53 lines
2.0 KiB
Matlab
53 lines
2.0 KiB
Matlab
function vx1 = get_variance_of_endogenous_variables(M_,options_,dr,i_var)
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% vx1 = get_variance_of_endogenous_variables(dr,i_var)
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% Gets the variance of a variables subset
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%
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% INPUTS
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% M_ [structure] Dynare's model structure
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% oo_ [structure] Dynare's results structure
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% options_ [structure] Dynare's options structure
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% dr: [structure] structure of decisions rules for stochastic simulations
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% i_var: [integer] indices of a variables list
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%
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% OUTPUTS
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% vx1: [double] variance-covariance matrix
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2003-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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ghx = dr.ghx(i_var,:);
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ghu = dr.ghu(i_var,:);
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nc = size(ghx,2);
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n = length(i_var);
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[A,B] = kalman_transition_matrix(dr,M_.nstatic+(1:M_.nspred),1:nc);
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[vx,u] = lyapunov_symm(A,B*M_.Sigma_e*B',options_.lyapunov_fixed_point_tol,options_.qz_criterium,options_.lyapunov_complex_threshold, [], options_.debug);
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if size(u,2) > 0
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i_stat = find(any(abs(ghx*u) < options_.schur_vec_tol,2)); %only set those variances of objective function for which variance is finite
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ghx = ghx(i_stat,:);
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ghu = ghu(i_stat,:);
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else
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i_stat = (1:n)';
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end
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vx1 = Inf*ones(n,n);
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vx1(i_stat,i_stat) = ghx*vx*ghx'+ghu*M_.Sigma_e*ghu'; |