2005-02-18 20:54:39 +01:00
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function disp_th_moments(dr,var_list)
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Fixes for ticket #57
preprocessor:
* add a field "M_.orig_endo_nbr" containing the nbr of endogenous before adding aux vars
* always provide "M_.aux_vars" (define it to "[]" when there is no aux var)
* rename "M_.aux_vars().orig_endo_index" to "M_.aux_vars().orig_index"
M-files:
* for commands which accept a list of variables (stoch_simul, osr, estimation, dynasave, dynatype, datatomfile), when no variable is given, use only the set of original endogenous (without aux vars) as the default
* when displaying the decision rule, when there is aux vars in the state variables, replace them by their original name (with the right lag)
* in "steady", don't display aux vars
* special exception for ramsey policy: all vars (including aux vars) are displayed, because the system of aux vars from ramsey policy is not compatible with the aux vars from the preprocessor
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3166 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-11-25 11:22:39 +01:00
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% Display theoretical moments of variables
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2009-12-16 18:17:34 +01:00
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Fixes for ticket #57
preprocessor:
* add a field "M_.orig_endo_nbr" containing the nbr of endogenous before adding aux vars
* always provide "M_.aux_vars" (define it to "[]" when there is no aux var)
* rename "M_.aux_vars().orig_endo_index" to "M_.aux_vars().orig_index"
M-files:
* for commands which accept a list of variables (stoch_simul, osr, estimation, dynasave, dynatype, datatomfile), when no variable is given, use only the set of original endogenous (without aux vars) as the default
* when displaying the decision rule, when there is aux vars in the state variables, replace them by their original name (with the right lag)
* in "steady", don't display aux vars
* special exception for ramsey policy: all vars (including aux vars) are displayed, because the system of aux vars from ramsey policy is not compatible with the aux vars from the preprocessor
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3166 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-11-25 11:22:39 +01:00
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% Copyright (C) 2001-2009 Dynare Team
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2008-08-01 20:53:30 +02:00
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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2009-12-16 18:17:34 +01:00
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global M_ oo_ options_
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if size(var_list,1) == 0
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var_list = M_.endo_names(1:M_.orig_endo_nbr, :);
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end
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nvar = size(var_list,1);
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ivar=zeros(nvar,1);
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for i=1:nvar
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i_tmp = strmatch(var_list(i,:),M_.endo_names,'exact');
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if isempty(i_tmp)
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2010-01-05 11:46:10 +01:00
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error (['One of the variable specified does not exist']) ;
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2009-12-16 18:17:34 +01:00
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else
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2010-01-05 11:46:10 +01:00
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ivar(i) = i_tmp;
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2005-02-18 20:54:39 +01:00
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end
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2009-12-16 18:17:34 +01:00
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end
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[oo_.gamma_y,stationary_vars] = th_autocovariances(dr,ivar,M_,options_);
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m = dr.ys(ivar);
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non_stationary_vars = setdiff(1:length(ivar),stationary_vars);
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ivar1 = intersect(non_stationary_vars,ivar);
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m(ivar1) = NaN;
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2005-02-18 20:54:39 +01:00
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2009-12-16 18:17:34 +01:00
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i1 = find(abs(diag(oo_.gamma_y{1})) > 1e-12);
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s2 = diag(oo_.gamma_y{1});
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sd = sqrt(s2);
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if options_.order == 2
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2005-02-18 20:54:39 +01:00
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m = m+oo_.gamma_y{options_.ar+3};
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2009-12-16 18:17:34 +01:00
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end
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z = [ m sd s2 ];
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oo_.mean = m;
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oo_.var = oo_.gamma_y{1};
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2010-01-15 10:55:05 +01:00
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if ~options_.noprint %options_.nomoments == 0
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2005-02-18 20:54:39 +01:00
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title='THEORETICAL MOMENTS';
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2008-11-04 12:00:54 +01:00
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if options_.hp_filter
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2009-12-16 18:17:34 +01:00
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title = [title ' (HP filter, lambda = ' int2str(options_.hp_filter) ')'];
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2005-02-18 20:54:39 +01:00
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end
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headers=strvcat('VARIABLE','MEAN','STD. DEV.','VARIANCE');
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2009-07-04 16:11:51 +02:00
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labels = deblank(M_.endo_names(ivar,:));
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lh = size(labels,2)+2;
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dyntable(title,headers,labels,z,lh,11,4);
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2005-02-18 20:54:39 +01:00
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if M_.exo_nbr > 1
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2009-12-16 18:17:34 +01:00
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disp(' ')
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title='VARIANCE DECOMPOSITION (in percent)';
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if options_.hp_filter
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title = [title ' (HP filter, lambda = ' ...
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int2str(options_.hp_filter) ')'];
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end
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headers = M_.exo_names;
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headers(M_.exo_names_orig_ord,:) = headers;
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headers = strvcat(' ',headers);
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lh = size(deblank(M_.endo_names(ivar(stationary_vars),:)),2)+2;
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dyntable(title,headers,deblank(M_.endo_names(ivar(stationary_vars), ...
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:)),100*oo_.gamma_y{options_.ar+2}(stationary_vars,:),lh,8,2);
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2005-02-18 20:54:39 +01:00
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end
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2009-10-29 18:16:10 +01:00
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conditional_variance_steps = options_.conditional_variance_decomposition;
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if length(conditional_variance_steps)
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oo_ = display_conditional_variance_decomposition(conditional_variance_steps,...
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ivar,dr,M_, ...
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options_,oo_);
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end
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2009-12-16 18:17:34 +01:00
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end
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if options_.nocorr == 0
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2010-01-15 10:55:05 +01:00
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corr = oo_.gamma_y{1}(i1,i1)./(sd(i1)*sd(i1)');
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if ~options_.noprint,
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2005-02-18 20:54:39 +01:00
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disp(' ')
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title='MATRIX OF CORRELATIONS';
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2008-11-04 12:00:54 +01:00
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if options_.hp_filter
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2009-12-16 18:17:34 +01:00
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title = [title ' (HP filter, lambda = ' int2str(options_.hp_filter) ')'];
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2005-02-18 20:54:39 +01:00
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end
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2009-07-04 16:11:51 +02:00
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labels = deblank(M_.endo_names(ivar(i1),:));
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headers = strvcat('Variables',labels);
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lh = size(labels,2)+2;
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dyntable(title,headers,labels,corr,lh,8,4);
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2005-02-18 20:54:39 +01:00
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end
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2010-01-15 10:55:05 +01:00
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end
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if options_.ar > 0
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2005-02-18 20:54:39 +01:00
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z=[];
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for i=1:options_.ar
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2009-12-16 18:17:34 +01:00
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oo_.autocorr{i} = oo_.gamma_y{i+1};
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z(:,i) = diag(oo_.gamma_y{i+1}(i1,i1));
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2005-02-18 20:54:39 +01:00
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end
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2010-01-15 10:55:05 +01:00
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if ~options_.noprint,
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disp(' ')
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title='COEFFICIENTS OF AUTOCORRELATION';
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if options_.hp_filter
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title = [title ' (HP filter, lambda = ' int2str(options_.hp_filter) ')'];
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end
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labels = deblank(M_.endo_names(ivar(i1),:));
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headers = strvcat('Order ',int2str([1:options_.ar]'));
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lh = size(labels,2)+2;
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dyntable(title,headers,labels,z,lh,8,4);
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end
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2009-12-16 18:17:34 +01:00
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end
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