forcst

 function [yf,int_width]=forecst(dr,y0,horizon,var_list)
   computes mean forecast for a given value of the parameters
   computes also confidence band for the forecast    

 INPUTS:
   dr:          structure containing decision rules
   y0:          initial values
   horizon:     nbr of periods to forecast
   var_list:    list of variables (character matrix)

 OUTPUTS:
   yf:          mean forecast
   int_width:   distance between upper bound and
                mean forecast

 SPECIAL REQUIREMENTS
    none

0001 function [yf,int_width]=forcst(dr,y0,horizon,var_list)
0002 % function [yf,int_width]=forecst(dr,y0,horizon,var_list)
0003 %   computes mean forecast for a given value of the parameters
0004 %   computes also confidence band for the forecast
0005 %
0006 % INPUTS:
0007 %   dr:          structure containing decision rules
0008 %   y0:          initial values
0009 %   horizon:     nbr of periods to forecast
0010 %   var_list:    list of variables (character matrix)
0011 %
0012 % OUTPUTS:
0013 %   yf:          mean forecast
0014 %   int_width:   distance between upper bound and
0015 %                mean forecast
0016 %
0017 % SPECIAL REQUIREMENTS
0018 %    none
0019 
0020 % Copyright (C) 2003-2011 Dynare Team
0021 %
0022 % This file is part of Dynare.
0023 %
0024 % Dynare is free software: you can redistribute it and/or modify
0025 % it under the terms of the GNU General Public License as published by
0026 % the Free Software Foundation, either version 3 of the License, or
0027 % (at your option) any later version.
0028 %
0029 % Dynare is distributed in the hope that it will be useful,
0030 % but WITHOUT ANY WARRANTY; without even the implied warranty of
0031 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
0032 % GNU General Public License for more details.
0033 %
0034 % You should have received a copy of the GNU General Public License
0035 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
0036 
0037 global M_  oo_ options_ 
0038 
0039 make_ex_;
0040 yf = simult_(y0,dr,zeros(horizon,M_.exo_nbr),1);
0041 nstatic = dr.nstatic;
0042 npred = dr.npred;
0043 nc = size(dr.ghx,2);
0044 endo_nbr = M_.endo_nbr;
0045 inv_order_var = dr.inv_order_var;
0046 [A,B] = kalman_transition_matrix(dr,nstatic+(1:npred),1:nc,M_.exo_nbr);
0047 
0048 if size(var_list,1) == 0
0049     var_list = M_.endo_names(1:M_.orig_endo_nbr,:);
0050 end
0051 nvar = size(var_list,1);
0052 ivar=zeros(nvar,1);
0053 for i=1:nvar
0054     i_tmp = strmatch(var_list(i,:),M_.endo_names,'exact');
0055     if isempty(i_tmp)
0056         disp(var_list(i,:));
0057         error (['One of the variable specified does not exist']) ;
0058     else
0059         ivar(i) = i_tmp;
0060     end
0061 end
0062 
0063 ghx1 = dr.ghx(inv_order_var(ivar),:);
0064 ghu1 = dr.ghu(inv_order_var(ivar),:);
0065 
0066 sigma_u = B*M_.Sigma_e*B';
0067 sigma_u1 = ghu1*M_.Sigma_e*ghu1';
0068 sigma_y = 0;
0069 
0070 for i=1:horizon
0071     sigma_y1 = ghx1*sigma_y*ghx1'+sigma_u1;
0072     var_yf(i,:) = diag(sigma_y1)';
0073     if i == horizon
0074         break
0075     end
0076     sigma_u = A*sigma_u*A';
0077     sigma_y = sigma_y+sigma_u;
0078 end
0079 
0080 fact = norminv((1-options_.conf_sig)/2,0,1);
0081 
0082 int_width = zeros(horizon,M_.endo_nbr);
0083 for i=1:nvar
0084     int_width(:,i) = -fact*sqrt(var_yf(:,i));
0085 end
0086 
0087 yf = yf(ivar,:);