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Corrections related to the impulse response functions. 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@473 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
adjemian 2005-10-01 12:59:40 +00:00
parent 71df1c6aa1
commit 0393e5e187
3 changed files with 10 additions and 18 deletions
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16
matlab/irf.m
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@ -2,19 +2,16 @@ function y_=irf(dr, e1, long_, drop_, replic, iorder)
global M_ oo_ options_
old_iter = options_.periods;
options_.periods = long_;
options_.periods = long_+1;
temps = repmat(dr.ys,1,M_.maximum_lag);
y_ = 0;
if iorder == 1
options_.periods = long_;
y1_ = repmat(dr.ys,1,options_.periods);
y1_ = repmat(dr.ys,1,long_);
ex2_ = zeros(options_.periods,M_.exo_nbr);
ex2_(1,:) = e1';
y2_ = simult_(repmat(dr.ys,1,M_.maximum_lag),dr,ex2_,iorder);
y_ = y2_(:,M_.maximum_lag:end)-y1_;% <-- y2_(:,M_.maximum_lag+1:end)-y1_
y_ = y2_(:,M_.maximum_lag+1:end)-y1_;
else
% eliminate shocks with 0 variance
i_exo_var = setdiff([1:M_.exo_nbr],find(diag(M_.Sigma_e) == 0 ));
@ -22,7 +19,6 @@ function y_=irf(dr, e1, long_, drop_, replic, iorder)
ex1_ = zeros(long_+drop_+M_.maximum_lag,M_.exo_nbr);
ex2_ = ex1_;
chol_S = chol(M_.Sigma_e(i_exo_var,i_exo_var));
for j = 1: replic
randn('seed',j);
ex1_(:,i_exo_var) = randn(long_+drop_+M_.maximum_lag,nxs)*chol_S;
@ -36,6 +32,4 @@ function y_=irf(dr, e1, long_, drop_, replic, iorder)
end
options_.periods = old_iter;
% 01/18/02 MJ corrected for many lags
% 03/11/22 MJ input is now entire shock vector e1 (for orthogonalized IRFs)
% 03/11/22 MJ input is now entire shock vector e1 (for orthogonalized IRFs)

9
matlab/simult_.m
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@ -23,22 +23,21 @@ global M_ options_ it_
[junk, k5] = sort(dr.order_var(o1:o2));
[junk, k6] = sort(dr.order_var(o3:end));
end
if iorder == 1
if iorder == 1
for i = M_.maximum_lag+1: iter+M_.maximum_lag
tempx1 = y_(dr.order_var,k1);
tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
tempx = tempx2(k2);
if options_.simul_algo == 0
y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*tempx+dr.ghu* ...
ex_(i+M_.maximum_lag-M_.maximum_lag,:)';
ex_(i-M_.maximum_lag,:)';
elseif options_.simul_algo == 1
it_ = i;
m = dr.ys(dr.order_var);
[y_(:,i), check] = dynare_solve('ff_simul1',y_(:,i-1),tempx1(k3), ...
m(o3:end),tempx(k4),o1,o2,o3,k6);
end
k1 = k1+1;
end
elseif iorder == 2
@ -46,7 +45,7 @@ global M_ options_ it_
tempx1 = y_(dr.order_var,k1);
tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
tempx = tempx2(k2);
tempu = ex_(i+M_.maximum_lag-M_.maximum_lag,:)';
tempu = ex_(i-M_.maximum_lag,:)';
tempuu = kron(tempu,tempu);
if options_.simul_algo == 0
tempxx = kron(tempx,tempx);

3
matlab/stoch_simul.m
View File

@ -150,7 +150,6 @@ global it_
end
end
number_of_plots_to_draw = size(irfs,1);
number_of_plots_to_draw
[nbplt,nr,nc,lr,lc,nstar] = pltorg(number_of_plots_to_draw);
if nbplt == 0
elseif nbplt == 1
@ -298,4 +297,4 @@ global it_
% 11/22/03 MJ replaced IRFs by orthogonalized IRFs
% 08/30/04 SA The maximum number of plots is not constrained for the IRFs and
% all the plots are saved in *.eps, *.pdf and *.fig files (added
% 09/03/04 SA Tex output for IRFs added
% 09/03/04 SA Tex output for IRFs added