update get_ar_ec_matricies for changes to preprocessor
Houtan Bastani
parent
f9b3f7571e
commit
5a515aa3c4
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@ -1,13 +1,13 @@
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function get_ar_ec_matrices(var_model_name)
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%function get_ar_ec_matrices(var_model_name)
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%
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% Returns the autoregressive and error correction matrices associated with the
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% VAR specified by var_model_name. Output is stored in cellarray
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% oo_.var.(var_model_name).ar, with oo_.var.(var_model_name).ar{i} being the
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% AR matrix at time t-i (same holds for error correction matrices with ec
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% replacing ar). Each AR (EC) matrix is stored with rows organized by the
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% ordering of the equation tags found in M_.var.(var_model_name).eqtags and
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% columns organized consistently.
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% Returns the autoregressive matrix associated with the VAR specified by
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% var_model_name. Output is stored in cellarray oo_.var.(var_model_name).ar,
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% with oo_.var.(var_model_name).ar(:,:,i) being the AR matrix at time t-i. Each
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% AR matrix is stored with rows and columns organized by the ordering of the
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% equation tags found in M_.var.(var_model_name).eqtags.
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% oo_.var.(var_model_name).ec contains those entries that are not
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% autoregressive.
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%
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% INPUTS
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%
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@ -75,21 +75,20 @@ end
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assert(length(M_.var.(var_model_name).lhs) == rows(g1));
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% Find RHS vars for AR & EC matrices
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arRhsVars = [];
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ecRhsVars = [];
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lhs = M_.var.(var_model_name).lhs;
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rhsvars = cell(length(lhs), 1);
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for i = 1:length(M_.var.(var_model_name).rhs.vars_at_eq)
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vars = M_.var.(var_model_name).rhs.vars_at_eq{i}.var;
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rhsvars{i}.vars = [];
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rhsvars{i}.lags = [];
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rhsvars{i}.vars = vars;
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rhsvars{i}.lags = M_.var.(var_model_name).rhs.vars_at_eq{i}.lag;
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rhsvars{i}.arRhsIdxs = [];
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rhsvars{i}.ecRhsIdxs = [];
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for j = 1:length(vars)
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if vars(j) <= M_.orig_endo_nbr
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% vars(j) is not an aux var
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if ismember(vars(j), lhs)
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arRhsVars = union(arRhsVars, vars(j), 'stable');
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rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs find(arRhsVars == vars(j))];
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rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs find(lhs == vars(j))];
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rhsvars{i}.ecRhsIdxs = [rhsvars{i}.ecRhsIdxs -1];
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else
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ecRhsVars = union(ecRhsVars, vars(j), 'stable');
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@ -100,8 +99,7 @@ for i = 1:length(M_.var.(var_model_name).rhs.vars_at_eq)
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% Search aux vars for matching lhs var
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lhsvaridx = findLhsInAuxVar(vars(j), lhs);
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if lhsvaridx >= 1
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arRhsVars = union(arRhsVars, lhsvaridx, 'stable');
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rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs find(arRhsVars == lhsvaridx)];
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rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs find(lhs == lhsvaridx)];
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rhsvars{i}.ecRhsIdxs = [rhsvars{i}.ecRhsIdxs -1];
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else
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% otherwise find endog that corresponds to this aux var
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@ -112,18 +110,16 @@ for i = 1:length(M_.var.(var_model_name).rhs.vars_at_eq)
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end
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end
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end
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rhsvars{i}.vars = vars;
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rhsvars{i}.lags = M_.var.(var_model_name).rhs.vars_at_eq{i}.lag;
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end
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% Initialize matrices
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oo_.var.(var_model_name).ar = zeros(length(lhs), length(arRhsVars), M_.var.(var_model_name).max_lag);
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oo_.var.(var_model_name).ar = zeros(length(lhs), length(lhs), M_.var.(var_model_name).max_lag);
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oo_.var.(var_model_name).ec = zeros(length(lhs), length(ecRhsVars), M_.var.(var_model_name).max_lag);
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oo_.var.(var_model_name).ar_idx = arRhsVars;
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oo_.var.(var_model_name).ar_idx = lhs;
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oo_.var.(var_model_name).ec_idx = ecRhsVars;
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% Fill matrices
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for i = 1:length(rhsvars)
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for i = 1:length(lhs)
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for j = 1:length(rhsvars{i}.vars)
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var = rhsvars{i}.vars(j);
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if rhsvars{i}.lags(j) == -1
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@ -134,32 +130,20 @@ for i = 1:length(rhsvars)
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if g1col ~= 0 && any(g1(:, g1col))
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if rhsvars{i}.arRhsIdxs(j) > 0
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% Fill AR
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[lag, ndiffs] = findLagForVar(var, -rhsvars{i}.lags(j), 0, arRhsVars);
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if ndiffs >= 1
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ndiffs = ndiffs - 1;
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end
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for k = 0:ndiffs
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oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag + k) = ...
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oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag + k) + (-1)^k * nchoosek(ndiffs,k) * g1(i, g1col);
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end
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[lag, ndiffs] = findLagForVar(var, -rhsvars{i}.lags(j), 0, lhs);
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oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag) = ...
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oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag) + g1(i, g1col);
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elseif rhsvars{i}.ecRhsIdxs(j) > 0
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% Fill EC
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[lag, ndiffs] = findLagForVar(var, -rhsvars{i}.lags(j), 0, ecRhsVars);
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for k = 0:ndiffs
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oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag + k) = ...
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oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag + k) + (-1)^k * nchoosek(ndiffs,k) * g1(i, g1col);
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end
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oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag) = ...
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oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag) + g1(i, g1col);
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else
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error('Shouldn''t arrive here');
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end
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end
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end
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end
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% Temporary bug fix (ordering of the variables in the VAR model)
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[a,b,c] = intersect(M_.var.toto.lhs, oo_.var.toto.ar_idx, 'stable');
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oo_.var.toto.ar_idx = oo_.var.toto.ar_idx(c);
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oo_.var.toto.ar = oo_.var.toto.ar(:,c,:);
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end
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@ -174,10 +158,18 @@ end
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av = M_.aux_vars([M_.aux_vars.endo_index] == auxVar);
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if ismember(av.orig_index, lhsvars)
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lhsvaridx = av.orig_index;
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if av.type == 8 || av.type == 10
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if ismember(av.endo_index, lhsvars)
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lhsvaridx = av.endo_index;
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else
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lhsvaridx = findLhsInAuxVar(av.orig_index, lhsvars);
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end
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else
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lhsvaridx = findLhsInAuxVar(av.orig_index, lhsvars);
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if ismember(av.orig_index, lhsvars)
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lhsvaridx = av.orig_index;
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else
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lhsvaridx = findLhsInAuxVar(av.orig_index, lhsvars);
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end
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end
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end
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@ -193,15 +185,11 @@ end
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av = M_.aux_vars([M_.aux_vars.endo_index] == auxVar);
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if ~isempty(av.unary_op_handle)
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if av.type == 8 || av.type == 10
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idx = av.endo_index;
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else
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if av.orig_index <= M_.orig_endo_nbr
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if av.type == 10
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idx = av.endo_index;
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else
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idx = av.orig_index;
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end
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idx = av.orig_index;
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else
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idx = findVarNoLag(av.orig_index);
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end
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@ -215,6 +203,7 @@ function [lag, ndiffs] = findLagForVar(auxVar, lag, ndiffs, rhsVars)
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global M_
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if auxVar <= M_.orig_endo_nbr
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assert(lag > 0)
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return
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end
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@ -225,7 +214,7 @@ if av.type == 8
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end
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if ismember(av.endo_index, rhsVars)
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if ~isempty(av.unary_op_handle) && (av.type == 8 || av.type == 9)
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if av.type == 8 || av.type == 9
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lag = lag + abs(av.orig_lead_lag);
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end
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elseif ismember(av.orig_index, rhsVars)
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