From 1bd5c7cc0decb7877873046975c5d7a708e40bb3 Mon Sep 17 00:00:00 2001
From: Johannes Pfeifer <jpfeifer@gmx.de>
Date: Thu, 21 Jul 2016 12:17:30 +0200
Subject: [PATCH] Disentangle options_.conf_sig and set default to 0.9
---
doc/dynare.texi | 2 +-
matlab/bvar_forecast.m | 2 +-
matlab/bvar_irf.m | 2 +-
matlab/forcst.m | 2 +-
matlab/forecast_graphs.m | 4 ++--
matlab/global_initialization.m | 5 ++++-
matlab/imcforecast.m | 6 +++---
matlab/simultxdet.m | 2 +-
8 files changed, 14 insertions(+), 11 deletions(-)
diff --git a/doc/dynare.texi b/doc/dynare.texi
index 3bbaf9c657..7ecf288d83 100644
--- a/doc/dynare.texi
+++ b/doc/dynare.texi
@@ -7082,7 +7082,7 @@ cannot be less than the number of constrained periods.
Number of simulations. Default: @code{5000}.
@item conf_sig = @var{DOUBLE}
-Level of significance for confidence interval. Default: @code{0.80}
+Level of significance for confidence interval. Default: @code{0.90}
@end table
diff --git a/matlab/bvar_forecast.m b/matlab/bvar_forecast.m
index 1b88e0ae61..9b22ff679e 100644
--- a/matlab/bvar_forecast.m
+++ b/matlab/bvar_forecast.m
@@ -103,7 +103,7 @@ end
% Plot graphs
sims_no_shock_mean = mean(sims_no_shock, 3);
-sort_idx = round((0.5 + [-options_.conf_sig, options_.conf_sig, 0]/2) * options_.bvar_replic);
+sort_idx = round((0.5 + [-options_.bvar.conf_sig, options_.bvar.conf_sig, 0]/2) * options_.bvar_replic);
sims_no_shock_sort = sort(sims_no_shock, 3);
sims_no_shock_down_conf = sims_no_shock_sort(:, :, sort_idx(1));
diff --git a/matlab/bvar_irf.m b/matlab/bvar_irf.m
index a2e124f3a3..17228b5c43 100644
--- a/matlab/bvar_irf.m
+++ b/matlab/bvar_irf.m
@@ -102,7 +102,7 @@ posterior_mean_irfs = mean(sampled_irfs,4);
posterior_variance_irfs = var(sampled_irfs, 1, 4);
sorted_irfs = sort(sampled_irfs,4);
-sort_idx = round((0.5 + [-options_.conf_sig, options_.conf_sig, .0]/2) * options_.bvar_replic);
+sort_idx = round((0.5 + [-options_.bvar.conf_sig, options_.bvar.conf_sig, .0]/2) * options_.bvar_replic);
posterior_down_conf_irfs = sorted_irfs(:,:,:,sort_idx(1));
posterior_up_conf_irfs = sorted_irfs(:,:,:,sort_idx(2));
diff --git a/matlab/forcst.m b/matlab/forcst.m
index 2684df8ee8..0cc8dda2d2 100644
--- a/matlab/forcst.m
+++ b/matlab/forcst.m
@@ -78,7 +78,7 @@ for i=1:horizon
sigma_y = sigma_y+sigma_u;
end
-fact = norminv((1-options_.conf_sig)/2,0,1);
+fact = norminv((1-options_.forecasts.conf_sig)/2,0,1);
int_width = zeros(horizon,M_.endo_nbr);
for i=1:nvar
diff --git a/matlab/forecast_graphs.m b/matlab/forecast_graphs.m
index 5dab918116..ea1932e856 100644
--- a/matlab/forecast_graphs.m
+++ b/matlab/forecast_graphs.m
@@ -74,7 +74,7 @@ for j= 1:nvar
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s/graphs/forcst%d}\n',dname,n_fig);
fprintf(fidTeX,'\\label{Fig:forcst:%d}\n',n_fig);
- fprintf(fidTeX,'\\caption{Mean forecasts and %2.0f%% confidence intervals}\n',options_.conf_sig*100);
+ fprintf(fidTeX,'\\caption{Mean forecasts and %2.0f%% confidence intervals}\n',options_.forecasts.conf_sig*100);
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
end
@@ -110,7 +110,7 @@ if m > 1
fprintf(fidTeX,'\\centering \n');
fprintf(fidTeX,'\\includegraphics[scale=0.5]{%s/graphs/forcst%d}\n',dname,n_fig);
fprintf(fidTeX,'\\label{Fig:forcst:%d}\n',n_fig);
- fprintf(fidTeX,'\\caption{Mean forecasts and %2.0f\\%% confidence intervals}\n',options_.conf_sig*100);
+ fprintf(fidTeX,'\\caption{Mean forecasts and %2.0f\\%% confidence intervals}\n',options_.forecasts.conf_sig*100);
fprintf(fidTeX,'\\end{figure}\n');
fprintf(fidTeX,' \n');
end
diff --git a/matlab/global_initialization.m b/matlab/global_initialization.m
index a5844b9968..e5a9a8e44c 100644
--- a/matlab/global_initialization.m
+++ b/matlab/global_initialization.m
@@ -109,6 +109,7 @@ options_.bvar_prior_mu = 2;
options_.bvar_prior_omega = 1;
options_.bvar_prior_flat = 0;
options_.bvar_prior_train = 0;
+options_.bvar.conf_sig = 0.6;
% Initialize the field that will contain the optimization algorigthm's options declared in the
% estimation command (if anny).
@@ -305,6 +306,8 @@ options_.prior_draws = 10000;
options_.sampling_draws = 500;
options_.forecast = 0;
+options_.forecasts.conf_sig = 0.9;
+options_.conditional_forecast.conf_sig = 0.9;
% Model
options_.linear = 0;
@@ -513,7 +516,7 @@ options_.estimation.moments_posterior_density.gridpoints = 2^9;
options_.estimation.moments_posterior_density.bandwidth = 0; % Rule of thumb optimal bandwidth parameter.
options_.estimation.moments_posterior_density.kernel_function = 'gaussian'; % Gaussian kernel for Fast Fourrier Transform approximaton.
% Misc
-options_.conf_sig = 0.6;
+% options_.conf_sig = 0.6;
oo_.exo_simul = [];
oo_.endo_simul = [];
ys0_ = [];
diff --git a/matlab/imcforecast.m b/matlab/imcforecast.m
index b9ffeac4e3..e310a642bd 100644
--- a/matlab/imcforecast.m
+++ b/matlab/imcforecast.m
@@ -63,8 +63,8 @@ if ~isfield(options_cond_fcst,'periods') || isempty(options_cond_fcst.periods)
options_cond_fcst.periods = 40;
end
-if ~isfield(options_cond_fcst,'conf_sig') || isempty(options_cond_fcst.conf_sig)
- options_cond_fcst.conf_sig = .8;
+if ~isfield(options_cond_fcst,'conditional_forecast') || ~isfield(options_cond_fcst.conditional_forecast,'conf_sig') || isempty(options_cond_fcst.conditional_forecast.conf_sig)
+ options_cond_fcst.conditional_forecast.conf_sig = .8;
end
if isequal(options_cond_fcst.parameter_set,'calibration')
@@ -228,7 +228,7 @@ end
mFORCS1 = mean(FORCS1,3);
mFORCS1_shocks = mean(FORCS1_shocks,3);
-tt = (1-options_cond_fcst.conf_sig)/2;
+tt = (1-options_cond_fcst.conditional_forecast.conf_sig)/2;
t1 = round(options_cond_fcst.replic*tt);
t2 = round(options_cond_fcst.replic*(1-tt));
diff --git a/matlab/simultxdet.m b/matlab/simultxdet.m
index ca34c596c7..2de1bb4b7f 100644
--- a/matlab/simultxdet.m
+++ b/matlab/simultxdet.m
@@ -134,7 +134,7 @@ for i=1:iter
sigma_y = sigma_y+sigma_u;
end
-fact = norminv((1-options_.conf_sig)/2,0,1);
+fact = norminv((1-options_.forecasts.conf_sig)/2,0,1);
int_width = zeros(iter,endo_nbr);
for i=1:nvar
--
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