stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

incorporate information about states in period 0 for occbin with smoother_redux

silicon
Marco Ratto 2022-11-18 11:57:41 +01:00
parent 0622f01f4e
commit 21c9d59e8c
1 changed files with 20 additions and 6 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

26
matlab/DsgeSmoother.m
View File

@ -391,8 +391,9 @@ else
opts_simul = options_.occbin.simul;
end
% reconstruct smoothed variables
aaa=zeros(M_.endo_nbr,gend);
aaa(oo_.dr.restrict_var_list,:)=alphahat;
aaa=zeros(M_.endo_nbr,gend+1);
aaa(oo_.dr.restrict_var_list,1)=alphahat0;
aaa(oo_.dr.restrict_var_list,2:end)=alphahat;
iTx = zeros(size(TTx));
for k=1:gend
if isoccbin
@ -416,13 +417,19 @@ else
static_var_list0 = static_var_list;
static_var_list0(static_var_list) = ilagged;
static_var_list(static_var_list) = ~ilagged;
aaa(static_var_list,k) = AS(~ilagged,:)*alphahat(:,k)+BS(~ilagged,:)*etahat(:,k)+CS(~ilagged);
if any(ilagged) && k>1
aaa(static_var_list0,k) = Tstar(ilagged,:)*alphahat(:,k-1)+Rstar(ilagged,:)*etahat(:,k)+Cstar(ilagged);
aaa(static_var_list,k+1) = AS(~ilagged,:)*alphahat(:,k)+BS(~ilagged,:)*etahat(:,k)+CS(~ilagged);
if any(ilagged)
if k>1
aaa(static_var_list0,k+1) = Tstar(ilagged,:)*alphahat(:,k-1)+Rstar(ilagged,:)*etahat(:,k)+Cstar(ilagged);
else
aaa(static_var_list0,2) = Tstar(ilagged,:)*alphahat0+Rstar(ilagged,:)*etahat(:,1)+Cstar(ilagged);
end
end
end
alphahat=aaa;
alphahat0=aaa(:,1);
alphahat=aaa(:,2:end);
% reconstruct updated variables
bbb=zeros(M_.endo_nbr,gend);
@ -488,6 +495,13 @@ else
state_uncertainty=sstate_uncertainty;
clear sstate_uncertainty
end
if ~isempty(state_uncertainty0)
mm=size(T,1);
sstate_uncertainty=zeros(M_.endo_nbr,M_.endo_nbr);
sstate_uncertainty(oo_.dr.restrict_var_list,oo_.dr.restrict_var_list)=state_uncertainty0(1:mm,1:mm);
state_uncertainty0=sstate_uncertainty;
clear sstate_uncertainty
end
aaa = zeros(nk,M_.endo_nbr,gend+nk);
aaa(:,oo_.dr.restrict_var_list,:)=aK;