2005-02-18 20:54:39 +01:00
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% Copyright (C) 2001 Michel Juillard
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%
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function dr=set_state_space(dr)
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global M_ oo_ options_ it_
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xlen = M_.maximum_lead + M_.maximum_lag + 1;
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klen = M_.maximum_lag + M_.maximum_lead + 1;
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if ~ M_.lead_lag_incidence(M_.maximum_lag+1,:) > 0
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error ('Error in model specification: some variables don"t appear as current') ;
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end
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fwrd_var = find(any(M_.lead_lag_incidence(M_.maximum_lag+2:end,:),1))';
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if M_.maximum_lag > 0
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pred_var = find(any(M_.lead_lag_incidence(1:M_.maximum_lag,:),1))';
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both_var = intersect(pred_var,fwrd_var);
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pred_var = setdiff(pred_var,both_var);
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fwrd_var = setdiff(fwrd_var,both_var);
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stat_var = setdiff([1:M_.endo_nbr]',union(union(pred_var,both_var),fwrd_var)); % static variables
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else
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pred_var = [];
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both_var = [];
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stat_var = setdiff([1:M_.endo_nbr]',fwrd_var);
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end
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nboth = length(both_var);
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npred = length(pred_var);
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nfwrd = length(fwrd_var);
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nstatic = length(stat_var);
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order_var = [ stat_var; pred_var; both_var; fwrd_var];
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2006-09-17 17:23:45 +02:00
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inv_order_var(order_var) = (1:M_.endo_nbr);
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2005-02-18 20:54:39 +01:00
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% building kmask for z state vector in t+1
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if M_.maximum_lag > 0
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kmask = [];
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if M_.maximum_lead > 0
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kmask = [cumsum(flipud(M_.lead_lag_incidence(M_.maximum_lag+2:end,order_var)),1)] ;
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end
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kmask = [kmask; flipud(cumsum(M_.lead_lag_incidence(1:M_.maximum_lag,order_var),1))] ;
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else
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kmask = cumsum(flipud(M_.lead_lag_incidence(M_.maximum_lag+2:klen,order_var)),1) ;
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end
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kmask = kmask';
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kmask = kmask(:);
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i_kmask = find(kmask); % index of nonzero entries in kmask
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nd = size(i_kmask,1); % size of the state vector
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kmask(i_kmask) = [1:nd];
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% auxiliary equations
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% elements that are both in z(t+1) and z(t)
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k1 = find([kmask(1:end-M_.endo_nbr) & kmask(M_.endo_nbr+1:end)] );
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kad = [];
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kae = [];
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if ~isempty(k1)
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kad = kmask(k1+M_.endo_nbr);
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kae = kmask(k1);
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end
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% composition of state vector
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% col 1: variable; col 2: lead/lag in z(t+1);
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% col 3: A cols for t+1 (D); col 4: A cols for t (E)
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kstate = [ repmat([1:M_.endo_nbr]',klen-1,1) kron([klen:-1:2]',ones(M_.endo_nbr,1)) ...
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zeros((klen-1)*M_.endo_nbr,2)];
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kiy = flipud(M_.lead_lag_incidence(:,order_var))';
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kiy = kiy(:);
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kstate(1:M_.maximum_lead*M_.endo_nbr,3) = kiy(1:M_.maximum_lead*M_.endo_nbr)-M_.endo_nbr;
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kstate(find(kstate(:,3) < 0),3) = 0;
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kstate(M_.maximum_lead*M_.endo_nbr+1:end,4) = kiy((M_.maximum_lead+1)*M_.endo_nbr+1:end);
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% put in E only the current variables that are not already in D
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kstate = kstate(i_kmask,:);
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dr.order_var = order_var;
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2006-09-17 17:23:45 +02:00
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dr.inv_order_var = inv_order_var';
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2005-02-18 20:54:39 +01:00
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dr.nstatic = nstatic;
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dr.npred = npred+nboth;
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dr.kstate = kstate;
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dr.kad = kad;
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dr.kae = kae;
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dr.nboth = nboth;
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dr.nfwrd = nfwrd;
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2006-06-03 21:45:05 +02:00
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% number of forward variables in the state vector
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dr.nsfwrd = sum(kstate(:,2) > M_.maximum_lag+1);
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% number of predetermined variables in the state vector
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dr.nspred = sum(kstate(:,2) <= M_.maximum_lag+1);
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2006-09-15 14:20:28 +02:00
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2006-09-17 17:23:45 +02:00
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% copmutes column position of auxiliary variables for
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% compact transition matrix (only state variables)
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2006-09-15 14:20:28 +02:00
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aux = zeros(0,2);
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k0 = kstate(find(kstate(:,2) <= M_.maximum_lag+1),:);;
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for i=M_.maximum_lag:-1:2
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i1 = find(k0(:,2) == i);
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n1 = size(i1,1);
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j = zeros(n1,1);
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for j1 = 1:n1
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j(j1) = find(k0(i0,1)==k0(i1(j1),1));
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end
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aux = [aux; offset_col+i0(j)];
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i0 = i1;
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end
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dr.transition_auxiliary_variables = [(1:size(aux,1))' aux];
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