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replaced rank() by rcond() in evaluating whether Z22 is full rank in 

checking Blanchard and Kahn conditions with CHECK
time-shift
Michel Juillard 2012-09-10 13:25:31 +02:00
parent 205b455ad7
commit a22d1d415a
3 changed files with 24 additions and 9 deletions
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4
matlab/check.m
View File

@ -86,7 +86,7 @@ end;
n_explod = nnz(abs(eigenvalues_) > options.qz_criterium);
result = 0;
if (nyf== n_explod) && (dr.rank == nyf)
if (nyf== n_explod) && (dr.full_rank)
result = 1;
end
@ -99,7 +99,7 @@ if options.noprint == 0
disp(sprintf('\nThere are %d eigenvalue(s) larger than 1 in modulus ', n_explod));
disp(sprintf('for %d forward-looking variable(s)',nyf));
disp(' ')
if dr.rank == nyf && nyf == n_explod
if result
disp('The rank condition is verified.')
else
disp('The rank conditions ISN''T verified!')

23
matlab/dr_block.m
View File

@ -72,7 +72,7 @@ else
chck = 0;
end;
mexErrCheck('bytecode', chck);
dr.rank = 0;
dr.full_rank = 1;
dr.eigval = [];
dr.nstatic = 0;
dr.nfwrd = 0;
@ -151,7 +151,6 @@ for i = 1:Size;
data(i).rank = 0;
end
dr.eigval = [dr.eigval ; data(i).eigval];
dr.rank = dr.rank + data(i).rank;
%First order approximation
if task ~= 1
[tmp1, tmp2, indx_c] = find(M_.block_structure.block(i).lead_lag_incidence(2,:));
@ -221,12 +220,14 @@ for i = 1:Size;
indx_c = M_.block_structure.block(i).lead_lag_incidence(3,indx_r);
data(i).eigval = 1 ./ diag(jacob(indx_r, indx_c));
data(i).rank = sum(abs(data(i).eigval) > 0);
full_rank = (rcond(jacob(indx_r, indx_c)) > 1e-9);
else
data(i).eigval = [];
data(i).rank = 0;
full_rank = 1;
end
dr.eigval = [dr.eigval ; data(i).eigval];
dr.rank = dr.rank + data(i).rank;
dr.full_rank = dr.full_rank && full_rank;
%First order approximation
if task ~= 1
if (maximum_lag > 0)
@ -310,11 +311,13 @@ for i = 1:Size;
if maximum_lead > 0 && n_fwrd > 0
data(i).eigval = - jacob(1 , n_pred + n - n_fwrd + 1 : n_pred + n) / jacob(1 , n_pred + n + 1 : n_pred + n + n_fwrd) ;
data(i).rank = sum(abs(data(i).eigval) > 0);
full_rank = (abs(jacob(1,n_pred+n+1: n_pred_n+n_fwrd)) > 1e-9);
else
data(i).eigval = [];
data(i).rank = 0;
full_rank = 1;
end;
dr.rank = dr.rank + data(i).rank;
dr.full_rank = dr.full_rank && full_rank;
dr.eigval = [dr.eigval ; data(i).eigval];
case 6
%% ------------------------------------------------------------------
@ -323,11 +326,15 @@ for i = 1:Size;
data(i).eigval = eig(- jacob(: , 1 : n_pred) / ...
jacob(: , (n_pred + n_static + 1 : n_pred + n_static + n_pred )));
data(i).rank = 0;
full_rank = (rcond(jacob(: , (n_pred + n_static + 1 : n_pred ...
+ n_static + n_pred ))) > 1e-9);
else
data(i).eigval = [];
data(i).rank = 0;
full_rank = 1;
end;
dr.eigval = [dr.eigval ; data(i).eigval];
dr.full_rank = dr.full_rank && full_rank;
if task ~= 1
if (maximum_lag > 0)
ghx = - jacob(: , 1 : n_pred) / jacob(: , n_pred + n_static + 1 : n_pred + n_static + n_pred + n_both);
@ -390,11 +397,14 @@ for i = 1:Size;
data(i).eigval = eig(- jacob(: , n_pred + n - n_fwrd + 1: n_pred + n))/ ...
jacob(: , n_pred + n + 1 : n_pred + n + n_fwrd);
data(i).rank = sum(abs(data(i).eigval) > 0);
full_rank = (rcond(jacob(: , n_pred + n + 1 : n_pred + n + ...
n_fwrd)) > 1e-9);
else
data(i).eigval = [];
data(i).rank = 0;
full_rank = 1;
end;
dr.rank = dr.rank + data(i).rank;
dr.full_rank = dr.full_rank && full_rank;
dr.eigval = [dr.eigval ; data(i).eigval];
case {5,8}
%% ------------------------------------------------------------------
@ -450,7 +460,8 @@ for i = 1:Size;
nba = nd-sdim;
if task == 1
data(i).rank = rank(w(nd-nyf+1:end,nd-nyf+1:end));
dr.rank = dr.rank + data(i).rank;
dr.full_rank = dr.full_rank && (rcond(w(nd-nyf+1:end,nd- ...
nyf+1:end)) > 1e-9);
if ~exist('OCTAVE_VERSION','builtin')
data(i).eigval = eig(E,D);
end

6
matlab/dyn_first_order_solver.m
View File

@ -233,7 +233,11 @@ else
nba = nd-sdim;
if task == 1
dr.rank = rank(w(npred+nboth+1:end,npred+nboth+1:end));
if rcond(w(npred+nboth+1:end,npred+nboth+1:end)) < 1e-9
dr.full_rank = 0;
else
dr.full_rank = 1;
end
% Under Octave, eig(A,B) doesn't exist, and
% lambda = qz(A,B) won't return infinite eigenvalues
if ~exist('OCTAVE_VERSION')