added missing utility for identification
parent
a3b30e885a
commit
9abc57a195
|
@ -0,0 +1,44 @@
|
|||
function [cmm, mm] = simulated_moment_uncertainty(indx, periods, replic)
|
||||
|
||||
%
|
||||
% Copyright (C) 2009-2010 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 options_ oo_
|
||||
|
||||
mm=zeros(length(indx),replic);
|
||||
|
||||
disp('Evaluting simulated moment uncertainty ... please wait')
|
||||
disp(['Doing ',int2str(replic),' replicas of length ',int2str(periods),' periods.'])
|
||||
noprint0 = options_.noprint;
|
||||
for j=1:replic;
|
||||
options_.irf = 0;
|
||||
options_.noprint = 1;
|
||||
options_.order = 1;
|
||||
options_.periods = periods;
|
||||
info = stoch_simul(options_.varobs);
|
||||
dum=[oo_.mean; dyn_vech(oo_.var)];
|
||||
sd = sqrt(diag(oo_.var));
|
||||
for i=1:options_.ar;
|
||||
dum=[dum; vec(oo_.autocorr{i}.*(sd*sd'))];
|
||||
end
|
||||
mm(:,j)=dum(indx);
|
||||
end;
|
||||
|
||||
options_.noprint = noprint0;
|
||||
cmm = cov(mm');
|
||||
disp('Simulated moment uncertainty ... done!')
|
Loading…
Reference in New Issue