2017-10-10 10:05:59 +02:00
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function oo_ = disp_th_moments(dr, var_list, M_, options_, oo_)
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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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2020-04-07 12:24:16 +02:00
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% Copyright (C) 2001-2020 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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2014-11-14 17:28:17 +01:00
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nodecomposition = options_.nodecomposition;
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2015-10-13 20:20:33 +02:00
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if options_.one_sided_hp_filter
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2020-06-30 13:47:29 +02:00
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error('disp_th_moments:: theoretical moments incompatible with one-sided HP filter. Use simulated moments instead')
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2015-10-13 20:20:33 +02:00
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end
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2017-10-10 10:05:59 +02:00
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if isempty(var_list)
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var_list = M_.endo_names(1:M_.orig_endo_nbr);
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2009-12-16 18:17:34 +01:00
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end
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2017-10-10 10:05:59 +02:00
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nvar = length(var_list);
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2009-12-16 18:17:34 +01:00
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ivar=zeros(nvar,1);
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for i=1:nvar
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2017-10-10 10:05:59 +02:00
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i_tmp = strmatch(var_list{i}, M_.endo_names, 'exact');
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2009-12-16 18:17:34 +01:00
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if isempty(i_tmp)
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2017-10-10 10:05:59 +02:00
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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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2017-10-10 10:05:59 +02:00
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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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2017-05-27 19:26:12 +02:00
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if options_.order == 2 && ~M_.hessian_eq_zero
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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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2017-09-09 08:42:08 +02:00
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ME_present=0;
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2020-06-26 18:24:33 +02:00
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if ~all(diag(M_.H)==0)
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2020-11-30 17:40:49 +01:00
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if isoctave && octave_ver_less_than('6')
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2019-02-15 16:31:24 +01:00
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[observable_pos_requested_vars,index_subset,index_observables]=intersect_stable(ivar,options_.varobs_id);
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else
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[observable_pos_requested_vars,index_subset,index_observables]=intersect(ivar,options_.varobs_id,'stable');
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end
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2017-09-09 08:42:08 +02:00
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if ~isempty(observable_pos_requested_vars)
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ME_present=1;
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end
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end
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2019-12-20 16:28:06 +01:00
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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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2017-09-09 08:42:08 +02:00
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if ME_present
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ME_Variance=diag(M_.H);
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oo_.variance_decomposition_ME=oo_.variance_decomposition(index_subset,:).*repmat(diag(oo_.var(index_subset,index_subset))./(diag(oo_.var(index_subset,index_subset))+ME_Variance(index_observables)),1,M_.exo_nbr);
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oo_.variance_decomposition_ME(:,end+1)=100-sum(oo_.variance_decomposition_ME,2);
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end
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2014-11-14 17:28:17 +01:00
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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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2017-10-10 10:05:59 +02:00
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title = 'APPROXIMATED THEORETICAL MOMENTS';
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2013-03-17 23:36:43 +01:00
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else
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2017-10-10 10:05:59 +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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2017-10-10 10:05:59 +02:00
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title = add_filter_subtitle(title, options_);
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headers = {'VARIABLE';'MEAN';'STD. DEV.';'VARIANCE'};
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2020-12-23 10:36:59 +01:00
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labels=get_labels_transformed_vars(M_.endo_names,ivar,options_,false);
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2017-10-10 10:05:59 +02:00
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lh = cellofchararraymaxlength(labels)+2;
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dyntable(options_, title, headers, labels, z, lh, 11, 4);
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2015-08-17 13:12:22 +02:00
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if options_.TeX
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2020-12-23 10:36:59 +01:00
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labels=get_labels_transformed_vars(M_.endo_names_tex,ivar,options_,true);
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2017-10-10 10:05:59 +02:00
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lh = cellofchararraymaxlength(labels)+2;
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dyn_latex_table(M_, options_, title, 'th_moments', headers, labels, z, lh, 11, 4);
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2015-08-17 13:12:22 +02:00
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end
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2014-04-07 11:32:39 +02:00
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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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2017-10-10 10:05:59 +02:00
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title = 'APPROXIMATED VARIANCE DECOMPOSITION (in percent)';
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2014-04-07 11:32:39 +02:00
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else
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2017-10-10 10:05:59 +02:00
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title = 'VARIANCE DECOMPOSITION (in percent)';
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2014-04-07 11:32:39 +02:00
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end
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2017-10-10 10:05:59 +02:00
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title = add_filter_subtitle(title, options_);
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2014-04-07 11:32:39 +02:00
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headers = M_.exo_names;
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2017-10-10 10:05:59 +02:00
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headers(M_.exo_names_orig_ord) = headers;
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headers = vertcat(' ', headers);
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2020-12-23 10:36:59 +01:00
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labels=get_labels_transformed_vars(M_.endo_names,ivar(stationary_vars),options_,false);
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lh = cellofchararraymaxlength(labels)+2;
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dyntable(options_, title, headers, labels, 100*oo_.gamma_y{options_.ar+2}(stationary_vars,:), lh, 8, 2);
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2017-09-09 08:42:08 +02:00
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if ME_present
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2020-11-30 17:40:49 +01:00
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if isoctave && octave_ver_less_than('6')
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2019-02-15 16:31:24 +01:00
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[stationary_observables, pos_index_subset] = intersect_stable(index_subset, stationary_vars);
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else
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[stationary_observables, pos_index_subset] = intersect(index_subset, stationary_vars, 'stable');
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end
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2017-10-10 10:05:59 +02:00
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headers_ME = vertcat(headers, 'ME');
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2020-12-23 10:36:59 +01:00
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labels=get_labels_transformed_vars(M_.endo_names,ivar(stationary_observables),options_,false);
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dyntable(options_, [title,' WITH MEASUREMENT ERROR'], headers_ME, labels, ...
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2017-10-10 10:05:59 +02:00
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oo_.variance_decomposition_ME(pos_index_subset,:), lh, 8, 2);
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2017-09-09 08:42:08 +02:00
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end
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2015-08-17 13:12:22 +02:00
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if options_.TeX
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2017-10-10 10:05:59 +02:00
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headers = M_.exo_names_tex;
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headers = vertcat(' ', headers);
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2020-12-23 10:36:59 +01:00
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labels=get_labels_transformed_vars(M_.endo_names_tex,ivar(stationary_vars),options_,true);
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2017-10-10 10:05:59 +02:00
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lh = cellofchararraymaxlength(labels)+2;
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dyn_latex_table(M_, options_, title, 'th_var_decomp_uncond', headers, labels, 100*oo_.gamma_y{options_.ar+2}(stationary_vars,:), lh, 8, 2);
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2017-09-09 08:42:08 +02:00
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if ME_present
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2017-10-10 10:05:59 +02:00
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headers_ME = vertcat(headers, 'ME');
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2020-12-23 10:36:59 +01:00
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labels=get_labels_transformed_vars(M_.endo_names_tex,ivar(stationary_observables),options_,true);
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2017-10-10 10:05:59 +02:00
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dyn_latex_table(M_, options_, [title,' WITH MEASUREMENT ERROR'], ...
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'th_var_decomp_uncond_ME', headers_ME, labels, oo_.variance_decomposition_ME(pos_index_subset,:), lh, 8, 2);
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2017-09-09 08:42:08 +02:00
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end
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2015-08-17 13:12:22 +02:00
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end
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2014-10-31 18:10:39 +01:00
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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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2020-06-30 13:47:29 +02:00
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if ~isempty(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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2017-10-10 10:05:59 +02:00
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[StateSpaceModel.transition_matrix, StateSpaceModel.impulse_matrix] = ...
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kalman_transition_matrix(dr,(1:M_.endo_nbr)',M_.nstatic+(1:M_.nspred)',M_.exo_nbr);
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2014-04-07 11:32:39 +02:00
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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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2017-10-10 10:05:59 +02:00
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StateSpaceModel.measurement_error = M_.H;
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StateSpaceModel.observable_pos = options_.varobs_id;
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[oo_.conditional_variance_decomposition, oo_.conditional_variance_decomposition_ME] = ...
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conditional_variance_decomposition(StateSpaceModel, conditional_variance_steps, ivar);
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2019-03-19 14:26:16 +01:00
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if ~options_.noprint
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2017-10-10 10:05:59 +02:00
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display_conditional_variance_decomposition(oo_.conditional_variance_decomposition, conditional_variance_steps, ivar, M_, options_);
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2017-09-09 08:42:08 +02:00
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if ME_present
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2017-10-10 10:05:59 +02:00
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display_conditional_variance_decomposition(oo_.conditional_variance_decomposition_ME, conditional_variance_steps, ...
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2019-12-20 16:28:06 +01:00
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observable_pos_requested_vars, M_, options_);
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end
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2014-04-07 11:32:39 +02:00
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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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2020-06-30 13:47:29 +02:00
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if isempty(i1)
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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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2019-03-19 14:26:16 +01:00
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if ~options_.nocorr && size(stationary_vars, 1)>0
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2017-10-10 10:05:59 +02:00
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corr = NaN(size(oo_.gamma_y{1}));
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2017-05-30 19:25:30 +02:00
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corr(i1,i1) = oo_.gamma_y{1}(i1,i1)./(sd(i1)*sd(i1)');
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2019-12-20 16:28:06 +01:00
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if options_.contemporaneous_correlation
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2015-08-10 21:36:48 +02:00
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oo_.contemporaneous_correlation = corr;
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end
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2017-05-16 12:42:01 +02:00
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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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2017-10-10 10:05:59 +02:00
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if options_.order==2
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title = 'APPROXIMATED MATRIX OF CORRELATIONS';
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2013-03-18 22:58:06 +01:00
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else
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2017-10-10 10:05:59 +02:00
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title = 'MATRIX OF CORRELATIONS';
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2013-03-18 22:58:06 +01:00
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end
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2017-10-10 10:05:59 +02:00
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title = add_filter_subtitle(title, options_);
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2020-12-23 10:36:59 +01:00
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labels=get_labels_transformed_vars(M_.endo_names,ivar(i1),options_,false);
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2017-10-10 10:05:59 +02:00
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headers = vertcat('Variables', labels);
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lh = cellofchararraymaxlength(labels)+2;
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dyntable(options_, title, headers, labels, corr(i1,i1), lh, 8, 4);
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2015-08-17 13:12:22 +02:00
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if options_.TeX
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2020-12-23 10:36:59 +01:00
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labels=get_labels_transformed_vars(M_.endo_names_tex,ivar(i1),options_,true);
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2017-10-10 10:05:59 +02:00
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headers = vertcat('Variables', labels);
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lh = cellofchararraymaxlength(labels)+2;
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dyn_latex_table(M_, options_, title, 'th_corr_matrix', headers, labels, corr(i1,i1), lh, 8, 4);
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2015-08-17 13:12:22 +02:00
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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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2011-02-04 17:17:48 +01:00
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end
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2017-10-10 10:05:59 +02:00
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2011-02-04 17:17:48 +01:00
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if options_.ar > 0 && size(stationary_vars, 1) > 0
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2020-06-30 13:47:29 +02:00
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z=NaN(length(i1),options_.ar);
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2005-02-18 20:54:39 +01:00
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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
|
2017-05-16 12:42:01 +02:00
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if ~options_.noprint
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2017-05-16 15:10:20 +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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2017-10-10 10:05:59 +02:00
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title = 'APPROXIMATED COEFFICIENTS OF AUTOCORRELATION';
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2013-03-18 22:58:06 +01:00
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else
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2017-10-10 10:05:59 +02:00
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title = 'COEFFICIENTS OF AUTOCORRELATION';
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2013-03-18 22:58:06 +01:00
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end
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2017-10-10 10:05:59 +02:00
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title = add_filter_subtitle(title, options_);
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2020-12-23 10:36:59 +01:00
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labels=get_labels_transformed_vars(M_.endo_names,ivar(i1),options_,false);
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2017-10-10 10:05:59 +02:00
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headers = vertcat('Order ', cellstr(int2str([1:options_.ar]')));
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lh = cellofchararraymaxlength(labels)+2;
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dyntable(options_, title, headers, labels, z, lh, 8, 4);
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2015-08-17 13:12:22 +02:00
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if options_.TeX
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2020-12-23 10:36:59 +01:00
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labels=get_labels_transformed_vars(M_.endo_names_tex,ivar(i1),options_,true);
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2017-10-10 10:05:59 +02:00
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headers = vertcat('Order ', cellstr(int2str([1:options_.ar]')));
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lh = cellofchararraymaxlength(labels)+2;
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dyn_latex_table(M_, options_, title, 'th_autocorr_matrix', headers, labels, z, lh, 8, 4);
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2015-08-17 13:12:22 +02:00
|
|
|
end
|
2017-05-16 15:10:20 +02:00
|
|
|
end
|
2020-12-23 10:36:59 +01:00
|
|
|
end
|