Commit 8345de43 authored by Sébastien Villemot's avatar Sébastien Villemot
Browse files

Document oo_.gamma_y, improve description of oo_.autocorr

parent 555c5194
......@@ -3010,6 +3010,7 @@ the endogenous variables. Contains theoretical variance if the
otherwise. The variables are arranged in declaration order.
@end defvr
@anchor{oo_.autocorr}
@defvr {MATLAB/Octave variable} oo_.autocorr
After a run of @code{stoch_simul}, contains a cell array of the
autocorrelation matrices of the endogenous variables. The element
......@@ -3018,6 +3019,39 @@ autocorrelation. The option @code{ar} specifies the number of
autocorrelation matrices available. Contains theoretical
autocorrelations if the @code{periods} option is not present, and
empirical autocorrelations otherwise.
The element @code{oo_.autocorr@{i@}(k,l)} is equal to the correlation
between @math{y^k_t} and @math{y^l_{t-i}}, where @math{y^k}
(resp. @math{y^l}) is the @math{k}-th (resp. @math{l}-th) endogenous
variable in the declaration order.
Note that if theoretical moments have been requested,
@code{oo_.autocorr@{i@}} is the same than @code{oo_.gamma_y@{i+1@}}.
@end defvr
@defvr {MATLAB/Octave variable} oo_.gamma_y
After a run of @code{stoch_simul}, if theoretical moments have been
requested (@i{i.e.} if the @code{periods} option is not present), this
variable contains a cell array with the following values (where
@code{ar} is the value of the option of the same name):
@table @code
@item oo_.gamma@{1@}
Variance/co-variance matrix.
@item oo_.gamma@{i+1@} (for i=1:ar)
Autocorrelation function. @pxref{oo_.autocorr} for more
details. Beware, this is the @i{autocorrelation} function, not the
@i{autocovariance} function.
@item oo_.gamma@{nar+2@}
Variance decomposition.
@item oo_.gamma@{nar+3@}
If a second order approximation has been requested, contains the
vector of the mean correction terms.
@end table
@end defvr
@defvr {MATLAB/Octave variable} oo_.irfs
......
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