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Fix dsge_simulated_theoretical_variance_decomposition.m for non-stationary variables only 

If all variables contain unit roots, dsge_simulated_theoretical_variance_decomposition.m crashes because tmp is NaN. Instead, the first draw is now checked for a unit root and a warning is displayed.
time-shift
Johannes Pfeifer 2014-07-16 16:52:02 +02:00
parent 46a0edb9b3
commit fb17e0da36
2 changed files with 22 additions and 5 deletions
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25
matlab/dsge_simulated_theoretical_variance_decomposition.m
View File

@ -91,6 +91,7 @@ DecompFileNumber = 1;
% Compute total variances (covariances are not saved) and variances
% implied by each structural shock.
linea = 0;
only_non_stationary_vars=0;
for file = 1:NumberOfDrawsFiles
if posterior
load([M_.dname '/metropolis/' DrawsFiles(file).name ]);
@ -107,10 +108,26 @@ for file = 1:NumberOfDrawsFiles
set_parameters(pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
for i=1:nvar
for j=1:nexo
Decomposition_array(linea,(i-1)*nexo+j) = tmp{2}(i,j);
if file==1 && linee==1
[tmp, stationary_vars] = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
if isempty(stationary_vars)
fprintf('\ndsge_simulated_theoretical_variance_decomposition:: All requested endogenous variables have a unit root and thus infinite variance.\n')
fprintf('dsge_simulated_theoretical_variance_decomposition:: No decomposition is performed.\n')
only_non_stationary_vars=1;
end
end
if only_non_stationary_vars
for i=1:nvar
for j=1:nexo
Decomposition_array(linea,(i-1)*nexo+j) = NaN;
end
end
else
tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
for i=1:nvar
for j=1:nexo
Decomposition_array(linea,(i-1)*nexo+j) = tmp{2}(i,j);
end
end
end
if linea == NumberOfDecompLines

2
matlab/th_autocovariances.m
View File

@ -57,7 +57,7 @@ else
warning off MATLAB:dividebyzero
end
nar = options_.ar;
Gamma_y = cell(nar+1,1);
Gamma_y = cell(nar+2,1);
if isempty(ivar)
ivar = [1:endo_nbr]';
end