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v4: update of shock decomposition code 

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2847 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2009-07-17 05:38:19 +00:00
parent 20747649ea
commit 4f09fc89f0
2 changed files with 21 additions and 11 deletions
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17
matlab/graph_decomp.m
View File

@ -1,4 +1,4 @@
function []=graph_decomp(z,varlist,initial_period,freq)
function []=graph_decomp(z,shock_names,varlist,initial_date)
%function []=graph_decomp(z,varlist,initial_period,freq)
% Copyright (C) 2009 Dynare Team
@ -19,13 +19,16 @@ function []=graph_decomp(z,varlist,initial_period,freq)
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_
exo_nbr = M_.exo_nbr;
% number of components equals number of shocks + 1 (initial conditions)
comp_nbr = size(z,2)-1;
gend = size(z,3);
freq = initial_date.freq;
initial_period = initial_date.period + initial_date.sub_period/freq;
x = initial_period-1/freq:(1/freq):initial_period+(gend-1)/freq;
[i_var,nvar] = varlist_indices(varlist);
for j=1:nvar;
for j=1:nvar
z1 = squeeze(z(i_var(j),:,:));
xmin = x(1);
xmax = x(end);
@ -45,7 +48,7 @@ function []=graph_decomp(z,varlist,initial_period,freq)
i_1 = i-1;
yp = 0;
ym = 0;
for k = 1:exo_nbr+1
for k = 1:comp_nbr
zz = z1(k,i);
if zz > 0
fill([x(i) x(i) x(i+1) x(i+1)],[yp yp+zz yp+zz yp],k);
@ -65,10 +68,10 @@ function []=graph_decomp(z,varlist,initial_period,freq)
axis off;
hold on;
y1 = 0;
height = 1/(exo_nbr+1);
labels = strvcat(M_.exo_names,'Initial values');
height = 1/comp_nbr;
labels = strvcat(shock_names,'Initial values');
for j=1:exo_nbr+1
for j=1:comp_nbr
fill([0 0 0.2 0.2],[y1 y1+0.7*height y1+0.7*height y1],j);
hold on
text(0.3,y1+0.3*height,labels(j,:),'Interpreter','none');

15
matlab/shock_decomposition.m
View File

@ -1,4 +1,4 @@
function z = shock_decomposition(M_,oo_,varlist)
function oo_ = shock_decomposition(M_,oo_,options_,varlist)
% function z = shock_decomposition(R,epsilon,varlist)
% Computes shocks contribution to a simulated trajectory
%
@ -33,7 +33,7 @@ function z = shock_decomposition(M_,oo_,varlist)
% number of variables
endo_nbr = M_.endo_nbr;
% number of shocks
% number of shocks
nshocks = M_.exo_nbr;
% indices of endogenous variables
@ -64,6 +64,7 @@ function z = shock_decomposition(M_,oo_,varlist)
maximum_lag = M_.maximum_lag;
lead_lag_incidence = M_.lead_lag_incidence;
for i=1:gend
if i > 1 & i <= maximum_lag+1
lags = min(i-1,maximum_lag):-1:1;
@ -79,9 +80,15 @@ function z = shock_decomposition(M_,oo_,varlist)
lags = lags+1;
end
z(:,1:nshocks,i) = z(:,1:nshocks,i) + B(inv_order_var,:).*repmat(epsilon(:,i)',nvar,1);
z(:,1:nshocks,i) = z(:,1:nshocks,i) + B(inv_order_var,:).*repmat(epsilon(:,i)',endo_nbr,1);
z(:,nshocks+1,i) = z(:,nshocks+2,i) - sum(z(:,1:nshocks,i),2);
end
oo_.shock_decomposition = z;
options_.initial_date.freq = 1;
options_.initial_date.period = 1;
options_.initial_date.sub_period = 0;
graph_decomp(z,M_.exo_names,varlist,options_.initial_date)