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Added the possibility of computing hp-filtered simulated moments.

time-shift
Stéphane Adjemian (Charybdis) 2010-02-10 14:20:28 +01:00
parent fb97797405
commit dcf49d606f
2 changed files with 52 additions and 7 deletions
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15
matlab/disp_moments.m
View File

@ -23,10 +23,6 @@ global M_ options_ oo_
warning_old_state = warning;
warning off
if options_.hp_filter
error('STOCH_SIMUL: HP filter is not yet implemented for empirical moments')
end
if size(var_list,1) == 0
var_list = M_.endo_names(1:M_.orig_endo_nbr, :);
end
@ -45,7 +41,13 @@ end
y = y(ivar,options_.drop+M_.maximum_lag+1:end)';
m = mean(y);
y = y - repmat(m,size(y,1),1);
if options_.hp_filter
[hptrend,y] = sample_hp_filter(y,options_.hp_filter);
else
y = bsxfun(@minus, y, m);
end
s2 = mean(y.*y);
s = sqrt(s2);
oo_.mean = transpose(m);
@ -54,8 +56,7 @@ oo_.var = y'*y/size(y,1);
labels = deblank(M_.endo_names(ivar,:));
if options_.nomoments == 0
z = [ m' s' s2' (mean(y.^3)./s2.^1.5)' (mean(y.^4)./(s2.*s2)-3)' ];
z = [ m' s' s2' (mean(y.^3)./s2.^1.5)' (mean(y.^4)./(s2.*s2)-3)' ];
title='MOMENTS OF SIMULATED VARIABLES';
if options_.hp_filter
title = [title ' (HP filter, lambda = ' ...

44
matlab/sample_hp_filter.m Normal file
View File

@ -0,0 +1,44 @@
function [hptrend,hpcycle] = sample_hp_filter(y,s)
% HP filters a collection of time series.
%
% INPUTS
% y [double] T*n matrix of data (n is the number of variables)
% s [integer] scalar, smoothing parameter.
%
% OUTPUTS
% hptrend [double] T*n matrix, trend component of y.
% hpcycle [double] T*n matrix, cycle component of y.
%
% SPECIAL REQUIREMENTS
%
% Copyright (C) 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/>.
[T,n] = size(y);
if nargin<2
s = 1600;
end
D = spdiags(repmat([s, -4.0*s, (1 + 6.0*s), -4.0*s, s], T, 1), -2:2, T, T);% Sparse matrix.
D(1,1) = 1.0+s; D(T,T) = D(1,1);
D(1,2) = -2.0*s; D(2,1) = D(1,2); D(T-1,T) = D(1,2); D(T,T-1) = D(1,2);
D(2,2) = 1.0+5.0*s; D(T-1,T-1) = D(2,2);
hptrend = D\y;
hpcycle = y-hptrend;