%RAMSEY_MOMENTS.M produces a table of first and second moments implied by the model ``Optimal Fiscal and Monetary Policy Under Sticky Prices,'' by Stephanie Schmitt-Grohe and Martin Uribe (JET, February 2006).
%(c) S. Schmitt-Grohe and M. Uribe, May 2006.

clear

load ramsey_run %produced by ramsey_run.m

nx=size(hx,1);
ny=size(gx,1);
nv=nx+ny;

T=100; %Simulation horizon
n = 500; %number of simulated economies

%VarCov matrix of exog. shocls
std_matrix = diag([STD_EPSG; STD_EPSZ]);

%Set initial seed
randn('state',sum(100*clock));

%all variables 
var_cu = [controlvar_cu statevar_cu];

%Index of variables
noutput = find(var_cu=='output_cu');
nh = find(var_cu=='h_cu');
nc = find(var_cu=='c_cu');
npai = find(var_cu=='pai_cu');
nr = find(var_cu=='r_cu');
ntau = find(var_cu=='tau_cu');
ng = find(var_cu=='g_cu');
nz = find(var_cu=='z_cu');

npick = [ntau npai nr noutput nh nc];

%initialize table
table = zeros(numel(npick),6);

for jn=1:n

%Report progress
jn

%Initial condition
x0 = zeros(nx,1);

%Generate innovations
shocks = sign(randn(T,size(ETAMATRIX,2)));

%Generate 2nd-order accurate path of endogenous variables.  
 [Y,X] = simu_2nd(gx, hx, gxx, hxx, gss, hss, ETAMATRIX, sig, x0, shocks); %For a first-order accurate path, replace this line with  [Y,X] = simu_2nd(gx, hx, 0*gxx, 0*hxx, 0*gss, 0*hss, ETAMATRIX, sig, x0, shocks); 


V = [Y X];

%Standard Deviations
stdV = std(V);

%Correlations
corrV = corrcoef(V);

%Serial Correlations
corrcoef([V(2:end,:) V(1:end-1,:)]);
sercorrV = diag(ans(1:nv,nv+1:end));

%Steady-State Values
ncontrolvar = eval(controlvar_cu)';
nstatevar = eval(statevar_cu)';
nvar = [ncontrolvar;nstatevar];

%Means
meanV = mean(V)'+nvar;

table_jn = [meanV(npick) stdV(npick)' sercorrV(npick)  corrV(npick,noutput) corrV(npick,ng) corrV(npick,nz)]; 

weight_jn = 1/jn;

table = table * (1-weight_jn) + table_jn * weight_jn;

end  %for jn

table(1,1) = table(1,1)*100;

table(2,1)=(table(2,1)-1)*100;

table(3,1)=(table(3,1)-1)*100;

table(1:3,2)=table(1:3,2)*100;

table

disp('NOTE')
disp('Columns: (1) mean, (2) std. dev., (3) ser. corr., (4) corr. with output, (5) corr. with log(g), (6) corr. with log(z) ')
disp('Rows: (1) tax rate, (2) inflation, (3) nominal interest rate, (4) output, (5) hours, (6) consumption')

%Save output
save ramsey_moments.mat