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Add simulated variance decomposition

time-shift
Johannes Pfeifer 2015-08-10 17:05:56 +02:00
parent a524681e40
commit 281e87f807
1 changed files with 70 additions and 13 deletions
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83
matlab/disp_moments.m
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@ -50,19 +50,8 @@ y = y(ivar,options_.drop+1:end)';
m = mean(y);
if options_.hp_filter && ~options.one_sided_hp_filter && ~options_.bandpass.indicator
[hptrend,y] = sample_hp_filter(y,options_.hp_filter);
elseif ~options_.hp_filter && options_.one_sided_hp_filter && ~options_.bandpass.indicator
error('disp_moments:: The one-sided HP filter is not yet available')
elseif ~options_.hp_filter && ~options_.one_sided_hp_filter && options_.bandpass.indicator
data_temp=dseries(y,'0q1');
data_temp=baxter_king_filter(data_temp,options_.bandpass.passband(1),options_.bandpass.passband(2),200);
y=data_temp.data;
elseif ~options_.hp_filter && ~options_.one_sided_hp_filter && ~options_.bandpass.indicator
y = bsxfun(@minus, y, m);
else
error('disp_moments:: You cannot use more than one filter at the same time')
end
% filter series
y=get_filtered_time_series(y,m,options_);
s2 = mean(y.*y);
s = sqrt(s2);
@ -121,4 +110,72 @@ if ar > 0
end
end
if ~options_.nodecomposition
if M_.exo_nbr == 1
oo_.variance_decomposition = 100*ones(nvar,1);
else
oo_.variance_decomposition=zeros(nvar,M_.exo_nbr);
%get starting values
if isempty(M_.endo_histval)
y0 = oo_.dr.ys;
else
y0 = M_.endo_histval;
end
%back out shock matrix used for generating y
i_exo_var = setdiff([1:M_.exo_nbr],find(diag(M_.Sigma_e) == 0)); % find shocks with 0 variance
chol_S = chol(M_.Sigma_e(i_exo_var,i_exo_var)); %decompose rest
shock_mat=zeros(options_.periods,M_.exo_nbr); %initialize
shock_mat(:,i_exo_var)=oo_.exo_simul(:,i_exo_var)/chol_S; %invert construction of oo_.exo_simul from simult.m
for shock_iter=1:length(i_exo_var)
temp_shock_mat=zeros(size(shock_mat));
temp_shock_mat(:,i_exo_var(shock_iter))=shock_mat(:,i_exo_var(shock_iter));
temp_shock_mat(:,i_exo_var) = temp_shock_mat(:,i_exo_var)*chol_S;
y_sim_one_shock = simult_(y0,oo_.dr,temp_shock_mat,options_.order);
y_sim_one_shock=y_sim_one_shock(ivar,1+options_.drop+1:end)';
y_sim_one_shock=get_filtered_time_series(y_sim_one_shock,mean(y_sim_one_shock),options_);
oo_.variance_decomposition(:,i_exo_var(shock_iter))=var(y_sim_one_shock)./s2*100;
end
if ~options_.noprint %options_.nomoments == 0
skipline()
title='VARIANCE DECOMPOSITION SIMULATING ONE SHOCK AT A TIME (in percent)';
if options_.hp_filter
title = [title ' (HP filter, lambda = ' ...
num2str(options_.hp_filter) ')'];
end
headers = M_.exo_names;
headers(M_.exo_names_orig_ord,:) = headers;
headers = char(' ',headers);
lh = size(deblank(M_.endo_names(ivar,:)),2)+2;
dyntable(title,char(headers,'Total linear contrib.'),deblank(M_.endo_names(ivar,:)),[oo_.variance_decomposition sum(oo_.variance_decomposition,2)],lh,8,2);
if options_.order == 1
fprintf('Note: numbers do not add up to 100 due to non-zero correlation of simulated shocks in small samples\n\n')
else
fprintf('Note: numbers do not add up to 100 due to i) non-zero correlation of simulated shocks in small samples and ii) nonlinearity\n\n')
end
end
end
end
warning(warning_old_state);
end
function y=get_filtered_time_series(y,m,options_)
if options_.hp_filter && ~options.one_sided_hp_filter && ~options_.bandpass.indicator
[hptrend,y] = sample_hp_filter(y,options_.hp_filter);
elseif ~options_.hp_filter && options_.one_sided_hp_filter && ~options_.bandpass.indicator
error('disp_moments:: The one-sided HP filter is not yet available')
elseif ~options_.hp_filter && ~options_.one_sided_hp_filter && options_.bandpass.indicator
data_temp=dseries(y,'0q1');
data_temp=baxter_king_filter(data_temp,options_.bandpass.passband(1),options_.bandpass.passband(2),200);
y=data_temp.data;
elseif ~options_.hp_filter && ~options_.one_sided_hp_filter && ~options_.bandpass.indicator
y = bsxfun(@minus, y, m);
else
error('disp_moments:: You cannot use more than one filter at the same time')
end
end