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

Bug fixes for conditional forecast. 

1) apply chol only for non-diagonal covariances
2) fix wrong index for trend.
3) convert internally constrained_vars is in decision rule order.
time-shift
Marco Ratto 2016-09-02 16:18:02 +02:00
parent f0909834c0
commit 5c4f81a26f
1 changed files with 6 additions and 3 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

9
matlab/imcforecast.m
View File

@ -160,8 +160,10 @@ end
if ~isdiagonal(M_.Sigma_e)
warning(sprintf('The innovations are correlated (the covariance matrix has non zero off diagonal elements), the results of the conditional forecasts will\ndepend on the ordering of the innovations (as declared after varexo) because a Cholesky decomposition is used to factorize the covariance matrix.\n\n=> It is preferable to declare the correlations in the model block (explicitly imposing the identification restrictions), unless you are satisfied\nwith the implicit identification restrictions implied by the Cholesky decomposition.'))
sQ = chol(M_.Sigma_e,'lower');
else
sQ = sqrt(M_.Sigma_e);
end
sQ = chol(M_.Sigma_e,'lower');
if ~estimated_model
if isempty(M_.endo_histval)
@ -172,7 +174,6 @@ if ~estimated_model
InitState(:,1) = y0(oo_.dr.order_var)-ys(oo_.dr.order_var,:); %initial state in deviations from steady state
trend = repmat(ys(oo_.dr.order_var,:),1,options_cond_fcst.periods+1); %trend needs to contain correct steady state
end
sQ = sqrt(M_.Sigma_e);
@ -187,6 +188,7 @@ ExoSize = M_.exo_nbr;
n1 = size(constrained_vars,1);
n2 = size(options_cond_fcst.controlled_varexo,1);
constrained_vars(:,1)=oo_.dr.inv_order_var(constrained_vars); % must be in decision rule order
if n1 ~= n2
error(['imcforecast:: The number of constrained variables doesn''t match the number of controlled shocks'])
@ -196,7 +198,8 @@ idx = [];
jdx = [];
for i = 1:n1
idx = [idx ; oo_.dr.inv_order_var(constrained_vars(i,:))];
idx = [idx ; constrained_vars(i,:)];
% idx = [idx ; oo_.dr.inv_order_var(constrained_vars(i,:))];
jdx = [jdx ; strmatch(deblank(options_cond_fcst.controlled_varexo(i,:)),M_.exo_names,'exact')];
end
mv = zeros(n1,NumberOfStates);