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Proper use of nodecomposition option in posterior estimation and identification.

time-shift
Marco Ratto 2014-11-18 12:12:22 +01:00
parent ae8cedb24d
commit 3d14c1078e
2 changed files with 15 additions and 11 deletions
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23
matlab/compute_moments_varendo.m
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@ -55,6 +55,7 @@ NumberOfEndogenousVariables = rows(var_list_);
NumberOfExogenousVariables = M_.exo_nbr;
list_of_exogenous_variables = M_.exo_names;
NumberOfLags = options_.ar;
NoDecomposition = options_.nodecomposition;
if isfield(options_,'conditional_variance_decomposition')
Steps = options_.conditional_variance_decomposition;
else
@ -95,18 +96,20 @@ else
end
% VARIANCE DECOMPOSITION.
if M_.exo_nbr > 1
if posterior
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = posterior_analysis('decomposition',var_list_(i,:),M_.exo_names(j,:),[],options_,M_,oo_);
if ~NoDecomposition
if posterior
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = posterior_analysis('decomposition',var_list_(i,:),M_.exo_names(j,:),[],options_,M_,oo_);
end
end
else
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = prior_analysis('decomposition',var_list_(i,:),M_.exo_names(j,:),[],options_,M_,oo_);
end
end
end
else
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = prior_analysis('decomposition',var_list_(i,:),M_.exo_names(j,:),[],options_,M_,oo_);
end
end
end
% CONDITIONAL VARIANCE DECOMPOSITION.
if Steps

3
matlab/getJJ.m
View File

@ -128,7 +128,8 @@ end
if nargout >2,
% sy=sy(mf,mf);
options_.ar=nlags;
[GAM,stationary_vars] = th_autocovariances(oo_.dr,oo_.dr.order_var(mf),M_,options_);
nodecomposition = 1;
[GAM,stationary_vars] = th_autocovariances(oo_.dr,oo_.dr.order_var(mf),M_,options_,nodecomposition);
sy=sqrt(diag(GAM{1}));
sy=sy*sy';
if useautocorr,