31 lines
1.2 KiB
Matlab
31 lines
1.2 KiB
Matlab
function rootsinv = fn_varoots(Bhat,nvar,lags)
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%
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% Using eigenvalues to find the inverse of all roots associated with the VAR proceess:
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% y_t' = C + y_{t-1}'*B_1 + ... + Y_{t-p}'*B_p + u_t'.
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% where columns correspond to equations. See also Judge (1), pp.753-755 where rows correspond to equations.
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% Bhat: ncoef-by-nvar where ncoef=nvar*lags+nexo and nvar is the number of endogenous variables.
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% Columns corresponds to equations with
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% ncoef=[nvar for 1st lag, ..., nvar for last lag, other exogenous terms, const term]
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% ..., nvar coef in the last lag, and nexo coefficients.
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% Note that entries in the rows of Bhat that > nvar*lags are irrelevant.
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% nvar: number of endogenous variables.
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% lags: number of lags.
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%-------
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% rootsinv: a vector of nvar*lags inverse roots. When > 1, explosive. When all < 1, stationary.
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%
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% Tao Zha, September 2000
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if size(Bhat,1)<nvar*lags
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disp(' ')
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warning('Make sure that Bhat has at least nvar*lags rows')
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return
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end
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%--------- Strack the VAR(p) to the VAR(1) with z_t = Az_{t-1}.
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%
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A1 = diag(ones(nvar*(lags-1),1));
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A2 = [A1 zeros(nvar*(lags-1),nvar)];
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A = [Bhat(1:nvar*lags,:)'; A2];
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rootsinv=eig(A);
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