disp_th_moments_pruned_state_space.m 5.17 KB
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function oo_=disp_th_moments_pruned_state_space(dr,M_,options_,i_var,oo_)
% oo_=disp_th_moments_pruned_state_space(dr,M_,options_,i_var,oo_)
% Display theoretical moments of variables based on (second or third order)
% pruned state-space
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%
% INPUTS:
% dr :                      Dynare decision rules structure
% M_ :                      Matlab's structure describing the Model (initialized by dynare, see @ref{M_}).          
% options_   :              Matlab's structure describing the options (initialized by dynare, see @ref{options_}).
% i_var :                   Index of requested variables in declaration order
% oo_ :                     Matlab's structure describing the Model (initialized by dynare, see @ref{M_}), containing       
%
% OUTPUTS: 
% oo_ :                     Matlab's structure describing the Model (initialized by dynare, see @ref{M_}), containing       
%           gamma_y         [cell] Matlab cell of nar+1 arrays, where nar is the order of the autocorrelation function.
%                                      gamma_y{1}       [double]  Covariance matrix.
%                                      gamma_y{i+1}     [double]  Autocorrelation function (for i=1,...,options_.ar).
%           mean            [vector] Unconditional mean
%           var             [matrix] Unconditional covariance matrix
%           autocorr        [cell] Cell storing the theoretical autocorrelation
%           contemporaneous_correlation [matrix] matrix of contemporaneous correlations
%
% Copyright (C) 2020 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.


if options_.one_sided_hp_filter || options_.hp_filter || options_.bandpass.indicator
    error(['disp_th_moments:: theoretical moments incompatible with filtering. Use simulated moments instead'])
end

nvars=length(i_var);
obs_var=NaN(nvars,1);
for i=1:nvars
    obs_var(i,1) = find(strcmp(M_.endo_names(i_var(i),:), M_.endo_names(dr.order_var)));
end

pruned_state_space = pruned_state_space_system(M_, options_, dr, obs_var, options_.ar, 1, 0);


m = pruned_state_space.E_y;

oo_.gamma_y{1} = pruned_state_space.Var_y;

i1 = find(abs(diag(oo_.gamma_y{1})) > 1e-12);
s2 = diag(oo_.gamma_y{1});
sd = sqrt(s2);

z = [ m sd s2 ];
oo_.mean = m;
oo_.var = oo_.gamma_y{1};

if ~options_.noprint %options_.nomoments == 0
    title='THEORETICAL MOMENTS BASED ON PRUNED STATE SPACE';
    headers={'VARIABLE','MEAN','STD. DEV.','VARIANCE'};
    labels = M_.endo_names(i_var,:);
    lh = cellofchararraymaxlength(labels)+2;
    dyntable(options_,title,headers,labels,z,lh,11,4);
    if options_.TeX
        labels = M_.endo_names_tex(i_var,:);
        lh = cellofchararraymaxlength(labels)+2;
        dyn_latex_table(M_,options_,title,'th_moments',headers,labels,z,lh,11,4);
    end        
end

if isempty(i1)
    disp_verbose(' ',~options_.noprint)
    disp_verbose('All endogenous are constant or non stationary, not displaying correlations and auto-correlations',~options_.noprint)
    disp_verbose(' ',~options_.noprint)
    return;
end

if options_.nocorr == 0 % && size(stationary_vars, 1) > 0
    corr=pruned_state_space.Corr_y;
    if options_.contemporaneous_correlation 
        oo_.contemporaneous_correlation = corr;
    end
    if ~options_.noprint
        skipline()
        title='MATRIX OF CORRELATIONS BASED ON PRUNED STATE SPACE';            
        labels = M_.endo_names(i_var,:);
        headers = ['Variables';labels];
        lh = cellofchararraymaxlength(labels)+2;
        dyntable(options_,title,headers,labels,corr,lh,8,4);
        if options_.TeX
            labels = M_.endo_names_tex(i_var,:);
            headers=['Variables';labels];
            lh = cellofchararraymaxlength(labels)+2;
            dyn_latex_table(M_,options_,title,'th_corr_matrix',headers,labels,corr,lh,8,4);
        end
    end
end
if options_.ar > 0 %&& size(stationary_vars, 1) > 0
    z=NaN(length(i1),options_.ar);
    for i=1:options_.ar
        oo_.gamma_y{i+1} = pruned_state_space.Corr_yi(:,:,i);
        oo_.autocorr{i} = oo_.gamma_y{i+1};
        z(:,i) = diag(oo_.gamma_y{i+1}(i1,i1));
    end
    if ~options_.noprint    
        skipline()    
        title='COEFFICIENTS OF AUTOCORRELATION BASED ON PRUNED STATE SPACE';            
        labels = M_.endo_names(i_var(i1),:);
        headers = ['Order ';cellstr(int2str([1:options_.ar]'))];
        lh = cellofchararraymaxlength(labels)+2;
        dyntable(options_,title,headers,labels,z,lh,8,4);
        if options_.TeX
            labels = M_.endo_names_tex(i_var(i1),:);
            lh = cellofchararraymaxlength(labels)+2;
            dyn_latex_table(M_,options_,title,'th_autocorr_matrix',headers,labels,z,lh,8,4);
        end
    end  
end