function info=stoch_simul(var_list) % Copyright (C) 2001-2011 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 . global M_ options_ oo_ it_ test_for_deep_parameters_calibration(M_); options_old = options_; if options_.linear options_.order = 1; end if options_.order == 1 options_.replic = 1; elseif options_.order == 3 options_.k_order_solver = 1; end if isempty(options_.qz_criterium) options_.qz_criterium = 1+1e-6; end if options_.partial_information == 1 || options_.ACES_solver == 1 PI_PCL_solver = 1; if options_.order ~= 1 warning('STOCH_SIMUL: forcing order=1 since you are using partial_information or ACES solver') options_.order = 1; end else PI_PCL_solver = 0; end TeX = options_.TeX; if size(var_list,1) == 0 var_list = M_.endo_names(1:M_.orig_endo_nbr, :); end [i_var,nvar] = varlist_indices(var_list,M_.endo_names); iter_ = max(options_.periods,1); if M_.exo_nbr > 0 oo_.exo_simul= ones(iter_ + M_.maximum_lag + M_.maximum_lead,1) * oo_.exo_steady_state'; end check_model; if PI_PCL_solver [oo_.dr, info] = PCL_resol(oo_.steady_state,0); else [oo_.dr, info] = resol(oo_.steady_state,0); end if info(1) options_ = options_old; print_info(info, options_.noprint); return end if ~options_.noprint disp(' ') disp('MODEL SUMMARY') disp(' ') disp([' Number of variables: ' int2str(M_.endo_nbr)]) disp([' Number of stochastic shocks: ' int2str(M_.exo_nbr)]) if (options_.block) disp([' Number of state variables: ' int2str(oo_.dr.npred+oo_.dr.nboth)]) disp([' Number of jumpers: ' int2str(oo_.dr.nfwrd+oo_.dr.nboth)]) else disp([' Number of state variables: ' ... int2str(length(find(oo_.dr.kstate(:,2) <= M_.maximum_lag+1)))]) disp([' Number of jumpers: ' ... int2str(length(find(oo_.dr.kstate(:,2) == M_.maximum_lag+2)))]) end; disp([' Number of static variables: ' int2str(oo_.dr.nstatic)]) my_title='MATRIX OF COVARIANCE OF EXOGENOUS SHOCKS'; labels = deblank(M_.exo_names); headers = char('Variables',labels); lh = size(labels,2)+2; dyntable(my_title,headers,labels,M_.Sigma_e,lh,10,6); if options_.partial_information disp(' ') disp('SOLUTION UNDER PARTIAL INFORMATION') disp(' ') if isfield(options_,'varobs')&& ~isempty(options_.varobs) PCL_varobs=options_.varobs; disp('OBSERVED VARIABLES') else PCL_varobs=M_.endo_names; disp(' VAROBS LIST NOT SPECIFIED') disp(' ASSUMED OBSERVED VARIABLES') end for i=1:size(PCL_varobs,1) disp([' ' PCL_varobs(i,:)]) end end disp(' ') if options_.order <= 2 && ~PI_PCL_solver disp_dr(oo_.dr,options_.order,var_list); end end if options_.periods > 0 && ~PI_PCL_solver if options_.periods <= options_.drop disp(['STOCH_SIMUL error: The horizon of simulation is shorter' ... ' than the number of observations to be DROPed']) options_ =options_old; return end oo_.endo_simul = simult(oo_.dr.ys,oo_.dr); dyn2vec; end if options_.nomoments == 0 if PI_PCL_solver PCL_Part_info_moments (0, PCL_varobs, oo_.dr, i_var); elseif options_.periods == 0 disp_th_moments(oo_.dr,var_list); else disp_moments(oo_.endo_simul,var_list); end end if options_.irf var_listTeX = M_.endo_names_tex(i_var,:); if TeX fidTeX = fopen([M_.fname '_IRF.TeX'],'w'); fprintf(fidTeX,'%% TeX eps-loader file generated by stoch_simul.m (Dynare).\n'); fprintf(fidTeX,['%% ' datestr(now,0) '\n']); fprintf(fidTeX,' \n'); end olditer = iter_;% Est-ce vraiment utile ? Il y a la même ligne dans irf... SS(M_.exo_names_orig_ord,M_.exo_names_orig_ord)=M_.Sigma_e+1e-14*eye(M_.exo_nbr); cs = transpose(chol(SS)); tit(M_.exo_names_orig_ord,:) = M_.exo_names; if TeX titTeX(M_.exo_names_orig_ord,:) = M_.exo_names_tex; end for i=1:M_.exo_nbr if SS(i,i) > 1e-13 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); end if options_.relative_irf y = 100*y/cs(i,i); end irfs = []; mylist = []; if TeX mylistTeX = []; end for j = 1:nvar assignin('base',[deblank(M_.endo_names(i_var(j),:)) '_' deblank(M_.exo_names(i,:))],... y(i_var(j),:)'); eval(['oo_.irfs.' deblank(M_.endo_names(i_var(j),:)) '_' ... deblank(M_.exo_names(i,:)) ' = y(i_var(j),:);']); if max(y(i_var(j),:)) - min(y(i_var(j),:)) > 1e-10 irfs = cat(1,irfs,y(i_var(j),:)); if isempty(mylist) mylist = deblank(var_list(j,:)); else mylist = char(mylist,deblank(var_list(j,:))); end if TeX if isempty(mylistTeX) mylistTeX = deblank(var_listTeX(j,:)); else mylistTeX = char(mylistTeX,deblank(var_listTeX(j,:))); end end end end if options_.nograph == 0 number_of_plots_to_draw = size(irfs,1); [nbplt,nr,nc,lr,lc,nstar] = pltorg(number_of_plots_to_draw); if nbplt == 0 elseif nbplt == 1 if options_.relative_irf hh = figure('Name',['Relative response to' ... ' orthogonalized shock to ' tit(i,:)]); else hh = figure('Name',['Orthogonalized shock to' ... ' ' tit(i,:)]); end for j = 1:number_of_plots_to_draw subplot(nr,nc,j); plot(1:options_.irf,transpose(irfs(j,:)),'-k','linewidth',1); hold on plot([1 options_.irf],[0 0],'-r','linewidth',0.5); hold off xlim([1 options_.irf]); title(deblank(mylist(j,:)),'Interpreter','none'); end eval(['print -depsc2 ' M_.fname '_IRF_' deblank(tit(i,:)) '.eps']); if ~exist('OCTAVE_VERSION') eval(['print -dpdf ' M_.fname '_IRF_' deblank(tit(i,:))]); saveas(hh,[M_.fname '_IRF_' deblank(tit(i,:)) '.fig']); end if TeX fprintf(fidTeX,'\\begin{figure}[H]\n'); for j = 1:number_of_plots_to_draw fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{$%s$}\n'],deblank(mylist(j,:)),deblank(mylistTeX(j,:))); end fprintf(fidTeX,'\\centering \n'); fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_IRF_%s}\n',M_.fname,deblank(tit(i,:))); fprintf(fidTeX,'\\caption{Impulse response functions (orthogonalized shock to $%s$).}',titTeX(i,:)); fprintf(fidTeX,'\\label{Fig:IRF:%s}\n',deblank(tit(i,:))); fprintf(fidTeX,'\\end{figure}\n'); fprintf(fidTeX,' \n'); end % close(hh) else for fig = 1:nbplt-1 if options_.relative_irf == 1 hh = figure('Name',['Relative response to orthogonalized shock' ... ' to ' tit(i,:) ' figure ' int2str(fig)]); else hh = figure('Name',['Orthogonalized shock to ' tit(i,:) ... ' figure ' int2str(fig)]); end for plt = 1:nstar subplot(nr,nc,plt); plot(1:options_.irf,transpose(irfs((fig-1)*nstar+plt,:)),'-k','linewidth',1); hold on plot([1 options_.irf],[0 0],'-r','linewidth',0.5); hold off xlim([1 options_.irf]); title(deblank(mylist((fig-1)*nstar+plt,:)),'Interpreter','none'); end eval(['print -depsc2 ' M_.fname '_IRF_' deblank(tit(i,:)) int2str(fig) '.eps']); if ~exist('OCTAVE_VERSION') eval(['print -dpdf ' M_.fname '_IRF_' deblank(tit(i,:)) int2str(fig)]); saveas(hh,[M_.fname '_IRF_' deblank(tit(i,:)) int2str(fig) '.fig']); end if TeX fprintf(fidTeX,'\\begin{figure}[H]\n'); for j = 1:nstar fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{$%s$}\n'],deblank(mylist((fig-1)*nstar+j,:)),deblank(mylistTeX((fig-1)*nstar+j,:))); end fprintf(fidTeX,'\\centering \n'); fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_IRF_%s%s}\n',M_.fname,deblank(tit(i,:)),int2str(fig)); if options_.relative_irf fprintf(fidTeX,['\\caption{Relative impulse response' ... ' functions (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:))); else fprintf(fidTeX,['\\caption{Impulse response functions' ... ' (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:))); end fprintf(fidTeX,'\\label{Fig:BayesianIRF:%s:%s}\n',deblank(tit(i,:)),int2str(fig)); fprintf(fidTeX,'\\end{figure}\n'); fprintf(fidTeX,' \n'); end % close(hh); end hh = figure('Name',['Orthogonalized shock to ' tit(i,:) ' figure ' int2str(nbplt) '.']); m = 0; for plt = 1:number_of_plots_to_draw-(nbplt-1)*nstar; m = m+1; subplot(lr,lc,m); plot(1:options_.irf,transpose(irfs((nbplt-1)*nstar+plt,:)),'-k','linewidth',1); hold on plot([1 options_.irf],[0 0],'-r','linewidth',0.5); hold off xlim([1 options_.irf]); title(deblank(mylist((nbplt-1)*nstar+plt,:)),'Interpreter','none'); end eval(['print -depsc2 ' M_.fname '_IRF_' deblank(tit(i,:)) int2str(nbplt) '.eps']); if ~exist('OCTAVE_VERSION') eval(['print -dpdf ' M_.fname '_IRF_' deblank(tit(i,:)) int2str(nbplt)]); saveas(hh,[M_.fname '_IRF_' deblank(tit(i,:)) int2str(nbplt) '.fig']); end if TeX fprintf(fidTeX,'\\begin{figure}[H]\n'); for j = 1:m fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{$%s$}\n'],deblank(mylist((nbplt-1)*nstar+j,:)),deblank(mylistTeX((nbplt-1)*nstar+j,:))); end fprintf(fidTeX,'\\centering \n'); fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_IRF_%s%s}\n',M_.fname,deblank(tit(i,:)),int2str(nbplt)); if options_.relative_irf fprintf(fidTeX,['\\caption{Relative impulse response functions' ... ' (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:))); else fprintf(fidTeX,['\\caption{Impulse response functions' ... ' (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:))); end fprintf(fidTeX,'\\label{Fig:IRF:%s:%s}\n',deblank(tit(i,:)),int2str(nbplt)); fprintf(fidTeX,'\\end{figure}\n'); fprintf(fidTeX,' \n'); end % close(hh); end end end iter_ = olditer; end if TeX fprintf(fidTeX,' \n'); fprintf(fidTeX,'%% End Of TeX file. \n'); fclose(fidTeX); end end if options_.SpectralDensity == 1 [omega,f] = UnivariateSpectralDensity(oo_.dr,var_list); end options_ = options_old; % temporary fix waiting for local options options_.partial_information = 0;