% Copyright (C) 2001 Michel Juillard % function info=stoch_simul(var_list) global M_ options_ oo_ it_ options_old = options_; if options_.linear options_.order = 1; end if (options_.order == 1) options_.replic = 1; end TeX = options_.TeX; 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; [oo_.dr, info] = resol(oo_.steady_state,0); if info(1) options_ = options_old; print_info(info); 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)]) 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)))]) disp([' Number of static variables: ' int2str(oo_.dr.nstatic)]) my_title='MATRIX OF COVARIANCE OF EXOGENOUS SHOCKS'; labels = deblank(M_.exo_names); headers = strvcat('Variables',labels); lh = size(labels,2)+2; table(my_title,headers,labels,M_.Sigma_e,lh,10,6); disp(' ') disp_dr(oo_.dr,options_.order,var_list); end if options_.simul == 0 & options_.nomoments == 0 disp_th_moments(oo_.dr,var_list); elseif options_.simul == 1 if options_.periods == 0 error('STOCH_SIMUL error: number of periods for the simulation isn''t specified') end 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(repmat(oo_.dr.ys,1,M_.maximum_lag),oo_.dr); dyn2vec; if options_.nomoments == 0 disp_moments(oo_.endo_simul,var_list); end end if options_.irf n = size(var_list,1); if n == 0 n = M_.endo_nbr; ivar = [1:n]'; var_list = M_.endo_names; if TeX var_listTeX = M_.endo_names_tex; end else ivar=zeros(n,1); if TeX var_listTeX = []; end for i=1:n i_tmp = strmatch(var_list(i,:),M_.endo_names,'exact'); if isempty(i_tmp) error (['One of the specified variables does not exist']) ; else ivar(i) = i_tmp; if TeX var_listTeX = strvcat(var_listTeX,deblank(M_.endo_names_tex(i_tmp,:))); end end end end 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 y=irf(oo_.dr,cs(M_.exo_names_orig_ord,i), options_.irf, options_.drop, ... options_.replic, options_.order); if options_.relative_irf y = 100*y/cs(i,i); end irfs = []; mylist = []; if TeX mylistTeX = []; end for j = 1:n assignin('base',[deblank(M_.endo_names(ivar(j),:)) '_' deblank(M_.exo_names(i,:))],... y(ivar(j),:)'); eval(['oo_.irfs.' deblank(M_.endo_names(ivar(j),:)) '_' ... deblank(M_.exo_names(i,:)) ' = y(ivar(j),:);']); if max(y(ivar(j),:)) - min(y(ivar(j),:)) > 1e-10 irfs = cat(1,irfs,y(ivar(j),:)); mylist = strvcat(mylist,deblank(var_list(j,:))); if TeX mylistTeX = strvcat(mylistTeX,deblank(var_listTeX(j,:))); 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; if TeX fprintf(fidTeX,' \n'); fprintf(fidTeX,'%% End Of TeX file. \n'); fclose(fidTeX); end end end if options_.SpectralDensity == 1 [omega,f] = UnivariateSpectralDensity(oo_.dr,var_list); end options_ = options_old;