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The computation of autocovariances is now compatible with blocks decomposed models

time-shift
Ferhat Mihoubi 2011-10-12 14:54:28 +02:00
parent 57029ca39e
commit 13875c1373
1 changed files with 11 additions and 2 deletions
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13
matlab/th_autocovariances.m
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@ -92,11 +92,16 @@ else
trend = 1:M_.endo_nbr;
inv_order_var = trend(M_.block_structure.variable_reordered);
ghu1(1:length(dr.state_var),:) = ghu(dr.state_var,:);
npred = npred + dr.nboth;
end;
b = ghu1*M_.Sigma_e*ghu1';
ipred = nstatic+(1:npred)';
if options_.block == 0
ipred = nstatic+(1:npred)';
else
ipred = dr.state_var;
end;
% state space representation for state variables only
[A,B] = kalman_transition_matrix(dr,ipred,1:nx,M_.exo_nbr);
% Compute stationary variables (before HP filtering),
@ -104,7 +109,11 @@ ipred = nstatic+(1:npred)';
% HP filtering, this mean correction is computed *before* filtering)
if options_.order == 2 || options_.hp_filter == 0
[vx, u] = lyapunov_symm(A,B*M_.Sigma_e*B',options_.qz_criterium,options_.lyapunov_complex_threshold);
iky = inv_order_var(ivar);
if options_.block == 0
iky = inv_order_var(ivar);
else
iky = ivar;
end;
stationary_vars = (1:length(ivar))';
if ~isempty(u)
x = abs(ghx*u);