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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1627 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
assia 2008-01-21 11:41:26 +00:00
parent 38b6fa0bac
commit 8dc0bce11a
1 changed files with 20 additions and 4 deletions
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24
matlab/kalman_transition_matrix.m
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% makes transition matrices out of ghx and ghu for Kalman filter
% still needs to eliminate unobserved static variables
% order of variables s p b f p_1
function [A,B] = kalman_transition_matrix(dr,iv,ic,aux)
% function [A,B] = kalman_transition_matrix(dr,iv,ic,aux)
% makes transition matrices out of ghx and ghu for Kalman filter
%
% INPUTS
% dr: structure of decisions rules for stochastic simulations
% iv: integrated variables
% ic: state variables position in the transition matrix columns
% aux: auxiliary variables
%
% OUTPUTS
% A: matrix of predetermined variables effects in linear solution (ghx)
% B: matrix of shocks effects in linear solution (ghu)
%
% SPECIAL REQUIREMENTS
% none
%
% part of DYNARE, copyright Dynare Team (2003-2008)
% Gnu Public License.
global M_
n_iv = length(iv);