function [A,B] = kalman_transition_matrix(dr,iv,ic,exo_nbr) %function [A,B] = kalman_transition_matrix(dr,iv,ic,exo_nbr) % Builds the transition equation of the state space representation out of ghx and ghu for Kalman filter % % INPUTS % dr: structure of decisions rules for stochastic simulations % iv: selected variables % ic: state variables position in the transition matrix columns % exo_nbr: number of exogenous variables % % OUTPUTS % A: matrix of predetermined variables effects in linear solution (ghx) % B: matrix of shocks effects in linear solution (ghu) % % SPECIAL REQUIREMENTS % none % Copyright © 2003-2017 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 . n_iv = length(iv); A = zeros(n_iv,n_iv); A(:,ic) = dr.ghx(iv,:); if nargout>1 B = dr.ghu(iv,:); end