72 lines
1.9 KiB
Matlab
72 lines
1.9 KiB
Matlab
function scof = SPObstruct(cof,cofb,neq,nlag,nlead)
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% scof = SPObstruct(cof,cofb,neq,nlag,nlead)
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%
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% Construct the coefficients in the observable structure.
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%
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% Input arguments:
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%
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% cof structural coefficients
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% cofb reduced form
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% neq number of equations
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% nlag number of lags
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% nlead number of leads
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%
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% Output arguments:
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%
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% scof observable structure coefficients
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% Original author: Gary Anderson
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% Original file downloaded from:
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% http://www.federalreserve.gov/Pubs/oss/oss4/code.html
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% Adapted for Dynare by Dynare Team.
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%
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% This code is in the public domain and may be used freely.
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% However the authors would appreciate acknowledgement of the source by
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% citation of any of the following papers:
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%
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% Anderson, G. and Moore, G.
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% "A Linear Algebraic Procedure for Solving Linear Perfect Foresight
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% Models."
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% Economics Letters, 17, 1985.
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%
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% Anderson, G.
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% "Solving Linear Rational Expectations Models: A Horse Race"
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% Computational Economics, 2008, vol. 31, issue 2, pages 95-113
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%
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% Anderson, G.
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% "A Reliable and Computationally Efficient Algorithm for Imposing the
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% Saddle Point Property in Dynamic Models"
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% Journal of Economic Dynamics and Control, 2010, vol. 34, issue 3,
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% pages 472-489
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% Append the negative identity to cofb
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cofb = [cofb, -eye(neq)];
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scof = zeros(neq,neq*(nlag+1));
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q = zeros(neq*nlead, neq*(nlag+nlead));
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[rc,cc] = size(cofb);
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qs=sparse(q);
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qs(1:rc,1:cc) = sparse(cofb);
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qcols = neq*(nlag+nlead);
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if( nlead > 1 )
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for i = 1:nlead-1
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rows = i*neq + (1:neq);
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qs(rows,:) = SPShiftright( qs((rows-neq),:), neq );
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end
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end
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l = (1: neq*nlag);
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r = (neq*nlag+1: neq*(nlag+nlead));
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qs(:,l) = - qs(:,r) \ qs(:,l);
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minus = 1: neq*(nlag+1);
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plus = neq*(nlag+1)+1: neq*(nlag+1+nlead);
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cofs=sparse(cof);
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scof(:,neq+1:neq*(nlag+1)) = cofs(:,plus)*qs(:,l);
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scof = scof + cofs(:,minus);
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