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v4: correcting bug related to nonstationary variables 

git-svn-id: https://www.dynare.org/svn/dynare/trunk@2850 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2009-07-21 11:52:35 +00:00
parent 486b0d333d
commit f5920bbc34
2 changed files with 7 additions and 3 deletions
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3
matlab/disp_th_moments.m
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@ -38,7 +38,8 @@ function disp_th_moments(dr,var_list)
[oo_.gamma_y,stationary_vars] = th_autocovariances(dr,ivar,M_,options_);
m = dr.ys(ivar);
non_stationary_vars = setdiff(1:length(ivar),stationary_vars);
m(ivar(non_stationary_vars)) = NaN;
ivar1 = intersect(non_stationary_vars,ivar);
m(ivar1) = NaN;
i1 = find(abs(diag(oo_.gamma_y{1})) > 1e-12);

7
matlab/get_variance_of_endogenous_variables.m
View File

@ -33,6 +33,8 @@ function [vx1,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ options_
endo_nbr = M_.endo_nbr;
Sigma_e = M_.Sigma_e;
@ -48,6 +50,7 @@ function [vx1,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
[vx,u] = lyapunov_symm(A,B*Sigma_e*B',options_.qz_criterium,options_.lyapunov_complex_threshold);
if size(u,2) > 0
i_stat_0 = find(any(abs(A*u) < options_.Schur_vec_tol,2));
i_stat = find(any(abs(ghx*u) < options_.Schur_vec_tol,2));
ghx = ghx(i_stat,:);
@ -57,5 +60,5 @@ function [vx1,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
end
vx1 = Inf*ones(n,n);
vx1(i_stat,i_stat) = ghx*vx*ghx'+ghu*Sigma_e*ghu';
vx1(i_stat,i_stat) = ghx(:,i_stat_0)*vx(i_stat_0,i_stat_0)*ghx(:,i_stat_0)'+ghu*Sigma_e*ghu';