dynare/matlab/get_variance_of_endogenous_...

47 lines
1.2 KiB
Matlab

function [vx1,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
% function [vx1,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
% Gets the variance of a variables subset
%
% INPUTS
% dr: structure of decisions rules for stochastic simulations
% i_var: indices of a variables list
%
% OUTPUTS
% vx1: variance-covariance matrix
% i_ns: non-stationary variables indices for which the variance has
% been calculated
%
% SPECIAL REQUIREMENTS
% none
%
% part of DYNARE, copyright Dynare Team (2003-2008)
% Gnu Public License.
global M_ options_
Sigma_e = M_.Sigma_e;
nstatic = dr.nstatic;
npred = dr.npred;
ghx = dr.ghx(i_var,:);
ghu = dr.ghu(i_var,:);
nc = size(ghx,2);
n = length(i_var);
[A,B] = kalman_transition_matrix(dr,nstatic+(1:npred),1:nc,dr.transition_auxiliary_variables,M_.exo_nbr);
[vx,u] = lyapunov_symm(A,B*Sigma_e*B',options_.qz_criterium);
if size(u,2) > 0
i_stat = find(any(abs(ghx*u) < options_.Schur_vec_tol,2));
ghx = ghx(i_stat,:);
ghu = ghu(i_stat,:);
else
i_stat = (1:n)';
end
vx1 = Inf*ones(n,n);
vx1(i_stat,i_stat) = ghx*vx*ghx'+ghu*Sigma_e*ghu';