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