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Fix relative_irf option for higher order 

Ex-post scaling is only allowed if linearity holds
time-shift
Johannes Pfeifer 2014-09-22 10:29:00 +02:00 committed by Johannes Pfeifer
parent 8bc946c148
commit ccbb5fa7fb
2 changed files with 16 additions and 5 deletions
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8
matlab/PosteriorIRF_core1.m
View File

@ -177,8 +177,12 @@ while fpar<B
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
if options_.order>1 && options_.relative_irf % normalize shock to 0.01 before IRF generation for GIRFs; multiply with 100 later
y=irf(dr,SS(M_.exo_names_orig_ord,i)./SS(i,i)/100, options_.irf, options_.drop,options_.replic,options_.order);
else
y=irf(dr,SS(M_.exo_names_orig_ord,i), options_.irf, options_.drop,options_.replic,options_.order);
end
if options_.relative_irf && options_.order==1 %multiply with 100 for backward compatibility
y = 100*y/SS(i,i);
end
for j = 1:nvar

13
matlab/stoch_simul.m
View File

@ -186,8 +186,13 @@ if options_.irf
if PI_PCL_solver
y=PCL_Part_info_irf (0, PCL_varobs, i_var, 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);
if options_.order>1 && options_.relative_irf % normalize shock to 0.01 before IRF generation for GIRFs; multiply with 100 later
y=irf(oo_.dr,cs(M_.exo_names_orig_ord,i)./cs(i,i)/100, options_.irf, options_.drop, ...
options_.replic, options_.order);
else %for linear model, rescaling is done later
y=irf(oo_.dr,cs(M_.exo_names_orig_ord,i), options_.irf, options_.drop, ...
options_.replic, options_.order);
end
end
if ~options_.noprint && any(any(isnan(y))) && ~options_.pruning && ~(options_.order==1)
fprintf('\nstoch_simul:: The simulations conducted for generating IRFs to %s were explosive.\n',M_.exo_names(i,:))
@ -196,7 +201,9 @@ if options_.irf
skipline(2);
end
if options_.relative_irf
y = 100*y/cs(i,i);
if options_.order==1 %multiply with 100 for backward compatibility
y = 100*y/cs(i,i);
end
end
irfs = [];
mylist = [];