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v4: adding forcst2.m 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1815 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2008-05-02 04:49:44 +00:00
parent 6352e90b26
commit 1e096f3dee
1 changed files with 42 additions and 0 deletions
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matlab/forcst2.m Normal file
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function yf=forcst2(y0,horizon,dr,n)
global M_ options_
Sigma_e_ = M_.Sigma_e;
endo_nbr = M_.endo_nbr;
exo_nbr = M_.exo_nbr;
ykmin_ = M_.maximum_endo_lag;
order = options_.order;
seed = options_.simul_seed;
k1 = [ykmin_:-1:1];
k2 = dr.kstate(find(dr.kstate(:,2) <= ykmin_+1),[1 2]);
k2 = k2(:,1)+(ykmin_+1-k2(:,2))*endo_nbr;
it_ = ykmin_ + 1 ;
% eliminate shocks with 0 variance
i_exo_var = setdiff([1:exo_nbr],find(diag(Sigma_e_) == 0));
nxs = length(i_exo_var);
chol_S = chol(Sigma_e_(i_exo_var,i_exo_var));
if ~isempty(Sigma_e_)
e = randn(nxs,n,horizon);
end
B1 = dr.ghu(:,i_exo_var)*chol_S';
yf = zeros(endo_nbr,horizon+ykmin_,n);
yf(:,1:ykmin_,:,:) = repmat(y0,[1,1,n]);
j = ykmin_*endo_nbr;
for i=ykmin_+(1:horizon)
tempx1 = reshape(yf(:,k1,:),[j,n]);
tempx = tempx1(k2,:);
yf(:,i,:) = dr.ghx*tempx+B1*squeeze(e(:,:,i-ykmin_));
k1 = k1+1;
end
yf(dr.order_var,:,:) = yf;
yf=permute(yf,[2 1 3]);