diff --git a/doc/manual/source/the-model-file.rst b/doc/manual/source/the-model-file.rst
index fb077a848a5c782c47f164f8d80a6a0084883a05..8464b1ee8e2fecec11bc8e7651c7d417e2ece7d1 100644
--- a/doc/manual/source/the-model-file.rst
+++ b/doc/manual/source/the-model-file.rst
@@ -3816,8 +3816,9 @@ Computing the stochastic solution
``oo_.conditional_variance_decomposition_ME`` (see
:mvar:`oo_.conditional_variance_decomposition_ME`). The
variance decomposition is only conducted, if theoretical
- moments are requested, *i.e.* using the ``periods=0``-option.
- In case of ``order=2``, Dynare provides a second-order accurate
+ moments are requested, *i.e.* using the ``periods=0``-option.
+ Only available at ``order<3``. In case of ``order=2``,
+ Dynare provides a second-order accurate
approximation to the true second moments based on the linear
terms of the second-order solution (see *Kim, Kim,
Schaumburg and Sims (2008)*). Note that the unconditional
@@ -4013,9 +4014,10 @@ Computing the stochastic solution
|br| After a run of ``stoch_simul``, contains the
variance-covariance of the endogenous variables. Contains
- theoretical variance if the ``periods`` option is not present (or
- an approximation thereof for ``order=2``), and simulated variance
- otherwise. The variables are arranged in declaration order.
+ theoretical variance if the ``periods`` option is not present and simulated variance
+ otherwise. Only available for ``order<4``. At ``order=2`` it will be be
+ a second-order accurate approximation. At ``order=3``, theoretical moments
+ are only available with ``pruning``. The variables are arranged in declaration order.
.. matvar:: oo_.var_list
@@ -4042,9 +4044,10 @@ Computing the stochastic solution
number of the matrix in the cell array corresponds to the order of
autocorrelation. The option ar specifies the number of
autocorrelation matrices available. Contains theoretical
- autocorrelations if the ``periods`` option is not present (or an
- approximation thereof for ``order=2``), and simulated
- autocorrelations otherwise. The field is only created if
+ autocorrelations if the ``periods`` option is not present and simulated
+ autocorrelations otherwise. Only available for ``order<4``. At ``order=2`` it will be be
+ a second-order accurate approximation. At ``order=3``, theoretical moments
+ are only available with ``pruning``. The field is only created if
stationary variables are present.
The element ``oo_.autocorr{i}(k,l)`` is equal to the correlation
@@ -4082,9 +4085,10 @@ Computing the stochastic solution
If a second order approximation has been requested,
contains the vector of the mean correction terms.
- In case ``order=2``, the theoretical second moments are a
- second order accurate approximation of the true second
- moments, see conditional_variance_decomposition.
+ Only available at ``order<4``. In case ``order=2``, the
+ theoretical second moments are a second order accurate
+ approximation of the true second moments. See conditional_variance_decomposition.
+ At ``order=3``, theoretical moments are only available with ``pruning``.
.. matvar:: oo_.variance_decomposition
@@ -4152,8 +4156,10 @@ Computing the stochastic solution
|br| After a run of ``stoch_simul`` with the
``contemporaneous_correlation option``, contains theoretical
contemporaneous correlations if the ``periods`` option is not
- present (or an approximation thereof for ``order=2``), and
- simulated contemporaneous correlations otherwise. The variables
+ present, and simulated contemporaneous correlations otherwise.
+ Only available for ``order<4``. At ``order=2`` it will be be
+ a second-order accurate approximation. At ``order=3``, theoretical moments
+ are only available with ``pruning``. The variables
are arranged in declaration order.
.. matvar:: oo_.SpectralDensity
diff --git a/matlab/disp_th_moments_order3.m b/matlab/disp_th_moments_order3.m
new file mode 100644
index 0000000000000000000000000000000000000000..dfdc87eaafb37bc145d8c7bd345406274b6cac57
--- /dev/null
+++ b/matlab/disp_th_moments_order3.m
@@ -0,0 +1,126 @@
+function oo_=disp_th_moments_order3(dr,M_,options_,i_var,oo_)
+% oo_=disp_th_moments_order3(dr,M_,options_,i_var,oo_)
+% Display theoretical moments of variables based on (third order) pruned
+% state-space
+%
+% 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
\ No newline at end of file
diff --git a/matlab/stoch_simul.m b/matlab/stoch_simul.m
index ac0908de6b8e102249d63dcd30476c8d7f4ea0e2..e573faf4ca5b4fd825ca94795e7144c465175c95 100644
--- a/matlab/stoch_simul.m
+++ b/matlab/stoch_simul.m
@@ -189,9 +189,11 @@ if ~options_.nomoments
if PI_PCL_solver
PCL_Part_info_moments(0, PCL_varobs, oo_.dr, i_var);
elseif options_.periods == 0
- % There is no code for theoretical moments at 3rd order
if options_.order <= 2
oo_=disp_th_moments(oo_.dr,var_list,M_,options_,oo_);
+ elseif options_.order == 3 && options_.pruning
+ % There is no code for theoretical moments at 3rd order without pruning
+ oo_=disp_th_moments_order3(oo_.dr,M_,options_,i_var,oo_);
end
else
oo_=disp_moments(oo_.endo_simul,var_list,M_,options_,oo_);
diff --git a/tests/decision_rules/third_order/FV2011.mod b/tests/decision_rules/third_order/FV2011.mod
index 9f0e67963e0fae42b22518f1523a187c8acc5f0c..1d9dda95fd227510891b8de5c7f885372ba197d9 100644
--- a/tests/decision_rules/third_order/FV2011.mod
+++ b/tests/decision_rules/third_order/FV2011.mod
@@ -116,6 +116,6 @@ options_.solve_tolf=1E-12;
steady(solve_algo=3);
check;
-stoch_simul(order=3,pruning,irf=0,nocorr,nofunctions,nomoments) C I Y H r D K lambda phi;
+stoch_simul(order=3,pruning,irf=0,nofunctions,contemporaneous_correlation,TeX) C I Y H r D K lambda phi;
comparison_policy_functions_dynare_mathematica;
\ No newline at end of file