function [A0, AR, B] = get_companion_matrix_legacy(auxiliary_model_name, auxiliary_model_type) % Gets the companion VAR representation of a PAC auxiliary model. % Depending on the nature of this auxiliary model the output is % saved in oo_.{var,trend_component}.(auxiliary_model_name).CompanionMatrix % % INPUTS % - auxiliary_model_name [string] the name of the auxiliary model % - auxiliary_model_type [string] the type of the auxiliary model % ('var' or 'trend_component') % % 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 oo_ M_ if nargin<2 if isfield(M_, 'var') && isfield(M_.var, auxiliary_model_name) auxiliary_model_type = 'var'; elseif isfield(M_, 'trend_component') && isfield(M_.trend_component, auxiliary_model_name) auxiliary_model_type = 'trend_component'; else error('Unknown type of auxiliary model.') end end if nargout A0 = []; AR = []; B = []; end get_ar_ec_matrices(auxiliary_model_name, auxiliary_model_type); % Get the number of lags p = size(oo_.(auxiliary_model_type).(auxiliary_model_name).ar, 3); % Get the number of variables n = length(oo_.(auxiliary_model_type).(auxiliary_model_name).ar(:,:,1)); switch auxiliary_model_type case 'var' oo_.var.(auxiliary_model_name).CompanionMatrix = zeros(n*p); oo_.var.(auxiliary_model_name).CompanionMatrix(1:n,1:n) = oo_.var.(auxiliary_model_name).ar(:,:,1); for i=2:p oo_.var.(auxiliary_model_name).CompanionMatrix(1:n,(i-1)*n+(1:n)) = oo_.var.(auxiliary_model_name).ar(:,:,i); oo_.var.(auxiliary_model_name).CompanionMatrix((i-1)*n+(1:n),(i-2)*n+(1:n)) = eye(n); end AR = oo_.var.(auxiliary_model_name).ar; M_.var.(auxiliary_model_name).list_of_variables_in_companion_var = M_.endo_names(M_.var.(auxiliary_model_name).lhs); case 'trend_component' % Get number of trends. q = sum(M_.trend_component.(auxiliary_model_name).targets); % Get the number of equations with error correction. m = n-q; % Get the indices of trend and EC equations in the auxiliary model. target_eqnums_in_auxiliary_model = find(M_.trend_component.(auxiliary_model_name).targets); ecm_eqnums_in_auxiliary_model = find(~M_.trend_component.(auxiliary_model_name).targets); % REMARK It is assumed that the non trend equations are the error correction % equations. We assume that the model can be cast in the following form: % % Δ Xₜ₋₁ = A₀ (Xₜ₋₁ - Zₜ₋₁) + Σᵢ₌₁ᵖ Aᵢ Δ Xₜ₋ᵢ + ϵₜ % % Zₜ = Zₜ₋₁ + ηₜ % % We first recast the equation into this representation, and % we rewrite the model in levels (we integrate the first set % of equations) to rewrite the model as a VAR(1) model. Let % Yₜ = [Xₜ; Zₜ] be the vertical concatenation of vectors % Xₜ (variables with EC) and Zₜ (trends). We have % % Yₜ = Σᵢ₌₁ᵖ⁺¹ Bᵢ Yₜ₋ᵢ + [εₜ; ηₜ] % % with % % B₁ = [I+Λ+A₁, -Λ; 0, I] % % Bᵢ = [Aᵢ-Aᵢ₋₁, 0; 0, 0] for i = 2,…, p % and % Bₚ₊₁ = -[Aₚ, 0; 0, 0] % % where the dimensions of I and 0 matrices can easily be % deduced from the number of EC and trend equations. % Check that the lhs of candidate ecm equations are at least first differences. for i=1:m if ~get_difference_order(M_.trend_component.(auxiliary_model_name).lhs(ecm_eqnums_in_auxiliary_model(i))) error('Model %s is not a Trend component model! LHS variables should be in difference', auxiliary_model_name) end end % Reorder target_eqnums_in_auxiliary_model to ensure that the order of % the trend variables matches the order of the error correction % variables. [~,reorder] = ismember(M_.trend_component.(auxiliary_model_name).lhs(target_eqnums_in_auxiliary_model), ... M_.trend_component.(auxiliary_model_name).target_vars(find(M_.trend_component.(auxiliary_model_name).target_vars>0))); target_eqnums_in_auxiliary_model = target_eqnums_in_auxiliary_model(reorder); % Get the EC matrix (the EC term is assumend to be in t-1). % % TODO: Check that the EC term is the difference between the % endogenous variable and the trend variable. % A0 = oo_.trend_component.(auxiliary_model_name).ec(ecm_eqnums_in_auxiliary_model,:,1); % Get the AR matrices. AR = oo_.trend_component.(auxiliary_model_name).ar(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,:); % Build B matrices (VAR in levels) B(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,1) = eye(m)+A0+AR(:,:,1); B(ecm_eqnums_in_auxiliary_model,target_eqnums_in_auxiliary_model) = -A0; B(target_eqnums_in_auxiliary_model,target_eqnums_in_auxiliary_model) = eye(q); for i=2:p B(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,i) = AR(:,:,i)-AR(:,:,i-1); end B(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,p+1) = -AR(:,:,p); % Write Companion matrix oo_.trend_component.(auxiliary_model_name).CompanionMatrix = zeros(size(B, 1)*size(B, 3)); for i=1:p oo_.trend_component.(auxiliary_model_name).CompanionMatrix(1:n, (i-1)*n+(1:n)) = B(:,:,i); oo_.trend_component.(auxiliary_model_name).CompanionMatrix(i*n+(1:n),(i-1)*n+(1:n)) = eye(n); end oo_.trend_component.(auxiliary_model_name).CompanionMatrix(1:n, p*n+(1:n)) = B(:,:,p+1); M_.trend_component.(auxiliary_model_name).list_of_variables_in_companion_var = M_.endo_names(M_.trend_component.(auxiliary_model_name).lhs); variables_rewritten_in_levels = M_.trend_component.(auxiliary_model_name).list_of_variables_in_companion_var(ecm_eqnums_in_auxiliary_model); for i=1:m id = get_aux_variable_id(variables_rewritten_in_levels{i}); if id auxinfo = M_.aux_vars(id); if auxinfo.type==8 M_.trend_component.(auxiliary_model_name).list_of_variables_in_companion_var(ecm_eqnums_in_auxiliary_model(i)) = ... {M_.endo_names{auxinfo.orig_index}}; else error('This is a bug. Please contact the Dynare Team.') end else error('This is a bug. Please contact the Dynare Team.') end end end