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Remove globals from forcst.m

time-shift
Johannes Pfeifer 2016-06-18 14:30:04 +02:00 committed by Stéphane Adjemian (Hermes)
parent 424050f380
commit 84ab37fd7a
2 changed files with 12 additions and 8 deletions
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2
matlab/dyn_forecast.m
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@ -127,7 +127,7 @@ switch task
end
if M.exo_det_nbr == 0
[yf,int_width] = forcst(oo.dr,y0,horizon,var_list);
[yf,int_width] = forcst(oo.dr,y0,horizon,var_list,M,oo,options);
else
exo_det_length = size(oo.exo_det_simul,1)-M.maximum_lag;
if horizon > exo_det_length

18
matlab/forcst.m
View File

@ -1,5 +1,5 @@
function [yf,int_width]=forcst(dr,y0,horizon,var_list)
% function [yf,int_width]=forecst(dr,y0,horizon,var_list)
function [yf,int_width]=forcst(dr,y0,horizon,var_list,M_,oo_,options_)
% function [yf,int_width]=forecst(dr,y0,horizon,var_list,M_,oo_,options_)
% computes mean forecast for a given value of the parameters
% computes also confidence band for the forecast
%
@ -8,7 +8,10 @@ function [yf,int_width]=forcst(dr,y0,horizon,var_list)
% y0: initial values
% horizon: nbr of periods to forecast
% var_list: list of variables (character matrix)
%
% M_: Dynare model structure
% options_: Dynare options structure
% oo_: Dynare results structure
% OUTPUTS:
% yf: mean forecast
% int_width: distance between upper bound and
@ -34,8 +37,6 @@ function [yf,int_width]=forcst(dr,y0,horizon,var_list)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ oo_ options_
oo_=make_ex_(M_,options_,oo_);
yf = simult_(y0,dr,zeros(horizon,M_.exo_nbr),1);
nstatic = M_.nstatic;
@ -63,17 +64,20 @@ end
ghx1 = dr.ghx(inv_order_var(ivar),:);
ghu1 = dr.ghu(inv_order_var(ivar),:);
sigma_u = B*M_.Sigma_e*B';
%initialize recursion
sigma_u = B*M_.Sigma_e*B';
sigma_u1 = ghu1*M_.Sigma_e*ghu1';
sigma_y = 0;
sigma_y = 0; %no uncertainty about the states
var_yf=NaN(horizon,nvar); %initialize
for i=1:horizon
%map uncertainty about states into uncertainty about observables
sigma_y1 = ghx1*sigma_y*ghx1'+sigma_u1;
var_yf(i,:) = diag(sigma_y1)';
if i == horizon
break
end
%update uncertainty about states
sigma_u = A*sigma_u*A';
sigma_y = sigma_y+sigma_u;
end