v4: adding forcst2.m

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1815 ac1d8469-bf42-47a9-8791-bf33cf982152

matlab/forcst2.m

+function yf=forcst2(y0,horizon,dr,n)
+  global M_ options_
+  
+  Sigma_e_ = M_.Sigma_e;
+  endo_nbr = M_.endo_nbr;
+  exo_nbr = M_.exo_nbr;
+  ykmin_ = M_.maximum_endo_lag;
+  
+  order = options_.order;
+  seed = options_.simul_seed;
+
+  k1 = [ykmin_:-1:1];
+  k2 = dr.kstate(find(dr.kstate(:,2) <= ykmin_+1),[1 2]);
+  k2 = k2(:,1)+(ykmin_+1-k2(:,2))*endo_nbr;
+
+  it_ = ykmin_ + 1 ;
+
+  % eliminate shocks with 0 variance
+  i_exo_var = setdiff([1:exo_nbr],find(diag(Sigma_e_) == 0));
+  nxs = length(i_exo_var);
+
+  chol_S = chol(Sigma_e_(i_exo_var,i_exo_var));
+
+  if ~isempty(Sigma_e_)
+    e = randn(nxs,n,horizon);
+  end
+  
+  B1 = dr.ghu(:,i_exo_var)*chol_S';
+
+  yf = zeros(endo_nbr,horizon+ykmin_,n);
+  yf(:,1:ykmin_,:,:) = repmat(y0,[1,1,n]);
+  
+  j = ykmin_*endo_nbr;
+  for i=ykmin_+(1:horizon)
+    tempx1 = reshape(yf(:,k1,:),[j,n]);
+    tempx = tempx1(k2,:);
+    yf(:,i,:) = dr.ghx*tempx+B1*squeeze(e(:,:,i-ykmin_));
+    k1 = k1+1;
+  end
+  
+  yf(dr.order_var,:,:) = yf;
+  yf=permute(yf,[2 1 3]);