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replaced transtion_matrix.m by kalman_transition_matrix.m

time-shift
Michel Juillard 2016-04-16 17:19:20 +02:00
parent 4b7779d8ad
commit e8c430a923
4 changed files with 6 additions and 69 deletions
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4
matlab/AIM_first_order_solver.m
View File

@ -77,8 +77,10 @@ function [dr,info]=AIM_first_order_solver(jacobia,M,dr,qz_criterium)
info(2) = 1.0e+8;
return
end
[A,B] =transition_matrix(dr);
A = kalman_transition_matrix(dr,M.nstatic+(1:M.nspred), 1:M.nspred,...
M.exo_nbr);
dr.eigval = eig(A);
disp(dr.eigval)
nd = size(dr.kstate,1);
nba = nd-sum( abs(dr.eigval) < qz_criterium );

6
matlab/kalman_transition_matrix.m
View File

@ -36,11 +36,9 @@ n_iv = length(iv);
A = zeros(n_iv,n_iv);
i_n_iv = 1:n_iv;
A(i_n_iv,ic) = dr.ghx(iv,:);
A(:,ic) = dr.ghx(iv,:);
if nargout>1
B = zeros(n_iv,exo_nbr);
B(i_n_iv,:) = dr.ghu(iv,:);
B = dr.ghu(iv,:);
end

2
matlab/stochastic_solvers.m
View File

@ -210,7 +210,7 @@ if M_.maximum_endo_lead == 0
if M_.exo_nbr
dr.ghu = -b\jacobia_(:,nz+1:end);
end
dr.eigval = eig(transition_matrix(dr));
dr.eigval = eig(kalman_transition_matrix(dr,nstatic+(1:nspred),1:nspred,M_.exo_nbr));
dr.full_rank = 1;
if any(abs(dr.eigval) > options_.qz_criterium)
temp = sort(abs(dr.eigval));

63
matlab/transition_matrix.m
View File

@ -1,63 +0,0 @@
function [A,B] = transition_matrix(dr, varargin)
% function [A,B] = transition_matrix(dr, varargin)
% Makes transition matrices out of ghx and ghu
%
% INPUTS
% dr: structure of decision rules for stochastic simulations
% varargin: {1}: M_
%
% OUTPUTS
% A: matrix of effects of predetermined variables in linear solution (ghx)
% B: matrix of effects of shocks in linear solution (ghu)
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2003-2012 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/>.
if(length(varargin)<=0)
global M_
else
M_=varargin{1};
end;
exo_nbr = M_.exo_nbr;
ykmin_ = M_.maximum_endo_lag;
nx = size(dr.ghx,2);
kstate = dr.kstate;
ikx = [M_.nstatic+1:M_.nstatic+M_.nspred];
A = zeros(nx,nx);
k0 = kstate(find(kstate(:,2) <= ykmin_+1),:);
i0 = find(k0(:,2) == ykmin_+1);
A(i0,:) = dr.ghx(ikx,:);
B = zeros(nx,exo_nbr);
if(isfield(dr,'ghu'))
B(i0,:) = dr.ghu(ikx,:);
end;
for i=ykmin_:-1:2
i1 = find(k0(:,2) == i);
n1 = size(i1,1);
j = zeros(n1,1);
for j1 = 1:n1
j(j1) = find(k0(i0,1)==k0(i1(j1),1));
end
A(i1,i0(j))=eye(n1);
i0 = i1;
end