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Commit ded34f99 authored by Stéphane Adjemian (Scylla)'s avatar Stéphane Adjemian (Scylla)
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Merge branch 'master' of kirikou.dynare.org:/srv/d_kirikou/git/dynare

parents 6870010e 18c94791
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matlab/swz/c-code/Makefile
View file @ ded34f99
......@@ -191,6 +191,7 @@ MATRIX_DIR = $(WORK_DIR)/utilities/DWCcode/matrix
ERROR_DIR = $(WORK_DIR)/utilities/DWCcode/error
ARRAY_DIR = $(WORK_DIR)/utilities/DWCcode/arrays
ASCII_DIR = $(WORK_DIR)/utilities/DWCcode/ascii
HIST_DIR = $(WORK_DIR)/utilities/DWCcode/histogram
STAT_DIR = $(WORK_DIR)/utilities/DWCcode/stat
SPHERICAL_DIR = $(WORK_DIR)/utilities/DWCcode/spherical
SORT_DIR = $(WORK_DIR)/utilities/DWCcode/sort
......@@ -199,9 +200,9 @@ VAR_DIR = $(WORK_DIR)/sbvar/var
#################################################################################
# DW FILES
INCLUDE_DIR := -I$(MATRIX_DIR) -I$(ERROR_DIR) -I$(ARRAY_DIR) -I$(ASCII_DIR) -I$(STAT_DIR) -I$(SPHERICAL_DIR) -I$(SORT_DIR) -I$(SWITCH_DIR) -I$(VAR_DIR) $(INCLUDE_DIR)
VPATH := $(VPATH) $(MATRIX_DIR) $(ERROR_DIR) $(ARRAY_DIR) $(ASCII_DIR) $(STAT_DIR) $(SPHERICAL_DIR) $(SORT_DIR) $(SWITCH_DIR) $(VAR_DIR)
OBJS := $(OBJS) bmatrix.o swzmatrix.o dw_error.o dw_rand.o dw_matrix_rand.o dw_array.o dw_matrix_array.o dw_matrix_sort.o dw_ascii.o dw_parse_cmd.o
INCLUDE_DIR := -I$(MATRIX_DIR) -I$(ERROR_DIR) -I$(ARRAY_DIR) -I$(ASCII_DIR) -I$(HIST_DIR) -I$(STAT_DIR) -I$(SPHERICAL_DIR) -I$(SORT_DIR) -I$(SWITCH_DIR) -I$(VAR_DIR) $(INCLUDE_DIR)
VPATH := $(VPATH) $(MATRIX_DIR) $(ERROR_DIR) $(ARRAY_DIR) $(ASCII_DIR) $(HIST_DIR) $(STAT_DIR) $(SPHERICAL_DIR) $(SORT_DIR) $(SWITCH_DIR) $(VAR_DIR)
OBJS := $(OBJS) bmatrix.o swzmatrix.o dw_error.o dw_rand.o dw_matrix_rand.o dw_array.o dw_matrix_array.o dw_matrix_sort.o dw_ascii.o dw_parse_cmd.o dw_histogram.o
# MEX
INCLUDE_DIR := -I$(WORK_DIR)/mex $(INCLUDE_DIR)
......@@ -221,13 +222,13 @@ OBJS_INIT := $(OBJS) create_init_file.o switch.o switchio.o VARbase.o VARio.o VA
OBJS_MHM_1 := $(OBJS) mhm_VAR_main_1.o mhm_VAR.o VARbase.o VARio.o command_line_VAR.o switch.o switchio.o
OBJS_MHM_2 := $(OBJS) mhm_VAR_main_2.o spherical.o VARbase.o VARio.o switch.o switchio.o mhm_VAR.o
OBJS_PROBA := $(OBJS) probabilities.o switch.o switchio.o VARbase.o VARio.o command_line_VAR.o
OBJS_FORECAST := $(OBJS) forecast.o switch.o switchio.o VARbase.o VARio.o command_line_VAR.o
#################################################################################
# OUTPUT
all: $(OUT_DIR)/sbvar_draws $(OUT_DIR)/sbvar_estimation $(OUT_DIR)/sbvar_init_file $(OUT_DIR)/sbvar_mhm_1 $(OUT_DIR)/sbvar_mhm_2 $(OUT_DIR)/sbvar_probabilities
all: $(OUT_DIR)/sbvar_draws $(OUT_DIR)/sbvar_estimation $(OUT_DIR)/sbvar_init_file $(OUT_DIR)/sbvar_mhm_1 $(OUT_DIR)/sbvar_mhm_2 $(OUT_DIR)/sbvar_probabilities $(OUT_DIR)/sbvar_forecast
$(OUT_DIR)/sbvar_draws: $(OBJS_DRAWS)
......@@ -248,6 +249,8 @@ $(OUT_DIR)/sbvar_mhm_2: $(OBJS_MHM_2)
$(OUT_DIR)/sbvar_probabilities: $(OBJS_PROBA)
$(CC) $(CFLAGS) $^ $(LIBS_DIR) $(LIBS) -o $(OUT_DIR)/sbvar_probabilities
$(OUT_DIR)/sbvar_forecast: $(OBJS_FORECAST)
$(CC) $(CFLAGS) $^ $(LIBS_DIR) $(LIBS) -o $(OUT_DIR)/sbvar_forecast
%.o : %.c
......
matlab/swz/c-code/sbvar/switching/switchio.c
View file @ ded34f99
......@@ -561,6 +561,9 @@ int ReadBaseTransitionMatrices_SV(FILE *f_in, TMarkovStateVariable* sv, char *he
/* // Convert base transition matrix to full transition matrix. ansi-c*/
ConvertBaseTransitionMatrix(sv->Q,Q,sv->nlags_encoded);
/* Free Q */
FreeMatrix(Q);
/* // Update ansi-c*/
if (!Update_B_from_Q_SV(sv))
{
......@@ -570,6 +573,7 @@ int ReadBaseTransitionMatrices_SV(FILE *f_in, TMarkovStateVariable* sv, char *he
return 1;
}
FreeMatrix(Q);
return 0;
}
}
......@@ -712,6 +716,74 @@ void WriteBaseTransitionMatricesFlat_Headers_SV(FILE *f_out, TMarkovStateVariabl
}
}
/*
Returns 1 upon success and 0 upon failure.
*/
int ReadBaseTransitionMatricesFlat_SV(FILE *f_in, TMarkovStateVariable *sv)
{
int i, j;
TMatrix Q;
PRECISION sum;
if (sv->n_state_variables > 1)
{
for (i=0; i < sv->n_state_variables; i++)
if (!ReadBaseTransitionMatricesFlat_SV(f_in,sv->state_variable[i]))
return 0;
}
else
{
/* // Read transition matrix ansi-c*/
Q=CreateMatrix(sv->nbasestates,sv->nbasestates);
for (j=0; j < ColM(Q); j++)
for (i=0; i < RowM(Q); i++)
if (fscanf(f_in," %lf ",&ElementM(Q,i,j)) != 1)
{
FreeMatrix(Q);
return 0;
}
/* // Scale the columns of Q - loose requirement on sumation to one ansi-c*/
for (j=sv->nbasestates-1; j >= 0; j--)
{
for (sum=0.0, i=sv->nbasestates-1; i >= 0; i--)
if (ElementM(Q,i,j) < 0.0)
{
FreeMatrix(Q);
dw_UserError("Transition matrix can not have negative elements.");
return 0;
}
else
sum+=ElementM(Q,i,j);
if (fabs(sum-1.0) > 1.0e-4)
{
FreeMatrix(Q);
dw_UserError("Transition matrix columns must sum to one.");
return 0;
}
for (sum=1.0/sum, i=sv->nbasestates-1; i >= 0; i--)
ElementM(Q,i,j)*=sum;
}
/* // Convert base transition matrix to full transition matrix. ansi-c*/
ConvertBaseTransitionMatrix(sv->Q,Q,sv->nlags_encoded);
/* // Free Q ansi-c*/
FreeMatrix(Q);
/* // Update ansi-c*/
if (!Update_B_from_Q_SV(sv))
{
dw_UserError("Transition matrices do not satisfy restrictions");
return 0;
}
return 1;
}
return 1;
}
/*
Returns 1 upon success and 0 upon failure.
......@@ -894,6 +966,11 @@ int WriteBaseTransitionMatrices(FILE *f, char *filename, char *header, TStateMod
return rtrn;
}
int ReadBaseTransitionMatricesFlat(FILE *f, TStateModel *model)
{
return f ? ReadBaseTransitionMatricesFlat_SV(f,model->sv) : 0;
}
int WriteBaseTransitionMatricesFlat(FILE *f, TStateModel *model, char *fmt)
{
return f ? WriteBaseTransitionMatricesFlat_SV(f,model->sv,fmt) : 0;
......
matlab/swz/c-code/sbvar/switching/switchio.h
View file @ ded34f99
......@@ -12,6 +12,7 @@ int WriteTransitionMatrices_SV(FILE *f_out, TMarkovStateVariable* sv, char *head
int ReadBaseTransitionMatrices_SV(FILE *f_out, TMarkovStateVariable *sv, char *header, char *idstring);
int WriteBaseTransitionMatrices_SV(FILE *f_out, TMarkovStateVariable *sv, char *header, char *idstring);
int ReadBaseTransitionMatricesFlat_SV(FILE *f_out, TMarkovStateVariable *sv);
int WriteBaseTransitionMatricesFlat_SV(FILE *f_out, TMarkovStateVariable *sv, char *fmt);
void WriteBaseTransitionMatricesFlat_Headers_SV(FILE *f_out, TMarkovStateVariable* sv, char *idstring);
......@@ -28,6 +29,7 @@ int WriteStates(FILE *f, char *filename, char *header, TStateModel *model);
int ReadBaseTransitionMatrices(FILE *f, char *filename, char *header, TStateModel *model);
int WriteBaseTransitionMatrices(FILE *f, char *filename, char *header, TStateModel *model);
int ReadBaseTransitionMatricesFlat(FILE *f, TStateModel *model);
int WriteBaseTransitionMatricesFlat(FILE *f, TStateModel *model, char *fmt);
/*
......
matlab/swz/c-code/sbvar/var/VARbase.c
View file @ ded34f99
......@@ -2389,6 +2389,203 @@ void Update_lambda_psi_from_bplus(T_VAR_Parameters *p)
/******************************************************************************/
/******************************************************************************/
/******************************************************************************/
/********************************* Forecasts **********************************/
/******************************************************************************/
/*
Assumes:
forecast : horizon x nvars matrix or null pointer
horizon : positive integer - forecast horizon
initial : initial value of predetermined variables.
shocks : array of length horizon of shocks or null pointer. If null
pointer, then the shocks are all zero. Each vector is of length
nvar.
S : array of length horizon. S[t] is the state at time T+1+t.
model : pointer to valid TStateModel structure.
Results:
Computes forecast
Returns:
The matrix forecast upon success and null upon failure. If forecast is
null, then it created.
*/
TMatrix forecast_base(TMatrix forecast, int horizon, TVector initial, TVector *shocks, int *S, TStateModel *model)
{
T_VAR_Parameters *p=(T_VAR_Parameters*)(model->theta);
TMatrix *A0, *Aplus;
TVector x, y;
int i, t;
/* // allocate forecast if necessary ansi-c*/
if (!forecast && !(forecast=CreateMatrix(horizon,p->nvars)))
return (TMatrix)NULL;
/* // allocate memory ansi-c*/
y=CreateVector(p->nvars);
x=EquateVector((TVector)NULL,initial);
A0=MakeA0_All((TMatrix*)NULL,p);
Aplus=MakeAplus_All((TMatrix*)NULL,p);
/* // forecast ansi-c*/
for (t=0; t < horizon; t++)
{
ProductVM(y,x,Aplus[S[t]]);
if (shocks)
{
for (i=p->nvars-1; i >= 0; i--)
ElementV(y,i)+=ElementV(shocks[t],i)/sqrt(p->Zeta[i][p->var_states[i][S[t]]]);
}
ProductInverseVM(y,y,A0[S[t]]);
for (i=p->nvars-1; i >= 0; i--)
ElementM(forecast,t,i)=ElementV(y,i);
memmove(pElementV(x)+p->nvars,pElementV(x),(p->nlags-1)*p->nvars*sizeof(PRECISION));
memcpy(pElementV(x),pElementV(y),p->nvars*sizeof(PRECISION));
}
/* // free memory ansi-c*/
dw_FreeArray(Aplus);
dw_FreeArray(A0);
FreeVector(x);
FreeVector(y);
return forecast;
}
/*
For 1 <= k < h, y[k][i] is null if the ith coordinate of y(t0+1+k) is
unrestricted and is its value otherwise. In general, t0 is the last index for
which we have full information. It must be the case that t0 <= nobs.
*/
/* TVector* dw_state_space_mean_conditional_forecast(TVector *F, PRECISION ***y, int h, int t0, TStateModel *model) */
/* { */
/* T_MSStateSpace *statespace=(T_MSStateSpace*)(model->theta); */
/* TVector Pxi_i, *Pxi, *Pxi1, *SPxi, *Ez_i, **IEz, **Ez1, **Ez, **SEz, **ISEz, SPzeta, SPs, u, *z; */
/* TMatrix Q, *Ezz_i, **IEzz, **Ezz1, **Ezz; */
/* int i, k, s; */
/* if ((t0 > statespace->t0) && !Filter(t0,model)) return (TVector*)NULL; */
/* if ((t0 > model->t0) && !ForwardRecursion(t0,model)) return (TVector*)NULL; */
/* if (((t0 < model->sv->t0) || (model->sv->t1 < t0)) && !sv_ComputeTransitionMatrix(t0,model->sv,model)) return (TVector*)NULL; */
/* Pxi=dw_CreateArray_vector(h); */
/* Pxi1=dw_CreateArray_vector(h); */
/* SPxi=dw_CreateArray_vector(h); */
/* IEz=dw_CreateRectangularArray_vector(h,statespace->zeta_modulus); */
/* IEzz=dw_CreateRectangularArray_matrix(h,statespace->zeta_modulus); */
/* Ez1=dw_CreateRectangularArray_vector(h,statespace->nstates); */
/* Ezz1=dw_CreateRectangularArray_matrix(h,statespace->nstates); */
/* Ez=dw_CreateRectangularArray_vector(h,statespace->nstates); */
/* Ezz=dw_CreateRectangularArray_matrix(h,statespace->nstates); */
/* SEz=dw_CreateRectangularArray_vector(h,statespace->nstates); */
/* ISEz=dw_CreateRectangularArray_vector(h,statespace->zeta_modulus); */
/* for (k=h-1; k >= 0; k--) */
/* { */
/* Pxi[k]=CreateVector(statespace->nstates); */
/* Pxi1[k]=CreateVector(statespace->nstates); */
/* SPxi[k]=CreateVector(statespace->nstates); */
/* for (i=statespace->zeta_modulus-1; i >= 0; i--) */
/* { */
/* IEz[k][i]=CreateVector(statespace->nz); */
/* IEzz[k][i]=CreateMatrix(statespace->nz,statespace->nz); */
/* ISEz[k][i]=CreateVector(statespace->nz); */
/* } */
/* for (i=statespace->nstates-1; i >= 0; i--) */
/* { */
/* Ez1[k][i]=CreateVector(statespace->nz); */
/* Ezz1[k][i]=CreateMatrix(statespace->nz,statespace->nz); */
/* Ez[k][i]=CreateVector(statespace->nz); */
/* Ezz[k][i]=CreateMatrix(statespace->nz,statespace->nz); */
/* SEz[k][i]=CreateVector(statespace->nz); */
/* } */
/* } */
/* ConditionalFilter(0,h-1,y,statespace->Ez[t0],statespace->Ezz[t0],model->V[t0],model->sv->Q, */
/* Pxi,Pxi1,IEz,IEzz,Ez1,Ezz1,Ez,Ezz,statespace); */
/* SmoothProbabilities_MSStateSpace(0,h-1,SPxi,Pxi,Pxi1,model->sv->Q); */
/* SmoothMean_MSStateSpace(0,h-1,SEz,ISEz,Ez1,Ezz1,IEz,IEzz,SPxi,statespace); */
/* SPzeta=CreateVector(statespace->zeta_modulus); */
/* SPs=CreateVector(statespace->nbasestates); */
/* u=CreateVector(statespace->ny); */
/* z=dw_CreateArray_vector(statespace->nbasestates); */
/* for (s=statespace->nbasestates-1; s >= 0; s--) z[s]=CreateVector(statespace->nz); */
/* if (!F) */
/* { */
/* F=dw_CreateArray_vector(h); */
/* for (k=h-1; k >= 0; k--) */
/* F[k]=CreateVector(statespace->ny); */
/* } */
/* for (k=h-1; k >= 0; k--) */
/* { */
/* InitializeVector(F[k],0.0); */
/* if (statespace->zeta_modulus > statespace->nbasestates) */
/* { */
/* IntegrateStatesSingle(SPzeta,SPxi[k],statespace->zeta_modulus,statespace->nbasestates,2); */
/* IntegrateStatesSingleV(z,SPzeta,ISEz[k],statespace->nbasestates,statespace->zeta_modulus/statespace->nbasestates,2); */
/* IntegrateStatesSingle(SPs,SPzeta,statespace->nbasestates,statespace->zeta_modulus/statespace->nbasestates,2); */
/* for (s=statespace->nbasestates-1; s >= 0; s--) */
/* { */
/* ProductMV(u,statespace->H[s],z[s]); */
/* AddVV(u,statespace->a[s],u); */
/* LinearCombinationV(F[k],1.0,F[k],ElementV(SPs,s),u); */
/* } */
/* } */
/* else */
/* { */
/* IntegrateStatesSingle(SPs,SPxi[k],statespace->nbasestates,statespace->zeta_modulus,2); */
/* for (s=statespace->nbasestates-1; s >= 0; s--) */
/* { */
/* ProductMV(u,statespace->H[s],ISEz[k][s]); */
/* AddVV(u,statespace->a[s],u); */
/* LinearCombinationV(F[k],1.0,F[k],ElementV(SPs,s),u); */
/* } */
/* } */
/* } */
/* // Clean up */
/* dw_FreeArray(z); */
/* FreeVector(u); */
/* FreeVector(SPs); */
/* FreeVector(SPzeta); */
/* dw_FreeArray(ISEz); */
/* dw_FreeArray(SEz); */
/* dw_FreeArray(Ezz); */
/* dw_FreeArray(Ez); */
/* dw_FreeArray(Ezz1); */
/* dw_FreeArray(Ez1); */
/* dw_FreeArray(IEzz); */
/* dw_FreeArray(IEz); */
/* dw_FreeArray(SPxi); */
/* dw_FreeArray(Pxi1); */
/* dw_FreeArray(Pxi); */
/* return F; */
/* } */
/*
*/
/* TVector* dw_state_space_mean_unconditional_forecast(TVector *F, int h, int t0, TStateModel *model) */
/* { */
/* T_MSStateSpace *statespace=(T_MSStateSpace*)(model->theta); */
/* PRECISION ***y=(PRECISION***)dw_CreateMultidimensionalArrayList_scalar(3,h,statespace->ny,1); */
/* int i, j; */
/* for (i=h-1; i >= 0; i--) */
/* for (j=statespace->ny-1; j >= 0; j--) */
/* { dw_FreeArray(y[i][j]); y[i][j]=(PRECISION*)NULL; } */
/* F=dw_state_space_mean_conditional_forecast(F,y,h,t0,model); */
/* dw_FreeArray(y); */
/* return F; */
/* } */
/******************************************************************************/
/** Impulse Response Routines **/
/******************************************************************************/
......@@ -3381,6 +3578,36 @@ TMatrix MakeA0(TMatrix A0, int s, T_VAR_Parameters *p)
return A0;
}
/*
Assumes:
A0 : Matrix array of length n_states or null pointer. A0[s] is either
p->nvars x p->nvars matrix or null pointer
*/
TMatrix* MakeA0_All(TMatrix *A0, T_VAR_Parameters *p)
{
int s;
TMatrix *A0_in=A0;
if (!A0)
{
if (!(A0=dw_CreateArray_matrix(p->nstates)))
return (TMatrix*)NULL;
}
else
if ((dw_DimA(A0) != p->nstates))
{
dw_Error(SIZE_ERR);
return (TMatrix*)NULL;
}
for (s=p->nstates-1; s >= 0; s--)
if (!(A0[s]=MakeA0(A0[s],s,p)))
{
if (A0_in != A0) dw_FreeArray(A0);
return (TMatrix*)NULL;
}
return A0;
}
/*
Assumes:
Aplus : p->npre x p->nvars matrix or null pointer
......@@ -3405,6 +3632,36 @@ TMatrix MakeAplus(TMatrix Aplus, int k, T_VAR_Parameters *p)
return Aplus;
}
/*
Assumes:
Aplus : Matrix array of length n_states or null pointer. Aplus[s] is either
p->npre x p->nvars matrix or null pointer
*/
TMatrix* MakeAplus_All(TMatrix *Aplus, T_VAR_Parameters *p)
{
int s;
TMatrix *Aplus_in=Aplus;
if (!Aplus)
{
if (!(Aplus=dw_CreateArray_matrix(p->nstates)))
return (TMatrix*)NULL;
}
else
if ((dw_DimA(Aplus) != p->nstates))
{
dw_Error(SIZE_ERR);
return (TMatrix*)NULL;
}
for (s=p->nstates-1; s >= 0; s--)
if (!(Aplus[s]=MakeAplus(Aplus[s],s,p)))
{
if (Aplus_in != Aplus) dw_FreeArray(Aplus);
return (TMatrix*)NULL;
}
return Aplus;
}
TMatrix MakeZeta(TMatrix Zeta, int k, T_VAR_Parameters *p)
{
int j;
......@@ -3425,6 +3682,35 @@ TMatrix MakeZeta(TMatrix Zeta, int k, T_VAR_Parameters *p)
return Zeta;
}
/*
Assumes:
Zeta : Matrix array of length n_states or null pointer. Zeta[s] is either
p->vars x p->nvars matrix or null pointer
*/
TMatrix* MakeZeta_All(TMatrix *Zeta, T_VAR_Parameters *p)
{
int s;
TMatrix *Zeta_in=Zeta;
if (!Zeta)
{
if (!(Zeta=dw_CreateArray_matrix(p->nstates)))
return (TMatrix*)NULL;
}
else
if ((dw_DimA(Zeta) != p->nstates))
{
dw_Error(SIZE_ERR);
return (TMatrix*)NULL;
}
for (s=p->nstates-1; s >= 0; s--)
if (!(Zeta[s]=MakeZeta(Zeta[s],s,p)))
{
if (Zeta_in != Zeta) dw_FreeArray(Zeta);
return (TMatrix*)NULL;
}
return Zeta;
}
/*
Assumes
X: n x n matrix or null pointer in column major format
......
matlab/swz/c-code/sbvar/var/VARbase.h
View file @ ded34f99
......@@ -198,14 +198,23 @@ void DrawAplus(TStateModel *model);
void Draw_psi(TStateModel *model);
void Draw_lambda(TStateModel *model);
/* Forecasts */
TMatrix forecast_base(TMatrix forecast, int horizon, TVector initial, TVector *shocks, int *S, TStateModel *model);
/* //TVector* mean_conditional_forecast(TVector *F, PRECISION ***y, int h, int t0, TStateModel *model); ansi-c*/
/* //TVector* mean_unconditional_forecast(TVector *F, int h, int t0, TStateModel *model); ansi-c*/
/* Utilities */
void ComputeDotProducts_All(T_VAR_Parameters *p);
void ComputeLogAbsDetA0_All(T_VAR_Parameters *p);
void ComputeLogAbsDetA0(int j, int k, T_VAR_Parameters *p);
TMatrix MakeA0(TMatrix A0, int k, T_VAR_Parameters *p);
TMatrix* MakeA0_All(TMatrix *A0, T_VAR_Parameters *p);
TMatrix MakeAplus(TMatrix Aplus, int k, T_VAR_Parameters *p);
TMatrix* MakeAplus_All(TMatrix *Aplus, T_VAR_Parameters *p);
TMatrix MakeZeta(TMatrix Zeta, int k, T_VAR_Parameters *p);
TMatrix* MakeZeta_All(TMatrix *Zeta, T_VAR_Parameters *p);
TMatrix ConstructMatrixFromColumns(TMatrix X, TVector **, int k);
void UpdateStateDependentFields(T_VAR_Parameters *p, int *S);
......
matlab/swz/c-code/sbvar/var/VARio.c
View file @ ded34f99
......@@ -563,6 +563,74 @@ int Write_VAR_ParametersFlat_Headers(FILE *f_out, TStateModel *model)
return 1;
}
int Read_VAR_ParametersFlat(FILE *f_in, TStateModel *model)
{
TMatrix *A0, *Aplus;
TVector *Zeta;
int i, j, s, rtrn=0;
T_VAR_Parameters *p=(T_VAR_Parameters*)(model->theta);
/* // Allocate memory ansi-c*/
A0=dw_CreateArray_matrix(p->nstates);
Aplus=dw_CreateArray_matrix(p->nstates);
Zeta=dw_CreateArray_vector(p->nstates);
/* // Read File ansi-c*/
for (s=0; s < p->nstates; s++)
{
A0[s]=CreateMatrix(p->nvars,p->nvars);
for (j=0; j < p->nvars; j++)
for (i=0; i < p->nvars; i++)
if (fscanf(f_in," %lf ",&ElementM(A0[s],i,j)) != 1)
goto ERROR;
Aplus[s]=CreateMatrix(p->npre,p->nvars);
for (j=0; j < p->nvars; j++)
for (i=0; i < p->npre; i++)
if (fscanf(f_in," %lf ",&ElementM(Aplus[s],i,j)) != 1)
goto ERROR;
Zeta[s]=CreateVector(p->nvars);
for (j=0; j < p->nvars; j++)
if (fscanf(f_in," %lf ",&ElementV(Zeta[s],j)) != 1)
goto ERROR;
else
if (ElementV(Zeta[s],j) < 0.0)
goto ERROR;
}
/* // Set A0, Aplus, and Zeta ansi-c*/
for (j=0; j < p->nvars; j++)
for (s=0; s < p->nstates; s++)
{
for (i=0; i < p->nvars; i++)
ElementV(p->A0[j][p->coef_states[j][s]],i)=ElementM(A0[s],i,j);
for (i=0; i < p->npre; i++)
ElementV(p->Aplus[j][p->coef_states[j][s]],i)=ElementM(Aplus[s],i,j);
p->Zeta[j][p->var_states[j][s]]=ElementV(Zeta[s],j);
}
/* // Update b0, bplus, lambda, psi ansi-c*/
Update_b0_bplus_from_A0_Aplus(p);
if ((p->Specification & SPEC_SIMS_ZHA) == SPEC_SIMS_ZHA) Update_lambda_psi_from_bplus(p);
/* // Flags and notification that the VAR parameters have changed ansi-c*/
p->valid_parameters=1;
ThetaChanged(model);
rtrn=1;
ERROR:
/* // Free memory ansi-c*/
dw_FreeArray(A0);
dw_FreeArray(Aplus);
dw_FreeArray(Zeta);
return rtrn;
}
/*
For each state the VAR parameters are printed as follows
A0 (by columns)
......
matlab/swz/c-code/sbvar/var/VARio.h
View file @ ded34f99
......@@ -10,6 +10,7 @@ TStateModel* Read_VAR_Specification(FILE *f, char *filename);
int Write_VAR_Parameters(FILE *f, char *filename, char *id, TStateModel *model);
int Read_VAR_Parameters(FILE *f, char *filename, char *id, TStateModel *model);
int Read_VAR_ParametersFlat(FILE *f_in, TStateModel *model);
int Write_VAR_ParametersFlat(FILE *f, TStateModel *model, char *fmt);
int Write_VAR_ParametersFlat_Headers(FILE *f_out, TStateModel *model);
int Write_VAR_ParametersFlat_A0_Diagonal_One(FILE *f, TStateModel *model, char *fmt);
......
matlab/swz/c-code/sbvar/var/forecast.c 0 → 100644
View file @ ded34f99
#include "switch.h"
#include "switchio.h"
#include "VARio.h"
#include "dw_parse_cmd.h"
#include "dw_ascii.h"
#include "dw_histogram.h"
#include <stdlib.h>
#include <string.h>
#include "modify_for_mex.h"