Commit f26e954b authored by adjemian's avatar adjemian
Browse files

A new fonction that will be used for structural shock identification in BVARs.

git-svn-id: ac1d8469-bf42-47a9-8791-bf33cf982152
parent 59f3fa51
function F = get_innovation_contemporaneous_impact('type')
% The approximated reduced form model is
% Y^*_t = Z Y_t [Measure]
% Y_t = A*Y_{t-1} + B*E_t [State]
% where Z is an p*m selection matrix (p<=m), Y^* is the p*1 vector of
% observable endogenous variables, Y is an m*1 vector of endogeneous
% variables, A is an m*m matrix, B is an m*r matrix (r<=m) and E an r*1
% vector of structural innovations.
% The contemporaneous is return impact (on the observables) of an innovation is
% given by F = Z*B. Matrix F is returned by this function.
% o type = "mode","mean"
% o F (F is also saved in a file)
% None.
% This function need to be run after the estimation of a model.
% part of DYNARE, copyright S. Adjemian, M. Juillard (2006)
% Gnu Public License.
global oo_ M_ bayestopt_
if nargin == 0
type = 'mode';
Atheta(oo_.dr.order_var,M_.exo_names_orig_ord) = oo_.dr.ghu*sqrt(M_.Sigma_e);
F = Atheta(bayestopt_.mfys,:);
save([M_.fname '_InnovImpact',F]);
\ No newline at end of file
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