102 lines
2.9 KiB
Matlab
102 lines
2.9 KiB
Matlab
function disp_moments(y,var_list)
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% Displays moments of simulated variables
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% Copyright (C) 2001-2012 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 M_ options_ oo_
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warning_old_state = warning;
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warning off
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if size(var_list,1) == 0
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var_list = M_.endo_names(1:M_.orig_endo_nbr, :);
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end
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nvar = size(var_list,1);
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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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y = y(ivar,options_.drop+1:end)';
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m = mean(y);
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if options_.hp_filter
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[hptrend,y] = sample_hp_filter(y,options_.hp_filter);
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else
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y = bsxfun(@minus, y, m);
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end
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s2 = mean(y.*y);
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s = sqrt(s2);
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oo_.mean = transpose(m);
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oo_.var = y'*y/size(y,1);
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labels = deblank(M_.endo_names(ivar,:));
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if options_.nomoments == 0
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z = [ m' s' s2' (mean(y.^3)./s2.^1.5)' (mean(y.^4)./(s2.*s2)-3)' ];
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title='MOMENTS OF SIMULATED VARIABLES';
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if options_.hp_filter
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title = [title ' (HP filter, lambda = ' ...
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num2str(options_.hp_filter) ')'];
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end
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headers=char('VARIABLE','MEAN','STD. DEV.','VARIANCE','SKEWNESS', ...
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'KURTOSIS');
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dyntable(title,headers,labels,z,size(labels,2)+2,16,6);
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end
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if options_.nocorr == 0
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corr = (y'*y/size(y,1))./(s'*s);
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if options_.noprint == 0
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title = 'CORRELATION OF SIMULATED VARIABLES';
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if options_.hp_filter
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title = [title ' (HP filter, lambda = ' ...
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num2str(options_.hp_filter) ')'];
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end
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headers = char('VARIABLE',M_.endo_names(ivar,:));
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dyntable(title,headers,labels,corr,size(labels,2)+2,8,4);
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end
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end
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ar = options_.ar;
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if ar > 0
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autocorr = [];
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for i=1:ar
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oo_.autocorr{i} = y(ar+1:end,:)'*y(ar+1-i:end-i,:)./((size(y,1)-ar)*std(y(ar+1:end,:))'*std(y(ar+1-i:end-i,:)));
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autocorr = [ autocorr diag(oo_.autocorr{i}) ];
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end
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if options_.noprint == 0
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title = 'AUTOCORRELATION OF SIMULATED VARIABLES';
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if options_.hp_filter
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title = [title ' (HP filter, lambda = ' ...
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num2str(options_.hp_filter) ')'];
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end
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headers = char('VARIABLE',int2str([1:ar]'));
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dyntable(title,headers,labels,autocorr,size(labels,2)+2,8,4);
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end
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end
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warning(warning_old_state);
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