48 lines
1.4 KiB
Matlab
48 lines
1.4 KiB
Matlab
function sigma = long_run_variance(data,band)
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% Returns the long run variance of data, a T*m matrix.
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%
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% INPUTS
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% data [double] T*m matrix, where T is the number of observations and m the number of variables.
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% band [double] scalar, the bandwidth parameter.
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%
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% OUTPUTS
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% sigma [double] m*m matrix.
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2009-2010 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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verbose = 1;
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if nargin<2
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[T,~] = size(data);
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band = ceil(T^(1/4));
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if verbose
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disp(['Bandwidth parameter is equal to ' num2str(band) '.'])
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end
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end
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gamma = multivariate_sample_autocovariance(data,band);
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sigma = gamma(:,:,1);
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for i=1:band
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sigma = sigma + bartlett(i,band)*(gamma(:,:,i+1)+transpose(gamma(:,:,i+1)));
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end
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function w = bartlett(i,n)
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w = 1 - i / (n+1); |