From dcf49d606f657d467531efcadbac59b78dea370c Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Charybdis=29?=
<stephane.adjemian@ens.fr>
Date: Wed, 10 Feb 2010 14:20:28 +0100
Subject: [PATCH] Added the possibility of computing hp-filtered simulated
moments.
---
matlab/disp_moments.m | 15 ++++++-------
matlab/sample_hp_filter.m | 44 +++++++++++++++++++++++++++++++++++++++
2 files changed, 52 insertions(+), 7 deletions(-)
create mode 100644 matlab/sample_hp_filter.m
diff --git a/matlab/disp_moments.m b/matlab/disp_moments.m
index 23af69f9eb..d2e51a435e 100644
--- a/matlab/disp_moments.m
+++ b/matlab/disp_moments.m
@@ -23,10 +23,6 @@ global M_ options_ oo_
warning_old_state = warning;
warning off
-if options_.hp_filter
- error('STOCH_SIMUL: HP filter is not yet implemented for empirical moments')
-end
-
if size(var_list,1) == 0
var_list = M_.endo_names(1:M_.orig_endo_nbr, :);
end
@@ -45,7 +41,13 @@ end
y = y(ivar,options_.drop+M_.maximum_lag+1:end)';
m = mean(y);
-y = y - repmat(m,size(y,1),1);
+
+if options_.hp_filter
+ [hptrend,y] = sample_hp_filter(y,options_.hp_filter);
+else
+ y = bsxfun(@minus, y, m);
+end
+
s2 = mean(y.*y);
s = sqrt(s2);
oo_.mean = transpose(m);
@@ -54,8 +56,7 @@ oo_.var = y'*y/size(y,1);
labels = deblank(M_.endo_names(ivar,:));
if options_.nomoments == 0
- z = [ m' s' s2' (mean(y.^3)./s2.^1.5)' (mean(y.^4)./(s2.*s2)-3)' ];
-
+ z = [ m' s' s2' (mean(y.^3)./s2.^1.5)' (mean(y.^4)./(s2.*s2)-3)' ];
title='MOMENTS OF SIMULATED VARIABLES';
if options_.hp_filter
title = [title ' (HP filter, lambda = ' ...
diff --git a/matlab/sample_hp_filter.m b/matlab/sample_hp_filter.m
new file mode 100644
index 0000000000..fccb1633e7
--- /dev/null
+++ b/matlab/sample_hp_filter.m
@@ -0,0 +1,44 @@
+function [hptrend,hpcycle] = sample_hp_filter(y,s)
+% HP filters a collection of time series.
+%
+% INPUTS
+% y [double] T*n matrix of data (n is the number of variables)
+% s [integer] scalar, smoothing parameter.
+%
+% OUTPUTS
+% hptrend [double] T*n matrix, trend component of y.
+% hpcycle [double] T*n matrix, cycle component of y.
+%
+% SPECIAL REQUIREMENTS
+%
+
+% Copyright (C) 2010 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/>.
+
+[T,n] = size(y);
+
+if nargin<2
+ s = 1600;
+end
+
+D = spdiags(repmat([s, -4.0*s, (1 + 6.0*s), -4.0*s, s], T, 1), -2:2, T, T);% Sparse matrix.
+D(1,1) = 1.0+s; D(T,T) = D(1,1);
+D(1,2) = -2.0*s; D(2,1) = D(1,2); D(T-1,T) = D(1,2); D(T,T-1) = D(1,2);
+D(2,2) = 1.0+5.0*s; D(T-1,T-1) = D(2,2);
+
+hptrend = D\y;
+hpcycle = y-hptrend;
\ No newline at end of file
--
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