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Added companion matrix corresponding to the VECM in levels.

time-shift
Stéphane Adjemian(Charybdis) 2018-04-26 16:42:04 +02:00
parent e8829eab8e
commit d6a20af5f3
2 changed files with 49 additions and 12 deletions
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39
matlab/get_companion_matrix.m
View File

@ -3,10 +3,10 @@ function get_companion_matrix(var_model_name)
% Gets the companion matrix associated with the var specified by
% var_model_name. Output stored in cellarray oo_.var.(var_model_name).H.
%
% INPUTS
% INPUTS
% - var_model_name [string] the name of the VAR model
%
% OUTPUTS
% OUTPUTS
% - None
% Copyright (C) 2018 Dynare Team
@ -36,15 +36,30 @@ p = length(oo_.var.(var_model_name).AutoregressiveMatrices);
% Get the number of variables
n = length(oo_.var.(var_model_name).AutoregressiveMatrices{1});
% Initialise the companion matrix
oo_.var.(var_model_name).CompanionMatrix = zeros(n*p);
% Fill the companion matrix
oo_.var.(var_model_name).CompanionMatrix(1:n,1:n) = oo_.var.(var_model_name).AutoregressiveMatrices{1};
if p>1
for i=2:p
oo_.var.(var_model_name).CompanionMatrix(1:n,(i-1)*n+(1:n)) = oo_.var.(var_model_name).AutoregressiveMatrices{i};
oo_.var.(var_model_name).CompanionMatrix((i-1)*n+(1:n),(i-2)*n+(1:n)) = eye(n);
if all(cellfun(@iszero, oo_.var.(var_model_name).ecm))
% Build the companion matrix (standard VAR)
oo_.var.(var_model_name).CompanionMatrix = zeros(n*p);
oo_.var.(var_model_name).CompanionMatrix(1:n,1:n) = oo_.var.(var_model_name).AutoregressiveMatrices{1};
if p>1
for i=2:p
oo_.var.(var_model_name).CompanionMatrix(1:n,(i-1)*n+(1:n)) = oo_.var.(var_model_name).AutoregressiveMatrices{i};
oo_.var.(var_model_name).CompanionMatrix((i-1)*n+(1:n),(i-2)*n+(1:n)) = eye(n);
end
end
else
B = zeros(n,n,p+1);
idx = oo_.var.(var_model_name).ecm_idx;
B(:,:,1) = oo_.var.(var_model_name).AutoregressiveMatrices{1};
B(idx, idx, 1) = B(idx,idx, 1) + eye(length(idx));
for i=2:p
B(idx,idx,i) = oo_.var.(var_model_name).AutoregressiveMatrices{i}(idx,idx)-oo_.var.(var_model_name).AutoregressiveMatrices{i-1}(idx,idx);
end
B(idx,idx,p+1) = -oo_.var.(var_model_name).AutoregressiveMatrices{p}(idx,idx)
% Build the companion matrix (VECM, rewrite in levels)
oo_.var.(var_model_name).CompanionMatrix = zeros(n*(p+1));
for i=1:p
oo_.var.(var_model_name).CompanionMatrix(1:n, (i-1)*n+(1:n)) = B(:,:,1);
oo_.var.(var_model_name).CompanionMatrix(i*n+(1:n),(i-1)*n+(1:n)) = eye(n);
end
oo_.var.(var_model_name).CompanionMatrix(1:n, p*n+(1:n)) = B(:,:,p+1);
end

22
matlab/iszero.m Normal file
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@ -0,0 +1,22 @@
function b = iszero(A)
% Returns true iff all the elements of array A are 0.
% Copyright (C) 2018 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
b = all(~A(:));