Commit 2f9dc092 by MichelJuillard

### diffuse filter: removed special treatment of static variables

parent 383d891e
 ... ... @@ -52,20 +52,8 @@ function [Z,ST,R1,QT,Pstar,Pinf] = schur_statespace_transformation(mf,T,R,Q,qz_c % along with Dynare. If not, see . np = size(T,1); if nargin == 6, indx = restrict_columns; indx0=find(~ismember([1:np],indx)); else indx=(find(max(abs(T))>0)); indx0=(find(max(abs(T))==0)); end T0=T(indx0,indx); %static variables vs. dynamic ones R0=R(indx0,:); % matrix of shocks for static variables % perform Kitagawa transformation only for non-zero columns of T T=T(indx,indx); R=R(indx,:); np = size(T,1); % perform Kitagawa transformation [QT,ST] = schur(T); e1 = abs(ordeig(ST)) > 2-qz_criterium; [QT,ST] = ordschur(QT,ST,e1); ... ... @@ -73,7 +61,9 @@ k = find(abs(ordeig(ST)) > 2-qz_criterium); nk = length(k); nk1 = nk+1; Pstar = zeros(np,np); B = QT'*R*Q*R'*QT; R1 = QT'*R; B = R1*Q*R1'; % computes variance of stationary block (lower right) i = np; while i >= nk+2 if ST(i,i-1) == 0 ... ... @@ -113,47 +103,20 @@ if i == nk+1 c = ST(nk+1,:)*(Pstar(:,nk+2:end)*ST(nk1,nk+2:end)')+ST(nk1,nk1)*ST(nk1,nk+2:end)*Pstar(nk+2:end,nk1); Pstar(nk1,nk1)=(B(nk1,nk1)+c)/(1-ST(nk1,nk1)*ST(nk1,nk1)); end R1 = QT'*R; ST1=ST; % now I recover stationarized static variables % using % ss = s-z and % z-z(-1) (growth rates of unit roots) only depends on stationary variables np0=length(indx0); Pstar = blkdiag(zeros(np0),Pstar); ST = [zeros(length(Pstar),length(indx0)) [T0*QT ;ST]]; R1 = [R0; R1]; ST0=ST; ST0(:,1:np0+nk)=0; ST0(np0+1:np0+nk,:)=0; ST0(1:np0,np0+nk+1:end) = ST(1:np0,np0+nk+1:end)-ST(1:np0,np0+1:np0+nk)*ST(np0+1:np0+nk,np0+nk+1:end); R10 = R1; R10(np0+1:np0+nk,:)=0; R10(1:np0,:) = R1(1:np0,:)-ST(1:np0,np0+1:np0+nk)*R1(np0+1:np0+nk,:); Pstar = ... ST0*Pstar*ST0'+ ... R10*Q*R10'; QT = blkdiag(eye(np0),QT); QT(1:np0,np0+1:np0+nk) = QT(1:np0,np0+1:np0+nk)+ST(1:np0,np0+1:np0+nk); % reorder QT entries QT([indx0(:); indx(:)],:) = QT; Z = QT(mf,:); ST(1:np0,:) = ST0(1:np0,:); R1(1:np0,:) = R10(1:np0,:); % stochastic trends with no influence on observed variables are % arbitrarily initialized to zero Pinf = zeros(np,np); Pinf(1:nk,1:nk) = eye(nk); [QQ,RR,EE] = qr(Z*ST(:,1+np0:nk+np0),0); k = find(abs(diag([RR; zeros(nk-size(Z,1),size(RR,2))])) < 1e-8); [QQ,RR,EE] = qr(Z*ST,0); k = find(abs(diag(RR)) < 1e-8); if length(k) > 0 k1 = EE(:,k); dd =ones(nk,1); dd(k1) = zeros(length(k1),1); Pinf(1:nk,1:nk) = diag(dd); end Pinf = blkdiag(zeros(np0),Pinf);
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