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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2013-06-12 16:42:09 +02:00
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% Copyright (C) 2001-2013 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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2014-11-14 17:28:17 +01:00
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nodecomposition = options_.nodecomposition;
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2009-12-16 18:17:34 +01:00
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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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2014-11-14 17:28:17 +01:00
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[oo_.gamma_y,stationary_vars] = th_autocovariances(dr,ivar,M_,options_, nodecomposition);
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2009-12-16 18:17:34 +01:00
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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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2010-10-11 12:24:16 +02:00
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m(non_stationary_vars) = 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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2014-10-31 18:10:39 +01:00
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if size(stationary_vars, 1) > 0
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2014-11-14 17:28:17 +01:00
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if ~nodecomposition
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oo_.variance_decomposition=100*oo_.gamma_y{options_.ar+2};
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end
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2014-04-07 11:32:39 +02:00
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if ~options_.noprint %options_.nomoments == 0
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2013-03-17 23:36:43 +01:00
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if options_.order == 2
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2014-04-07 11:32:39 +02:00
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title='APROXIMATED THEORETICAL MOMENTS';
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2013-03-17 23:36:43 +01:00
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else
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2014-04-07 11:32:39 +02:00
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title='THEORETICAL MOMENTS';
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2013-03-17 23:36:43 +01:00
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end
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2009-12-16 18:17:34 +01:00
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if options_.hp_filter
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2014-04-07 11:32:39 +02:00
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title = [title ' (HP filter, lambda = ' num2str(options_.hp_filter) ')'];
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2009-12-16 18:17:34 +01:00
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end
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2014-04-07 11:32:39 +02:00
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headers=char('VARIABLE','MEAN','STD. DEV.','VARIANCE');
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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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2014-11-14 17:28:17 +01:00
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if M_.exo_nbr > 1 && ~nodecomposition
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2014-10-31 18:10:39 +01:00
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skipline()
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2014-04-07 11:32:39 +02:00
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if options_.order == 2
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title='APPROXIMATED VARIANCE DECOMPOSITION (in percent)';
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else
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title='VARIANCE DECOMPOSITION (in percent)';
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end
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if options_.hp_filter
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title = [title ' (HP filter, lambda = ' ...
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num2str(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 = char(' ',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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2014-10-31 18:10:39 +01:00
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:)),100* ...
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oo_.gamma_y{options_.ar+2}(stationary_vars,:),lh,8,2);
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end
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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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2014-04-07 11:32:39 +02:00
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StateSpaceModel.number_of_state_equations = M_.endo_nbr;
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StateSpaceModel.number_of_state_innovations = M_.exo_nbr;
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StateSpaceModel.sigma_e_is_diagonal = M_.sigma_e_is_diagonal;
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[StateSpaceModel.transition_matrix,StateSpaceModel.impulse_matrix] = kalman_transition_matrix(dr,(1:M_.endo_nbr)',M_.nstatic+(1:M_.nspred)',M_.exo_nbr);
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StateSpaceModel.state_innovations_covariance_matrix = M_.Sigma_e;
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StateSpaceModel.order_var = dr.order_var;
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oo_.conditional_variance_decomposition = conditional_variance_decomposition(StateSpaceModel,conditional_variance_steps,ivar);
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if options_.noprint == 0
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display_conditional_variance_decomposition(oo_.conditional_variance_decomposition,conditional_variance_steps,...
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ivar,M_,options_);
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end
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2009-10-29 18:16:10 +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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2011-08-29 17:35:35 +02:00
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if length(i1) == 0
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2013-07-10 17:12:34 +02:00
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skipline()
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2011-08-29 17:35:35 +02:00
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disp('All endogenous are constant or non stationary, not displaying correlations and auto-correlations')
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2013-07-10 17:12:34 +02:00
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skipline()
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return
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2011-08-29 17:35:35 +02:00
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end
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2010-10-11 12:30:19 +02:00
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if options_.nocorr == 0 && size(stationary_vars, 1) > 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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2013-07-10 17:12:34 +02:00
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skipline()
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2013-03-18 22:58:06 +01:00
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if options_.order == 2
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title='APPROXIMATED MATRIX OF CORRELATIONS';
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else
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title='MATRIX OF CORRELATIONS';
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end
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2011-02-04 17:17:48 +01:00
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if options_.hp_filter
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2011-09-08 17:29:49 +02:00
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title = [title ' (HP filter, lambda = ' num2str(options_.hp_filter) ')'];
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2011-02-04 17:17:48 +01:00
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end
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labels = deblank(M_.endo_names(ivar(i1),:));
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headers = char('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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2011-02-04 17:17:48 +01:00
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end
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if options_.ar > 0 && size(stationary_vars, 1) > 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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2013-07-10 17:12:34 +02:00
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skipline()
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2013-03-18 22:58:06 +01:00
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if options_.order == 2
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title='APPROXIMATED COEFFICIENTS OF AUTOCORRELATION';
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else
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title='COEFFICIENTS OF AUTOCORRELATION';
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end
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2011-02-04 17:17:48 +01:00
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if options_.hp_filter
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2011-09-08 17:29:49 +02:00
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title = [title ' (HP filter, lambda = ' num2str(options_.hp_filter) ')'];
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2011-02-04 17:17:48 +01:00
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end
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labels = deblank(M_.endo_names(ivar(i1),:));
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headers = char('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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