61 lines
1.9 KiB
Matlab
61 lines
1.9 KiB
Matlab
function B = get_innovation_contemporaneous_impact(type,info)
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% function F = get_innovation_contemporaneous_impact('type')
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% The approximated reduced form model is
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%
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% Y^*_t = Z Y_t [Measure]
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% Y_t = A*Y_{t-1} + B*E_t [State]
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%
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% where Z is an p*m selection matrix (p<=m), Y^* is the p*1 vector of
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% observable endogenous variables, Y is an m*1 vector of endogeneous
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% variables, A is an m*m matrix, B is an m*r matrix (r<=m) and E an r*1
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% vector of structural innovations.
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%
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% The contemporaneous is return impact (on the observables) of an innovation is
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% given by F = Z*B. Matrix F is returned by this function.
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%
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% INPUTS
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% o type [string] "mode","mean"
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% o info [integer] if equal to 1, matrix B is saved in a mat file.
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%
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% OUTPUTS
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% o F (F is also saved in a file)
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%
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% SPECIAL REQUIREMENTS
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% This function needs to be run after the estimation of a model.
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% Copyright (C) 2006-2008 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 oo_ M_ bayestopt_ options_
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if nargin == 0
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type = 'mode';
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end
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if nargin == 1
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info = 0;
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end
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get_posterior_parameters(type);
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[dr,info,M_,options_,oo_]=dr1(oo_.dr,0,M_,options_,oo_);
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B(dr.order_var,M_.exo_names_orig_ord) = dr.ghu*sqrt(M_.Sigma_e);
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B = B(bayestopt_.mfys,:);
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save([M_.fname '_InnovImpact.mat'],'B'); |