From f0f02c31598709f6f67f43d6998f4f59f80b1972 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Thu, 25 Jun 2020 09:41:39 +0200
Subject: [PATCH] disp_moments.m: filter out 0 variance variables

Otherwise, division by 0 will result in incorrect moment displays

Closes #1736
---
 matlab/default_option_values.m |  1 +
 matlab/disp_moments.m          | 23 +++++++++++++++++++++--
 2 files changed, 22 insertions(+), 2 deletions(-)

diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m
index 16e3bd4b8..d656ac6b6 100644
--- a/matlab/default_option_values.m
+++ b/matlab/default_option_values.m
@@ -151,6 +151,7 @@ end
 % IRFs & other stoch_simul output
 options_.irf = 40;
 options_.impulse_responses.plot_threshold=1e-10;
+options_.zero_moments_tolerance=1e-10;
 options_.relative_irf = false;
 options_.ar = 5;
 options_.hp_filter = 0;
diff --git a/matlab/disp_moments.m b/matlab/disp_moments.m
index 617fce9d9..3d0cb6aa1 100644
--- a/matlab/disp_moments.m
+++ b/matlab/disp_moments.m
@@ -67,6 +67,8 @@ if ~all(M_.H==0)
         y_ME=get_filtered_time_series(y_ME,m_ME,options_);
         y_ME_only_filtered=get_filtered_time_series(y_ME_only,mean(y_ME_only),options_);
         s2_ME = mean(y_ME.*y_ME);
+        s_ME = sqrt(s2_ME);
+        zero_variance_ME_var_index=index_subset(abs(s_ME')<options_.zero_moments_tolerance);
     end
 end
 
@@ -83,11 +85,20 @@ oo_.var = y'*y/size(y,1);
 oo_.skewness = (mean(y.^3)./s2.^1.5)';
 oo_.kurtosis = (mean(y.^4)./(s2.*s2)-3)';
 
+zero_variance_var_index=find(abs(s)<options_.zero_moments_tolerance);
+oo_.skewness(zero_variance_var_index)=NaN;
+oo_.kurtosis(zero_variance_var_index)=NaN;
+s(zero_variance_var_index)=0;
+s2(zero_variance_var_index)=0;
+oo_.var(zero_variance_var_index,:)=0;
+oo_.var(:,zero_variance_var_index)=0;
+
+
 labels = M_.endo_names(ivar);
 labels_TeX = M_.endo_names_tex(ivar);
 
 if ~options_.nomoments
-    z = [ m' s' s2' (mean(y.^3)./s2.^1.5)' (mean(y.^4)./(s2.*s2)-3)' ];
+    z = [ m' s' s2' oo_.skewness oo_.kurtosis ];
     title='MOMENTS OF SIMULATED VARIABLES';
     title=add_filter_subtitle(title, options_);
     headers = {'VARIABLE'; 'MEAN'; 'STD. DEV.'; 'VARIANCE'; 'SKEWNESS'; 'KURTOSIS'};
@@ -99,6 +110,8 @@ end
 
 if ~options_.nocorr
     corr = (y'*y/size(y,1))./(s'*s);
+    corr(zero_variance_var_index,:)=NaN;
+    corr(:,zero_variance_var_index)=NaN;
     if options_.contemporaneous_correlation
         oo_.contemporaneous_correlation = corr;
     end
@@ -124,6 +137,8 @@ if ar > 0
     autocorr = [];
     for i=1:ar
         oo_.autocorr{i} = y(ar+1:end,:)'*y(ar+1-i:end-i,:)./((size(y,1)-ar)*std(y(ar+1:end,:))'*std(y(ar+1-i:end-i,:)));
+        oo_.autocorr{i}(zero_variance_var_index,:)=NaN;
+        oo_.autocorr{i}(:,zero_variance_var_index)=NaN;
         autocorr = [ autocorr diag(oo_.autocorr{i}) ];
     end
     if ~options_.noprint
@@ -169,12 +184,16 @@ if ~options_.nodecomposition
             y_sim_one_shock = simult_(M_,options_,y0,oo_.dr,temp_shock_mat,options_.order);
             y_sim_one_shock=y_sim_one_shock(ivar,1+options_.drop+1:end)';
             y_sim_one_shock=get_filtered_time_series(y_sim_one_shock,mean(y_sim_one_shock),options_);
-            oo_.variance_decomposition(:,i_exo_var(shock_iter))=var(y_sim_one_shock)./s2*100;
+            oo_.variance_decomposition(:,i_exo_var(shock_iter))=var(y_sim_one_shock)./s2*100;            
         end
+        oo_.variance_decomposition(zero_variance_var_index,:)=NaN;
         if ME_present
             oo_.variance_decomposition_ME=oo_.variance_decomposition(index_subset,:)...
                 .*repmat((s2(index_subset)./s2_ME)',1,length(i_exo_var));
             oo_.variance_decomposition_ME(:,end+1)=var(y_ME_only_filtered)./s2_ME*100;
+            oo_.variance_decomposition_ME(ismember(observable_pos_requested_vars,intersect(zero_variance_ME_var_index,zero_variance_var_index)),:)=NaN;
+            oo_.variance_decomposition_ME(ismember(observable_pos_requested_vars,setdiff(zero_variance_var_index,zero_variance_ME_var_index)),1:end-1)=0;
+            oo_.variance_decomposition_ME(ismember(observable_pos_requested_vars,setdiff(zero_variance_var_index,zero_variance_ME_var_index)),end)=1;
         end
         if ~options_.noprint %options_.nomoments == 0
             skipline()