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The theoretical autocovariances can be computed with block option

time-shift
Ferhat Mihoubi 2011-08-07 10:46:35 +02:00
parent 567ef44f6d
commit b4b2f21695
1 changed files with 28 additions and 22 deletions
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50
matlab/th_autocovariances.m
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@ -63,30 +63,36 @@ ghx = dr.ghx;
ghu = dr.ghu;
npred = dr.npred;
nstatic = dr.nstatic;
kstate = dr.kstate;
order_var = dr.order_var;
inv_order_var = dr.inv_order_var;
nx = size(ghx,2);
ikx = [nstatic+1:nstatic+npred];
k0 = kstate(find(kstate(:,2) <= M_.maximum_lag+1),:);
i0 = find(k0(:,2) == M_.maximum_lag+1);
i00 = i0;
n0 = length(i0);
AS = ghx(:,i0);
ghu1 = zeros(nx,M_.exo_nbr);
ghu1(i0,:) = ghu(ikx,:);
for i=M_.maximum_lag:-1:2
i1 = find(k0(:,2) == i);
n1 = size(i1,1);
j1 = zeros(n1,1);
for k1 = 1:n1
j1(k1) = find(k0(i00,1)==k0(i1(k1),1));
if options_.block == 0
%order_var = dr.order_var;
inv_order_var = dr.inv_order_var;
kstate = dr.kstate;
ikx = [nstatic+1:nstatic+npred];
k0 = kstate(find(kstate(:,2) <= M_.maximum_lag+1),:);
i0 = find(k0(:,2) == M_.maximum_lag+1);
i00 = i0;
n0 = length(i0);
AS = ghx(:,i0);
ghu1 = zeros(nx,M_.exo_nbr);
ghu1(i0,:) = ghu(ikx,:);
for i=M_.maximum_lag:-1:2
i1 = find(k0(:,2) == i);
n1 = size(i1,1);
j1 = zeros(n1,1);
for k1 = 1:n1
j1(k1) = find(k0(i00,1)==k0(i1(k1),1));
end
AS(:,j1) = AS(:,j1)+ghx(:,i1);
i0 = i1;
end
AS(:,j1) = AS(:,j1)+ghx(:,i1);
i0 = i1;
end
else
ghu1 = zeros(nx,M_.exo_nbr);
trend = 1:M_.endo_nbr;
inv_order_var = trend(M_.block_structure.variable_reordered);
ghu1(1:length(dr.state_var),:) = ghu(dr.state_var,:);
end;
b = ghu1*M_.Sigma_e*ghu1';