integration of partial information in stoch_simul (thanks to George, Joe and Paul)
Michel Juillard
parent
436fdf97c6
commit
b261eb0ba2
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@ -0,0 +1,44 @@
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function X=disclyap_fast(G,V,ch)
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% function X=disclyap_fast(G,V,ch)
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%
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% Solve the discrete Lyapunov Equation
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% X=G*X*G'+V
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% Using the Doubling Algorithm
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%
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% If ch is defined then the code will check if the resulting X
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% is positive definite and generate an error message if it is not
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%
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% Joe Pearlman and Alejandro Justiniano
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% 3/5/2005
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% =================================================================
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if nargin == 2 | isempty( ch ) == 1
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flag_ch = 0;
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else
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flag_ch = 1;
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end
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s=size(G,1);
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tol = 1e-16;
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P0=V;
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A0=G;
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matd=1;
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while matd > tol
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P1=P0+A0*P0*A0';
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A1=A0*A0;
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matd=max( max( abs( P1 - P0 ) ) );
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P0=P1;
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A0=A1;
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end
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clear A0 A1 P1;
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X=(P0+P0')/2;
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% Check that X is positive definite
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if flag_ch==1
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[C,p]=chol(X);
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if p ~= 0
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error('X is not positive definite')
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end
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end
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@ -41,6 +41,7 @@ addpath([dynareroot '/distributions/'])
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addpath([dynareroot '/kalman/'])
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addpath([dynareroot '/kalman/likelihood'])
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addpath([dynareroot '/AIM/'])
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addpath([dynareroot '/partial_information/'])
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% For functions that exist only under some Octave versions
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% or some MATLAB versions, and for which we provide some replacement functions
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@ -128,6 +128,7 @@ end
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options_.aim_solver = 0; % i.e. by default do not use G.Anderson's AIM solver, use mjdgges instead
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options_.k_order_solver=0; % by default do not use k_order_perturbation but mjdgges
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options_.partial_information = 0;
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options_.ACES_solver = 0;
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options_.conditional_variance_decomposition = [];
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% Ramsey policy
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@ -1,4 +1,4 @@
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function [irfmat,irfst]=PCL_Part_info_irf( H, OBS, M_, dr, irfpers,ii)
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function [irfmat,irfst]=PCL_Part_info_irf( H, varobs, M_, dr, irfpers,ii)
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% sets up parameters and calls part-info kalman filter
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% developed by G Perendia, July 2006 for implementation from notes by Prof. Joe Pearlman to
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% suit partial information RE solution in accordance with, and based on, the
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@ -23,12 +23,14 @@ function [irfmat,irfst]=PCL_Part_info_irf( H, OBS, M_, dr, irfpers,ii)
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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% Recall that the state space is given by the
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% predetermined variables s(t-1), x(t-1)
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% and the jump variables x(t).
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% The jump variables have dimension NETA
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% Recall that the state space is given by the
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% predetermined variables s(t-1), x(t-1)
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% and the jump variables x(t).
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% The jump variables have dimension NETA
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OBS = ismember(varobs,M_.endo_names);
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G1=dr.PI_ghx;
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impact=dr.PI_ghu;
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nmat=dr.PI_nmat;
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@ -149,10 +151,10 @@ function [irfmat,irfst]=PCL_Part_info_irf( H, OBS, M_, dr, irfpers,ii)
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%OVV = [ zeros( size(dr.PI_TT1,1), NX ) dr.PI_TT1 dr.PI_TT2];
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VV = [ dr.PI_TT1 dr.PI_TT2];
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stderr=diag(M_.Sigma_e^0.5);
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irfmat=zeros(size(dr.PI_TT1 ,1),irfpers+1);
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irfst=zeros(size(GG,1),irfpers+1);
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irfmat=zeros(size(dr.PI_TT1 ,1),irfpers);
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irfst=zeros(size(GG,1),irfpers);
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irfst(:,1)=stderr(ii)*imp(:,ii);
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for jj=2:irfpers+1;
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for jj=2:irfpers;
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irfst(:,jj)=GG*irfst(:,jj-1); % xjj=f irfstjj-2
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irfmat(:,jj-1)=VV*irfst(NX+1:ss-FL_RANK,jj);
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%irfmat(:,jj)=LL0*irfst(:,jj);
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@ -1,4 +1,4 @@
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function [irfmat,irfst]=PCL_Part_info_irf( H, OBS, dr,ivar, var_list)
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function [irfmat,irfst]=PCL_Part_info_irf( H, varobs, dr,ivar)
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% sets up parameters and calls part-info kalman filter
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% developed by G Perendia, July 2006 for implementation from notes by Prof. Joe Pearlman to
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% suit partial information RE solution in accordance with, and based on, the
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@ -30,6 +30,9 @@ function [irfmat,irfst]=PCL_Part_info_irf( H, OBS, dr,ivar, var_list)
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global M_ options_ oo_
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warning_old_state = warning;
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warning off
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OBS = ismember(varobs,M_.endo_names);
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G1=dr.PI_ghx;
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impact=dr.PI_ghu;
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nmat=dr.PI_nmat;
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@ -1,5 +1,5 @@
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function [dr,info]=resol(ys,check_flag)
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% function [dr,info]=resol(ys,check_flag)
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function [dr,info]=PCL_resol(ys,check_flag)
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% function [dr,info]=PCL_resol(ys,check_flag)
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% Computes first and second order approximations
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%
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% INPUTS
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@ -0,0 +1,50 @@
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function [A,B,Q,Z] = qzdiv(stake,A,B,Q,Z)
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%function [A,B,Q,Z] = qzdiv(stake,A,B,Q,Z)
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%
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% Takes U.T. matrices A, B, orthonormal matrices Q,Z, rearranges them
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% so that all cases of abs(B(i,i)/A(i,i))>stake are in lower right
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% corner, while preserving U.T. and orthonormal properties and Q'AZ' and
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% Q'BZ'.
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% Original file downloaded from:
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% http://sims.princeton.edu/yftp/gensys/mfiles/qzdiv.m
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% Copyright (C) 1993-2007 Christopher Sims
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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[n jnk] = size(A);
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root = abs([diag(A) diag(B)]);
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root(:,1) = root(:,1)-(root(:,1)<1.e-13).*(root(:,1)+root(:,2));
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root(:,2) = root(:,2)./root(:,1);
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for i = n:-1:1
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m=0;
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for j=i:-1:1
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if (root(j,2) > stake | root(j,2) < -.1)
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m=j;
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break
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end
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end
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if (m==0)
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return
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end
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for k=m:1:i-1
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[A B Q Z] = qzswitch(k,A,B,Q,Z);
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tmp = root(k,2);
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root(k,2) = root(k+1,2);
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root(k+1,2) = tmp;
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end
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end
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@ -0,0 +1,81 @@
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function [A,B,Q,Z] = qzswitch(i,A,B,Q,Z)
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%function [A,B,Q,Z] = qzswitch(i,A,B,Q,Z)
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%
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% Takes U.T. matrices A, B, orthonormal matrices Q,Z, interchanges
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% diagonal elements i and i+1 of both A and B, while maintaining
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% Q'AZ' and Q'BZ' unchanged. If diagonal elements of A and B
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% are zero at matching positions, the returned A will have zeros at both
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% positions on the diagonal. This is natural behavior if this routine is used
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% to drive all zeros on the diagonal of A to the lower right, but in this case
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% the qz transformation is not unique and it is not possible simply to switch
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% the positions of the diagonal elements of both A and B.
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% Original file downloaded from:
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% http://sims.princeton.edu/yftp/gensys/mfiles/qzswitch.m
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% Copyright (C) 1993-2007 Christopher Sims
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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realsmall=sqrt(eps)*10;
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%realsmall=1e-3;
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a = A(i,i); d = B(i,i); b = A(i,i+1); e = B(i,i+1);
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c = A(i+1,i+1); f = B(i+1,i+1);
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% A(i:i+1,i:i+1)=[a b; 0 c];
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% B(i:i+1,i:i+1)=[d e; 0 f];
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if (abs(c)<realsmall & abs(f)<realsmall)
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if abs(a)<realsmall
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% l.r. coincident 0's with u.l. of A=0; do nothing
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return
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else
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% l.r. coincident zeros; put 0 in u.l. of a
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wz=[b; -a];
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wz=wz/sqrt(wz'*wz);
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wz=[wz [wz(2)';-wz(1)'] ];
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xy=eye(2);
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end
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elseif (abs(a)<realsmall & abs(d)<realsmall)
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if abs(c)<realsmall
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% u.l. coincident zeros with l.r. of A=0; do nothing
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return
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else
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% u.l. coincident zeros; put 0 in l.r. of A
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wz=eye(2);
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xy=[c -b];
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xy=xy/sqrt(xy*xy');
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xy=[[xy(2)' -xy(1)'];xy];
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end
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else
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% usual case
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wz = [c*e-f*b, (c*d-f*a)'];
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xy = [(b*d-e*a)', (c*d-f*a)'];
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n = sqrt(wz*wz');
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m = sqrt(xy*xy');
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if m<eps*100
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% all elements of A and B proportional
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return
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end
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wz = n\wz;
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xy = m\xy;
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wz = [wz; -wz(2)', wz(1)'];
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xy = [xy;-xy(2)', xy(1)'];
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end
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A(i:i+1,:) = xy*A(i:i+1,:);
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B(i:i+1,:) = xy*B(i:i+1,:);
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A(:,i:i+1) = A(:,i:i+1)*wz;
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B(:,i:i+1) = B(:,i:i+1)*wz;
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Z(:,i:i+1) = Z(:,i:i+1)*wz;
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Q(i:i+1,:) = xy*Q(i:i+1,:);
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@ -1,327 +0,0 @@
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function info=stoch_simul(var_list)
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% Copyright (C) 2001-20010 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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global M_ options_ oo_ it_
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options_old = options_;
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if options_.linear
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options_.order = 1;
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end
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if (options_.order == 1)
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options_.replic = 1;
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elseif options_.order == 3
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options_.k_order_solver = 1;
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end
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TeX = options_.TeX;
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iter_ = max(options_.periods,1);
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if M_.exo_nbr > 0
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oo_.exo_simul= ones(iter_ + M_.maximum_lag + M_.maximum_lead,1) * oo_.exo_steady_state';
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end
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check_model;
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[oo_.dr, info] = resol(oo_.steady_state,0);
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if info(1)
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options_ = options_old;
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print_info(info, options_.noprint);
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return
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end
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if ~options_.noprint
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disp(' ')
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disp('MODEL SUMMARY')
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disp(' ')
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disp([' Number of variables: ' int2str(M_.endo_nbr)])
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disp([' Number of stochastic shocks: ' int2str(M_.exo_nbr)])
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disp([' Number of state variables: ' ...
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int2str(length(find(oo_.dr.kstate(:,2) <= M_.maximum_lag+1)))])
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disp([' Number of jumpers: ' ...
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int2str(length(find(oo_.dr.kstate(:,2) == M_.maximum_lag+2)))])
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disp([' Number of static variables: ' int2str(oo_.dr.nstatic)])
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my_title='MATRIX OF COVARIANCE OF EXOGENOUS SHOCKS';
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labels = deblank(M_.exo_names);
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headers = strvcat('Variables',labels);
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lh = size(labels,2)+2;
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dyntable(my_title,headers,labels,M_.Sigma_e,lh,10,6);
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disp(' ')
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if (options_.order <= 2 & options_.partial_information ==0 & options_.ACES_solver==0)
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disp_dr(oo_.dr,options_.order,var_list);
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end
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end
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if options_.irf
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if size(var_list,1) == 0
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var_list = M_.endo_names(1:M_.orig_endo_nbr, :);
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if TeX
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var_listTeX = M_.endo_names_tex(1:M_.orig_endo_nbr, :);
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end
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end;%else
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n = size(var_list,1);
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ivar=zeros(n,1);
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if TeX
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var_listTeX = [];
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end
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for i=1:n
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i_tmp = strmatch(var_list(i,:),M_.endo_names,'exact');
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if isempty(i_tmp)
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error (['One of the specified variables does not exist']) ;
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else
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ivar(i) = i_tmp;
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if TeX
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var_listTeX = strvcat(var_listTeX,deblank(M_.endo_names_tex(i_tmp,:)));
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end
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end
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end
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end
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if ( options_.partial_information ==0 & options_.ACES_solver==0)
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if options_.periods == 0 && options_.nomoments == 0
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disp_th_moments(oo_.dr,var_list);
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elseif options_.periods ~= 0
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if options_.periods < options_.drop
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disp(['STOCH_SIMUL error: The horizon of simulation is shorter' ...
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' than the number of observations to be DROPed'])
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options_ =options_old;
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return
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end
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oo_.endo_simul = simult(repmat(oo_.dr.ys,1,M_.maximum_lag),oo_.dr);
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dyn2vec;
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if options_.nomoments == 0
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disp_moments(oo_.endo_simul,var_list);
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end
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end
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else % part info or ACES
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if ~isfield(options_,'varobs')
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nobs =0;
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else
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if isempty(options_.varobs)
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nobs =0;
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else
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varobs=options_.varobs;
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nobs = size(varobs,1);
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end
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end
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if nobs == 0
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ivarobs=ivar;
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else
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ivarobs=zeros(nobs,1);
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if TeX
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varobs_listTeX = [];
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end
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for i=1:nobs
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i_tmp = strmatch(varobs(i,:),M_.endo_names,'exact');
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if isempty(i_tmp)
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error (['One of the specified observed variables does not exist']) ;
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else
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ivarobs(i) = i_tmp;
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if TeX
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varobs_listTeX = strvcat(varobs_listTeX,deblank(M_.endo_names_tex(i_tmp,:)));
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end
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end
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end
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end
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PCL_Part_info_moments (0, ivarobs', oo_.dr, ivar, var_list);
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end
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if options_.irf
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if TeX
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fidTeX = fopen([M_.fname '_IRF.TeX'],'w');
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fprintf(fidTeX,'%% TeX eps-loader file generated by stoch_simul.m (Dynare).\n');
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fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
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fprintf(fidTeX,' \n');
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end
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olditer = iter_;% Est-ce vraiment utile ? Il y a la même ligne dans irf...
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SS(M_.exo_names_orig_ord,M_.exo_names_orig_ord)=M_.Sigma_e+1e-14*eye(M_.exo_nbr);
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||||
cs = transpose(chol(SS));
|
||||
tit(M_.exo_names_orig_ord,:) = M_.exo_names;
|
||||
if TeX
|
||||
titTeX(M_.exo_names_orig_ord,:) = M_.exo_names_tex;
|
||||
end
|
||||
for i=1:M_.exo_nbr
|
||||
if SS(i,i) > 1e-13
|
||||
if ( options_.partial_information ==1 | options_.ACES_solver==1)
|
||||
irfmat=PCL_Part_info_irf (0, ivarobs', M_, oo_.dr, options_.irf, i);
|
||||
y=zeros(M_.endo_nbr,options_.irf);
|
||||
y(ivar,:)=irfmat(ivar,1:options_.irf);
|
||||
else
|
||||
y=irf(oo_.dr,cs(M_.exo_names_orig_ord,i), options_.irf, options_.drop, ...
|
||||
options_.replic, options_.order);
|
||||
end
|
||||
if options_.relative_irf
|
||||
y = 100*y/cs(i,i);
|
||||
end
|
||||
irfs = [];
|
||||
mylist = [];
|
||||
if TeX
|
||||
mylistTeX = [];
|
||||
end
|
||||
for j = 1:n
|
||||
assignin('base',[deblank(M_.endo_names(ivar(j),:)) '_' deblank(M_.exo_names(i,:))],...
|
||||
y(ivar(j),:)');
|
||||
eval(['oo_.irfs.' deblank(M_.endo_names(ivar(j),:)) '_' ...
|
||||
deblank(M_.exo_names(i,:)) ' = y(ivar(j),:);']);
|
||||
if max(y(ivar(j),:)) - min(y(ivar(j),:)) > 1e-10
|
||||
irfs = cat(1,irfs,y(ivar(j),:));
|
||||
mylist = strvcat(mylist,deblank(var_list(j,:)));
|
||||
if TeX
|
||||
mylistTeX = strvcat(mylistTeX,deblank(var_listTeX(j,:)));
|
||||
end
|
||||
end
|
||||
end
|
||||
if options_.nograph == 0
|
||||
number_of_plots_to_draw = size(irfs,1);
|
||||
[nbplt,nr,nc,lr,lc,nstar] = pltorg(number_of_plots_to_draw);
|
||||
if nbplt == 0
|
||||
elseif nbplt == 1
|
||||
if options_.relative_irf
|
||||
hh = figure('Name',['Relative response to' ...
|
||||
' orthogonalized shock to ' tit(i,:)]);
|
||||
else
|
||||
hh = figure('Name',['Orthogonalized shock to' ...
|
||||
' ' tit(i,:)]);
|
||||
end
|
||||
for j = 1:number_of_plots_to_draw
|
||||
subplot(nr,nc,j);
|
||||
plot(1:options_.irf,transpose(irfs(j,:)),'-k','linewidth',1);
|
||||
hold on
|
||||
plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
|
||||
hold off
|
||||
xlim([1 options_.irf]);
|
||||
title(deblank(mylist(j,:)),'Interpreter','none');
|
||||
end
|
||||
eval(['print -depsc2 ' M_.fname '_IRF_' deblank(tit(i,:)) '.eps']);
|
||||
if ~exist('OCTAVE_VERSION')
|
||||
eval(['print -dpdf ' M_.fname '_IRF_' deblank(tit(i,:))]);
|
||||
saveas(hh,[M_.fname '_IRF_' deblank(tit(i,:)) '.fig']);
|
||||
end
|
||||
if TeX
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
for j = 1:number_of_plots_to_draw
|
||||
fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{$%s$}\n'],deblank(mylist(j,:)),deblank(mylistTeX(j,:)));
|
||||
end
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_IRF_%s}\n',M_.fname,deblank(tit(i,:)));
|
||||
fprintf(fidTeX,'\\caption{Impulse response functions (orthogonalized shock to $%s$).}',titTeX(i,:));
|
||||
fprintf(fidTeX,'\\label{Fig:IRF:%s}\n',deblank(tit(i,:)));
|
||||
fprintf(fidTeX,'\\end{figure}\n');
|
||||
fprintf(fidTeX,' \n');
|
||||
end
|
||||
% close(hh)
|
||||
else
|
||||
for fig = 1:nbplt-1
|
||||
if options_.relative_irf == 1
|
||||
hh = figure('Name',['Relative response to orthogonalized shock' ...
|
||||
' to ' tit(i,:) ' figure ' int2str(fig)]);
|
||||
else
|
||||
hh = figure('Name',['Orthogonalized shock to ' tit(i,:) ...
|
||||
' figure ' int2str(fig)]);
|
||||
end
|
||||
for plt = 1:nstar
|
||||
subplot(nr,nc,plt);
|
||||
plot(1:options_.irf,transpose(irfs((fig-1)*nstar+plt,:)),'-k','linewidth',1);
|
||||
hold on
|
||||
plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
|
||||
hold off
|
||||
xlim([1 options_.irf]);
|
||||
title(deblank(mylist((fig-1)*nstar+plt,:)),'Interpreter','none');
|
||||
end
|
||||
eval(['print -depsc2 ' M_.fname '_IRF_' deblank(tit(i,:)) int2str(fig) '.eps']);
|
||||
if ~exist('OCTAVE_VERSION')
|
||||
eval(['print -dpdf ' M_.fname '_IRF_' deblank(tit(i,:)) int2str(fig)]);
|
||||
saveas(hh,[M_.fname '_IRF_' deblank(tit(i,:)) int2str(fig) '.fig']);
|
||||
end
|
||||
if TeX
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
for j = 1:nstar
|
||||
fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{$%s$}\n'],deblank(mylist((fig-1)*nstar+j,:)),deblank(mylistTeX((fig-1)*nstar+j,:)));
|
||||
end
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_IRF_%s%s}\n',M_.fname,deblank(tit(i,:)),int2str(fig));
|
||||
if options_.relative_irf
|
||||
fprintf(fidTeX,['\\caption{Relative impulse response' ...
|
||||
' functions (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:)));
|
||||
else
|
||||
fprintf(fidTeX,['\\caption{Impulse response functions' ...
|
||||
' (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:)));
|
||||
end
|
||||
fprintf(fidTeX,'\\label{Fig:BayesianIRF:%s:%s}\n',deblank(tit(i,:)),int2str(fig));
|
||||
fprintf(fidTeX,'\\end{figure}\n');
|
||||
fprintf(fidTeX,' \n');
|
||||
end
|
||||
% close(hh);
|
||||
end
|
||||
hh = figure('Name',['Orthogonalized shock to ' tit(i,:) ' figure ' int2str(nbplt) '.']);
|
||||
m = 0;
|
||||
for plt = 1:number_of_plots_to_draw-(nbplt-1)*nstar;
|
||||
m = m+1;
|
||||
subplot(lr,lc,m);
|
||||
plot(1:options_.irf,transpose(irfs((nbplt-1)*nstar+plt,:)),'-k','linewidth',1);
|
||||
hold on
|
||||
plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
|
||||
hold off
|
||||
xlim([1 options_.irf]);
|
||||
title(deblank(mylist((nbplt-1)*nstar+plt,:)),'Interpreter','none');
|
||||
end
|
||||
eval(['print -depsc2 ' M_.fname '_IRF_' deblank(tit(i,:)) int2str(nbplt) '.eps']);
|
||||
if ~exist('OCTAVE_VERSION')
|
||||
eval(['print -dpdf ' M_.fname '_IRF_' deblank(tit(i,:)) int2str(nbplt)]);
|
||||
saveas(hh,[M_.fname '_IRF_' deblank(tit(i,:)) int2str(nbplt) '.fig']);
|
||||
end
|
||||
if TeX
|
||||
fprintf(fidTeX,'\\begin{figure}[H]\n');
|
||||
for j = 1:m
|
||||
fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{$%s$}\n'],deblank(mylist((nbplt-1)*nstar+j,:)),deblank(mylistTeX((nbplt-1)*nstar+j,:)));
|
||||
end
|
||||
fprintf(fidTeX,'\\centering \n');
|
||||
fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_IRF_%s%s}\n',M_.fname,deblank(tit(i,:)),int2str(nbplt));
|
||||
if options_.relative_irf
|
||||
fprintf(fidTeX,['\\caption{Relative impulse response functions' ...
|
||||
' (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:)));
|
||||
else
|
||||
fprintf(fidTeX,['\\caption{Impulse response functions' ...
|
||||
' (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:)));
|
||||
end
|
||||
fprintf(fidTeX,'\\label{Fig:IRF:%s:%s}\n',deblank(tit(i,:)),int2str(nbplt));
|
||||
fprintf(fidTeX,'\\end{figure}\n');
|
||||
fprintf(fidTeX,' \n');
|
||||
end
|
||||
% close(hh);
|
||||
end
|
||||
end
|
||||
end
|
||||
iter_ = olditer;
|
||||
if TeX
|
||||
fprintf(fidTeX,' \n');
|
||||
fprintf(fidTeX,'%% End Of TeX file. \n');
|
||||
fclose(fidTeX);
|
||||
end
|
||||
end
|
||||
end
|
||||
|
||||
if options_.SpectralDensity == 1
|
||||
[omega,f] = UnivariateSpectralDensity(oo_.dr,var_list);
|
||||
end
|
||||
|
||||
|
||||
options_ = options_old;
|
||||
|
|
@ -29,9 +29,20 @@ elseif options_.order == 3
|
|||
options_.k_order_solver = 1;
|
||||
end
|
||||
|
||||
if options_.partial_information == 1 || options_.ACES_solver == 1
|
||||
ACES_solver = 1;
|
||||
else
|
||||
ACES_solver = 0;
|
||||
end
|
||||
|
||||
TeX = options_.TeX;
|
||||
|
||||
if size(var_list,1) == 0
|
||||
var_list = M_.endo_names(1:M_.orig_endo_nbr);
|
||||
end
|
||||
|
||||
[i_var,nvar] = varlist_indices(var_list,M_.endo_names);
|
||||
|
||||
iter_ = max(options_.periods,1);
|
||||
if M_.exo_nbr > 0
|
||||
oo_.exo_simul= ones(iter_ + M_.maximum_lag + M_.maximum_lead,1) * oo_.exo_steady_state';
|
||||
|
|
@ -39,7 +50,11 @@ end
|
|||
|
||||
check_model;
|
||||
|
||||
[oo_.dr, info] = resol(oo_.steady_state,0);
|
||||
if ACES_solver
|
||||
[oo_.dr, info] = PCL_resol(oo_.steady_state,0);
|
||||
else
|
||||
[oo_.dr, info] = resol(oo_.steady_state,0);
|
||||
end
|
||||
|
||||
if info(1)
|
||||
options_ = options_old;
|
||||
|
|
@ -63,15 +78,22 @@ if ~options_.noprint
|
|||
headers = strvcat('Variables',labels);
|
||||
lh = size(labels,2)+2;
|
||||
dyntable(my_title,headers,labels,M_.Sigma_e,lh,10,6);
|
||||
if options_.partial_information
|
||||
disp(' ')
|
||||
disp(' SOLUTION UNDER PARTIAL INFORMATION')
|
||||
disp(' ')
|
||||
disp(' OBSERVED VARIABLES')
|
||||
for i=1:size(options_.varobs,1)
|
||||
disp([' ' options_.varobs(i,:)])
|
||||
end
|
||||
end
|
||||
disp(' ')
|
||||
if options_.order <= 2
|
||||
if options_.order <= 2 && ~ACES_solver
|
||||
disp_dr(oo_.dr,options_.order,var_list);
|
||||
end
|
||||
end
|
||||
|
||||
if options_.periods == 0 && options_.nomoments == 0
|
||||
disp_th_moments(oo_.dr,var_list);
|
||||
elseif options_.periods ~= 0
|
||||
if options_.periods > 0 && ~ACES_solver
|
||||
if options_.periods < options_.drop
|
||||
disp(['STOCH_SIMUL error: The horizon of simulation is shorter' ...
|
||||
' than the number of observations to be DROPed'])
|
||||
|
|
@ -80,37 +102,21 @@ elseif options_.periods ~= 0
|
|||
end
|
||||
oo_.endo_simul = simult(repmat(oo_.dr.ys,1,M_.maximum_lag),oo_.dr);
|
||||
dyn2vec;
|
||||
if options_.nomoments == 0
|
||||
end
|
||||
|
||||
if options_.nomoments == 0
|
||||
if ACES_solver
|
||||
PCL_Part_info_moments (0, options_.varobs, oo_.dr, i_var);
|
||||
elseif options_.periods == 0
|
||||
disp_th_moments(oo_.dr,var_list);
|
||||
else
|
||||
disp_moments(oo_.endo_simul,var_list);
|
||||
end
|
||||
end
|
||||
|
||||
|
||||
|
||||
if options_.irf
|
||||
if size(var_list,1) == 0
|
||||
var_list = M_.endo_names(1:M_.orig_endo_nbr, :);
|
||||
if TeX
|
||||
var_listTeX = M_.endo_names_tex(1:M_.orig_endo_nbr, :);
|
||||
end
|
||||
end
|
||||
|
||||
n = size(var_list,1);
|
||||
ivar=zeros(n,1);
|
||||
if TeX
|
||||
var_listTeX = [];
|
||||
end
|
||||
for i=1:n
|
||||
i_tmp = strmatch(var_list(i,:),M_.endo_names,'exact');
|
||||
if isempty(i_tmp)
|
||||
error (['One of the specified variables does not exist']) ;
|
||||
else
|
||||
ivar(i) = i_tmp;
|
||||
if TeX
|
||||
var_listTeX = strvcat(var_listTeX,deblank(M_.endo_names_tex(i_tmp,:)));
|
||||
end
|
||||
end
|
||||
end
|
||||
var_listTeX = M_.endo_names_tex(i_var,:);
|
||||
|
||||
if TeX
|
||||
fidTeX = fopen([M_.fname '_IRF.TeX'],'w');
|
||||
|
|
@ -127,8 +133,12 @@ if options_.irf
|
|||
end
|
||||
for i=1:M_.exo_nbr
|
||||
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);
|
||||
if ACES_solver
|
||||
y=PCL_Part_info_irf (0, options_.varobs, M_, oo_.dr, options_.irf, i);
|
||||
else
|
||||
y=irf(oo_.dr,cs(M_.exo_names_orig_ord,i), options_.irf, options_.drop, ...
|
||||
options_.replic, options_.order);
|
||||
end
|
||||
if options_.relative_irf
|
||||
y = 100*y/cs(i,i);
|
||||
end
|
||||
|
|
@ -137,13 +147,13 @@ if options_.irf
|
|||
if TeX
|
||||
mylistTeX = [];
|
||||
end
|
||||
for j = 1:n
|
||||
assignin('base',[deblank(M_.endo_names(ivar(j),:)) '_' deblank(M_.exo_names(i,:))],...
|
||||
y(ivar(j),:)');
|
||||
eval(['oo_.irfs.' deblank(M_.endo_names(ivar(j),:)) '_' ...
|
||||
deblank(M_.exo_names(i,:)) ' = y(ivar(j),:);']);
|
||||
if max(y(ivar(j),:)) - min(y(ivar(j),:)) > 1e-10
|
||||
irfs = cat(1,irfs,y(ivar(j),:));
|
||||
for j = 1:nvar
|
||||
assignin('base',[deblank(M_.endo_names(i_var(j),:)) '_' deblank(M_.exo_names(i,:))],...
|
||||
y(i_var(j),:)');
|
||||
eval(['oo_.irfs.' deblank(M_.endo_names(i_var(j),:)) '_' ...
|
||||
deblank(M_.exo_names(i,:)) ' = y(i_var(j),:);']);
|
||||
if max(y(i_var(j),:)) - min(y(i_var(j),:)) > 1e-10
|
||||
irfs = cat(1,irfs,y(i_var(j),:));
|
||||
mylist = strvcat(mylist,deblank(var_list(j,:)));
|
||||
if TeX
|
||||
mylistTeX = strvcat(mylistTeX,deblank(var_listTeX(j,:)));
|
||||
|
|
|
|||
Loading…
Reference in New Issue