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Dynare
dynare
Commits
2fa6c437
Commit
2fa6c437
authored
1 year ago
by
Johannes Pfeifer
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solve_model_for_online_filter.m: remove redundant call to Lyapunov solver
parent
420cbc82
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!2163
Add variance decomposition for pruned state space
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matlab/nonlinear-filters/solve_model_for_online_filter.m
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matlab/nonlinear-filters/solve_model_for_online_filter.m
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matlab/nonlinear-filters/solve_model_for_online_filter.m
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2fa6c437
...
...
@@ -20,7 +20,7 @@ function [info, Model, DynareOptions, DynareResults, ReducedForm] = ...
% - DynareResults [struct] Dynare results (oo_).
% - ReducedForm [struct] Reduced form model.
% Copyright © 2013-202
2
Dynare Team
% Copyright © 2013-202
3
Dynare Team
%
% This file is part of Dynare.
%
...
...
@@ -188,7 +188,6 @@ if setinitialcondition
case
1
% Initial state vector covariance is the ergodic variance associated to the first order Taylor-approximation of the model.
StateVectorMean
=
ReducedForm
.
state_variables_steady_state
;
%.constant(mf0);
[
A
,
B
]
=
kalman_transition_matrix
(
dr
,
dr
.
restrict_var_list
,
dr
.
restrict_columns
);
StateVectorVariance2
=
lyapunov_symm
(
ReducedForm
.
ghx
(
mf0
,:),
ReducedForm
.
ghu
(
mf0
,:)
*
ReducedForm
.
Q
*
ReducedForm
.
ghu
(
mf0
,:)
'
,
DynareOptions
.
lyapunov_fixed_point_tol
,
DynareOptions
.
qz_criterium
,
DynareOptions
.
lyapunov_complex_threshold
);
StateVectorVariance
=
lyapunov_symm
(
A
,
B
*
ReducedForm
.
Q
*
B
'
,
DynareOptions
.
lyapunov_fixed_point_tol
,
...
DynareOptions
.
qz_criterium
,
DynareOptions
.
lyapunov_complex_threshold
,
[],
DynareOptions
.
debug
);
StateVectorVariance
=
StateVectorVariance
(
mf0
,
mf0
);
...
...
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