function get_ar_ec_matrices(model_name, model_type) %function get_ar_ec_matrices(model_name, model_type) % % Returns the autoregressive matrix associated with the auxiliary model specified by % model_name. Output is stored in cellarray oo_.(model_type).(model_name).ar, % with oo_.(model_type).(model_name).ar(:,:,i) being the AR matrix at time t-i. Each % AR matrix is stored with rows and columns organized by the ordering of the % equation tags found in M_.(model_type).(model_name).eqtags. % oo_.(model_type).(model_name).ec contains those entries that are not % autoregressive. % % INPUTS % % model_name [string] the name of the auxiliary model % model_type [string] the type of the auxiliary model ('var' or % 'trend_component'. If not passed, the % value is set by the function; if a 'var' % subfield is found, that is used. Otherwise % 'trend_component' is used (if it exists as % a subfield of M_. % % OUTPUTS % % NONE % Copyright © 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 . global M_ oo_ %% Check inputs assert(nargin <= 2, 'This function requires one or two arguments'); assert(~isempty(model_name) && ischar(model_name), ... 'The first argument must be a non-empty string'); if nargin < 2 model_type = 'var'; if ~(isfield(M_, model_type) && isfield(M_.(model_type), model_name)) model_type = 'trend_component'; if ~(isfield(M_, model_type) && isfield(M_.(model_type), model_name)) error(['Could not find ' model_name ' in M_.var or ' ... 'M_.trend_component. First declare it via the var_model ' ... 'or trend_component_model statement.']); end end else assert(~isempty(model_type) && ischar(model_type), ... 'If provided, the second argument must be a non-empty string'); if ~(isfield(M_, model_type) && isfield(M_.(model_type), model_name)) error(['Could not find M_.' model_type '.' model_name ... '. First declare it via the var_model or ' ... 'trend_component_model statement.']); end end %% Call Dynamic Function [~, g1] = feval([M_.fname '.dynamic'], ... ones(max(max(M_.lead_lag_incidence)), 1), ... ones(1, M_.exo_nbr), ... M_.params, ... zeros(M_.endo_nbr, 1), ... 1); % Choose rows of Jacobian based on equation tags ntags = length(M_.(model_type).(model_name).eqtags); g1rows = zeros(ntags, 1); for i = 1:ntags idxs = strcmp(M_.equations_tags(:, 3), M_.(model_type).(model_name).eqtags{i}); if any(idxs) g1rows(i) = M_.equations_tags{idxs, 1}; end end g1 = -1 * g1(g1rows, :); % Check for leads if rows(M_.lead_lag_incidence) == 3 idxs = M_.lead_lag_incidence(3, M_.lead_lag_incidence(3, :) ~= 0); assert(~any(any(g1(g1rows, idxs))), ... ['You cannot have leads in the equations specified by ' strjoin(M_.(model_type).(model_name).eqtags, ',')]); end %% Organize AR & EC matrices assert(length(M_.(model_type).(model_name).lhs) == rows(g1)); % Find RHS vars for AR & EC matrices ecRhsVars = []; lhs = M_.(model_type).(model_name).lhs; rhsvars = cell(length(lhs), 1); for i = 1:length(M_.(model_type).(model_name).rhs.vars_at_eq) vars = M_.(model_type).(model_name).rhs.vars_at_eq{i}.var; rhsvars{i}.vars = vars; rhsvars{i}.lags = M_.(model_type).(model_name).rhs.vars_at_eq{i}.lag; rhsvars{i}.arRhsIdxs = []; rhsvars{i}.ecRhsIdxs = []; rhsvars{i}.ecRhsVars = []; for j = 1:length(vars) if vars(j) <= M_.orig_endo_nbr % vars(j) is not an aux var if ismember(vars(j), lhs) rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs find(lhs == vars(j))]; rhsvars{i}.ecRhsIdxs = [rhsvars{i}.ecRhsIdxs -1]; rhsvars{i}.ecRhsVars = [rhsvars{i}.ecRhsVars -1]; else ecRhsVars = union(ecRhsVars, vars(j)); rhsvars{i}.ecRhsVars = [rhsvars{i}.ecRhsVars vars(j)]; rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs -1]; rhsvars{i}.ecRhsIdxs = [rhsvars{i}.ecRhsIdxs find(rhsvars{i}.ecRhsVars == vars(j))]; end else % Search aux vars for matching lhs var lhsvaridx = findLhsInAuxVar(vars(j), lhs); if lhsvaridx >= 1 rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs find(lhs == lhsvaridx)]; rhsvars{i}.ecRhsIdxs = [rhsvars{i}.ecRhsIdxs -1]; rhsvars{i}.ecRhsVars = [rhsvars{i}.ecRhsVars -1]; else % otherwise find endog that corresponds to this aux var varidx = findVarNoLag(vars(j)); ecRhsVars = union(ecRhsVars, varidx); rhsvars{i}.ecRhsVars = [rhsvars{i}.ecRhsVars varidx]; rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs -1]; rhsvars{i}.ecRhsIdxs = [rhsvars{i}.ecRhsIdxs find(rhsvars{i}.ecRhsVars == varidx)]; end end end end [rhsvars, ecRhsVars] = reorderECvars(rhsvars, ecRhsVars, lhs); % Initialize matrices oo_.(model_type).(model_name).ar = zeros(length(lhs), length(lhs), max(M_.(model_type).(model_name).max_lag)); oo_.(model_type).(model_name).ec = zeros(length(lhs), length(ecRhsVars), 1); oo_.(model_type).(model_name).ar_idx = lhs; oo_.(model_type).(model_name).ec_idx = ecRhsVars; % Fill matrices for i = 1:length(lhs) for j = 1:length(rhsvars{i}.vars) var = rhsvars{i}.vars(j); if rhsvars{i}.lags(j) == -1 g1col = M_.lead_lag_incidence(1, var); else g1col = M_.lead_lag_incidence(2, var); end if g1col ~= 0 && any(g1(:, g1col)) if rhsvars{i}.arRhsIdxs(j) > 0 % Fill AR lag = findLagForVar(var, -rhsvars{i}.lags(j), 0, lhs); oo_.(model_type).(model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag) = ... oo_.(model_type).(model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag) + g1(i, g1col); elseif rhsvars{i}.ecRhsIdxs(j) > 0 % Fill EC lag = findLagForVar(var, -rhsvars{i}.lags(j), 0, ecRhsVars); if lag==1 if size(oo_.(model_type).(model_name).ec, 3) < lag oo_.(model_type).(model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag) = 0; end oo_.(model_type).(model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag) = ... oo_.(model_type).(model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag) + g1(i, g1col); end else error('Shouldn''t arrive here'); end end end end end function [rhsvars, ecRhsVarsReordered] = reorderECvars(rhsvars, ecRhsVars, lhs) global M_ ecRhsVarsReordered = []; for i = 1:length(lhs) av = M_.aux_vars([M_.aux_vars.endo_index] == lhs(i)); if ~isempty(av) var = ecRhsVars(ecRhsVars == av.orig_index); if ~isempty(var) ecRhsVarsReordered = [ecRhsVarsReordered var]; for j = 1:length(rhsvars) rhsidx = find(rhsvars{j}.ecRhsVars == var); if ~isempty(rhsidx) rhsvars{j}.ecRhsIdxs(rhsidx) = length(ecRhsVarsReordered); end end end end end end function lhsvaridx = findLhsInAuxVar(auxVar, lhsvars) global M_ if auxVar <= M_.orig_endo_nbr lhsvaridx = -1; return end av = M_.aux_vars([M_.aux_vars.endo_index] == auxVar); if av.type == 8 || av.type == 10 if ismember(av.endo_index, lhsvars) lhsvaridx = av.endo_index; else lhsvaridx = findLhsInAuxVar(av.orig_index, lhsvars); end else if ismember(av.orig_index, lhsvars) lhsvaridx = av.orig_index; else lhsvaridx = findLhsInAuxVar(av.orig_index, lhsvars); end end end function idx = findVarNoLag(auxVar) global M_ if auxVar <= M_.orig_endo_nbr error('Shouldn''t arrive here') end av = M_.aux_vars([M_.aux_vars.endo_index] == auxVar); if av.type == 8 || av.type == 10 idx = av.endo_index; else if av.orig_index <= M_.orig_endo_nbr idx = av.orig_index; else idx = findVarNoLag(av.orig_index); end end end function [lag, ndiffs] = findLagForVar(auxVar, lag, ndiffs, rhsVars) global M_ if auxVar <= M_.orig_endo_nbr assert(lag > 0) return end av = M_.aux_vars([M_.aux_vars.endo_index] == auxVar); if av.type == 8 ndiffs = ndiffs + 1; end if ismember(av.endo_index, rhsVars) if av.type == 8 || av.type == 9 lag = lag + abs(av.orig_lead_lag); end elseif ismember(av.orig_index, rhsVars) if av.orig_index <= M_.orig_endo_nbr lag = lag + abs(av.orig_lead_lag); else [lag, ndiffs] = findLagForVar(av.orig_index, lag + max(1, abs(av.orig_lead_lag)), ndiffs, rhsVars); end else if av.type == 8 [lag, ndiffs] = findLagForVar(av.orig_index, lag, ndiffs, rhsVars); else [lag, ndiffs] = findLagForVar(av.orig_index, lag + max(1, abs(av.orig_lead_lag)), ndiffs, rhsVars); end end assert(lag > 0) end