82 lines
2.2 KiB
Matlab
82 lines
2.2 KiB
Matlab
function [vdec, corr, autocorr, z, zz] = th_moments(dr,var_list)
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% [vdec, corr, autocorr, z, zz] = th_moments(dr,var_list)
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% Copyright (C) 2012-2018 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 <http://www.gnu.org/licenses/>.
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global M_ oo_ options_
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nvar = length(var_list);
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if nvar == 0
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nvar = length(dr.order_var);
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ivar = [1:nvar]';
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else
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ivar=zeros(nvar,1);
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for i=1:nvar
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i_tmp = strmatch(var_list{i}, M_.endo_names, 'exact');
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if isempty(i_tmp)
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error(['One of the variables specified does not exist']) ;
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else
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ivar(i) = i_tmp;
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end
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end
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end
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[gamma_y,stationary_vars] = th_autocovariances(dr,ivar,M_, options_);
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m = dr.ys(ivar(stationary_vars));
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% i1 = find(abs(diag(gamma_y{1})) > 1e-12);
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i1 = [1:length(ivar)];
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s2 = diag(gamma_y{1});
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sd = sqrt(s2);
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z = [ m sd s2 ];
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mean = m;
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var = gamma_y{1};
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%'THEORETICAL MOMENTS';
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%'MEAN','STD. DEV.','VARIANCE');
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z;
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%'VARIANCE DECOMPOSITION (in percent)';
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if M_.exo_nbr>1
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vdec = 100*gamma_y{options_.ar+2}(i1,:);
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else
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vdec = 100*ones(size(gamma_y{1}(i1,1)));
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end
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%'MATRIX OF CORRELATIONS';
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if options_.opt_gsa.useautocorr
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corr = gamma_y{1}(i1,i1)./(sd(i1)*sd(i1)');
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corr = corr-diag(diag(corr))+diag(diag(gamma_y{1}(i1,i1)));
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else
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corr = gamma_y{1}(i1,i1);
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end
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if options_.ar > 0
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%'COEFFICIENTS OF AUTOCORRELATION';
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for i=1:options_.ar
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if options_.opt_gsa.useautocorr
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autocorr{i} = gamma_y{i+1}(i1,i1);
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else
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autocorr{i} = gamma_y{i+1}(i1,i1).*(sd(i1)*sd(i1)');
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end
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zz(:,i) = diag(gamma_y{i+1}(i1,i1));
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end
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end
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