2006-09-21 17:48:01 +02:00
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function [vx1,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
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2006-09-15 14:20:28 +02:00
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2008-01-29 14:25:26 +01:00
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% function [vx1,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
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% Gets the variance of a variables subset
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%
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% INPUTS
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% dr: structure of decisions rules for stochastic simulations
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% i_var: indices of a variables list
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%
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% OUTPUTS
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% vx1: variance-covariance matrix
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% i_ns: non-stationary variables indices for which the variance has
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% been calculated
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%
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% SPECIAL REQUIREMENTS
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% none
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2008-08-01 15:08:13 +02:00
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% Copyright (C) 2003-2008 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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2008-01-29 14:25:26 +01:00
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2006-09-15 14:20:28 +02:00
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global M_ options_
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2009-07-21 13:52:35 +02:00
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endo_nbr = M_.endo_nbr;
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2006-09-15 14:20:28 +02:00
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Sigma_e = M_.Sigma_e;
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nstatic = dr.nstatic;
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npred = dr.npred;
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ghx = dr.ghx(i_var,:);
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ghu = dr.ghu(i_var,:);
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nc = size(ghx,2);
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2006-09-21 17:48:01 +02:00
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n = length(i_var);
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2006-09-15 14:20:28 +02:00
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2008-06-21 10:33:31 +02:00
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[A,B] = kalman_transition_matrix(dr,nstatic+(1:npred),1:nc,dr.transition_auxiliary_variables,M_.exo_nbr);
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2006-09-15 14:20:28 +02:00
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2009-02-12 15:16:10 +01:00
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[vx,u] = lyapunov_symm(A,B*Sigma_e*B',options_.qz_criterium,options_.lyapunov_complex_threshold);
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2006-09-15 14:20:28 +02:00
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2006-09-21 17:48:01 +02:00
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if size(u,2) > 0
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2009-07-21 13:52:35 +02:00
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i_stat_0 = find(any(abs(A*u) < options_.Schur_vec_tol,2));
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2006-09-21 17:48:01 +02:00
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i_stat = find(any(abs(ghx*u) < options_.Schur_vec_tol,2));
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2006-09-15 14:20:28 +02:00
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2006-09-21 17:48:01 +02:00
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ghx = ghx(i_stat,:);
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ghu = ghu(i_stat,:);
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else
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i_stat = (1:n)';
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end
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2006-09-15 14:20:28 +02:00
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2006-09-21 17:48:01 +02:00
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vx1 = Inf*ones(n,n);
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2009-07-21 13:52:35 +02:00
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vx1(i_stat,i_stat) = ghx(:,i_stat_0)*vx(i_stat_0,i_stat_0)*ghx(:,i_stat_0)'+ghu*Sigma_e*ghu';
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