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v4.1: added trends to imcforecast 

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3024 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2009-10-06 14:41:56 +00:00
parent add652918e
commit fb7ae67d09
1 changed files with 11 additions and 2 deletions
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13
matlab/imcforecast.m
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@ -39,6 +39,15 @@ set_parameters(xparam);
[atT,innov,measurement_error,filtered_state_vector,ys,trend_coeff] = DsgeSmoother(xparam,gend,data,[],0);
trend = repmat(ys,1,H+1);
for i=1:M_.endo_nbr
j = strmatch(deblank(M_.endo_names(i,:)),options_.varobs,'exact');
if ~isempty(j)
trend(i,:) = trend(i,:)+trend_coeff(j)*(gend+(0:H));
end
end
trend = trend(oo_.dr.order_var,:);
InitState(:,1) = atT(:,end);
[T,R,ys,info] = dynare_resolve;
@ -89,7 +98,7 @@ randn('state',0);
for b=1:B
shocks = sQ*randn(ExoSize,H);
shocks(jdx,:) = zeros(length(jdx),H);
FORCS1(:,:,b) = mcforecast3(cL,H,mcValue,shocks,FORCS1(:,:,b),T,R,mv, mu)+repmat(ys(oo_.dr.order_var),1,H+1);
FORCS1(:,:,b) = mcforecast3(cL,H,mcValue,shocks,FORCS1(:,:,b),T,R,mv, mu)+trend;
end
mFORCS1 = mean(FORCS1,3);
@ -120,7 +129,7 @@ randn('state',0);
for b=1:B
shocks = sQ*randn(ExoSize,H);
shocks(jdx,:) = zeros(length(jdx),H);
FORCS2(:,:,b) = mcforecast3(0,H,mcValue,shocks,FORCS2(:,:,b),T,R,mv, mu)+repmat(ys(oo_.dr.order_var),1,H+1);
FORCS2(:,:,b) = mcforecast3(0,H,mcValue,shocks,FORCS2(:,:,b),T,R,mv, mu)+trend;
end
mFORCS2 = mean(FORCS2,3);