13 lines
384 B
Matlab
13 lines
384 B
Matlab
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function forcs = mcforecast3(cL,H,mcValue,shocks,forcs,T,R,mv,mu)
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% stephane.adjemian@ens.fr [06-11-2006]
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if cL
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e = zeros(size(mcValue,1),cL);
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for t = 1:cL
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e(:,t) = inv(mv*R*mu)*(mcValue(:,t)-mv*T*forcs(:,t)-mv*R*shocks(:,t));
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forcs(:,t+1) = T*forcs(:,t)+R*(mu*e(:,t)+shocks(:,t));
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end
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end
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for t = cL+1:H
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forcs(:,t+1) = T*forcs(:,t)+R*shocks(:,t);
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end
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