61 lines
2.2 KiB
Matlab
61 lines
2.2 KiB
Matlab
function [vdec, cc, ac] = monte_carlo_moments(mm, ss, dr, M_, options_, estim_params_)
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% [vdec, cc, ac] = monte_carlo_moments(mm, ss, dr, M_, options_,estim_params_)
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% Conduct Monte Carlo simulation of second moments for GSA
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% Inputs:
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% - dr [structure] decision rules
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% - M_ [structure] model structure
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% - options_ [structure] Matlab's structure describing the current options
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% - estim_params_ [structure] characterizing parameters to be estimated
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%
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% Outputs:
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% - vdec [double] variance decomposition matrix
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% - cc [double] vector of unique elements of cross correlation matrix
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% - ac [cell] autocorrelation matrix
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% Copyright © 2012-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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[~, nc1, nsam] = size(mm);
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nobs=length(options_.varobs);
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disp('monte_carlo_moments: Computing theoretical moments ...')
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h = dyn_waitbar(0,'Theoretical moments ...');
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vdec = zeros(nobs,M_.exo_nbr,nsam);
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cc = zeros(nobs,nobs,nsam);
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ac = zeros(nobs,nobs*options_.ar,nsam);
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for j=1:nsam
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dr.ghx = mm(:, 1:(nc1-M_.exo_nbr),j);
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dr.ghu = mm(:, (nc1-M_.exo_nbr+1):end, j);
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if ~isempty(ss)
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M_=gsa.set_shocks_param(M_,estim_params_,ss(j,:));
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end
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[vdec(:,:,j), corr, autocorr] = gsa.th_moments(dr,options_,M_);
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cc(:,:,j)=triu(corr);
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dum=NaN(nobs,nobs*options_.ar);
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for i=1:options_.ar
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dum(:,(i-1)*nobs+1:i*nobs)=autocorr{i};
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end
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ac(:,:,j)=dum;
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if mod(j,3)==0
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dyn_waitbar(j/nsam,h)
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end
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end
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dyn_waitbar_close(h)
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skipline()
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disp('... done !')
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