57 lines
1.8 KiB
Matlab
57 lines
1.8 KiB
Matlab
function G = buildGmatrix(alpha, beta)
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% Builds the G matrix needed for PAC.
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%
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% INPUTS
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% - alpha [double] m*1 vector of PAC parameters (lag polynomial parameters).
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% - beta [double] scalar, discount factor.
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%
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% OUTPUTS
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% - G [double] (m+1)*(m+1) matrix.
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% Copyright © 2018 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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if nargin<2
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error('Two input arguments are required (vector of alpha parameters and beta discount parameter)!')
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end
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% Return an error if the first input is not a real vector.
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if ~isnumeric(alpha) || ~isreal(alpha) || ~isvector(alpha)
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error('First input argument has to be a vector of doubles!')
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end
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% Return an error if the second input argument is not a discount factor
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if ~isnumeric(beta) || ~isreal(beta) || ~isscalar(beta) || beta<eps || beta>1-eps
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error('Second input argument has to be a discount factor!')
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end
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% Get the number of parameters
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m = length(alpha);
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% Return an error if params is too small.
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if m<1
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error('First input argument has to be a vector with at least one element.')
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end
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% Initialize the returned G matrix.
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G = zeros(m);
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% Fill the returned G matrix.
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G(1:m-1,2:m) = eye(m-1);
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G(m, :) = -flip(transpose(alpha));
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G(m, :) = G(m, :).*flip(cumprod(beta*ones(1,m))); |