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Rename autocorr into dyn_autocorr.m as it does not mirror the behavior of the econometric toolbox function

time-shift
Johannes Pfeifer 2016-05-14 13:23:01 +02:00
parent 1d6961cc4c
commit c7e8489481
2 changed files with 41 additions and 41 deletions
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80
matlab/missing/econ/autocorr.m → matlab/dyn_autocorr.m
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@ -1,40 +1,40 @@
function acf = autocorr(y, ar) function acf = autocorr(y, ar)
% function acf = autocorr(y, ar) % function acf = autocorr(y, ar)
% autocorrelation function of y % autocorrelation function of y
% %
% INPUTS % INPUTS
% y: time series % y: time series
% ar: # of lags % ar: # of lags
% %
% OUTPUTS % OUTPUTS
% acf: autocorrelation for lags 1 to ar % acf: autocorrelation for lags 1 to ar
% %
% SPECIAL REQUIREMENTS % SPECIAL REQUIREMENTS
% none % none
% Copyright (C) 2015 Dynare Team % Copyright (C) 2015 Dynare Team
% %
% This file is part of Dynare. % This file is part of Dynare.
% %
% Dynare is free software: you can redistribute it and/or modify % Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by % it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or % the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version. % (at your option) any later version.
% %
% Dynare is distributed in the hope that it will be useful, % Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of % but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details. % GNU General Public License for more details.
% %
% You should have received a copy of the GNU General Public License % You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>. % along with Dynare. If not, see <http://www.gnu.org/licenses/>.
y=y(:); y=y(:);
acf = NaN(ar+1,1); acf = NaN(ar+1,1);
acf(1)=1; acf(1)=1;
m = mean(y); m = mean(y);
sd = std(y,1); sd = std(y,1);
for i=1:ar, for i=1:ar,
acf(i+1) = (y(i+1:end)-m)'*(y(1:end-i)-m)./((size(y,1))*sd^2); acf(i+1) = (y(i+1:end)-m)'*(y(1:end-i)-m)./((size(y,1))*sd^2);
end end

2
matlab/mcmc_ifac.m
View File

@ -57,7 +57,7 @@ Nc = floor(min(Nc, length(X)/2));
if mod(Nc,2), if mod(Nc,2),
Nc=Nc-1; Nc=Nc-1;
end end
AcorrXSIM = autocorr(X(:), Nc); AcorrXSIM = dyn_autocorr(X(:), Nc);
% %
%Calculate the Parzen Weight %Calculate the Parzen Weight
Parzen=zeros(Nc+1,1); Parzen=zeros(Nc+1,1);