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add support for N nested diffs

time-shift
Houtan Bastani 2018-05-15 17:06:34 +02:00
parent 6384c9636c
commit 397a850ce5
1 changed files with 19 additions and 15 deletions
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34
matlab/get_ar_ec_matrices.m
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@ -134,25 +134,29 @@ for i = 1:length(rhsvars)
if rhsvars{i}.arRhsIdxs(j) > 0
% Fill AR
[lag, ndiffs] = findLagForVar(var, -rhsvars{i}.lags(j), 0, arRhsVars);
oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag) = ...
oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag) + g1(i, g1col);
ndiffs = ndiffs - 1;
if ndiffs == 1
oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag + 1) = ...
oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag + 1) - g1(i, g1col);
elseif ndiffs > 1
error('No support yet for more than one nested diff');
if ndiffs >= 1
ndiffs = ndiffs - 1;
end
for k = 0:ndiffs
if mod(k, 2) == 0
oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag + k) = ...
oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag + k) + nchoosek(ndiffs,k) * g1(i, g1col);
else
oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag + k) = ...
oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag + k) - nchoosek(ndiffs,k) * g1(i, g1col);
end
end
elseif rhsvars{i}.ecRhsIdxs(j) > 0
% Fill EC
[lag, ndiffs] = findLagForVar(var, -rhsvars{i}.lags(j), 0, ecRhsVars);
oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag) = ...
oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag) + g1(i, g1col);
if ndiffs == 1
oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag + 1) = ...
oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag + 1) - g1(i, g1col);
elseif ndiffs > 1
error('No support yet for more than one nested diff');
for k = 0:ndiffs
if mod(k, 2) == 0
oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag + k) = ...
oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag + k) + nchoosek(ndiffs,k) * g1(i, g1col);
else
oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag + k) = ...
oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag + k) - nchoosek(ndiffs,k) * g1(i, g1col);
end
end
else
error('Shouldn''t arrive here');