351 lines
14 KiB
Matlab
351 lines
14 KiB
Matlab
function info=stoch_simul(var_list)
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% Copyright (C) 2001-2015 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 <http://www.gnu.org/licenses/>.
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global M_ options_ oo_ it_
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% Test if the order of approximation is nonzero (the preprocessor tests if order is non negative).
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if isequal(options_.order,0)
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error('stoch_simul:: The order of the Taylor approximation cannot be 0!')
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end
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test_for_deep_parameters_calibration(M_);
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dr = oo_.dr;
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options_old = options_;
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if options_.linear
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options_.order = 1;
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end
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if options_.order == 1
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options_.replic = 1;
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end
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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 options_.partial_information == 1 || options_.ACES_solver == 1
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PI_PCL_solver = 1;
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if options_.order ~= 1
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warning('stoch_simul:: forcing order=1 since you are using partial_information or ACES solver')
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options_.order = 1;
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end
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else
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PI_PCL_solver = 0;
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end
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TeX = options_.TeX;
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if size(var_list,1) == 0
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var_list = M_.endo_names(1:M_.orig_endo_nbr, :);
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end
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[i_var,nvar] = varlist_indices(var_list,M_.endo_names);
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iter_ = max(options_.periods,1);
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if M_.exo_nbr > 0
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oo_.exo_simul= ones(iter_ + M_.maximum_lag + M_.maximum_lead,1) * oo_.exo_steady_state';
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end
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check_model(M_);
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oo_.dr=set_state_space(dr,M_,options_);
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if PI_PCL_solver
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[oo_.dr, info] = PCL_resol(oo_.steady_state,0);
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elseif options_.discretionary_policy
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if ~options_.linear
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error('discretionary_policy: only linear-quadratic problems can be solved');
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end
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[oo_.dr,ys,info] = discretionary_policy_1(oo_,options_.instruments);
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else
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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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end
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[oo_.dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
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end
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if options_.loglinear %log steady state for correct display of decision rules and simulations
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oo_.dr.ys=log(oo_.dr.ys);
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oo_.steady_state=log(oo_.steady_state);
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options_old.logged_steady_state = 1;
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end
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if info(1)
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options_ = options_old;
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print_info(info, options_.noprint, options_);
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return
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end
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if ~options_.noprint
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skipline()
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disp('MODEL SUMMARY')
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skipline()
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disp([' Number of variables: ' int2str(M_.endo_nbr)])
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disp([' Number of stochastic shocks: ' int2str(M_.exo_nbr)])
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disp([' Number of state variables: ' int2str(M_.nspred)])
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disp([' Number of jumpers: ' int2str(M_.nsfwrd)])
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disp([' Number of static variables: ' int2str(M_.nstatic)])
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my_title='MATRIX OF COVARIANCE OF EXOGENOUS SHOCKS';
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labels = deblank(M_.exo_names);
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headers = char('Variables',labels);
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lh = size(labels,2)+2;
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dyntable(my_title,headers,labels,M_.Sigma_e,lh,10,6);
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if options_.partial_information
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skipline()
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disp('SOLUTION UNDER PARTIAL INFORMATION')
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skipline()
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if isfield(options_,'varobs')&& ~isempty(options_.varobs)
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PCL_varobs=char(options_.varobs);
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disp('OBSERVED VARIABLES')
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else
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PCL_varobs=M_.endo_names;
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disp(' VAROBS LIST NOT SPECIFIED')
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disp(' ASSUMED OBSERVED VARIABLES')
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end
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for i=1:size(PCL_varobs,1)
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disp([' ' PCL_varobs(i,:)])
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end
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end
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skipline()
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if options_.order <= 2 && ~PI_PCL_solver
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if ~options_.nofunctions
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disp_dr(oo_.dr,options_.order,var_list);
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end
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end
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end
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if options_.periods > 0 && ~PI_PCL_solver
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if options_.periods <= options_.drop
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fprintf('\nSTOCH_SIMUL error: The horizon of simulation is shorter than the number of observations to be dropped.\n')
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fprintf('STOCH_SIMUL error: Either increase options_.periods or decrease options_.drop.\n')
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options_ =options_old;
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return
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end
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if isempty(M_.endo_histval)
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y0 = oo_.dr.ys;
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else
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y0 = M_.endo_histval;
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end
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[ys, oo_] = simult(y0,oo_.dr,M_,options_,oo_);
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oo_.endo_simul = ys;
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dyn2vec;
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end
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if options_.nomoments == 0
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if PI_PCL_solver
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PCL_Part_info_moments (0, PCL_varobs, oo_.dr, i_var);
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elseif options_.periods == 0
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% There is no code for theoretical moments at 3rd order
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if options_.order <= 2
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disp_th_moments(oo_.dr,var_list);
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end
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else
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disp_moments(oo_.endo_simul,var_list);
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end
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end
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if options_.irf
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var_listTeX = M_.endo_names_tex(i_var,:);
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if TeX
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fidTeX = fopen([M_.fname '_IRF.TeX'],'w');
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fprintf(fidTeX,'%% TeX eps-loader file generated by stoch_simul.m (Dynare).\n');
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fprintf(fidTeX,['%% ' datestr(now,0) '\n']);
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fprintf(fidTeX,' \n');
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end
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SS(M_.exo_names_orig_ord,M_.exo_names_orig_ord)=M_.Sigma_e+1e-14*eye(M_.exo_nbr);
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cs = transpose(chol(SS));
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tit(M_.exo_names_orig_ord,:) = M_.exo_names;
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if TeX
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titTeX(M_.exo_names_orig_ord,:) = M_.exo_names_tex;
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end
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irf_shocks_indx = getIrfShocksIndx();
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for i=irf_shocks_indx
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if SS(i,i) > 1e-13
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if PI_PCL_solver
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y=PCL_Part_info_irf (0, PCL_varobs, i_var, M_, oo_.dr, options_.irf, i);
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else
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y=irf(oo_.dr,cs(M_.exo_names_orig_ord,i), options_.irf, options_.drop, ...
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options_.replic, options_.order);
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end
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if ~options_.noprint && any(any(isnan(y))) && ~options_.pruning && ~(options_.order==1)
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fprintf('\nstoch_simul:: The simulations conducted for generating IRFs to %s were explosive.\n',M_.exo_names(i,:))
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fprintf('stoch_simul:: No IRFs will be displayed. Either reduce the shock size, \n')
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fprintf('stoch_simul:: use pruning, or set the approximation order to 1.');
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skipline(2);
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end
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if options_.relative_irf
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y = 100*y/cs(i,i);
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end
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irfs = [];
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mylist = [];
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if TeX
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mylistTeX = [];
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end
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for j = 1:nvar
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assignin('base',[deblank(M_.endo_names(i_var(j),:)) '_' deblank(M_.exo_names(i,:))],...
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y(i_var(j),:)');
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eval(['oo_.irfs.' deblank(M_.endo_names(i_var(j),:)) '_' ...
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deblank(M_.exo_names(i,:)) ' = y(i_var(j),:);']);
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if max(abs(y(i_var(j),:))) > options_.impulse_responses.plot_threshold
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irfs = cat(1,irfs,y(i_var(j),:));
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if isempty(mylist)
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mylist = deblank(var_list(j,:));
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else
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mylist = char(mylist,deblank(var_list(j,:)));
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end
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if TeX
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if isempty(mylistTeX)
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mylistTeX = deblank(var_listTeX(j,:));
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else
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mylistTeX = char(mylistTeX,deblank(var_listTeX(j,:)));
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end
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end
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else
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if options_.debug
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fprintf('stoch_simul:: The IRF of %s to %s is smaller than the irf_plot_threshold of %4.3f and will not be displayed.\n',deblank(M_.endo_names(i_var(j),:)),deblank(M_.exo_names(i,:)),options_.impulse_responses.plot_threshold)
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end
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end
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end
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if options_.nograph == 0
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number_of_plots_to_draw = size(irfs,1);
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[nbplt,nr,nc,lr,lc,nstar] = pltorg(number_of_plots_to_draw);
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if nbplt == 0
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elseif nbplt == 1
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if options_.relative_irf
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hh = dyn_figure(options_,'Name',['Relative response to' ...
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' orthogonalized shock to ' tit(i,:)]);
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else
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hh = dyn_figure(options_,'Name',['Orthogonalized shock to' ...
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' ' tit(i,:)]);
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end
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for j = 1:number_of_plots_to_draw
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subplot(nr,nc,j);
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plot(1:options_.irf,transpose(irfs(j,:)),'-k','linewidth',1);
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hold on
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plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
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hold off
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xlim([1 options_.irf]);
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title(deblank(mylist(j,:)),'Interpreter','none');
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end
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dyn_saveas(hh,[M_.fname '_IRF_' deblank(tit(i,:))],options_);
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if TeX
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fprintf(fidTeX,'\\begin{figure}[H]\n');
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for j = 1:number_of_plots_to_draw
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fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{$%s$}\n'],deblank(mylist(j,:)),deblank(mylistTeX(j,:)));
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end
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fprintf(fidTeX,'\\centering \n');
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fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_IRF_%s}\n',M_.fname,deblank(tit(i,:)));
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fprintf(fidTeX,'\\caption{Impulse response functions (orthogonalized shock to $%s$).}',titTeX(i,:));
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fprintf(fidTeX,'\\label{Fig:IRF:%s}\n',deblank(tit(i,:)));
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fprintf(fidTeX,'\\end{figure}\n');
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fprintf(fidTeX,' \n');
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end
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else
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for fig = 1:nbplt-1
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if options_.relative_irf
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hh = dyn_figure(options_,'Name',['Relative response to orthogonalized shock' ...
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' to ' tit(i,:) ' figure ' int2str(fig)]);
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else
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hh = dyn_figure(options_,'Name',['Orthogonalized shock to ' tit(i,:) ...
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' figure ' int2str(fig)]);
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end
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for plt = 1:nstar
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subplot(nr,nc,plt);
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plot(1:options_.irf,transpose(irfs((fig-1)*nstar+plt,:)),'-k','linewidth',1);
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hold on
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plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
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hold off
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xlim([1 options_.irf]);
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title(deblank(mylist((fig-1)*nstar+plt,:)),'Interpreter','none');
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end
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dyn_saveas(hh,[ M_.fname '_IRF_' deblank(tit(i,:)) int2str(fig)],options_);
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if TeX
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fprintf(fidTeX,'\\begin{figure}[H]\n');
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for j = 1:nstar
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fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{$%s$}\n'],deblank(mylist((fig-1)*nstar+j,:)),deblank(mylistTeX((fig-1)*nstar+j,:)));
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end
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fprintf(fidTeX,'\\centering \n');
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fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_IRF_%s%s}\n',M_.fname,deblank(tit(i,:)),int2str(fig));
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if options_.relative_irf
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fprintf(fidTeX,['\\caption{Relative impulse response' ...
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' functions (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:)));
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else
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fprintf(fidTeX,['\\caption{Impulse response functions' ...
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' (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:)));
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end
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fprintf(fidTeX,'\\label{Fig:BayesianIRF:%s:%s}\n',deblank(tit(i,:)),int2str(fig));
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fprintf(fidTeX,'\\end{figure}\n');
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fprintf(fidTeX,' \n');
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end
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end
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hh = dyn_figure(options_,'Name',['Orthogonalized shock to ' tit(i,:) ' figure ' int2str(nbplt) '.']);
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m = 0;
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for plt = 1:number_of_plots_to_draw-(nbplt-1)*nstar;
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m = m+1;
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subplot(lr,lc,m);
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plot(1:options_.irf,transpose(irfs((nbplt-1)*nstar+plt,:)),'-k','linewidth',1);
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hold on
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plot([1 options_.irf],[0 0],'-r','linewidth',0.5);
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hold off
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xlim([1 options_.irf]);
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title(deblank(mylist((nbplt-1)*nstar+plt,:)),'Interpreter','none');
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end
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dyn_saveas(hh,[ M_.fname '_IRF_' deblank(tit(i,:)) int2str(nbplt) ],options_);
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if TeX
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fprintf(fidTeX,'\\begin{figure}[H]\n');
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for j = 1:m
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fprintf(fidTeX,['\\psfrag{%s}[1][][0.5][0]{$%s$}\n'],deblank(mylist((nbplt-1)*nstar+j,:)),deblank(mylistTeX((nbplt-1)*nstar+j,:)));
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end
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fprintf(fidTeX,'\\centering \n');
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fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s_IRF_%s%s}\n',M_.fname,deblank(tit(i,:)),int2str(nbplt));
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if options_.relative_irf
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fprintf(fidTeX,['\\caption{Relative impulse response functions' ...
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' (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:)));
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else
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fprintf(fidTeX,['\\caption{Impulse response functions' ...
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' (orthogonalized shock to $%s$).}'],deblank(titTeX(i,:)));
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end
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fprintf(fidTeX,'\\label{Fig:IRF:%s:%s}\n',deblank(tit(i,:)),int2str(nbplt));
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fprintf(fidTeX,'\\end{figure}\n');
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fprintf(fidTeX,' \n');
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end
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end
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end
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end
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end
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if TeX
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fprintf(fidTeX,' \n');
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fprintf(fidTeX,'%% End Of TeX file. \n');
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fclose(fidTeX);
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end
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end
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if options_.SpectralDensity.trigger == 1
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[omega,f] = UnivariateSpectralDensity(oo_.dr,var_list);
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end
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options_ = options_old;
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% temporary fix waiting for local options
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options_.partial_information = 0;
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