function disp_th_moments(dr,var_list) % Copyright (C) 2001-2008 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_ oo_ options_ nvar = size(var_list,1); if nvar == 0 nvar = length(dr.order_var); ivar = [1:nvar]'; else ivar=zeros(nvar,1); for i=1:nvar i_tmp = strmatch(var_list(i,:),M_.endo_names,'exact'); if isempty(i_tmp) error (['One of the variable specified does not exist']) ; else ivar(i) = i_tmp; end end end [oo_.gamma_y,ivar] = th_autocovariances(dr,ivar,M_,options_); m = dr.ys(ivar); i1 = find(abs(diag(oo_.gamma_y{1})) > 1e-12); s2 = diag(oo_.gamma_y{1}); sd = sqrt(s2); if options_.order == 2 m = m+oo_.gamma_y{options_.ar+3}; end z = [ m sd s2 ]; oo_.mean = m; oo_.var = oo_.gamma_y{1}; lh = size(deblank(M_.endo_names(ivar,:)),2)+2; if options_.nomoments == 0 title='THEORETICAL MOMENTS'; if options_.hp_filter title = [title ' (HP filter, lambda = ' int2str(options_.hp_filter) ')']; end headers=strvcat('VARIABLE','MEAN','STD. DEV.','VARIANCE'); table(title,headers,deblank(M_.endo_names(ivar,:)),z,lh,11,4); if M_.exo_nbr > 1 disp(' ') title='VARIANCE DECOMPOSITION (in percent)'; if options_.hp_filter title = [title ' (HP filter, lambda = ' ... int2str(options_.hp_filter) ')']; end headers = M_.exo_names; headers(M_.exo_names_orig_ord,:) = headers; headers = strvcat(' ',headers); table(title,headers,deblank(M_.endo_names(ivar(i1),:)),100*oo_.gamma_y{options_.ar+2}(i1,:), ... lh,8,2); end end if options_.nocorr == 0 disp(' ') title='MATRIX OF CORRELATIONS'; if options_.hp_filter title = [title ' (HP filter, lambda = ' int2str(options_.hp_filter) ')']; end labels = deblank(M_.endo_names(ivar,:)); headers = strvcat('Variables',labels(i1,:)); corr = oo_.gamma_y{1}(i1,i1)./(sd(i1)*sd(i1)'); table(title,headers,labels(i1,:),corr,lh,8,4); end if options_.ar > 0 disp(' ') title='COEFFICIENTS OF AUTOCORRELATION'; if options_.hp_filter title = [title ' (HP filter, lambda = ' int2str(options_.hp_filter) ')']; end labels = deblank(M_.endo_names(ivar(i1),:)); headers = strvcat('Order ',int2str([1:options_.ar]')); z=[]; for i=1:options_.ar oo_.autocorr{i} = oo_.gamma_y{i+1}; z(:,i) = diag(oo_.gamma_y{i+1}(i1,i1)); end table(title,headers,labels,z,0,8,4); end % 10/09/02 MJ % 10/18/02 MJ added th_autocovariances() and provided for lags on several % periods % 10/30/02 MJ added correlations and autocorrelations, uses table() % oo_.gamma_y is now a cell array. % 02/18/03 MJ added subtitles for HP filter % 05/01/03 MJ corrected options_.hp_filter % 05/21/03 MJ variance decomposition: test M_.exo_nbr > 1 % 05/21/03 MJ displays only variables with positive variance