25 lines
606 B
Matlab
25 lines
606 B
Matlab
function [vx,i_ns] = get_variance_of_endogenous_variables(dr,i_var)
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global M_ options_
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Sigma_e = M_.Sigma_e;
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nstatic = dr.nstatic;
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npred = dr.npred;
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ghx = dr.ghx(i_var,:);
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ghu = dr.ghu(i_var,:);
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nc = size(ghx,2);
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[A,B] = kalman_transition_matrix(dr,nstatic+(1:npred),1:nc,dr.transition_auxiliary_variables);
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[vx,u] = lyapunov_symm(A,B*Sigma_e*B');
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i_ns = find(any(abs(ghx*u) > options_.Schur_vec_tol,2));
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ghx = ghx(i_ns,:);
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ghu = ghu(i_ns,:);
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n = length(i_var);
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vx = Inf*ones(n,n);
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vx(i_ns,i_ns) = ghx*vx*ghx'+ghu*Sigma_e*ghu';
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