diff --git a/matlab/default_option_values.m b/matlab/default_option_values.m index 16e3bd4b80694cbd56abb25465bfc96ad1540ffb..d656ac6b69a12603077883eb86ce21404882e4d3 100644 --- a/matlab/default_option_values.m +++ b/matlab/default_option_values.m @@ -151,6 +151,7 @@ end % IRFs & other stoch_simul output options_.irf = 40; options_.impulse_responses.plot_threshold=1e-10; +options_.zero_moments_tolerance=1e-10; options_.relative_irf = false; options_.ar = 5; options_.hp_filter = 0; diff --git a/matlab/disp_moments.m b/matlab/disp_moments.m index 8223ba4f92df23cc14fbdeb32b9572a47949b89e..fd2e61b6b8b813346494003e677c78ab0c285f68 100644 --- a/matlab/disp_moments.m +++ b/matlab/disp_moments.m @@ -67,6 +67,8 @@ if ~all(M_.H==0) y_ME=get_filtered_time_series(y_ME,m_ME,options_); y_ME_only_filtered=get_filtered_time_series(y_ME_only,mean(y_ME_only),options_); s2_ME = mean(y_ME.*y_ME); + s_ME = sqrt(s2_ME); + zero_variance_ME_var_index=index_subset(abs(s_ME')<options_.zero_moments_tolerance); end end @@ -83,11 +85,20 @@ oo_.var = y'*y/size(y,1); oo_.skewness = (mean(y.^3)./s2.^1.5)'; oo_.kurtosis = (mean(y.^4)./(s2.*s2)-3)'; +zero_variance_var_index=find(abs(s)<options_.zero_moments_tolerance); +oo_.skewness(zero_variance_var_index)=NaN; +oo_.kurtosis(zero_variance_var_index)=NaN; +s(zero_variance_var_index)=0; +s2(zero_variance_var_index)=0; +oo_.var(zero_variance_var_index,:)=0; +oo_.var(:,zero_variance_var_index)=0; + + labels = M_.endo_names(ivar); labels_TeX = M_.endo_names_tex(ivar); if ~options_.nomoments - z = [ m' s' s2' (mean(y.^3)./s2.^1.5)' (mean(y.^4)./(s2.*s2)-3)' ]; + z = [ m' s' s2' oo_.skewness oo_.kurtosis ]; title='MOMENTS OF SIMULATED VARIABLES'; title=add_filter_subtitle(title, options_); headers = {'VARIABLE'; 'MEAN'; 'STD. DEV.'; 'VARIANCE'; 'SKEWNESS'; 'KURTOSIS'}; @@ -99,6 +110,8 @@ end if ~options_.nocorr corr = (y'*y/size(y,1))./(s'*s); + corr(zero_variance_var_index,:)=NaN; + corr(:,zero_variance_var_index)=NaN; if options_.contemporaneous_correlation oo_.contemporaneous_correlation = corr; end @@ -124,6 +137,8 @@ if ar > 0 autocorr = []; for i=1:ar 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,:))); + oo_.autocorr{i}(zero_variance_var_index,:)=NaN; + oo_.autocorr{i}(:,zero_variance_var_index)=NaN; autocorr = [ autocorr diag(oo_.autocorr{i}) ]; end if ~options_.noprint @@ -169,12 +184,16 @@ if ~options_.nodecomposition y_sim_one_shock = simult_(M_,options_,y0,oo_.dr,temp_shock_mat,options_.order); y_sim_one_shock=y_sim_one_shock(ivar,1+options_.drop+1:end)'; y_sim_one_shock=get_filtered_time_series(y_sim_one_shock,mean(y_sim_one_shock),options_); - oo_.variance_decomposition(:,i_exo_var(shock_iter))=var(y_sim_one_shock)./s2*100; + oo_.variance_decomposition(:,i_exo_var(shock_iter))=var(y_sim_one_shock)./s2*100; end + oo_.variance_decomposition(zero_variance_var_index,:)=NaN; if ME_present oo_.variance_decomposition_ME=oo_.variance_decomposition(index_subset,:)... .*repmat((s2(index_subset)./s2_ME)',1,length(i_exo_var)); oo_.variance_decomposition_ME(:,end+1)=var(y_ME_only_filtered)./s2_ME*100; + oo_.variance_decomposition_ME(ismember(observable_pos_requested_vars,intersect(zero_variance_ME_var_index,zero_variance_var_index)),:)=NaN; + oo_.variance_decomposition_ME(ismember(observable_pos_requested_vars,setdiff(zero_variance_var_index,zero_variance_ME_var_index)),1:end-1)=0; + oo_.variance_decomposition_ME(ismember(observable_pos_requested_vars,setdiff(zero_variance_var_index,zero_variance_ME_var_index)),end)=1; end if ~options_.noprint %options_.nomoments == 0 skipline()