113 lines
3.5 KiB
Matlab
113 lines
3.5 KiB
Matlab
function disp_th_moments(dr,var_list)
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% Copyright (C) 2001-2008 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_ 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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[oo_.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(oo_.gamma_y{1})) > 1e-12);
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s2 = diag(oo_.gamma_y{1});
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sd = sqrt(s2);
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if options_.order == 2
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m = m+oo_.gamma_y{options_.ar+3};
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end
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z = [ m sd s2 ];
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oo_.mean = m;
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oo_.var = oo_.gamma_y{1};
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lh = size(deblank(M_.endo_names(ivar,:)),2)+2;
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if options_.nomoments == 0
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title='THEORETICAL MOMENTS';
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if options_.hp_filter
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title = [title ' (HP filter, lambda = ' int2str(options_.hp_filter) ')'];
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end
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headers=strvcat('VARIABLE','MEAN','STD. DEV.','VARIANCE');
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table(title,headers,deblank(M_.endo_names(ivar,:)),z,lh,11,4);
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if M_.exo_nbr > 1
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disp(' ')
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title='VARIANCE DECOMPOSITION (in percent)';
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if options_.hp_filter
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title = [title ' (HP filter, lambda = ' ...
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int2str(options_.hp_filter) ')'];
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end
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headers = M_.exo_names;
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headers(M_.exo_names_orig_ord,:) = headers;
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headers = strvcat(' ',headers);
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table(title,headers,deblank(M_.endo_names(ivar(i1),:)),100*oo_.gamma_y{options_.ar+2}(i1,:), ...
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lh,8,2);
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end
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end
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if options_.nocorr == 0
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disp(' ')
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title='MATRIX OF CORRELATIONS';
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if options_.hp_filter
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title = [title ' (HP filter, lambda = ' int2str(options_.hp_filter) ')'];
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end
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labels = deblank(M_.endo_names(ivar,:));
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headers = strvcat('Variables',labels(i1,:));
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corr = oo_.gamma_y{1}(i1,i1)./(sd(i1)*sd(i1)');
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table(title,headers,labels(i1,:),corr,lh,8,4);
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end
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if options_.ar > 0
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disp(' ')
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title='COEFFICIENTS OF AUTOCORRELATION';
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if options_.hp_filter
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title = [title ' (HP filter, lambda = ' int2str(options_.hp_filter) ')'];
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end
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labels = deblank(M_.endo_names(ivar(i1),:));
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headers = strvcat('Order ',int2str([1:options_.ar]'));
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z=[];
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for i=1:options_.ar
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oo_.autocorr{i} = oo_.gamma_y{i+1};
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z(:,i) = diag(oo_.gamma_y{i+1}(i1,i1));
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end
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table(title,headers,labels,z,0,8,4);
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end
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% 10/09/02 MJ
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% 10/18/02 MJ added th_autocovariances() and provided for lags on several
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% periods
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% 10/30/02 MJ added correlations and autocorrelations, uses table()
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% oo_.gamma_y is now a cell array.
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% 02/18/03 MJ added subtitles for HP filter
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% 05/01/03 MJ corrected options_.hp_filter
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% 05/21/03 MJ variance decomposition: test M_.exo_nbr > 1
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% 05/21/03 MJ displays only variables with positive variance
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