114 lines
3.8 KiB
Matlab
114 lines
3.8 KiB
Matlab
function [cmm, mm] = simulated_moment_uncertainty(indx, periods, replic,options_,M_,oo_)
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% function [cmm, mm] = simulated_moment_uncertainty(indx, periods, replic,options_,M_,oo_)
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% Compute the uncertainty around simulated moments
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% Inputs
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% - indx [n_moments by 1] index vector of moments
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% - periods [scalar] number of simulation periods
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% - replic [scalar] number of simulation replications
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% - options_ Dynare options structure
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% - M_ Dynare Model structure
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% - oo_ Dynare results structure
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% Outputs:
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% - cmm: [n_moments by n_moments] covariance matrix of simulated moments
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% - mm: [n_moments by replic] matrix of moments
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% Copyright © 2009-2018 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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mm=zeros(length(indx),replic);
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disp('Evaluating simulated moment uncertainty ... please wait')
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disp(['Doing ',int2str(replic),' replicas of length ',int2str(periods),' periods.'])
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h = dyn_waitbar(0,'Simulated moment uncertainty ...');
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%Do check whether simulation is possible
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if options_.periods == 0
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error('simulated_moment_uncertainty: Periods must be bigger than 0')
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end
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if options_.periods <= options_.drop
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error('simulated_moment_uncertainty: The horizon of simulation is shorter than the number of observations to be dropped. Either increase options_.periods or decrease options_.drop.')
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end
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%locally set options
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options_.TeX=0;
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options_.noprint = 1;
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options_.order = 1;
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options_.periods = periods;
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if isempty(options_.qz_criterium)
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options_.qz_criterium = 1+1e-6;
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end
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if M_.exo_nbr > 0
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oo_.exo_simul= ones(max(options_.periods,1) + M_.maximum_lag + M_.maximum_lead,1) * oo_.exo_steady_state';
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end
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oo_.dr=set_state_space(oo_.dr,M_);
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if options_.logged_steady_state %if steady state was previously logged, undo this
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oo_.dr.ys=exp(oo_.dr.ys);
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oo_.steady_state=exp(oo_.steady_state);
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options_.logged_steady_state=0;
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logged_steady_state_indicator=1;
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evalin('base','options_.logged_steady_state=0;')
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else
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logged_steady_state_indicator=0;
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end
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[oo_.dr,info,M_.params] = compute_decision_rules(M_,options_,oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
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if info(1)
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fprintf('\nsimulated_moment_uncertainty: model could not be solved')
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print_info(info,0,options_);
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end
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%set starting point of simulations
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if isempty(M_.endo_histval)
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if options_.loglinear
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y0 = log(oo_.dr.ys);
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else
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y0 = oo_.dr.ys;
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end
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else
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if options_.loglinear
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y0 = log_variable(1:M_.endo_nbr,M_.endo_histval,M_);
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else
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y0 = M_.endo_histval;
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end
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end
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for j=1:replic
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[ys, oo_.exo_simul] = simult(y0,oo_.dr,M_,options_);%do simulation
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oo_=disp_moments(ys, options_.varobs,M_,options_,oo_); %get moments
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dum=[oo_.mean; dyn_vech(oo_.var)];
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sd = sqrt(diag(oo_.var));
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for i=1:options_.ar
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dum=[dum; vec(oo_.autocorr{i}.*(sd*sd'))];
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end
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mm(:,j)=dum(indx);
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dyn_waitbar(j/replic,h,['Simulated moment uncertainty. Replic ',int2str(j),'/',int2str(replic)])
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end
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dyn_waitbar_close(h);
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if logged_steady_state_indicator
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evalin('base','options_.logged_steady_state=1;') %reset base workspace option to conform to base oo_
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end
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cmm = cov(mm');
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disp('Simulated moment uncertainty ... done!')
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