45 lines
1.4 KiB
Matlab
45 lines
1.4 KiB
Matlab
function [cmm, mm] = simulated_moment_uncertainty(indx, periods, replic)
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%
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% Copyright (C) 2009-2012 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 options_ oo_
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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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noprint0 = options_.noprint;
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for j=1:replic;
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options_.irf = 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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info = stoch_simul(char(options_.varobs));
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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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end;
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options_.noprint = noprint0;
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cmm = cov(mm');
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disp('Simulated moment uncertainty ... done!')
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