133 lines
3.9 KiB
Matlab
133 lines
3.9 KiB
Matlab
% Copyright (C) 2001 Michel Juillard
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%
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function osr(var_list,params,i_var,W)
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global M_ options_ oo_
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options_.order = 1;
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options_ = set_default_option(options_,'linear',0);
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options_ = set_default_option(options_,'ar',5);
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options_ = set_default_option(options_,'irf',40);
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options_ = set_default_option(options_,'dr_algo',0);
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options_ = set_default_option(options_,'simul_algo',0);
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options_ = set_default_option(options_,'drop',100);
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options_ = set_default_option(options_,'replic',1);
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options_ = set_default_option(options_,'nomoments',0);
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options_ = set_default_option(options_,'nocorr',0);
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options_ = set_default_option(options_,'simul_seed',[]);
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options_ = set_default_option(options_,'hp_filter',0);
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options_ = set_default_option(options_,'hp_ngrid',512);
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options_ = set_default_option(options_,'simul',0);
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options_ = set_default_option(options_,'periods',1);
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if options_.simul & ~isempty(options_.periods) & options_.periods == 0
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options_.periods = options_.periods;
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end
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options_.periods = max(options_.periods,1);
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options_.periods = options_.periods;
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make_ex_;
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np = size(params,1);
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i_params = zeros(np,1);
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for i=1:np
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i_params(i) = strmatch(deblank(params(i,:)),M_.param_names,'exact');
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end
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disp(' ')
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disp('OPTIMAL SIMPLE RULE')
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disp(' ')
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osr1(i_params,i_var,W);
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disp('MODEL SUMMARY')
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disp(' ')
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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: ' ...
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int2str(length(find(oo_.dr.kstate(:,2) <= M_.maximum_lag+1)))])
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disp([' Number of jumpers: ' ...
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int2str(length(find(oo_.dr.kstate(:,2) == M_.maximum_lag+2)))])
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disp([' Number of static variables: ' int2str(oo_.dr.nstatic)])
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my_title='MATRIX OF COVARIANCE OF EXOGENOUS SHOCKS';
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labels = deblank(M_.exo_names);
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headers = strvcat('Variables',labels);
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lh = size(labels,2)+2;
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table(my_title,headers,labels,M_.Sigma_e,lh,10,6);
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disp(' ')
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disp_dr(oo_.dr,options_.order,var_list);
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if options_.order == 1 & options_.simul == 0 & options_.nomoments == 0
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disp_th_moments(oo_.dr,var_list);
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elseif options_.simul == 1 | options_.nomoments == 0
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if options_.periods == 0
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error('OSR error: number of periods for the simulation isn''t specified')
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end
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if options_.periods < options_.drop
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disp(['OSR error: The horizon of simulation is shorter' ...
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' than the number of observations to be DROPed'])
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return
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end
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oo_.endo_simul = simult(repmat(oo_.dr.ys,1,M_.maximum_lag),oo_.dr);
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dyn2vec;
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if options_.nomoments == 0
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disp_moments(oo_.endo_simul,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
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n = length(oo_.dr.order_var);
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ivar = [1:n]';
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var_list = M_.endo_names;
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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 = strmatch(var_list(i,:),M_.endo_names,'exact');
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if isempty(i_tmp)
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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 < 13 & options_.irf > 0
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if n == 1
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nr = 1;
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nc = 1;
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elseif n == 2
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nr = 1;
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nc = 2;
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elseif n <= 4
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nr = 2;
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nc = 2;
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elseif n <= 6
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nr = 2;
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nc = 3;
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elseif n <= 9
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nr = 3;
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nc = 3;
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elseif n <= 12
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nr = 3;
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nc = 4;
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end
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olditer = options_.periods;
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if options_.order == 1
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options_.replic = 1;
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else
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if options_.replic == 0
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options_.replic = 50;
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end
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end
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for i = 1:M_.exo_nbr
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figure('Name',['Shock to ' M_.exo_names(i,:)]);
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y=irf(oo_.dr,M_.exo_names(i,:),sqrt(M_.Sigma_e(i,i)), options_.irf, options_.drop, options_.replic, options_.order);
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for j = 1:n
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subplot(nr,nc,j);
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plot([y(ivar(j),:)']);
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title(var_list(j,:),'Interpreter','none');
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assignin('base',[deblank(var_list(j,:)) '_' deblank(M_.exo_names(i,:))],y(ivar(j),:)');
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end
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end
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options_.periods = olditer;
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end
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