115 lines
2.3 KiB
Scilab
115 lines
2.3 KiB
Scilab
function []=stoch_simul(options,var_list)
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// Copyright (C) 2001 Michel Juillard
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//
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global y_ dr_ ys_
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if options.linear
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options.order = 1;
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end
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if isempty(options.ar)
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options.ar = 5;
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end
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if isempty(options.irf)
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options.irf = 40;
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end
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dr_algo = options.dr_algo;
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simul_algo = options.simul_algo;
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drop = options.drop;
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%linear = options.linear;
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replic = options.replic;
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irf_length = options.irf;
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order = options.order;
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if %linear == 1 then
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order = 1;
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else
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order = options.order;
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end
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if iter_ < drop then
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dyn_disp('STOCH_SIMUL error: The horizon of simulation is shorter than the number'+' of observations to be DROPed');
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return
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end
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temps = ys_;
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dr_ = resol(ys_,dr_algo,%linear,order);
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disp_dr(dr_,order,var_list);
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if options.nomoments == 0
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if order == 1 then
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disp_th_moments(dr_,var_list);
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else
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y_ = simult(dr_, 1, order, 1);
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ys_ = temps;
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dyn2vec();
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disp_moments(y_,drop,var_list);
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end
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end
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n = size(var_list,1);
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if n == 0 then
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n = endo_nbr;
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ivar = [1:n]';
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var_list = lgy_;
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else
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ivar=zeros(n,1);
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for i=1:n
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i_tmp = grep_exact(lgy_,var_list(i,:));
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if isempty(i_tmp) then
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error (['One of the specified variables 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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if n < 16 & options.irf > 0 then
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if n == 1 then
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nr = 1;
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nc = 1;
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elseif n == 2 then
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nr = 1;
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nc = 2;
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elseif n <= 4 then
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nr = 2;
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nc = 2;
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elseif n <= 6 then
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nr = 2;
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nc = 3;
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elseif n <= 9 then
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nr = 3;
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nc = 3;
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elseif n <= 12 then
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nr = 3;
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nc = 4;
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elseif n <= 16 then
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nr = 4;
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nc = 4;
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end
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olditer = iter_;
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for i = 1:exo_nbr
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xset('window',i-1);
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xname('Shock to '+lgx_(i));
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if order == 1
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replic = 1;
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elseif replic == 0;
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replic = 100;
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end
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y=irf(dr_,lgx_(i,:),sqrt(Sigma_e_(i,i)), irf_length, drop, replic, order);
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for j = 1:n
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subplot(nr,nc,j);
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plot2d([y(ivar(j),:)']);
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xtitle(var_list(j,:));
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end
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end
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iter_ = olditer;
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end
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ys_ = temps;
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// 01/10/01 FC dr_ and y_ made global
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// 02/20/01 MJ ys_ removed from calling sequence for simult (all in dr_)
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// 02/23/01 MJ added dyn2vec()
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// 06/24/01 MJ steady -> steady_
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// 09/24/01 MJ dr_ made global
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// 01/14/03 MJ changed options passing and defautls.
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// replaced algo by dr_algo and simul_algo
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