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function [cmm, mm] = simulated_moment_uncertainty(indx, periods, replic,options_,M_,oo_)
% function [cmm, mm] = simulated_moment_uncertainty(indx, periods, replic,options_,M_,oo_)
% Compute the uncertainty around simulated moments
% Inputs
% - indx [n_moments by 1] index vector of moments
% - periods [scalar] number of simulation periods
% - replic [scalar] number of simulation replications
% - options_ Dynare options structure
% - M_ Dynare Model structure
% - oo_ Dynare results structure
% Outputs:
% - cmm: [n_moments by n_moments] covariance matrix of simulated moments
% - mm: [n_moments by replic] matrix of moments
%
% Copyright (C) 2009-2017 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/>.
mm=zeros(length(indx),replic);
disp('Evaluating simulated moment uncertainty ... please wait')
disp(['Doing ',int2str(replic),' replicas of length ',int2str(periods),' periods.'])
h = dyn_waitbar(0,'Simulated moment uncertainty ...');
%Do check whether simulation is possible
if options_.periods == 0
error('simulated_moment_uncertainty: Periods must be bigger than 0')
end
if options_.periods <= options_.drop
error('simulated_moment_uncertainty: The horizon of simulation is shorter than the number of observations to be dropped. Either increase options_.periods or decrease options_.drop.')
end
%locally set options
options_.TeX=0;
options_.noprint = 1;
options_.order = 1;
options_.periods = periods;
if isempty(options_.qz_criterium)
options_.qz_criterium = 1+1e-6;
end
if M_.exo_nbr > 0
oo_.exo_simul= ones(max(options_.periods,1) + M_.maximum_lag + M_.maximum_lead,1) * oo_.exo_steady_state';
end
oo_.dr=set_state_space(oo_.dr,M_,options_);
if options_.logged_steady_state %if steady state was previously logged, undo this
oo_.dr.ys=exp(oo_.dr.ys);
oo_.steady_state=exp(oo_.steady_state);
options_.logged_steady_state=0;
logged_steady_state_indicator=1;
evalin('base','options_.logged_steady_state=0;')
else
logged_steady_state_indicator=0;
end
[dr,info,M_,options_,oo_] = resol(0,M_,options_,oo_);
oo_.dr=dr;
if info(1)
fprintf('\nsimulated_moment_uncertainty: model could not be solved')
print_info(info,0,options_);
end
%set starting point of simulations
if isempty(M_.endo_histval)
if options_.loglinear
y0 = log(oo_.dr.ys);
else
y0 = oo_.dr.ys;
end
else
if options_.loglinear
y0 = log_variable(1:M_.endo_nbr,M_.endo_histval,M_);
else
y0 = M_.endo_histval;
end
end
for j=1:replic
[ys, oo_] = simult(y0,oo_.dr,M_,options_,oo_);%do simulation
oo_=disp_moments(ys,char(options_.varobs),M_,options_,oo_); %get moments
dum=[oo_.mean; dyn_vech(oo_.var)];
sd = sqrt(diag(oo_.var));
for i=1:options_.ar
dum=[dum; vec(oo_.autocorr{i}.*(sd*sd'))];
end
mm(:,j)=dum(indx);
dyn_waitbar(j/replic,h,['Simulated moment uncertainty. Replic ',int2str(j),'/',int2str(replic)])
end
dyn_waitbar_close(h);
if logged_steady_state_indicator
evalin('base','options_.logged_steady_state=1;') %reset base workspace option to conform to base oo_
end
cmm = cov(mm');
disp('Simulated moment uncertainty ... done!')
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