61 lines
2.3 KiB
Matlab
61 lines
2.3 KiB
Matlab
function Qvec=get_Qvec_heteroskedastic_filter(Q,smpl,Model)
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% function Qvec=get_Qvec_heteroskedastic_filter(Q,smpl,Model)
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%
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% INPUTS
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% Q: baseline non-heteroskadastic covariance matrix of shocks
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% smpl: scalar storing end of sample
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% Model: structure storing the model information
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% Outputs:
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% Qvec: [n_exo by n_exo by smpl] array of covariance matrices
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% Copyright © 2020-21 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 <https://www.gnu.org/licenses/>.
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isqdiag = all(all(abs(Q-diag(diag(Q)))<1e-14)); % ie, the covariance matrix is diagonal...
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Qvec=repmat(Q,[1 1 smpl+1]);
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for k=1:smpl
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inx = ~isnan(Model.heteroskedastic_shocks.Qvalue(:,k));
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if any(inx)
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if isqdiag
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Qvec(inx,inx,k)=diag(Model.heteroskedastic_shocks.Qvalue(inx,k));
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else
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inx = find(inx);
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for s=1:length(inx)
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if Q(inx(s),inx(s))>1.e-14
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tmpscale = sqrt(Model.heteroskedastic_shocks.Qvalue(inx(s),k)./Q(inx(s),inx(s)));
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Qvec(inx(s),:,k) = Qvec(inx(s),:,k).*tmpscale;
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Qvec(:,inx(s),k) = Qvec(:,inx(s),k).*tmpscale;
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else
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Qvec(inx(s),inx(s),k)=Model.heteroskedastic_shocks.Qvalue(inx(s),k);
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end
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end
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end
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end
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inx = ~isnan(Model.heteroskedastic_shocks.Qscale(:,k));
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if any(inx)
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if isqdiag
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Qvec(inx,inx,k)=Qvec(inx,inx,k).*diag(Model.heteroskedastic_shocks.Qscale(inx,k));
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else
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inx = find(inx);
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for s=1:length(inx)
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tmpscale = sqrt(Model.heteroskedastic_shocks.Qscale(inx(s),k));
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Qvec(inx(s),:,k) = Qvec(inx(s),:,k).*tmpscale;
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Qvec(:,inx(s),k) = Qvec(:,inx(s),k).*tmpscale;
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end
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end
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end
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end |