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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1632 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
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% Copyright (C) 2001 Michel Juillard
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function [Gamma_y,ivar]=th_autocovariances(dr,ivar)
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%
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% function [Gamma_y,ivar]=th_autocovariances(dr,ivar)
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% computes the theoretical auto-covariances, Gamma_y, for an AR(p) process
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% computes the theoretical auto-covariances, Gamma_y, for an AR(p) process
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% with coefficients dr.ghx and dr.ghu and shock variances Sigma_e_
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% with coefficients dr.ghx and dr.ghu and shock variances Sigma_e_
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% for a subset of variables ivar (indices in lgy_)
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% for a subset of variables ivar (indices in lgy_)
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% Theoretical HP filtering is available as an option
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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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% ivar: subset of variables
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%
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% OUTPUTS
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% Gamma_y: theoritical auto-covariances
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% ivar: subset of variables
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%
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% SPECIAL REQUIREMENTS
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% Theoretical HP filtering is available as an option
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%
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% part of DYNARE, copyright Dynare Team (2001-2008)
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% Gnu Public License.
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function [Gamma_y,ivar]=th_autocovariances(dr,ivar)
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global M_ options_
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global M_ options_
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exo_names_orig_ord = M_.exo_names_orig_ord;
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exo_names_orig_ord = M_.exo_names_orig_ord;
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