68 lines
2.1 KiB
Matlab
68 lines
2.1 KiB
Matlab
function yf=forcst2(y0,horizon,dr,n)
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% function yf=forcst2(y0,horizon,dr,n)
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%
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% computes forecasts based on first order model solution, given shocks
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% drawn from the shock distribution, but not including measurement error
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% Inputs:
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% - y0 [endo_nbr by maximum_endo_lag] matrix of starting values
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% - dr [structure] structure with Dynare decision rules
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% - e [horizon by exo_nbr] matrix with shocks
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% - n [scalar] number of repetitions
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%
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% Outputs:
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% - yf [horizon+ykmin_ by endo_nbr by n] array of forecasts
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%
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% Copyright © 2008-2017 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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global M_ options_
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Sigma_e_ = M_.Sigma_e;
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endo_nbr = M_.endo_nbr;
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exo_nbr = M_.exo_nbr;
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ykmin_ = M_.maximum_endo_lag;
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k1 = [ykmin_:-1:1];
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k2 = dr.kstate(find(dr.kstate(:,2) <= ykmin_+1),[1 2]);
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k2 = k2(:,1)+(ykmin_+1-k2(:,2))*endo_nbr;
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% eliminate shocks with 0 variance
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i_exo_var = setdiff([1:exo_nbr],find(diag(Sigma_e_) == 0));
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nxs = length(i_exo_var);
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chol_S = chol(Sigma_e_(i_exo_var,i_exo_var));
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if ~isempty(Sigma_e_)
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e = randn(nxs,n,horizon);
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end
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B1 = dr.ghu(:,i_exo_var)*chol_S';
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yf = zeros(endo_nbr,horizon+ykmin_,n);
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yf(:,1:ykmin_,:,:) = repmat(y0,[1,1,n]);
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j = ykmin_*endo_nbr;
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for i=ykmin_+(1:horizon)
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tempx1 = reshape(yf(:,k1,:),[j,n]);
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tempx = tempx1(k2,:);
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yf(:,i,:) = dr.ghx*tempx+B1*squeeze(e(:,:,i-ykmin_));
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k1 = k1+1;
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end
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yf(dr.order_var,:,:) = yf;
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yf=permute(yf,[2 1 3]);
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