77 lines
2.9 KiB
Matlab
77 lines
2.9 KiB
Matlab
function imf = fn_impulse(Bh,swish,nn)
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% Computing impulse functions with
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% imf = fn_impulse(Bh,swish,nn)
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% imf is in a format that is the SAME as in RATS.
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% Column: nvar responses to 1st shock,
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% nvar responses to 2nd shock, and so on.
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% Row: steps of impulse responses.
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%-----------------
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% Bh is the estimated reduced form coefficient in the form
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% Y(T*nvar) = XB + U, X: T*k (may include all exogenous terms), B: k*nvar.
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% The matrix form and dimension are the same as "Bh" from the function "sye.m";
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% Column: 1st lag (with nvar variables) to lags (with nvar variables) + const = k.
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% Note: columns correspond to equations.
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% swish is the inv(A0) in the structural model y(t)A0 = e(t).
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% Note: columns corresponding to equations.
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% nn is the numbers of inputs [nvar,lags,# of steps of impulse responses].
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%
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% Written by Tao Zha.
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% Copyright (c) 1994 by Tao Zha
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% Copyright (C) 1994-2011 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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nvar = nn(1);
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lags = nn(2);
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imstep = nn(3); % number of steps for impulse responses
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Ah = Bh';
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% Row: nvar equations
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% Column: 1st lag (with nvar variables) to lags (with nvar variables) + const = k.
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imf = zeros(imstep,nvar*nvar);
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% Column: nvar responses to 1st shock, nvar responses to 2nd shock, and so on.
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% Row: steps of impulse responses.
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M = zeros(nvar*(lags+1),nvar);
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% Stack lags M's in the order of, e.g., [Mlags, ..., M2,M1;M0]
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M(1:nvar,:) = swish';
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Mtem = M(1:nvar,:); % temporary M.
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% first (initial) responses to 1 standard deviation shock. Row: responses; Column: shocks
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% * put in the form of "imf"
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imf(1,:) = Mtem(:)';
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t = 1;
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ims1 = min([imstep-1 lags]);
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while t <= ims1
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Mtem = Ah(:,1:nvar*t)*M(1:nvar*t,:);
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% Row: nvar equations, each for the nvar variables at tth lag
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M(nvar+1:nvar*(t+1),:)=M(1:nvar*t,:);
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M(1:nvar,:) = Mtem;
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imf(t+1,:) = Mtem(:)';
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% stack imf with each step, Row: 6 var to 1st shock, 6 var to 2nd shock, etc.
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t= t+1;
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end
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for t = lags+1:imstep-1
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Mtem = Ah(:,1:nvar*lags)*M(1:nvar*lags,:);
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% Row: nvar equations, each for the nvar variables at tth lag
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M(nvar+1:nvar*(t+1),:) = M(1:nvar*t,:);
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M(1:nvar,:)=Mtem;
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imf(t+1,:) = Mtem(:)';
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% stack imf with each step, Row: 6 var to 1st shock, 6 var to 2nd shock, etc.
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end
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