193 lines
14 KiB
HTML
193 lines
14 KiB
HTML
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<title>Description of osr</title>
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<meta name="keywords" content="osr">
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<meta name="description" content="Copyright (C) 2001 Michel Juillard">
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<a name="_top"></a>
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<div><a href="../index.html">Home</a> > <a href="index.html">.</a> > osr.m</div>
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<!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td>
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<td align="right"><a href="index.html">Index for . <img alt=">" border="0" src="../right.png"></a></td></tr></table>-->
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<h1>osr
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</h1>
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<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>Copyright (C) 2001 Michel Juillard</strong></div>
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<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>function osr(var_list,params,W) </strong></div>
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<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre class="comment"> Copyright (C) 2001 Michel Juillard</pre></div>
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<!-- crossreference -->
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<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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This function calls:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="disp_dr.html" class="code" title="function disp_dr(dr,order,var_list)">disp_dr</a> Copyright (C) 2001 Michel Juillard</li><li><a href="disp_moments.html" class="code" title="function disp_moments(y,var_list)">disp_moments</a> Copyright (C) 2001 Michel Juillard</li><li><a href="disp_th_moments.html" class="code" title="function disp_th_moments(dr,var_list)">disp_th_moments</a> Copyright (C) 2001 Michel Juillard</li><li><a href="dyn2vec.html" class="code" title="function [z,zss]=dyn2vec(s1,s2);">dyn2vec</a> Copyright (C) 2001 Michel Juillard</li><li><a href="irf.html" class="code" title="function y = irf(dr, e1, long, drop, replic, iorder)">irf</a> </li><li><a href="make_ex_.html" class="code" title="function make_ex_">make_ex_</a> Copyright (C) 2001 Michel Juillard</li><li><a href="osr1.html" class="code" title="function oo_.dr=osr1(params,weights)">osr1</a> </li><li><a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a> </li><li><a href="simult.html" class="code" title="function y_=simult(ys, dr)">simult</a> Copyright (C) 2001 Michel Juillard</li><li><a href="table.html" class="code" title="function table(title,headers,labels,values,label_width,val_width,val_precis)">table</a> Copyright (C) 2002 Michel Juillard</li></ul>
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This function is called by:
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<ul style="list-style-image:url(../matlabicon.gif)">
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</ul>
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<!-- crossreference -->
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<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre>0001 <span class="comment">% Copyright (C) 2001 Michel Juillard</span>
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0002 <span class="comment">%</span>
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0003 <a name="_sub0" href="#_subfunctions" class="code">function osr(var_list,params,W)</a>
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0004 <span class="keyword">global</span> M_ options_ oo_
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0005
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0006 options_.order = 1;
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0007 options_.linear = 1;
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0008 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'ar'</span>,5);
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0009 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'irf'</span>,40);
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0010 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'dr_algo'</span>,0);
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0011 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'simul_algo'</span>,0);
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0012 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'drop'</span>,100);
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0013 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'replic'</span>,1);
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0014 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'nomoments'</span>,0);
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0015 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'nocorr'</span>,0);
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0016 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'simul_seed'</span>,[]);
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0017 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'hp_filter'</span>,0);
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0018 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'hp_ngrid'</span>,512);
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0019 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'simul'</span>,0);
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0020 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'periods'</span>,1);
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0021 <span class="keyword">if</span> options_.simul & ~isempty(options_.periods) & options_.periods == 0
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0022 options_.periods = options_.periods;
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0023 <span class="keyword">end</span>
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0024
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0025 options_.periods = max(options_.periods,1);
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0026 options_.periods = options_.periods;
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0027
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0028 <a href="make_ex_.html" class="code" title="function make_ex_">make_ex_</a>;
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0029
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0030 disp(<span class="string">' '</span>)
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0031 disp(<span class="string">'OPTIMAL SIMPLE RULE'</span>)
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0032 disp(<span class="string">' '</span>)
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0033 oo_.dr = <a href="osr1.html" class="code" title="function oo_.dr=osr1(params,weights)">osr1</a>(params,W);
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0034 disp(<span class="string">'MODEL SUMMARY'</span>)
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0035 disp(<span class="string">' '</span>)
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0036 disp([<span class="string">' Number of variables: '</span> int2str(M_.endo_nbr)])
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0037 disp([<span class="string">' Number of stochastic shocks: '</span> int2str(M_.exo_nbr)])
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0038 disp([<span class="string">' Number of state variables: '</span> <span class="keyword">...</span>
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0039 int2str(length(find(oo_.dr.kstate(:,2) <= M_.maximum_lag+1)))])
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0040 disp([<span class="string">' Number of jumpers: '</span> <span class="keyword">...</span>
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0041 int2str(length(find(oo_.dr.kstate(:,2) == M_.maximum_lag+2)))])
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0042 disp([<span class="string">' Number of static variables: '</span> int2str(oo_.dr.nstatic)])
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0043 my_title=<span class="string">'MATRIX OF COVARIANCE OF EXOGENOUS SHOCKS'</span>;
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0044 labels = deblank(M_.exo_name);
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0045 headers = strvcat(<span class="string">'Variables'</span>,labels);
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0046 lh = size(labels,2)+2;
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0047 <a href="table.html" class="code" title="function table(title,headers,labels,values,label_width,val_width,val_precis)">table</a>(my_title,headers,labels,M_.Sigma_e,lh,10,6);
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0048 disp(<span class="string">' '</span>)
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0049 <a href="disp_dr.html" class="code" title="function disp_dr(dr,order,var_list)">disp_dr</a>(oo_.dr,options_.order,var_list);
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0050 <span class="keyword">if</span> options_.order == 1 & options_.simul == 0 & options_.nomoments == 0
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0051 <a href="disp_th_moments.html" class="code" title="function disp_th_moments(dr,var_list)">disp_th_moments</a>(oo_.dr,var_list);
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0052 <span class="keyword">elseif</span> options_.simul == 1 | options_.nomoments == 0
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0053 <span class="keyword">if</span> options_.periods == 0
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0054 error(<span class="string">'OSR error: number of periods for the simulation isn''t specified'</span>)
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0055 <span class="keyword">end</span>
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0056 <span class="keyword">if</span> options_.periods < options_.drop
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0057 disp([<span class="string">'OSR error: The horizon of simulation is shorter'</span> <span class="keyword">...</span>
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0058 <span class="string">' than the number of observations to be DROPed'</span>])
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0059 <span class="keyword">return</span>
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0060 <span class="keyword">end</span>
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0061
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0062 oo_.y_simul = <a href="simult.html" class="code" title="function y_=simult(ys, dr)">simult</a>(repmat(oo_.dr.ys,1,M_.maximum_lag),oo_.dr);
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0063 <a href="dyn2vec.html" class="code" title="function [z,zss]=dyn2vec(s1,s2);">dyn2vec</a>;
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0064 <span class="keyword">if</span> options_.nomoments == 0
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0065 <a href="disp_moments.html" class="code" title="function disp_moments(y,var_list)">disp_moments</a>(oo_.y_simul,var_list);
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0066 <span class="keyword">end</span>
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0067 <span class="keyword">end</span>
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0068
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0069 n = size(var_list,1);
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0070 <span class="keyword">if</span> n == 0
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0071 n = length(oo_.dr.order_var);
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0072 ivar = [1:n]';
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0073 var_list = M_.endo_names;
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0074 <span class="keyword">else</span>
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0075 ivar=zeros(n,1);
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0076 <span class="keyword">for</span> i=1:n
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0077 i_tmp = strmatch(var_list(i,:),M_.endo_names,<span class="string">'exact'</span>);
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0078 <span class="keyword">if</span> isempty(i_tmp)
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0079 error ([<span class="string">'One of the specified variables does not exist'</span>]) ;
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0080 <span class="keyword">else</span>
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0081 ivar(i) = i_tmp;
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0082 <span class="keyword">end</span>
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0083 <span class="keyword">end</span>
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0084 <span class="keyword">end</span>
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0085
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0086 <span class="keyword">if</span> n < 13 & options_.irf > 0
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0087 <span class="keyword">if</span> n == 1
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0088 nr = 1;
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0089 nc = 1;
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0090 <span class="keyword">elseif</span> n == 2
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0091 nr = 1;
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0092 nc = 2;
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0093 <span class="keyword">elseif</span> n <= 4
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0094 nr = 2;
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0095 nc = 2;
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0096 <span class="keyword">elseif</span> n <= 6
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0097 nr = 2;
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0098 nc = 3;
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0099 <span class="keyword">elseif</span> n <= 9
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0100 nr = 3;
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0101 nc = 3;
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0102 <span class="keyword">elseif</span> n <= 12
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0103 nr = 3;
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0104 nc = 4;
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0105 <span class="keyword">end</span>
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0106 olditer = options_.periods;
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0107 <span class="keyword">if</span> options_.order == 1
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0108 options_.replic = 1;
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0109 <span class="keyword">else</span>
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0110 <span class="keyword">if</span> options_.replic == 0
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0111 options_.replic = 50;
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0112 <span class="keyword">end</span>
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0113 <span class="keyword">end</span>
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0114 <span class="keyword">for</span> i = 1:M_.exo_nbr
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0115 figure(<span class="string">'Name'</span>,[<span class="string">'Shock to '</span> M_.exo_name(i,:)]);
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0116 y=<a href="irf.html" class="code" title="function y = irf(dr, e1, long, drop, replic, iorder)">irf</a>(oo_.dr,M_.exo_name(i,:),sqrt(M_.Sigma_e(i,i)), options_.irf, options_.drop, options_.replic, options_.order);
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0117 <span class="keyword">for</span> j = 1:n
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0118 subplot(nr,nc,j);
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0119 plot([y(ivar(j),:)']);
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0120 title(var_list(j,:),<span class="string">'Interpreter'</span>,<span class="string">'none'</span>);
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0121 assignin(<span class="string">'base'</span>,[deblank(var_list(j,:)) <span class="string">'_'</span> deblank(M_.exo_name(i,:))],y(ivar(j),:)');
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0122 <span class="keyword">end</span>
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0123
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0124 <span class="keyword">end</span>
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0125 options_.periods = olditer;
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0126 <span class="keyword">end</span>
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0127
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0128 <span class="comment">% 01/10/01 FC oo_.dr and oo_.y_simul made global</span>
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0129 <span class="comment">% 02/20/01 MJ oo_.steady_state removed from calling sequence for simult (all in oo_.dr)</span>
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0130 <span class="comment">% 02/23/01 MJ added dyn2vec()</span>
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0131 <span class="comment">% 06/24/01 MJ steady -> steady_</span>
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0132 <span class="comment">% 09/24/01 MJ oo_.dr made global</span>
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0133 <span class="comment">% 08/28/02 MJ added var_list</span>
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0134 <span class="comment">% 10/09/02 MJ no simulation and theoretical moments for order 1</span>
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0135 <span class="comment">% 10/14/02 MJ added plot of IRFs</span>
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0136 <span class="comment">% 10/30/02 MJ options_ are now a structure</span>
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0137 <span class="comment">% 01/01/03 MJ added dr_algo</span>
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0138 <span class="comment">% 01/09/03 MJ set default values for options_ (correct absence of autocorr</span>
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0139 <span class="comment">% when order == 1)</span>
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0140 <span class="comment">% 01/12/03 MJ removed call to steady_ as already checked in resol()</span>
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0141 <span class="comment">% 01/31/03 MJ make IRF global with varname_shockname</span>
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0142 <span class="comment">% 02/09/03 MJ oo_.steady_state reset with value declared in initval after computations</span>
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0143 <span class="comment">% 02/18/03 MJ removed above change. oo_.steady_state shouldn't be affected by</span>
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0144 <span class="comment">% computations in this function</span>
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0145 <span class="comment">% new option SIMUL computes a stochastic simulation and save</span>
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0146 <span class="comment">% results in oo_.y_simul and via dyn2vec</span>
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0147 <span class="comment">% 04/03/03 MJ corrected bug for simulation with M_.maximum_lag > 1</span></pre></div>
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<hr><address>Generated on Fri 16-Jun-2006 09:09:06 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address>
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