128 lines
7.8 KiB
HTML
128 lines
7.8 KiB
HTML
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<title>Description of disp_moments</title>
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<meta name="keywords" content="disp_moments">
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<meta name="description" content="Copyright (C) 2001 Michel Juillard">
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<div><a href="../index.html">Home</a> > <a href="index.html">.</a> > disp_moments.m</div>
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<!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td>
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<td align="right"><a href="index.html">Index for . <img alt=">" border="0" src="../right.png"></a></td></tr></table>-->
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<h1>disp_moments
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</h1>
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<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>Copyright (C) 2001 Michel Juillard</strong></div>
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<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>function disp_moments(y,var_list) </strong></div>
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<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre class="comment"> Copyright (C) 2001 Michel Juillard</pre></div>
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<!-- crossreference -->
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<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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This function calls:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a> </li><li><a href="table.html" class="code" title="function table(title,headers,labels,values,label_width,val_width,val_precis)">table</a> Copyright (C) 2002 Michel Juillard</li></ul>
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This function is called by:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="olr.html" class="code" title="function olr(var_list,olr_inst,obj_var,W)">olr</a> Copyright (C) 2001 Michel Juillard</li><li><a href="osr.html" class="code" title="function osr(var_list,params,W)">osr</a> Copyright (C) 2001 Michel Juillard</li><li><a href="stoch_simul.html" class="code" title="function info=stoch_simul(var_list)">stoch_simul</a> Copyright (C) 2001 Michel Juillard</li></ul>
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<!-- crossreference -->
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<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre>0001 <span class="comment">% Copyright (C) 2001 Michel Juillard</span>
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0002 <span class="comment">%</span>
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0003 <a name="_sub0" href="#_subfunctions" class="code">function disp_moments(y,var_list)</a>
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0004 <span class="keyword">global</span> M_ options_ oo_
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0005
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0006 warning off
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0007 nvar = size(var_list,1);
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0008 <span class="keyword">if</span> nvar == 0
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0009 nvar = M_.endo_nbr;
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0010 ivar = [1:nvar]';
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0011 <span class="keyword">else</span>
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0012 ivar=zeros(nvar,1);
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0013 <span class="keyword">for</span> i=1:nvar
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0014 i_tmp = strmatch(var_list(i,:),M_.endo_names,<span class="string">'exact'</span>);
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0015 <span class="keyword">if</span> isempty(i_tmp)
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0016 error ([<span class="string">'One of the variable specified does not exist'</span>]) ;
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0017 <span class="keyword">else</span>
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0018 ivar(i) = i_tmp;
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0019 <span class="keyword">end</span>
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0020 <span class="keyword">end</span>
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0021 <span class="keyword">end</span>
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0022 y = y(ivar,options_.drop+M_.maximum_lag+1:end)';
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0023
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0024 m = mean(y);
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0025 y = y - repmat(m,size(y,1),1);
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0026 s2 = mean(y.*y);
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0027 s = sqrt(s2);
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0028 oo_.mean = m;
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0029 oo_.var = y'*y/size(y,1);
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0030
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0031 labels = deblank(M_.endo_names(ivar,:));
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0032
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0033 <span class="keyword">if</span> options_.nomoments == 0
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0034 z = [ m' s' s2' (mean(y.^3)./s2.^1.5)' (mean(y.^4)./(s2.*s2)-3)' ];
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0035
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0036 title=<span class="string">'MOMENTS OF SIMULATED VARIABLES'</span>;
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0037 <span class="keyword">if</span> options_.hp_filter > 1
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0038 title = [title <span class="string">' (HP filter, lambda = '</span> <span class="keyword">...</span>
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0039 int2str(options_.hp_filter) <span class="string">')'</span>];
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0040 <span class="keyword">end</span>
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0041 headers=strvcat(<span class="string">'VARIABLE'</span>,<span class="string">'MEAN'</span>,<span class="string">'STD. DEV.'</span>,<span class="string">'VARIANCE'</span>,<span class="string">'SKEWNESS'</span>, <span class="keyword">...</span>
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0042 <span class="string">'KURTOSIS'</span>);
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0043 <a href="table.html" class="code" title="function table(title,headers,labels,values,label_width,val_width,val_precis)">table</a>(title,headers,labels,z,size(labels,2)+2,16,6);
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0044 <span class="keyword">end</span>
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0045
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0046 <span class="keyword">if</span> options_.nocorr == 0
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0047 corr = (y'*y/size(y,1))./(s'*s);
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0048 title = <span class="string">'CORRELATION OF SIMULATED VARIABLES'</span>;
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0049 <span class="keyword">if</span> options_.hp_filter > 1
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0050 title = [title <span class="string">' (HP filter, lambda = '</span> <span class="keyword">...</span>
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0051 int2str(options_.hp_filter) <span class="string">')'</span>];
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0052 <span class="keyword">end</span>
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0053 headers = strvcat(<span class="string">'VARIABLE'</span>,M_.endo_names(ivar,:));
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0054 <a href="table.html" class="code" title="function table(title,headers,labels,values,label_width,val_width,val_precis)">table</a>(title,headers,labels,corr,size(labels,2)+2,8,4);
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0055 <span class="keyword">end</span>
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0056
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0057 ar = options_.ar;
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0058 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'ar'</span>,5);
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0059 ar = options_.ar;
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0060 <span class="keyword">if</span> ar > 0
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0061 autocorr = [];
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0062 <span class="keyword">for</span> i=1:ar
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0063 oo_.autocorr{i} = y(ar+1:<span class="keyword">end</span>,:)'*y(ar+1-i:end-i,:)./((size(y,1)-ar)*s'*s);
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0064 autocorr = [ autocorr diag(oo_.autocorr{i}) ];
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0065 <span class="keyword">end</span>
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0066 title = <span class="string">'AUTOCORRELATION OF SIMULATED VARIABLES'</span>;
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0067 <span class="keyword">if</span> options_.hp_filter > 1
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0068 title = [title <span class="string">' (HP filter, lambda = '</span> <span class="keyword">...</span>
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0069 int2str(options_.hp_filter) <span class="string">')'</span>];
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0070 <span class="keyword">end</span>
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0071 headers = strvcat(<span class="string">'VARIABLE'</span>,int2str([1:ar]'));
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0072 <a href="table.html" class="code" title="function table(title,headers,labels,values,label_width,val_width,val_precis)">table</a>(title,headers,labels,autocorr,size(labels,2)+2,8,4);
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0073 <span class="keyword">end</span>
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0074
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0075 warning on
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0076 <span class="comment">% 10/03/02 MJ corrected order std. dev var in printed report.</span>
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0077 <span class="comment">% 01/02/03 MJ added correlation and autocorrelation</span>
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0078 <span class="comment">% 01/19/03 MJ corrected variable name truncation</span>
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0079 <span class="comment">% 02/18/03 MJ added subtitle for HP filter</span>
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0080 <span class="comment">% 03/02/03 MJ added M_.maximum_lag to the number of entries of y</span>
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0081 <span class="comment">% 04/28/03 MJ modified handling of options_</span>
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0082 <span class="comment">% 06/23/03 MJ added warning off</span></pre></div>
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<hr><address>Generated on Fri 16-Jun-2006 09:09:06 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address>
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