Added routine for evaluating the companion matrix of a VAR model.

matlab/get_companion_matrix.m

@@ -0,0 +1,50 @@
+function get_companion_matrix(var_model_name)
+
+% Gets the companion matrix associated with the var specified by
+% var_model_name. Output stored in cellarray oo_.var.(var_model_name).H.
+%
+% INPUTS 
+% - var_model_name   [string]        the name of the VAR model
+%
+% OUTPUTS 
+% - None
+
+% Copyright (C) 2018 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
+
+global oo_
+
+get_ar_matrices(var_model_name);
+
+% Get the number of lags
+p = length(oo_.var.(var_model_name).ar);
+
+% Get the number of variables
+n = length(oo_.var.(var_model_name).ar{1});
+
+% Initialise the companion matrix
+oo_.var.(var_model_name).H = zeros(n*p);
+
+% Fill the companion matrix
+oo_.var.(var_model_name).H(1:n,1:n) = oo_.var.(var_model_name).ar{1};
+
+if p>1
+    for i=2:p
+        oo_.var.(var_model_name).H(1:n,(i-1)*n+(1:n)) = oo_.var.(var_model_name).ar{i};
+        oo_.var.(var_model_name).H((i-1)*n+(1:n),(i-2)*n+(1:n)) = eye(n); 
+    end
+end