From 2916aa7508ca1f298769f9ea68a1507f747105d8 Mon Sep 17 00:00:00 2001
From: michel <michel@ac1d8469-bf42-47a9-8791-bf33cf982152>
Date: Mon, 2 Nov 2009 07:29:36 +0000
Subject: [PATCH] manual entry + test for conditional variance decomposistion

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3112 ac1d8469-bf42-47a9-8791-bf33cf982152
---
 doc/manual.xml                                |  8 ++++
 .../example1.mod                              | 46 +++++++++++++++++++
 2 files changed, 54 insertions(+)
 create mode 100644 tests/conditional_variance_decomposition/example1.mod

diff --git a/doc/manual.xml b/doc/manual.xml
index 384efcaaf..ad587e20c 100644
--- a/doc/manual.xml
+++ b/doc/manual.xml
@@ -1769,6 +1769,14 @@ The simulated endogenous variables are available in global matrix <varname>oo_.e
     <listitem><para>Use the Anderson-Moore Algorithm (AIM) to compute the decision rules, instead of using Dynare's default method based on a generalized Schur decomposition. This option is only valid for first order approximation. See <ulink url="http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html">AIM website</ulink> for more details on the algorithm.</para>
     </listitem>
   </varlistentry>
+  <varlistentry id="conditional_variance_decomposition">
+    <term><option>conditional_variance_decomposition</option> = <replaceable>INTEGER</replaceable></term></varlistentry>
+ <varlistentry>
+    <term><option>conditional_variance_decomposition</option> = [<replaceable>INTEGER1</replaceable>:<replaceable>INTEGER2</replaceable>]</term></varlistentry>
+ <varlistentry>
+    <term><option>conditional_variance_decomposition</option> = [<replaceable>INTEGER1</replaceable> <replaceable>INTEGER2</replaceable> ...]</term>
+<listitem><para>Computes a conditional variance decomposition for the specified period(s). Conditional variances are given by var(y<subscript>t+k</subscript>|t). For period 1, the conditional variance decomposition provides the decomposition of the effects of shocks upon impact.</para></listitem>
+</varlistentry>    
 </variablelist>
 
 </refsect1>
diff --git a/tests/conditional_variance_decomposition/example1.mod b/tests/conditional_variance_decomposition/example1.mod
new file mode 100644
index 000000000..84429c5b9
--- /dev/null
+++ b/tests/conditional_variance_decomposition/example1.mod
@@ -0,0 +1,46 @@
+// example 1 from Collard's guide to Dynare
+var y, c, k, a, h, b;
+varexo e,u;
+
+parameters beta, rho, alpha, delta, theta, psi, tau, phi;
+
+alpha = 0.36;
+rho   = 0.95;
+tau   = 0.025;
+beta  = 0.99;
+delta = 0.025;
+psi   = 0;
+theta = 2.95;
+
+phi   = 0.1;
+
+model;
+c*theta*h^(1+psi)=(1-alpha)*y;
+k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
+    *(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
+y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
+k = exp(b)*(y-c)+(1-delta)*k(-1);
+a = rho*a(-1)+tau*b(-1) + e;
+b = tau*a(-1)+rho*b(-1) + u;
+end;
+
+initval;
+y = 1.08068253095672;
+c = 0.80359242014163;
+h = 0.29175631001732;
+k = 5;
+a = 0;
+b = 0;
+e = 0;
+u = 0;
+end;
+
+shocks;
+var e; stderr 0.009;
+var u; stderr 0.009;
+//var e, u = phi*0.009*0.009;
+end;
+
+stoch_simul(conditional_variance_decomposition = 100,irf=0);
+
+stoch_simul(conditional_variance_decomposition = [1 2 3 5 10 100],irf=0) a y k;