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var_forecast: fix bugs

time-shift
Houtan Bastani 2016-11-08 16:32:25 +01:00 committed by Stéphane Adjemian (Charybdis)
parent 173de21aa0
commit c0629b42f0
1 changed files with 13 additions and 8 deletions
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21
matlab/var_forecast.m
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@ -23,14 +23,17 @@ function y = var_forecast(name, h, y, fcv)
% From Matlab backend:
% >> yt = [0.0600; 33.0000; 0.0300; 22.0000];
% >> ytm1 = [0.0550; 11.0000; 0.0300; 88.0000];
% >> var_forecast(M_, 'm1', 1, [yt ytm1])
% >> var_forecast(M_, 'm1', 2, [yt ytm1], ['a'])
% >> var_forecast('m1', 1, [yt ytm1])
% >> var_forecast('m1', 2, [yt ytm1], ['a'])
%%
global M_
%% construct y
assert(length(y) == length(M_.endo_names));
assert( ...
length(y) == length(M_.endo_names) || ... % when called from static model
length(y) == sum(sum(M_.lead_lag_incidence ~= 0)) ... % when called from dynamic model
);
endo_names = cellstr(M_.endo_names);
yidx = zeros(size(endo_names));
for i=1:length(M_.var.(name).var_list_)
@ -38,17 +41,18 @@ for i=1:length(M_.var.(name).var_list_)
end
y = y(yidx,:);
if nargin == 6
if nargin == 4
fvidx = strcmp(fcv, endo_names);
end
%% load .mat file and rewrite as VAR(1)
%% load .mat file
load(name, 'autoregressive_matrices', 'mu');
if ~exist('autoregressive_matrices', 'var') || ~exist('mu', 'var')
error([name ' : must contain the variables autoregressive_matrices and mu']);
end
assert(h >= 1);
%% rewrite as VAR(1)
lm = length(mu);
lc = length(autoregressive_matrices);
assert(lc == M_.var.(name).order);
@ -67,8 +71,9 @@ for i=1:lc
A(lm*i+1:lm*i+lm, col) = eye(lm, lm);
end
end
mu = [mu; zeros(lm,1)];
if M_.var.(name).order > 1
mu = [mu; zeros(lm*M_.var.(name).order-lm, 1)];
end
%% Calculate Forecast
% New Introduction to Multiple Time Series Analysis
@ -86,7 +91,7 @@ for i=1:h
end
y = y(1:lm);
if nargin == 6
if nargin == 4
retidx = find(fvidx & yidx == 1);
if isempty(retidx)
return;