function get_ar_ec_matrices(var_model_name) %function get_ar_ec_matrices(var_model_name) % % Returns the autoregressive and error correction matrices associated with the % VAR specified by var_model_name. Output is stored in cellarray % oo_.var.(var_model_name).ar, with oo_.var.(var_model_name).ar{i} being the % AR matrix at time t-i (same holds for error correction matrices with ec % replacing ar). Each AR (EC) matrix is stored with rows organized by the % ordering of the equation tags found in M_.var.(var_model_name).eqtags and % columns organized consistently. % % INPUTS % % var_model_name [string] the name of the VAR model % % OUTPUTS % % NONE % Copyright (C) 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 and initialize output assert(nargin == 1, 'This function requires one argument'); assert(~isempty(var_model_name) && ischar(var_model_name), ... 'The sole argument must be a non-empty string'); if ~isfield(M_.var, var_model_name) error(['Could not find ' var_model_name ' in M_.var. ' ... 'First declare it via the var_model statement.']); end %% Call Dynamic Function [junk, 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_.var.(var_model_name).eqtags); g1rows = zeros(ntags, 1); for i = 1:ntags idxs = strcmp(M_.equations_tags(:, 3), M_.var.(var_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_.var.(var_model_name).eqtags, ',')]); end %% Organize AR & EC matrices assert(length(M_.var.(var_model_name).lhs) == rows(g1)); % Find RHS vars for AR & EC matrices arRhsVars = []; ecRhsVars = []; lhs = M_.var.(var_model_name).lhs; for i = 1:length(M_.var.(var_model_name).rhs.vars_at_eq) vars = M_.var.(var_model_name).rhs.vars_at_eq{i}.var; rhsvars{i}.vars = []; rhsvars{i}.lags = []; rhsvars{i}.arRhsIdxs = []; rhsvars{i}.ecRhsIdxs = []; for j = 1:length(vars) if vars(j) <= M_.orig_endo_nbr % vars(j) is not an aux var if ismember(vars(j), lhs) arRhsVars = union(arRhsVars, vars(j), 'stable'); rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs find(arRhsVars == vars(j))]; rhsvars{i}.ecRhsIdxs = [rhsvars{i}.ecRhsIdxs -1]; else ecRhsVars = union(ecRhsVars, vars(j), 'stable'); rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs -1]; rhsvars{i}.ecRhsIdxs = [rhsvars{i}.ecRhsIdxs find(ecRhsVars == vars(j))]; end else % Search aux vars for matching lhs var lhsvaridx = findLhsInAuxVar(vars(j), lhs); if lhsvaridx >= 1 arRhsVars = union(arRhsVars, lhsvaridx, 'stable'); rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs find(arRhsVars == lhsvaridx)]; rhsvars{i}.ecRhsIdxs = [rhsvars{i}.ecRhsIdxs -1]; else % otherwise find endog that corresponds to this aux var varidx = findVarNoLag(vars(j)); ecRhsVars = union(ecRhsVars, varidx, 'stable'); rhsvars{i}.arRhsIdxs = [rhsvars{i}.arRhsIdxs -1]; rhsvars{i}.ecRhsIdxs = [rhsvars{i}.ecRhsIdxs find(ecRhsVars == varidx)]; end end end rhsvars{i}.vars = vars; rhsvars{i}.lags = M_.var.(var_model_name).rhs.vars_at_eq{i}.lag; end % Initialize matrices oo_.var.(var_model_name).ar = zeros(length(lhs), length(arRhsVars), M_.var.(var_model_name).max_lag); oo_.var.(var_model_name).ec = zeros(length(lhs), length(ecRhsVars), M_.var.(var_model_name).max_lag); oo_.var.(var_model_name).ar_idx = arRhsVars; oo_.var.(var_model_name).ec_idx = ecRhsVars; % Fill matrices for i = 1:length(rhsvars) 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, ndiffs] = findLagForVar(var, -rhsvars{i}.lags(j), 0, arRhsVars); if ndiffs >= 1 ndiffs = ndiffs - 1; end for k = 0:ndiffs oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag + k) = ... oo_.var.(var_model_name).ar(i, rhsvars{i}.arRhsIdxs(j), lag + k) + (-1)^k * nchoosek(ndiffs,k) * g1(i, g1col); end elseif rhsvars{i}.ecRhsIdxs(j) > 0 % Fill EC [lag, ndiffs] = findLagForVar(var, -rhsvars{i}.lags(j), 0, ecRhsVars); for k = 0:ndiffs oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag + k) = ... oo_.var.(var_model_name).ec(i, rhsvars{i}.ecRhsIdxs(j), lag + k) + (-1)^k * nchoosek(ndiffs,k) * g1(i, g1col); end else error('Shouldn''t arrive here'); end end end end % Temporary bug fix (ordering of the variables in the VAR model) [a,b,c] = intersect(M_.var.toto.lhs, oo_.var.toto.ar_idx, 'stable'); oo_.var.toto.ar_idx = oo_.var.toto.ar_idx(c); oo_.var.toto.ar = oo_.var.toto.ar(:,c,:); 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 ismember(av.orig_index, lhsvars) lhsvaridx = av.orig_index; else lhsvaridx = findLhsInAuxVar(av.orig_index, lhsvars); 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 ~isempty(av.unary_op_handle) 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 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 ~isempty(av.unary_op_handle) && (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 + 1, 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 + 1, ndiffs, rhsVars); end end assert(lag > 0) end