2006-11-25 09:54:17 +01:00
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function [yf,int_width]=forcst(dr,y0,k,var_list)
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global M_ oo_ options_
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2005-02-18 20:54:39 +01:00
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make_ex_;
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2006-11-25 09:54:17 +01:00
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yf = simult_(y0,dr,zeros(k,M_.exo_nbr),1);
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2005-02-18 20:54:39 +01:00
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nstatic = dr.nstatic;
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npred = dr.npred;
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2006-11-25 09:54:17 +01:00
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nc = size(dr.ghx,2);
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endo_nbr = M_.endo_nbr;
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inv_order_var = dr.inv_order_var;
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[A,B] = kalman_transition_matrix(dr,nstatic+(1:npred),1:nc,dr.transition_auxiliary_variables);
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2005-02-18 20:54:39 +01:00
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2006-11-25 09:54:17 +01:00
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nvar = size(var_list,1);
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if nvar == 0
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nvar = M_.endo_nbr;
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ivar = [1:nvar];
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2005-02-18 20:54:39 +01:00
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else
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2006-11-25 09:54:17 +01:00
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ivar=zeros(nvar,1);
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for i=1:nvar
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i_tmp = strmatch(var_list(i,:),M_.endo_names,'exact');
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if isempty(i_tmp)
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disp(var_list(i,:));
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error (['One of the variable specified does not exist']) ;
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else
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ivar(i) = i_tmp;
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2005-02-18 20:54:39 +01:00
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end
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end
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end
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2006-11-25 09:54:17 +01:00
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ghx1 = dr.ghx(inv_order_var(ivar),:);
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ghu1 = dr.ghu(inv_order_var(ivar),:);
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2005-02-18 20:54:39 +01:00
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2006-11-25 09:54:17 +01:00
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sigma_u = B*M_.Sigma_e*B';
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sigma_u1 = ghu1*M_.Sigma_e*ghu1';
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sigma_y = 0;
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for i=1:k
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sigma_y1 = ghx1*sigma_y*ghx1'+sigma_u1;
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var_yf(i,:) = diag(sigma_y1)';
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if i == k
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break
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end
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sigma_u = A*sigma_u*A';
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sigma_y = sigma_y+sigma_u;
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end
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2005-02-18 20:54:39 +01:00
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2006-11-25 09:54:17 +01:00
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fact = qnorm((1-options_.conf_sig)/2,0,1);
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int_width = zeros(k,M_.endo_nbr);
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for i=1:nvar
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int_width(:,i) = fact*sqrt(var_yf(:,i));
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end
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2005-02-18 20:54:39 +01:00
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2006-11-25 09:54:17 +01:00
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yf = yf(ivar,:);
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