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Fix bug when unit root models provide NaN's or Inf's in g_omega

time-shift
Marco Ratto 2014-01-30 10:38:46 +01:00
parent 4c4cfd441c
commit b33da9a40d
1 changed files with 28 additions and 16 deletions
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44
matlab/th_autocovariances.m
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@ -202,11 +202,15 @@ else% ==> Theoretical HP filter.
IA = eye(size(A,1));
IE = eye(M_.exo_nbr);
for ig = 1:ngrid
f_omega =(1/(2*pi))*( [inv(IA-A*tneg(ig))*ghu1;IE]...
*M_.Sigma_e*[ghu1'*inv(IA-A'*tpos(ig)) ...
IE]); % state variables
g_omega = [aa*tneg(ig) bb]*f_omega*[aa'*tpos(ig); bb']; % selected variables
f_hp = hp1(ig)^2*g_omega; % spectral density of selected filtered series
if hp1(ig)==0,
f_hp = zeros(length(ivar),length(ivar));
else
f_omega =(1/(2*pi))*( [inv(IA-A*tneg(ig))*ghu1;IE]...
*M_.Sigma_e*[ghu1'*inv(IA-A'*tpos(ig)) ...
IE]); % state variables
g_omega = [aa*tneg(ig) bb]*f_omega*[aa'*tpos(ig); bb']; % selected variables
f_hp = hp1(ig)^2*g_omega; % spectral density of selected filtered series
end
mathp_col = [mathp_col ; (f_hp(:))']; % store as matrix row
% for ifft
end;
@ -233,11 +237,15 @@ else% ==> Theoretical HP filter.
IA = eye(size(A,1));
IE = eye(M_.exo_nbr);
for ig = 1:ngrid
f_omega =(1/(2*pi))*( [inv(IA-A*tneg(ig))*b1;IE]...
*SS*[b1'*inv(IA-A'*tpos(ig)) ...
IE]); % state variables
g_omega = [aa*tneg(ig) b2]*f_omega*[aa'*tpos(ig); b2']; % selected variables
f_hp = hp1(ig)^2*g_omega; % spectral density of selected filtered series
if hp1(ig)==0,
f_hp = zeros(length(ivar),length(ivar));
else
f_omega =(1/(2*pi))*( [inv(IA-A*tneg(ig))*b1;IE]...
*SS*[b1'*inv(IA-A'*tpos(ig)) ...
IE]); % state variables
g_omega = [aa*tneg(ig) b2]*f_omega*[aa'*tpos(ig); b2']; % selected variables
f_hp = hp1(ig)^2*g_omega; % spectral density of selected filtered series
end
mathp_col = [mathp_col ; (f_hp(:))']; % store as matrix row
% for ifft
end;
@ -247,13 +255,17 @@ else% ==> Theoretical HP filter.
mathp_col = [];
SSi = cs(:,i)*cs(:,i)';
for ig = 1:ngrid
f_omega =(1/(2*pi))*( [inv(IA-A*tneg(ig))*b1;IE]...
*SSi*[b1'*inv(IA-A'*tpos(ig)) ...
IE]); % state variables
g_omega = [aa*tneg(ig) b2]*f_omega*[aa'*tpos(ig); b2']; % selected variables
f_hp = hp1(ig)^2*g_omega; % spectral density of selected filtered series
if hp1(ig)==0,
f_hp = zeros(length(ivar),length(ivar));
else
f_omega =(1/(2*pi))*( [inv(IA-A*tneg(ig))*b1;IE]...
*SSi*[b1'*inv(IA-A'*tpos(ig)) ...
IE]); % state variables
g_omega = [aa*tneg(ig) b2]*f_omega*[aa'*tpos(ig); b2']; % selected variables
f_hp = hp1(ig)^2*g_omega; % spectral density of selected filtered series
end
mathp_col = [mathp_col ; (f_hp(:))']; % store as matrix row
% for ifft
% for ifft
end;
imathp_col = real(ifft(mathp_col))*(2*pi);
Gamma_y{nar+2}(:,i) = abs(diag(reshape(imathp_col(1,:),nvar,nvar)))./vv;