From b38d6f8139b68230cf37ff4bf54b17dc5b91ead6 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Sun, 17 Jan 2021 18:21:29 +0100
Subject: [PATCH] compute_moments_varendo: use pruned state space at higher
order
---
matlab/dsge_simulated_theoretical_correlation.m | 16 +++++++++++++++-
matlab/dsge_simulated_theoretical_covariance.m | 13 ++++++++++++-
2 files changed, 27 insertions(+), 2 deletions(-)
diff --git a/matlab/dsge_simulated_theoretical_correlation.m b/matlab/dsge_simulated_theoretical_correlation.m
index c32aa9db42..73a7db56df 100644
--- a/matlab/dsge_simulated_theoretical_correlation.m
+++ b/matlab/dsge_simulated_theoretical_correlation.m
@@ -71,6 +71,13 @@ if ~posterior
end
nvar = length(ivar);
+if options_.pruning
+ obs_var=NaN(nvar,1);
+ for i=1:nvar
+ obs_var(i,1) = find(strcmp(M_.endo_names(ivar(i),:), M_.endo_names(oo_.dr.order_var)));
+ end
+end
+
% Set the size of the auto-correlation function to nar.
oldnar = options_.ar;
options_.ar = nar;
@@ -109,7 +116,14 @@ for file = 1:NumberOfDrawsFiles
M_=set_parameters_locally(M_,temp.pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
- tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
+ if ~options_.pruning
+ tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
+ else
+ pruned_state_space = pruned_state_space_system(M_, options_, dr, obs_var, options_.ar, 1, 0);
+ for i=1:nar
+ tmp{i+1} = pruned_state_space.Corr_yi(:,:,i);
+ end
+ end
for i=1:nar
Correlation_array(linea,:,:,i) = tmp{i+1};
end
diff --git a/matlab/dsge_simulated_theoretical_covariance.m b/matlab/dsge_simulated_theoretical_covariance.m
index bbd4702751..20511c1596 100644
--- a/matlab/dsge_simulated_theoretical_covariance.m
+++ b/matlab/dsge_simulated_theoretical_covariance.m
@@ -70,6 +70,12 @@ if ~posterior
end
nvar = length(ivar);
+if options_.pruning
+ obs_var=NaN(nvar,1);
+ for i=1:nvar
+ obs_var(i,1) = find(strcmp(M_.endo_names(ivar(i),:), M_.endo_names(oo_.dr.order_var)));
+ end
+end
% Set the size of the auto-correlation function to zero.
nar = options_.ar;
options_.ar = 0;
@@ -108,7 +114,12 @@ for file = 1:NumberOfDrawsFiles
M_=set_parameters_locally(M_,temp.pdraws{linee,1});
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
end
- tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
+ if ~options_.pruning
+ tmp = th_autocovariances(dr,ivar,M_,options_,nodecomposition);
+ else
+ pruned_state_space = pruned_state_space_system(M_, options_, dr, obs_var, options_.ar, 1, 0);
+ tmp{1} = pruned_state_space.Var_y;
+ end
for i=1:nvar
for j=i:nvar
Covariance_matrix(linea,symmetric_matrix_index(i,j,nvar)) = tmp{1}(i,j);
--
GitLab