - `forecast/`: Forecasting programs.
+  - `graphs/`: For graphs of forecasts.
+  - `initializaization/`: Loading data, defining model structure, setting up
+    important model flags.
+  - `kalman/`: Kalman filtering and smoothing.
+  - `plotting`: Loading forecast distributions and generating/saving plots.
+  - `save/`: Input mode and output data generated by the code (output mode,
+    posterior draws, forecasts).
+  - `toolbox/`: Supporting programs.
+
+
+# Program Details
+
+This section describes important programs in greater detail. If the user
+is interested only in running the default model and reproducing the forecast
+results, this section can be ignored. 
+
+This section focuses on what the code does and why, while the code itself
+(including comments) provides detailed information regarding *how* these basic
+procedures are implemented.
+
+## Estimation
+
+**Main Program**: `estimation/gibb_est_ant.m`
+
+**Purpose**: Finds modal parameter estimates and samples from posterior
+distribution.
+
+**Main Steps**
+
+- *Initialization*: Read in transform raw data from `data/`. Load files from
+  `initialization/` related to model specification, parameter priors, parameter
+  restrictions.
+- *Find Mode*: The main program will call the `csminwel.m` optimization routine
+  to find modal parameter estimates. Can optionally start estimation from a
+  starting parameter vector by specifying `data/mode_in.`
+- *Sample from Posterior*: Posterior sampling begins from the computed mode,
+  first computing the Hessian matrix to scale the proposal distribution in the
+  Metropolis Hastings algorithm. Settings for the number of sampling blocks and
+  the size of those blocks can be specified in `spec_990.m`.
+
+*Remark*: In addition to saving each draw of the parameter vector, the
+estimation program also saves the resulting posterior value and transition
+equation matrices implied by each draw of the parameter vector. This is to save
+time in the forecasting step since that code can avoid recomputing those
+matrices. In addition, to save space, all files in `save/` are binary files.
+
+## Forecasting 
+
+**Main Program**: `forecast/forecast_parallel_est_ant.m`
+
+**Purpose**: Compute forecast distribution for the observables, sampling from
+the full posterior distribution of parameters and sampling exogenous shocks.
+
+**Main Steps**
+
+- *Load Draws*: Load in posterior distribution blocks that are output from the
+  estimation stage.
+- *Filter and Smooth*: Pass matrices defining the state transition equation
+  into `forecastFcn_est_ant.m`, which will filter and smooth the states over
+  the history.
+- *Forecast*: Compute forecasts using `getForecast.m`, which takes matrices
+  corresponding to a posterior draw and uses them to iterate on the time T
+  state vector to obtain forecasts, adding in draws of exogenous shocks as
+  well.
+
+*Remark*: The code can be run in parallel or sequentially. Running in parallel
+requires the MATLAB parallel toolbox.
+
+## Plotting ##
+
+**Main Programs**: `plotting/forplot.m`, `plotting/plotPresentation.m`
+
+**Purpose**: Generate plots of observables.
+
+**Main Steps**
+
+- *Load Plots*: The program `forplot.m` will load output from the forecast
+  program into the workspace, computing entries in the data structures `Means`
+  and `Bands`.
+- *Plot*: The program `plotPresentation.m` will plot the forecasts and shock
+  decompositions, saving the graphs in the `graphs/` folder.
+
+*Remark*: Each time `forplot.m` is called, it will attempt to recompute the
+forecast means and bands, which takes some time. However, these are saved in
+`save/` after the very first call to `forplot.m`. To use these saved Means and
+Bands structures and avoid recomputing, set `useSavedMB=1` before running
+`forplot.m`.
+
+# Final Notes on MATLAB Versions and Toolboxes
+
+In certain functions implemented in this program are Toolbox functions provided
+by Mathworks. If you are receiving errors in running these programs due to
+undefined functions, it is likely because you do not yet have access to these
+Toolboxes. For example, to run the forecasts in parallel (the default setting),
+you will need the parallel toolbox. Also, `dlyap.m`, a function to solve
+discrete-time Lyapunov equations, comes from the Control System Toolbox.
+
+These programs are meant to be run in Matlab09a. While we have not attempted to
+run these programs using a more recent version of Matlab, it is possible that
+some of the Matlab-defined functions are not identical and thus may yield
+nonidentical results.
+
+# DISCLAIMER
+
+Copyright Federal Reserve Bank of New York.  You may reproduce, use, modify,
+make derivative works of, and distribute and this code in whole or in part so
+long as you keep this notice in the documentation associated with any
+distributed works.   Neither the name of the Federal Reserve Bank of New York
+(FRBNY) nor the names of any of the authors may be used to endorse or promote
+works derived from this code without prior written permission.  Portions of the
+code attributed to third parties are subject to applicable third party licenses
+and rights.  By your use of this code you accept this license and any
+applicable third party license.  
+
+THIS CODE IS PROVIDED ON AN "AS IS" BASIS, WITHOUT ANY WARRANTIES OR CONDITIONS
+OF ANY KIND, EITHER EXPRESS OR IMPLIED, INCLUDING WITHOUT LIMITATION ANY
+WARRANTIES OR CONDITIONS OF TITLE, NON-INFRINGEMENT, MERCHANTABILITY OR FITNESS
+FOR A PARTICULAR PURPOSE, EXCEPT TO THE EXTENT THAT THESE DISCLAIMERS ARE HELD
+TO BE LEGALLY INVALID.  FRBNY IS NOT, UNDER ANY CIRCUMSTANCES, LIABLE TO YOU
+FOR DAMAGES OF ANY KIND ARISING OUT OF OR IN CONNECTION WITH USE OF OR
+INABILITY TO USE THE CODE, INCLUDING, BUT NOT LIMITED TO DIRECT, INDIRECT,
+INCIDENTAL, CONSEQUENTIAL, PUNITIVE, SPECIAL OR EXEMPLARY DAMAGES, WHETHER
+BASED ON BREACH OF CONTRACT, BREACH OF WARRANTY, TORT OR OTHER LEGAL OR
+EQUITABLE THEORY, EVEN IF FRBNY HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH
+DAMAGES OR LOSS AND REGARDLESS OF WHETHER SUCH DAMAGES OR LOSS IS FORESEEABLE.

data/ExpFFR_OIS.m

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+
+%% Loads in expected FFR derived from OIS quotes
+
+
+function [ExpFFR,peachdata_FFR] = ExpFFR_OIS(nant,antlags,psize,zerobound,peachflag)
+
+% 2008-Q4 expectations (from Jan-2009 BCFF survey, conducted mid-/end- of Dec-2008)
+ExpFFR(1,:) = [0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.1 2.2 2.4]; 
+
+% % 2009-Q1 expectations (from Apr-2009 BCFF survey, conducted mid-/end- of Mar-2009)
+ExpFFR(2,:) = [0.2 0.3 0.5 0.6 0.8 1.1 1.3 1.5 1.7 2.0 2.2 2.4 2.5];
+
+% 2009-Q2 expectations (from Jul-2009 BCFF survey, conducted mid-/end- of Jun-2009)
+ExpFFR(3,:) = [0.2 0.4 0.7 1.1 1.4 1.8 2.2 2.6 2.9 3.2 3.5 3.7 4.0];
+
+% 2009-Q3 expectations (from Oct-2009 BCFF survey, conducted mid-/end- of Sep-2009)
+ExpFFR(4,:) = [0.2 0.4 0.7 1.0 1.4 1.8 2.1 2.4 2.7 2.9 3.1 3.3 3.6];
+
+% 2009-Q4 expectations (from Jan-2010 BCFF survey, conducted mid-/end- of Dec-2009)
+ExpFFR(5,:) = [0.2 0.4 0.8 1.2 1.6 2.0 2.4 2.7 3.0 3.3 3.5 3.7 4.0];
+
+% 2010-Q1 expectations (from Apr-2010 BCFF survey, conducted mid-/end- of Mar-2010)
+ExpFFR(6,:) = [0.2 0.4 0.6 0.9 1.2 1.6 1.9 2.3 2.6 2.9 3.1 3.4 3.6];
+
+% 2010-Q2 expectations (from Jul-2010 BCFF survey, conducted mid-/end- of Jun-2010)
+ExpFFR(7,:) = [0.2 0.3 0.4 0.5 0.6 0.8 1.0 1.2 1.4 1.7 1.9 2.2 2.2];
+
+% 2010-Q3 expectations (from Oct-2010 BCFF survey, conducted mid-/end- of Sep-2010)
+ExpFFR(8,:) = [0.2 0.2 0.2 0.3 0.4 0.5 0.6 0.8 0.9 1.1 1.3 1.5 1.6];
+
+% 2010-Q4 expectations (from Jan-2011 BCFF survey, conducted mid-/end- of Dec-2010)
+ExpFFR(9,:) = [0.2 0.2 0.3 0.4 0.6 0.8 1.0 1.3 1.6 1.8 2.1 2.4 2.6];
+
+% 2011-Q1 expectations (from Apr-2011 BCFF survey, conducted mid-/end- of Mar-2011)
+ExpFFR(10,:) = [0.1 0.2 0.4 0.7 0.9 1.2 1.5 1.8 2.1 2.4 2.7 2.9 3.2];
+
+% 2011-Q2 expectations (from Jul-2011 BCFF survey, conducted mid-/end- of Jun-2011)
+ExpFFR(11,:) = [0.1 0.2 0.3 0.4 0.5 0.7 0.9 1.2 1.4 1.7 2.0 2.2 2.4];
+
+% 2011-Q3 expectations (from Oct-2011 BCFF survey, conducted mid-/end- of Sep-2011)
+ExpFFR(12,:) = [0.1 0.1 0.1 0.1 0.2 0.2 0.3 0.4 0.5 0.6 0.8 0.9 1.0];
+
+% 2011-Q4 expectations (from 12/30/2011 OIS data)
+ExpFFR(13,:) = [0.1 0.1 0.1 0.1 0.2 0.2 0.3 0.4 0.5 0.6 0.7 0.9 1.0];
+
+% 2012-Q1 expectations (from 3/30/2012 OIS data)
+ExpFFR(14,:) = [0.1 0.1 0.2 0.2 0.3 0.3 0.4 0.5 0.6 0.7 0.9 1.0 1.2];
+%  
+% % 2012-Q2 expectations (from 6/30/2012 OIS data)
+ExpFFR(15,:) = [0.2 0.2 0.2 0.2 0.2 0.3 0.3 0.4 0.4 0.5 0.5 0.6 0.8];
+
+% % 2012-Q3 expectations (from 9/30/2012 OIS data)
+ExpFFR(16,:) = [0.1 0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.3 0.4 0.5 0.6 0.7];
+%
+% % 2012-Q4 expectations (from 12/31/2012 OIS data)
+ExpFFR(17,:) = [0.1 0.1 0.1 0.1 0.1 0.2 0.2 0.3 0.3 0.4 0.5 0.6 0.8];
+
+% 2013-Q1 expectations (from 3/29/2013 OIS data)
+ExpFFR(18,:) = [0.1 0.1 0.1 0.1 0.2 0.2 0.2 0.3 0.3 0.4 0.5 0.6 0.7];
+
+% 2013-Q2 expectations (from 6/29/2013 OIS data)
+ExpFFR(19,:) = [0.1 0.2 0.2 0.3 0.4 0.5 0.7 0.8 1.0 1.2 1.3 1.5 1.7];
+
+% 2013-Q3 expectations (from 10/3/2013 OIS data)
+ExpFFR(20,:) = [0.1 0.1 0.1 0.2 0.2 0.3 0.4 0.6 0.7 0.9 1.1 1.3 1.5]; 
+
+% 2013-Q4 expectations (from 12/31/2013 OIS data)
+ExpFFR(21,:) = [0.1 0.1 0.1 0.2 0.3 0.4 0.6 0.8 1.0 1.2 1.4 1.7 1.9];
+
+% 2014-Q1 expectations (from 3/31/2014 OIS data)
+ExpFFR(22,:) = [0.1 0.1 0.1 0.2 0.4 0.5 0.7 0.9 1.1 1.4 1.7 1.9 2.2];
+
+% 2014-Q2 expectations (from 6/30/2014 OIS data)
+ExpFFR(23,:) = [0.1 0.1 0.2 0.3 0.4 0.6 0.8 1.0 1.2 1.4 1.7 1.9 2.2];
+
+% 2014-Q3 expectations (from 9/30/2014 OIS data)
+ExpFFR(24,:) = [0.1 0.1	0.2 0.4	0.6 0.9	1.1 1.4	1.6 1.9	2.1 2.3	2.5];
+
+% 2014-Q4 expectations (from 12/31/2014 OIS Data)
+ExpFFR(25,:) = [0.1 0.2 0.4 0.5 0.7 0.9 1.2 1.4 1.6 1.8 1.9 2.1 2.3];
+
+if nant <= size(ExpFFR,2)
+    ExpFFR = ExpFFR(:,1:nant);
+else
+    ExpFFR = [ExpFFR,NaN(antlags+1,nant-size(ExpFFR,2))];
+end
+
+if peachflag
+       xpeachdata_FFR(1,:) = [0.16 0.28 0.44 0.61 0.79 0.98 1.17 1.34 1.51 1.67 NaN];
+
+% This should start with the OIS value for the first quarter AFTER the
+% one you are forecasting. So if you have data until Q2 and you are
+% forecating Q3, the first element of the array should be for Q4. The
+% conditional peachdata file will supply the Q3 value.
+
+    if nant <= size(xpeachdata_FFR,2)
+        for t = 1:psize
+            peachdata_FFR(t,:) = [xpeachdata_FFR(t,1:nant-t),NaN(1,t)];
+        end
+    else
+        peachdata_FFR = [xpeachdata_FFR,NaN(psize,nant-size(xpeachdata_FFR,2))];
+    end
+
+
+else
+    peachdata_FFR = [];
+end