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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1632 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
assia 2008-01-21 16:23:00 +00:00
parent 60fdc08e2d
commit 1c53328664
1 changed files with 18 additions and 4 deletions
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22
matlab/th_autocovariances.m
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% Copyright (C) 2001 Michel Juillard
%
function [Gamma_y,ivar]=th_autocovariances(dr,ivar)
% function [Gamma_y,ivar]=th_autocovariances(dr,ivar)
% computes the theoretical auto-covariances, Gamma_y, for an AR(p) process
% with coefficients dr.ghx and dr.ghu and shock variances Sigma_e_
% for a subset of variables ivar (indices in lgy_)
% Theoretical HP filtering is available as an option
%
% INPUTS
% dr: structure of decisions rules for stochastic simulations
% ivar: subset of variables
%
% OUTPUTS
% Gamma_y: theoritical auto-covariances
% ivar: subset of variables
%
% SPECIAL REQUIREMENTS
% Theoretical HP filtering is available as an option
%
% part of DYNARE, copyright Dynare Team (2001-2008)
% Gnu Public License.
function [Gamma_y,ivar]=th_autocovariances(dr,ivar)
global M_ options_
exo_names_orig_ord = M_.exo_names_orig_ord;