stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Save skewness and kurtosis when simulated moments are requested 

Closes #1157
time-shift
Johannes Pfeifer 2016-04-06 09:23:54 +02:00
parent 6e514b7d1b
commit 358ba0181c
2 changed files with 16 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

15
doc/dynare.texi
View File

@ -3990,7 +3990,8 @@ Default: do not request spectral density estimates
This command sets @code{oo_.dr}, @code{oo_.mean}, @code{oo_.var} and
@code{oo_.autocorr}, which are described below.
If option @code{periods} is present, sets @code{oo_.endo_simul}
If option @code{periods} is present, sets @code{oo_.skewness},
@code{oo_.kurtosis}, and @code{oo_.endo_simul}
(@pxref{oo_.endo_simul}), and also saves the simulated variables in
MATLAB/Octave vectors of the global workspace with the same name as
the endogenous variables.
@ -4043,6 +4044,18 @@ and simulated variance
otherwise. The variables are arranged in declaration order.
@end defvr
@defvr {MATLAB/Octave variable} oo_.skewness
After a run of @code{stoch_simul} contains the skewness (standardized third moment)
of the simulated variables if the @code{periods} option is present.
The variables are arranged in declaration order.
@end defvr
@defvr {MATLAB/Octave variable} oo_.kurtosis
After a run of @code{stoch_simul} contains the kurtosis (standardized fourth moment)
of the simulated variables if the @code{periods} option is present.
The variables are arranged in declaration order.
@end defvr
@anchor{oo_.autocorr}
@defvr {MATLAB/Octave variable} oo_.autocorr
After a run of @code{stoch_simul}, contains a cell array of the

2
matlab/disp_moments.m
View File

@ -57,6 +57,8 @@ s2 = mean(y.*y);
s = sqrt(s2);
oo_.mean = transpose(m);
oo_.var = y'*y/size(y,1);
oo_.skewness = (mean(y.^3)./s2.^1.5)';
oo_.kurtosis = (mean(y.^4)./(s2.*s2)-3)';
labels = deblank(M_.endo_names(ivar,:));
labels_TeX = deblank(M_.endo_names_tex(ivar,:));