61 lines
2.3 KiB
Matlab
61 lines
2.3 KiB
Matlab
function Qvec=get_Qvec_heteroskedastic_filter(Q,smpl,M_)
|
|
% function Qvec=get_Qvec_heteroskedastic_filter(Q,smpl,M_)
|
|
%
|
|
% INPUTS
|
|
% Q: baseline non-heteroskadastic covariance matrix of shocks
|
|
% smpl: scalar storing end of sample
|
|
% M_: structure storing the model information
|
|
% Outputs:
|
|
% Qvec: [n_exo by n_exo by smpl] array of covariance matrices
|
|
|
|
% Copyright © 2020-2023 Dynare Team
|
|
%
|
|
% This file is part of Dynare.
|
|
%
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
% it under the terms of the GNU General Public License as published by
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
% (at your option) any later version.
|
|
%
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
% GNU General Public License for more details.
|
|
%
|
|
% You should have received a copy of the GNU General Public License
|
|
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
|
|
|
isqdiag = all(all(abs(Q-diag(diag(Q)))<1e-14)); % ie, the covariance matrix is diagonal...
|
|
Qvec=repmat(Q,[1 1 smpl+1]);
|
|
for k=1:smpl+1
|
|
inx = ~isnan(M_.heteroskedastic_shocks.Qvalue(:,k));
|
|
if any(inx)
|
|
if isqdiag
|
|
Qvec(inx,inx,k)=diag(M_.heteroskedastic_shocks.Qvalue(inx,k));
|
|
else
|
|
inx = find(inx);
|
|
for s=1:length(inx)
|
|
if Q(inx(s),inx(s))>1.e-14
|
|
tmpscale = sqrt(M_.heteroskedastic_shocks.Qvalue(inx(s),k)./Q(inx(s),inx(s)));
|
|
Qvec(inx(s),:,k) = Qvec(inx(s),:,k).*tmpscale;
|
|
Qvec(:,inx(s),k) = Qvec(:,inx(s),k).*tmpscale;
|
|
else
|
|
Qvec(inx(s),inx(s),k)=M_.heteroskedastic_shocks.Qvalue(inx(s),k);
|
|
end
|
|
end
|
|
end
|
|
end
|
|
inx = ~isnan(M_.heteroskedastic_shocks.Qscale(:,k));
|
|
if any(inx)
|
|
if isqdiag
|
|
Qvec(inx,inx,k)=Qvec(inx,inx,k).*diag(M_.heteroskedastic_shocks.Qscale(inx,k));
|
|
else
|
|
inx = find(inx);
|
|
for s=1:length(inx)
|
|
tmpscale = sqrt(M_.heteroskedastic_shocks.Qscale(inx(s),k));
|
|
Qvec(inx(s),:,k) = Qvec(inx(s),:,k).*tmpscale;
|
|
Qvec(:,inx(s),k) = Qvec(:,inx(s),k).*tmpscale;
|
|
end
|
|
end
|
|
end
|
|
end |