414 lines
18 KiB
Matlab
414 lines
18 KiB
Matlab
function [info, oo_, options_, M_] = stoch_simul(M_, options_, oo_, var_list)
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%[info, oo_, options_, M_] = stoch_simul(M_, options_, oo_, var_list)
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% Computes the stochastic simulations
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%
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% INPUTS
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% - M_ [structure] Matlab's structure describing the model
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% - options_ [structure] Matlab's structure describing the current options
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% - oo_ [structure] Matlab's structure containing the results
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% - var_list [character array] list of endogenous variables specified
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%
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% OUTPUTS
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% - info [integer] scalar or vector, error code.
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% - oo [structure] Matlab's structure containing the results (oo_).
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% - options_ [structure] Matlab's structure describing the current options
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% - M [structure] Matlab's structure describing the model (M_).
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% Copyright © 2001-2023 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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% 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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if M_.exo_nbr==0
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error('stoch_simul:: does not support having no varexo in the model. As a workaround you could define a dummy exogenous variable.')
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end
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if ismember(options_.solve_algo,[10,11])
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error('stoch_simul:: perturbation solutions are not compatible with mixed complementarity problems and their solvers')
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end
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test_for_deep_parameters_calibration(M_);
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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 options_.order~=1 && M_.hessian_eq_zero
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options_.order = 1;
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warning('stoch_simul: using order = 1 because Hessian is equal to zero');
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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 || options_.ACES_solver
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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 isempty(var_list)
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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, index_uniques] = varlist_indices(var_list, M_.endo_names);
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var_list=var_list(index_uniques);
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oo_.var_list = var_list;
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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(oo_.dr,M_);
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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_.order==1
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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,info,M_.params] = discretionary_policy_1(M_,options_,oo_.dr, oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
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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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options_.logged_steady_state=0;
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end
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[oo_.dr,info,M_.params] = resol(0,M_,options_,oo_.dr ,oo_.steady_state, oo_.exo_steady_state, oo_.exo_det_steady_state);
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end
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if options_.loglinear && isfield(oo_.dr,'ys') && options_.logged_steady_state==0 %log steady state for correct display of decision rule
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oo_.dr.ys=log_variable(1:M_.endo_nbr,oo_.dr.ys,M_);
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oo_.steady_state=log_variable(1:M_.endo_nbr,oo_.steady_state,M_);
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options_old.logged_steady_state = 1; %make sure option is preserved outside of stoch_simul
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options_.logged_steady_state=1; %set option for use in stoch_simul
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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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if ~options_.nomodelsummary
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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 = M_.exo_names;
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headers = vertcat('Variables', labels);
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lh = cellofchararraymaxlength(labels)+2;
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dyntable(options_, my_title, headers, labels, M_.Sigma_e, lh, 10, 6);
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if options_.TeX
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labels = M_.exo_names_tex;
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headers = vertcat('Variables', labels);
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lh = cellofchararraymaxlength(labels)+2;
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dyn_latex_table(M_, options_, my_title, 'covar_ex_shocks', headers, labels, M_.Sigma_e, lh, 10, 6);
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end
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if ~all(diag(M_.H)==0)
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my_title='MATRIX OF COVARIANCE OF MEASUREMENT ERRORS';
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labels = cellfun(@(x) horzcat('SE_', x), options_.varobs, 'UniformOutput', false);
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headers = vertcat('Variables', labels);
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lh = cellofchararraymaxlength(labels)+2;
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dyntable(options_, my_title, headers, labels, M_.H, lh, 10, 6);
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if options_.TeX
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labels = M_.exo_names_tex;
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headers = vertcat('Variables', labels);
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lh = cellofchararraymaxlength(labels)+2;
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dyn_latex_table(M_, options_, my_title, 'covar_ME', headers, labels, M_.H, lh, 10, 6);
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end
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end
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end
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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 = 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:length(PCL_varobs)
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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(M_,options_,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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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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[oo_.endo_simul, oo_.exo_simul] = simult(y0,oo_.dr,M_,options_);
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end
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if ~options_.nomoments
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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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if options_.order == 1 || (options_.order == 2 && ~options_.pruning)
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oo_=disp_th_moments(oo_.dr,var_list,M_,options_,oo_);
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elseif (ismember(options_.order,[2,3])) && options_.pruning
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% There is no code for theoretical moments at 3rd order without pruning
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oo_=disp_th_moments_pruned_state_space(oo_.dr,M_,options_,i_var,oo_);
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end
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else
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oo_=disp_moments(oo_.endo_simul,var_list,M_,options_,oo_);
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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 ~options_.nograph || (TeX && any(strcmp('eps',cellstr(options_.graph_format))))
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if ~exist([M_.dname '/graphs'],'dir')
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mkdir(M_.dname,'graphs');
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end
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end
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if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
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fidTeX = fopen([M_.dname, '/graphs/' 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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cs=get_lower_cholesky_covariance(M_.Sigma_e,options_.add_tiny_number_to_cholesky);
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tit = M_.exo_names;
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if TeX
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titTeX = M_.exo_names_tex;
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end
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irf_shocks_indx = getIrfShocksIndx(M_, options_);
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for i=irf_shocks_indx
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if cs(i,i) > 5e-7
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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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if options_.order>1 && options_.relative_irf % normalize shock to 0.01 before IRF generation for GIRFs; multiply with 100 later
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y=irf(M_, options_, oo_.dr,cs(:,i)./cs(i,i)/100, options_.irf, options_.drop, ...
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options_.replic, options_.order);
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else %for linear model, rescaling is done later
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y=irf(M_, options_, oo_.dr,cs(:,i), options_.irf, options_.drop, ...
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options_.replic, options_.order);
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end
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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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if options_.order==1 %multiply with 100 for backward compatibility
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y = 100*y/cs(i,i);
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end
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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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oo_.irfs.([M_.endo_names{i_var(j)} '_' 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 = var_list{j};
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else
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mylist = char(mylist, 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 = var_listTeX{j};
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else
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mylistTeX = char(mylistTeX, 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',M_.endo_names{i_var(j)},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
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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_fig = dyn_figure(options_.nodisplay,'Name',['Relative response to' ...
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' orthogonalized shock to ' tit{i}]);
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else
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hh_fig = dyn_figure(options_.nodisplay,'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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remove_fractional_xticks;
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if TeX
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title(['$' deblank(mylistTeX(j,:)) '$'],'Interpreter','latex');
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else
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title(deblank(mylist(j,:)),'Interpreter','none');
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end
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end
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dyn_saveas(hh_fig,[M_.dname, '/graphs/' M_.fname '_IRF_' tit{i}],options_.nodisplay,options_.graph_format);
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if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
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fprintf(fidTeX,'\\begin{figure}[H]\n');
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fprintf(fidTeX,'\\centering \n');
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fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_IRF_%s}\n',options_.figures.textwidth*min(j/nc,1),[M_.dname, '/graphs/' M_.fname],tit{i});
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fprintf(fidTeX,'\\caption{Impulse response functions (orthogonalized shock to $%s$).}\n',titTeX{i});
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fprintf(fidTeX,'\\label{Fig:IRF:%s}\n', 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_fig = dyn_figure(options_.nodisplay,'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_fig = dyn_figure(options_.nodisplay,'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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remove_fractional_xticks
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if TeX
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title(['$' deblank(mylistTeX((fig-1)*nstar+plt,:)) '$'],'Interpreter','latex');
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else
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title(deblank(mylist((fig-1)*nstar+plt,:)),'Interpreter','none');
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end
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end
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dyn_saveas(hh_fig,[M_.dname, '/graphs/' M_.fname '_IRF_' tit{i} int2str(fig)],options_.nodisplay,options_.graph_format);
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if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
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fprintf(fidTeX,'\\begin{figure}[H]\n');
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fprintf(fidTeX,'\\centering \n');
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fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_IRF_%s%s}\n',options_.figures.textwidth*min(plt/nc,1),[M_.dname, '/graphs/' M_.fname],tit{i},int2str(fig));
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if options_.relative_irf
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fprintf(fidTeX,'\\caption{Relative impulse response functions (orthogonalized shock to $%s$).}', titTeX{i});
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else
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fprintf(fidTeX,'\\caption{Impulse response functions (orthogonalized shock to $%s$).}', titTeX{i});
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end
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fprintf(fidTeX,'\\label{Fig:IRF:%s:%s}\n', 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_fig = dyn_figure(options_.nodisplay,'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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remove_fractional_xticks
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if TeX
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title(['$' deblank(mylistTeX((nbplt-1)*nstar+plt,:)) '$'],'Interpreter','latex');
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else
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title(deblank(mylist((nbplt-1)*nstar+plt,:)),'Interpreter','none');
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end
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end
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dyn_saveas(hh_fig,[M_.dname, '/graphs/' M_.fname '_IRF_' tit{i} int2str(nbplt) ],options_.nodisplay,options_.graph_format);
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if TeX && any(strcmp('eps',cellstr(options_.graph_format)))
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fprintf(fidTeX,'\\begin{figure}[H]\n');
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fprintf(fidTeX,'\\centering \n');
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fprintf(fidTeX,'\\includegraphics[width=%2.2f\\textwidth]{%s_IRF_%s%s}\n',options_.figures.textwidth*min(m/lc,1),[M_.dname, '/graphs/' M_.fname],tit{i},int2str(nbplt));
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if options_.relative_irf
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fprintf(fidTeX,'\\caption{Relative impulse response functions (orthogonalized shock to $%s$).}', titTeX{i});
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else
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fprintf(fidTeX,'\\caption{Impulse response functions (orthogonalized shock to $%s$).}', titTeX{i});
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end
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fprintf(fidTeX,'\\label{Fig:IRF:%s:%s}\n', 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 && any(strcmp('eps',cellstr(options_.graph_format)))
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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
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[oo_] = UnivariateSpectralDensity(M_,oo_,options_,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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oo_.gui.ran_stoch_simul = true;
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