dynare/matlab/forcst.m

function [yf,int_width]=forcst(dr,y0,k,var_list)
  global M_  oo_ options_ 
  
  make_ex_;
  yf = simult_(y0,dr,zeros(k,M_.exo_nbr),1);
  nstatic = dr.nstatic;
  npred = dr.npred;
  nc = size(dr.ghx,2);
  endo_nbr = M_.endo_nbr;
  inv_order_var = dr.inv_order_var;
  [A,B] = kalman_transition_matrix(dr,nstatic+(1:npred),1:nc,dr.transition_auxiliary_variables);
  
  nvar = size(var_list,1);
  if nvar == 0
    nvar = M_.endo_nbr;
    ivar = [1:nvar];
  else
    ivar=zeros(nvar,1);
    for i=1:nvar
      i_tmp = strmatch(var_list(i,:),M_.endo_names,'exact');
      if isempty(i_tmp)
	disp(var_list(i,:));
	error (['One of the variable specified does not exist']) ;
      else
	ivar(i) = i_tmp;
      end
    end
  end

  ghx1 = dr.ghx(inv_order_var(ivar),:);
  ghu1 = dr.ghu(inv_order_var(ivar),:);

  sigma_u = B*M_.Sigma_e*B';
  sigma_u1 = ghu1*M_.Sigma_e*ghu1';
  sigma_y = 0;
  
  for i=1:k
    sigma_y1 = ghx1*sigma_y*ghx1'+sigma_u1;
    var_yf(i,:) = diag(sigma_y1)';
    if i == k
      break
    end
    sigma_u = A*sigma_u*A';
    sigma_y = sigma_y+sigma_u;
  end

  fact = qnorm((1-options_.conf_sig)/2,0,1);
  
  int_width = zeros(k,M_.endo_nbr);
  for i=1:nvar
    int_width(:,i) = fact*sqrt(var_yf(:,i));
  end

  yf = yf(ivar,:);