60 lines
3.0 KiB
Matlab
60 lines
3.0 KiB
Matlab
function [forcs, e]= mcforecast3(cL,H,mcValue,shocks,forcs,T,R,mv,mu)
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% forcs = mcforecast3(cL,H,mcValue,shocks,forcs,T,R,mv,mu)
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% Computes the shock values for constrained forecasts necessary to keep
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% endogenous variables at their constrained paths
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%
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% INPUTS
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% o cL [scalar] number of controlled periods
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% o H [scalar] number of forecast periods
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% o mcValue [n_controlled_vars by cL double] paths for constrained variables
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% o shocks [nexo by H double] shock values draws (with zeros for controlled_varexo)
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% o forcs
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% o T [n_endovars by n_endovars double] transition matrix of the state equation.
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% o R [n_endovars by n_exo double] matrix relating the endogenous variables to the innovations in the state equation.
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% o mv [n_controlled_exo by n_endovars boolean] indicator vector selecting constrained endogenous variables
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% o mu [n_controlled_vars by nexo boolean] indicator vector
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% selecting controlled exogenous variables
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%
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% Algorithm:
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% Relies on state-space form:
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% y_t=T*y_{t-1}+R*shocks(:,t)
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% Shocks are split up into shocks_uncontrolled and shockscontrolled while
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% the endogenous variables are also split up into controlled and
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% uncontrolled ones to get:
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% y_t(controlled_vars_index)=T*y_{t-1}(controlled_vars_index)+R(controlled_vars_index,uncontrolled_shocks_index)*shocks_uncontrolled_t
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% + R(controlled_vars_index,controlled_shocks_index)*shocks_controlled_t
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%
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% This is then solved to get:
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% shocks_controlled_t=(y_t(controlled_vars_index)-(T*y_{t-1}(controlled_vars_index)+R(controlled_vars_index,uncontrolled_shocks_index)*shocks_uncontrolled_t)/R(controlled_vars_index,controlled_shocks_index)
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%
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% After obtaining the shocks, and for uncontrolled periods, the state-space representation
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% y_t=T*y_{t-1}+R*shocks(:,t)
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% is used for forecasting
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%
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% Copyright (C) 2006-2013 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 <http://www.gnu.org/licenses/>.
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if cL
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e = zeros(size(mcValue,1),cL);
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for t = 1:cL
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e(:,t) = inv(mv*R*mu)*(mcValue(:,t)-mv*T*forcs(:,t)-mv*R*shocks(:,t));
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forcs(:,t+1) = T*forcs(:,t)+R*(mu*e(:,t)+shocks(:,t));
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end
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end
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for t = cL+1:H
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forcs(:,t+1) = T*forcs(:,t)+R*shocks(:,t);
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end |