66 lines
1.4 KiB
Matlab
66 lines
1.4 KiB
Matlab
% Copyright (C) 2001 Michel Juillard
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%
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function [vdec, corr, autocorr, z, zz] = th_moments(dr,var_list)
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global M_ oo_ options_
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nvar = size(var_list,1);
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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 variable 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,ivar] = th_autocovariances(dr,ivar,M_, options_);
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m = dr.ys(ivar);
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i1 = find(abs(diag(gamma_y{1})) > 1e-12);
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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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