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v4.1: Added SquareRoot mode for the decomposition of the covariance matrix (Cholesky is the default). Results are saved in oo_. 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2088 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
adjemian 2008-09-19 16:04:08 +00:00
parent 03ac5d9032
commit 082e7e3292
1 changed files with 33 additions and 2 deletions
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35
matlab/bvar_irf.m
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@ -1,9 +1,9 @@
function bvar_irf(nlags,varagin)
function bvar_irf(nlags,identification)
% builds IRFs for a bvar model
%
% INPUTS
% nlags [integer] number of lags for the bvar
% identification [string] identification scheme ('cholesky')
% identification [string] identification scheme ('Cholesky' or 'SquareRoot')
%
% OUTPUTS
% none
@ -30,6 +30,10 @@ function bvar_irf(nlags,varagin)
global options_ oo_ M_
if nargin==1
identification = 'Cholesky';
end
options_ = set_default_option(options_, 'bvar_replic', 2000);
[ny, nx, posterior, prior] = bvar_toolbox(nlags);
@ -71,6 +75,12 @@ function bvar_irf(nlags,varagin)
p = p+1;
end
if strcmpi(identification,'Cholesky')
StructuralMat = Sigma_lower_chol;
elseif strcmpi(identification,'SquareRoot')
StructuralMat = sqrtm(Sigma);
end
% Build the IRFs...
lags_data = zeros(ny,ny*nlags) ;
sampled_irfs(:,:,1,draw) = Sigma_lower_chol ;
@ -103,6 +113,7 @@ function bvar_irf(nlags,varagin)
number_of_columns = fix(sqrt(ny));
number_of_rows = ceil(ny / number_of_columns) ;
% Plots of the IRFs
for shock=1:ny
figure('Name',['Posterior BVAR Impulse Responses (shock in equation ' int2str(shock) ').']);
for variable=1:ny
@ -118,4 +129,24 @@ function bvar_irf(nlags,varagin)
axis tight
hold off
end
end
% Save intermediate results
DirectoryName = [ M_.fname '/bvar_irf' ];
if ~isdir(DirectoryName)
mkdir('.',DirectoryName);
end
save([ DirectoryName '/simulations.mat'], 'sampled_irfs');
% Save results in oo_
for i=1:ny
shock_name = options_.varobs(i, :);
for j=1:ny
variable_name = options_.varobs(j, :);
eval(['oo_.bvar.irf.Mean.' variable_name '.' shock_name ' = posterior_mean_irfs(' int2str(j) ',' int2str(i) ',:);'])
eval(['oo_.bvar.irf.Median.' variable_name '.' shock_name ' = posterior_median_irfs(' int2str(j) ',' int2str(i) ',:);'])
eval(['oo_.bvar.irf.Var.' variable_name '.' shock_name ' = posterior_variance_irfs(' int2str(j) ',' int2str(i) ',:);'])
eval(['oo_.bvar.irf.Upper_bound.' variable_name '.' shock_name ' = posterior_up_conf_irfs(' int2str(j) ',' int2str(i) ',:);'])
eval(['oo_.bvar.irf.Lower_bound.' variable_name '.' shock_name ' = posterior_down_conf_irfs(' int2str(j) ',' int2str(i) ',:);'])
end
end