Added theoretical spectral density (in stoch_simul.m)

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@778 ac1d8469-bf42-47a9-8791-bf33cf982152

matlab/UnivariateSpectralDensity.m

@@ -0,0 +1,127 @@
+% stephane.adjemian@ens.fr
+function [omega,f] = UnivariateSpectralDensity(dr,var_list)
+% This function computes the theoretical spectral density of each
+% endogenous variable declared in var_list. Results are stored in 
+% oo_ and may be plotted.
+% 
+% Adapted from th_autocovariances.m.  
+global options_ oo_ M_
+
+omega = []; f = [];
+
+if options_.order > 1
+  disp('UnivariateSpectralDensity :: I Cannot compute the theoretical spectral density') 
+  disp('with a second order approximation of the DSGE model!')
+  disp('Set order = 1.')
+  return
+end
+
+pltinfo  = 1;%options_.SpectralDensity.Th.plot;
+cutoff   = 100;%options_.SpectralDensity.Th.cutoff;
+sdl      = 0.1;%options_.SepctralDensity.Th.sdl;
+omega    = (0:sdl:pi)';
+GridSize = length(omega);
+exo_names_orig_ord  = M_.exo_names_orig_ord;
+if sscanf(version('-release'),'%d') < 13
+  warning off
+else
+  eval('warning off MATLAB:dividebyzero')
+end
+if nargin<2
+  var_list = [];
+end
+nvar = size(var_list,1);
+if nvar == 0
+  nvar = length(dr.order_var);
+  ivar = [1:nvar]';
+else
+    ivar=zeros(nvar,1);
+    for i=1:nvar
+      i_tmp = strmatch(var_list(i,:),M_.endo_names,'exact');
+      if isempty(i_tmp)
+      	error (['One of the variable specified does not exist']) ;
+      else
+	ivar(i) = i_tmp;
+      end
+    end
+end
+f = zeros(nvar,GridSize);
+ghx = dr.ghx;
+ghu = dr.ghu;
+npred = dr.npred;
+nstatic = dr.nstatic;
+kstate = dr.kstate;
+order = dr.order_var;
+iv(order) = [1:length(order)];
+nx = size(ghx,2);
+ikx = [nstatic+1:nstatic+npred];
+A = zeros(nx,nx);
+k0 = kstate(find(kstate(:,2) <= M_.maximum_lag+1),:);
+i0 = find(k0(:,2) == M_.maximum_lag+1);
+i00 = i0;
+n0 = length(i0);
+A(i0,:) = ghx(ikx,:);
+AS = ghx(:,i0);
+ghu1 = zeros(nx,M_.exo_nbr);
+ghu1(i0,:) = ghu(ikx,:);
+for i=M_.maximum_lag:-1:2
+  i1 = find(k0(:,2) == i);
+  n1 = size(i1,1);
+  j1 = zeros(n1,1);
+  j2 = j1;
+  for k1 = 1:n1
+    j1(k1) = find(k0(i00,1)==k0(i1(k1),1));
+    j2(k1) = find(k0(i0,1)==k0(i1(k1),1));
+  end
+  AS(:,j1) = AS(:,j1)+ghx(:,i1);
+  i0 = i1;
+end
+b = ghu1*M_.Sigma_e*ghu1';
+[A,B] = kalman_transition_matrix(dr);
+% index of predetermined variables in A
+i_pred = [nstatic+(1:npred) M_.endo_nbr+1:length(A)];
+A = A(i_pred,i_pred);
+[vx, ns_var] =  lyapunov_symm(A,b);
+i_ivar = find(~ismember(ivar,dr.order_var(ns_var+nstatic)));
+ivar = ivar(i_ivar);
+iky = iv(ivar);  
+aa = ghx(iky,:);
+bb = ghu(iky,:);
+Gamma = zeros(nvar,cutoff+1);
+tmp = aa*vx*aa'+ bb*M_.Sigma_e*bb';
+k = find(abs(tmp) < 1e-12);
+tmp(k) = 0;
+Gamma(:,1) = diag(tmp);
+vxy = (A*vx*aa'+ghu1*M_.Sigma_e*bb');
+tmp = aa*vxy;
+k = find(abs(tmp) < 1e-12);
+tmp(k) = 0;
+Gamma(:,2) = diag(tmp);
+for i=2:cutoff
+  vxy = A*vxy;
+  tmp = aa*vxy;
+  k = find(abs(tmp) < 1e-12);
+  tmp(k) = 0;
+  Gamma(:,i+1) = diag(tmp);
+end
+H = 1:cutoff;
+for i=1:nvar
+  f(i,:) = Gamma(i,1)/(2*pi) + Gamma(i,H+1)*cos(H'*omega')/pi;
+end  
+
+if sscanf(version('-release'),'%d') < 13
+  warning on
+else
+  eval('warning on MATLAB:dividebyzero')
+end
+
+if pltinfo
+  for i= 1:nvar
+    figure('Name',['Spectral Density of ' deblank(M_.endo_names(ivar(i),:)) '.'])
+    plot(omega,f(i,:),'-k','linewidth',2)
+    xlabel('0 \leq \omega \leq \pi')
+    ylabel('f(\omega)')
+    box on
+    axis tight
+  end
+end

matlab/dynare_estimation.m

@@ -694,7 +694,7 @@ if (any(bayestopt_.pshape  >0 ) & options_.mh_replic) | ...
   metropolis_draw(1);
   if options_.bayesian_irf
     PosteriorIRF('posterior');
-  end  
+  end
   return
   
 end
@@ -1157,7 +1157,11 @@ if ~((any(bayestopt_.pshape > 0) & options_.mh_replic) | (any(bayestopt_.pshape
       fclose(fidTeX);
     end    
   end
-end %	<--	if ML estimation, posterior mode without metropolis-hastings or metropolis 
+end 
+
+
+
+%	<--	if ML estimation, posterior mode without metropolis-hastings or metropolis 
     %		without bayesian posterior forecasts.
 
 % SA 07-31-2004		* Added TeX output.

matlab/stoch_simul.m

@@ -270,3 +270,7 @@ global it_
       fclose(fidTeX);
     end
   end
+
+  
+
+  [omega,f] = UnivariateSpectralDensity(oo_.dr,var_list);