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Add description for conditional_forecasts

time-shift
Johannes Pfeifer 2014-03-05 15:46:00 +01:00 committed by Stéphane Adjemian (Scylla)
parent 8d2b79a224
commit b9aa971d73
1 changed files with 33 additions and 2 deletions
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35
matlab/mcforecast3.m
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@ -1,6 +1,37 @@
function forcs = mcforecast3(cL,H,mcValue,shocks,forcs,T,R,mv,mu)
% Copyright (C) 2006-2008 Dynare Team
% forcs = mcforecast3(cL,H,mcValue,shocks,forcs,T,R,mv,mu)
% Computes the shock values for constrained forecasts necessary to keep
% endogenous variables at their constrained paths
%
% INPUTS
% o cL [scalar] number of controlled periods
% o H [scalar] number of forecast periods
% o mcValue [n_controlled_vars by cL double] paths for constrained variables
% o shocks [nexo by H double] shock values draws (with zeros for controlled_varexo)
% o forcs
% o T [n_endovars by n_endovars double] transition matrix of the state equation.
% o R [n_endovars by n_exo double] matrix relating the endogenous variables to the innovations in the state equation.
% o mv [n_controlled_exo by n_endovars boolean] indicator vector selecting constrained endogenous variables
% o mu [n_controlled_vars by nexo boolean] indicator vector
% selecting controlled exogenous variables
%
% Algorithm:
% Relies on state-space form:
% y_t=T*y_{t-1}+R*shocks(:,t)
% Shocks are split up into shocks_uncontrolled and shockscontrolled while
% the endogenous variables are also split up into controlled and
% uncontrolled ones to get:
% y_t(controlled_vars_index)=T*y_{t-1}(controlled_vars_index)+R(controlled_vars_index,uncontrolled_shocks_index)*shocks_uncontrolled_t
% + R(controlled_vars_index,controlled_shocks_index)*shocks_controlled_t
%
% This is then solved to get:
% shocks_controlled_t=(y_t(controlled_vars_index)-(T*y_{t-1}(controlled_vars_index)+R(controlled_vars_index,uncontrolled_shocks_index)*shocks_uncontrolled_t)/R(controlled_vars_index,controlled_shocks_index)
%
% After obtaining the shocks, and for uncontrolled periods, the state-space representation
% y_t=T*y_{t-1}+R*shocks(:,t)
% is used for forecasting
%
% Copyright (C) 2006-2013 Dynare Team
%
% This file is part of Dynare.
%