function B = get_innovation_contemporaneous_impact(type,info) % function F = get_innovation_contemporaneous_impact('type') % The approximated reduced form model is % % Y^*_t = Z Y_t [Measure] % Y_t = A*Y_{t-1} + B*E_t [State] % % where Z is an p*m selection matrix (p<=m), Y^* is the p*1 vector of % observable endogenous variables, Y is an m*1 vector of endogeneous % variables, A is an m*m matrix, B is an m*r matrix (r<=m) and E an r*1 % vector of structural innovations. % % The contemporaneous is return impact (on the observables) of an innovation is % given by F = Z*B. Matrix F is returned by this function. % % INPUTS % o type [string] "mode","mean" % o info [integer] if equal to 1, matrix B is saved in a mat file. % % OUTPUTS % o F (F is also saved in a file) % % SPECIAL REQUIREMENTS % This function needs to be run after the estimation of a model. % Copyright (C) 2006-2008 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 oo_ M_ bayestopt_ options_ if nargin == 0 type = 'mode'; end if nargin == 1 info = 0; end get_posterior_parameters(type); [dr,info,M_,options_,oo_]=dr1(oo_.dr,0,M_,options_,oo_); B(dr.order_var,M_.exo_names_orig_ord) = dr.ghu*sqrt(M_.Sigma_e); B = B(bayestopt_.mfys,:); save([M_.fname '_InnovImpact.mat'],'B');