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

Provide output on posterior variance decomposition 

Closes #1219
time-shift
Johannes Pfeifer 2016-06-07 16:13:31 +02:00
parent 5ca4204806
commit 59cbee2b56
2 changed files with 50 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

49
matlab/compute_moments_varendo.m
View File

@ -63,6 +63,13 @@ else
Steps = 0;
end
if options_.TeX
var_list_tex='';
for var_iter=1:size(var_list_,1)
var_list_tex=strvcat(var_list_tex,M_.endo_names_tex(strmatch(var_list_(var_iter,:),M_.endo_names,'exact'),:));
end
end
% COVARIANCE MATRIX.
if posterior
for i=1:NumberOfEndogenousVariables
@ -98,35 +105,77 @@ end
% VARIANCE DECOMPOSITION.
if M_.exo_nbr > 1
if ~NoDecomposition
temp=NaN(NumberOfEndogenousVariables,NumberOfExogenousVariables);
if posterior
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = posterior_analysis('decomposition',var_list_(i,:),M_.exo_names(j,:),[],options_,M_,oo_);
temp(i,j)=oo_.PosteriorTheoreticalMoments.dsge.VarianceDecomposition.Mean.(deblank(var_list_(i,:))).(deblank(M_.exo_names(j,:)));
end
end
title='Posterior mean variance decomposition (in percent)';
else
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = prior_analysis('decomposition',var_list_(i,:),M_.exo_names(j,:),[],options_,M_,oo_);
temp(i,j)=oo_.PriorTheoreticalMoments.dsge.VarianceDecomposition.Mean.(deblank(var_list_(i,:))).(deblank(M_.exo_names(j,:)));
end
end
title='Prior mean variance decomposition (in percent)';
end
title=add_filter_subtitle(title,options_);
headers = M_.exo_names;
headers(M_.exo_names_orig_ord,:) = headers;
headers = char(' ',headers);
lh = size(deblank(var_list_),2)+2;
dyntable(options_,title,headers,deblank(var_list_),100* ...
temp,lh,8,2);
if options_.TeX
headers=M_.exo_names_tex;
headers = char(' ',headers);
labels = deblank(var_list_tex);
lh = size(labels,2)+2;
dyn_latex_table(M_,options_,title,'dsge_post_mean_var_decomp_uncond',headers,labels,100*temp,lh,8,2);
end
skipline();
end
% CONDITIONAL VARIANCE DECOMPOSITION.
if Steps
temp=NaN(NumberOfEndogenousVariables,NumberOfExogenousVariables,length(Steps));
if posterior
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = posterior_analysis('conditional decomposition',i,M_.exo_names(j,:),Steps,options_,M_,oo_);
temp(i,j,:)=oo_.PosteriorTheoreticalMoments.dsge.ConditionalVarianceDecomposition.Mean.(deblank(var_list_(i,:))).(deblank(M_.exo_names(j,:)));
end
end
title='Posterior mean conditional variance decomposition (in percent)';
else
for i=1:NumberOfEndogenousVariables
for j=1:NumberOfExogenousVariables
oo_ = prior_analysis('conditional decomposition',var_list_(i,:),M_.exo_names(j,:),Steps,options_,M_,oo_);
temp(i,j,:)=oo_.PriorTheoreticalMoments.dsge.ConditionalVarianceDecomposition.Mean.(deblank(var_list_(i,:))).(deblank(M_.exo_names(j,:)));
end
end
title='Prior mean conditional variance decomposition (in percent)';
end
for step_iter=1:length(Steps)
title_print=[title, ' Period ' int2str(Steps(step_iter))];
headers = M_.exo_names;
headers(M_.exo_names_orig_ord,:) = headers;
headers = char(' ',headers);
lh = size(deblank(var_list_),2)+2;
dyntable(options_,title_print,headers,deblank(var_list_),100* ...
temp(:,:,step_iter),lh,8,2);
if options_.TeX
headers=M_.exo_names_tex;
headers = char(' ',headers);
labels = deblank(var_list_tex);
lh = size(labels,2)+2;
dyn_latex_table(M_,options_,title_print,['dsge_post_mean_var_decomp_cond_h',int2str(Steps(step_iter))],headers,labels,100*temp(:,:,step_iter),lh,8,2);
end
end
skipline();
end
end

2
tests/TeX/fs2000_corr_ME.mod
View File

@ -160,7 +160,7 @@ stderr gy_obs, inv_gamma_pdf, 0.001, inf;
corr gp_obs, gy_obs,normal_pdf, 0, 0.2;
end;
estimation(mode_compute=9,order=1,datafile='../fs2000/fsdat_simul',mode_check,smoother,filter_decomposition,mh_replic=4000, mh_nblocks=1, mh_jscale=0.8,forecast = 8,bayesian_irf,filtered_vars,filter_step_ahead=[1,3],irf=20,moments_varendo,contemporaneous_correlation) m P c e W R k d y;
estimation(mode_compute=9,order=1,datafile='../fs2000/fsdat_simul',mode_check,smoother,filter_decomposition,mh_replic=4000, mh_nblocks=1, mh_jscale=0.8,forecast = 8,bayesian_irf,filtered_vars,filter_step_ahead=[1,3],irf=20,moments_varendo,contemporaneous_correlation,conditional_variance_decomposition=[1 2 4]) m P c e W R k d y;
trace_plot(options_,M_,estim_params_,'PosteriorDensity',1);
trace_plot(options_,M_,estim_params_,'StructuralShock',1,'eps_a')