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IRF: add an option to limit the exogenous shocked in the computations (ticket 114)

time-shift
Houtan Bastani 2011-03-31 16:33:47 +02:00
parent ade0545625
commit 865dcb57f8
8 changed files with 52 additions and 4 deletions
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4
doc/dynare.texi
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@ -2782,6 +2782,10 @@ increase it for highly autocorrelated processes. Default: @code{512}.
Number of periods on which to compute the IRFs. Setting @code{irf=0},
suppresses the plotting of IRF's. Default: @code{40}.
@item irf_shocks = ( @var{VARIABLE_NAME} [@var{VARIABLE_NAME} @dots{}] )
@anchor{irf_shocks}
The exogenous variables for which to compute IRFs. Default: all.
@item relative_irf
Requests the computation of normalized IRFs in percentage of the
standard error of each shock.

3
matlab/PosteriorIRF_core1.m
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@ -161,7 +161,8 @@ while fpar<npar
end
SS(M_.exo_names_orig_ord,M_.exo_names_orig_ord) = M_.Sigma_e+1e-14*eye(M_.exo_nbr);
SS = transpose(chol(SS));
for i = 1:M_.exo_nbr
irf_shocks_indx = getIrfShocksIndx();
for i=irf_shocks_indx
if SS(i,i) > 1e-13
y=irf(dr,SS(M_.exo_names_orig_ord,i), options_.irf, options_.drop,options_.replic,options_.order);
if options_.relative_irf

29
matlab/getIrfShocksIndx.m Normal file
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@ -0,0 +1,29 @@
function irf_shocks_indx=getIrfShocksIndx()
% Copyright (C) 2011 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ options_
if (isfield(options_,'irf_shocks')==0)
irf_shocks_indx = M_.exo_names_orig_ord;
else
irf_shocks_indx = zeros(1,size(options_.irf_shocks,1));
for i=1:size(options_.irf_shocks,1)
irf_shocks_indx(i) = find(M_.exo_names==options_.irf_shocks(i));
end
end

3
matlab/stoch_simul.m
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@ -159,7 +159,8 @@ if options_.irf
if TeX
titTeX(M_.exo_names_orig_ord,:) = M_.exo_names_tex;
end
for i=1:M_.exo_nbr
irf_shocks_indx = getIrfShocksIndx();
for i=irf_shocks_indx
if SS(i,i) > 1e-13
if PI_PCL_solver
y=PCL_Part_info_irf (0, PCL_varobs, i_var, M_, oo_.dr, options_.irf, i);

3
matlab/stoch_simul_sparse.m
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@ -132,7 +132,8 @@ if options_.irf
if TeX
titTeX(M_.exo_names_orig_ord,:) = M_.exo_names_tex;
end
for i=1:M_.exo_nbr
irf_shocks_indx = getIrfShocksIndx();
for i=irf_shocks_indx
if SS(i,i) > 1e-13
y=irf(oo_.dr,cs(M_.exo_names_orig_ord,i), options_.irf, options_.drop, ...
options_.replic, options_.order);

4
preprocessor/DynareBison.yy
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@ -103,7 +103,7 @@ class ParsingDriver;
%token HISTVAL HOMOTOPY_SETUP HOMOTOPY_MODE HOMOTOPY_STEPS HP_FILTER HP_NGRID
%token IDENTIFICATION INF_CONSTANT INITVAL INITVAL_FILE
%token <string_val> INT_NUMBER
%token INV_GAMMA_PDF INV_GAMMA1_PDF INV_GAMMA2_PDF IRF
%token INV_GAMMA_PDF INV_GAMMA1_PDF INV_GAMMA2_PDF IRF IRF_SHOCKS
%token KALMAN_ALGO KALMAN_TOL
%token LABELS LAPLACE LIK_ALGO LIK_INIT LINEAR LOAD_IDENT_FILES LOAD_MH_FILE LOAD_PARAMS_AND_STEADY_STATE LOGLINEAR
%token MARKOWITZ MARGINAL_DENSITY MAX
@ -858,6 +858,7 @@ stoch_simul_options : o_dr_algo
| o_nomoments
| o_nograph
| o_irf
| o_irf_shocks
| o_relative_irf
| o_hp_filter
| o_hp_ngrid
@ -1689,6 +1690,7 @@ o_nocorr : NOCORR { driver.option_num("nocorr", "1"); };
o_nofunctions : NOFUNCTIONS { driver.option_num("nofunctions", "1"); };
o_nomoments : NOMOMENTS { driver.option_num("nomoments", "1"); };
o_irf : IRF EQUAL INT_NUMBER { driver.option_num("irf", $3); };
o_irf_shocks : IRF_SHOCKS EQUAL '(' symbol_list ')' { driver.option_symbol_list("irf_shocks"); };
o_hp_filter : HP_FILTER EQUAL INT_NUMBER { driver.option_num("hp_filter", $3); };
o_hp_ngrid : HP_NGRID EQUAL INT_NUMBER { driver.option_num("hp_ngrid", $3); };
o_periods : PERIODS EQUAL INT_NUMBER { driver.option_num("periods", $3); };

1
preprocessor/DynareFlex.ll
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@ -404,6 +404,7 @@ string eofbuff;
<DYNARE_STATEMENT>ar {return token::AR;}
<DYNARE_STATEMENT>nofunctions {return token::NOFUNCTIONS;}
<DYNARE_STATEMENT>irf {return token::IRF;}
<DYNARE_STATEMENT>irf_shocks {return token::IRF_SHOCKS;}
<DYNARE_STATEMENT>hp_filter {return token::HP_FILTER;}
<DYNARE_STATEMENT>hp_ngrid {return token::HP_NGRID;}
<DYNARE_STATEMENT>simul_seed {return token::SIMUL_SEED;}

9
preprocessor/ParsingDriver.cc
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@ -925,6 +925,15 @@ ParsingDriver::option_symbol_list(const string &name_option)
!= options_list.symbol_list_options.end())
error("option " + name_option + " declared twice");
if (name_option.compare("irf_shocks")==0)
{
vector<string> shocks = symbol_list.get_symbols();
for (vector<string>::const_iterator it = shocks.begin();
it != shocks.end(); it++)
if (mod_file->symbol_table.getType(*it) != eExogenous)
error("Variables passed to irf_for must be exogenous. Caused by: " + *it);
}
options_list.symbol_list_options[name_option] = symbol_list;
symbol_list.clear();
}