44 lines
1.1 KiB
Matlab
44 lines
1.1 KiB
Matlab
function tau = thet2tau(params, indx, indexo, flagmoments,mf,nlags,useautocorr)
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global M_ oo_ options_
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if nargin==1,
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indx = [1:M_.param_nbr];
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indexo = [];
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end
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if nargin<4,
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flagmoments=0;
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end
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if nargin<7 | isempty(useautocorr),
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useautocorr=0;
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end
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M_.params(indx) = params(length(indexo)+1:end);
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if ~isempty(indexo)
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M_.Sigma_e(indexo,indexo) = diag(params(1:length(indexo)).^2);
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end
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[A,B,plouf,plouf,M_,options_,oo_] = dynare_resolve(M_,options_,oo_);
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if flagmoments==0,
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tau = [oo_.dr.ys(oo_.dr.order_var); A(:); dyn_vech(B*M_.Sigma_e*B')];
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else
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GAM = lyapunov_symm(A,B*M_.Sigma_e*B',options_.qz_criterium,options_.lyapunov_complex_threshold);
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k = find(abs(GAM) < 1e-12);
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GAM(k) = 0;
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if useautocorr,
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sy = sqrt(diag(GAM));
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sy = sy*sy';
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sy0 = sy-diag(diag(sy))+eye(length(sy));
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dum = GAM./sy0;
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tau = dyn_vech(dum(mf,mf));
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else
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tau = dyn_vech(GAM(mf,mf));
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end
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for ii = 1:nlags
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dum = A^(ii)*GAM;
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if useautocorr,
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dum = dum./sy;
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end
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tau = [tau;vec(dum(mf,mf))];
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end
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tau = [ oo_.dr.ys(oo_.dr.order_var(mf)); tau];
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end |