74 lines
2.2 KiB
Matlab
74 lines
2.2 KiB
Matlab
function tau = thet2tau(params, M_, oo_, indx, indexo, flagmoments,mf,nlags,useautocorr,iv)
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%
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% Copyright (C) 2011-2012 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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global 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<6,
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flagmoments=0;
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end
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if nargin<9 || isempty(useautocorr),
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useautocorr=0;
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end
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if nargin<10 || isempty(iv),
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iv=[1:M_.endo_nbr];
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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,tele,tubbies,M_,options_,oo_] = dynare_resolve(M_,options_,oo_);
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if flagmoments==0,
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ys=oo_.dr.ys(oo_.dr.order_var);
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tau = [ys(iv); vec(A(iv,iv)); dyn_vech(B(iv,:)*M_.Sigma_e*B(iv,:)')];
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elseif flagmoments==-1
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[I,J]=find(M_.lead_lag_incidence');
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yy0=oo_.dr.ys(I);
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[residual, g1] = feval([M_.fname,'_dynamic'],yy0, oo_.exo_steady_state', ...
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M_.params, oo_.dr.ys, 1);
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tau=[oo_.dr.ys(oo_.dr.order_var); g1(:)];
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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 |