75 lines
2.5 KiB
Matlab
75 lines
2.5 KiB
Matlab
function yhat = fn_forecast(Bh,phi,nn,nexo,Xfexo)
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% yhat = fn_forecast(Bh,phi,nn,nexo,Xfexo)
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% Unconditional forecating without shocks.
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% y_hat(t+h) = c + x_hat(t+h-1)*Bh, X: 1*k; Bh: k*nvar; y_hat: 1*nvar
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%
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% Bh: k-by-nvar, the (posterior) estimate of B.
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% phi: the 1-by-(nvar*lags+nexo) data matrix X where k=nvar*lags+1
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% (last period plus lags before the beginning of forecast).
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% nn: [nvar,lags,nfqm], nfqm: forecast periods (months or quarters).
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% nexo: number of exogenous variables. The constant term is the default setting.
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% Besides this term, we have nexo-1 exogenous variables.
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% Xfexo: nfqm-by-nexo-1 vector of exoenous variables in the forecast horizon where
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% nfqm: number of forecast periods.
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%-----------
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% yhat: nfqm-by-nvar forecast.
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%
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% See fn_forecastsim.m with shocks; fn_forecaststre.m.
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% Copyright (C) 2011 Tao Zha
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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 <http://www.gnu.org/licenses/>.
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if nargin == 3
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nexo=1; % default for constant term
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elseif nexo<1
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error('We need at least one exogenous term so nexo must >= 1')
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end
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% ** setup
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nvar = nn(1);
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lags = nn(2);
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nfqm = nn(3);
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tcwx = nvar*lags; % total coefficeint without exogenous variables
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if nexo>1
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if (nfqm > size(Xfexo,1))
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disp(' ')
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warning('Make sure the forecast horizon in the exogenous variable matrix Xfexo > forecast periods')
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disp('Press ctrl-c to abort')
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pause
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elseif ((nexo-1) ~= size(Xfexo,2))
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disp(' ')
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warning('Make sure that nexo matchs the exogenous variable matrix Xfexo')
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disp('Press ctrl-c to abort')
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pause
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end
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end
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% ** reconstruct x(t) for y(t+h) = x(t+h-1)*B
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% ** where phi = x(t+h-1) with last column being constant
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yhat = zeros(nfqm,nvar);
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for k=1:nfqm
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yhat(k,:) = phi*Bh;
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%*** lagged endogenous variables
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phi(1,nvar+1:tcwx) = phi(1,1:tcwx-nvar);
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phi(1,1:nvar) = yhat(k,:);
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%*** exogenous variables excluding constant terms
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if (nexo>1)
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phi(1,tcwx+1:tcwx+nexo-1) = Xfexo(k,:);
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end
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end
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