thet2tau

 Copyright (C) 2012 Dynare Team

 This file is part of Dynare.

 Dynare is free software: you can redistribute it and/or modify
 it under the terms of the GNU General Public License as published by
 the Free Software Foundation, either version 3 of the License, or
 (at your option) any later version.

 Dynare is distributed in the hope that it will be useful,
 but WITHOUT ANY WARRANTY; without even the implied warranty of
 MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 GNU General Public License for more details.

 You should have received a copy of the GNU General Public License
 along with Dynare.  If not, see <http://www.gnu.org/licenses/>.

0001 function tau = thet2tau(params, indx, indexo, flagmoments,mf,nlags,useautocorr)
0002 
0003 % Copyright (C) 2012 Dynare Team
0004 %
0005 % This file is part of Dynare.
0006 %
0007 % Dynare is free software: you can redistribute it and/or modify
0008 % it under the terms of the GNU General Public License as published by
0009 % the Free Software Foundation, either version 3 of the License, or
0010 % (at your option) any later version.
0011 %
0012 % Dynare is distributed in the hope that it will be useful,
0013 % but WITHOUT ANY WARRANTY; without even the implied warranty of
0014 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
0015 % GNU General Public License for more details.
0016 %
0017 % You should have received a copy of the GNU General Public License
0018 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
0019 
0020 global M_ oo_ options_
0021 
0022 if nargin==1,
0023     indx = [1:M_.param_nbr];
0024     indexo = [];
0025 end
0026 
0027 if nargin<4,
0028   flagmoments=0;
0029 end
0030 if nargin<7 | isempty(useautocorr),
0031   useautocorr=0;
0032 end
0033 
0034 M_.params(indx) = params(length(indexo)+1:end);
0035 if ~isempty(indexo)
0036   M_.Sigma_e(indexo,indexo) = diag(params(1:length(indexo)).^2);
0037 end
0038 [A,B,plouf,plouf,M_,options_,oo_] = dynare_resolve(M_,options_,oo_);
0039 if flagmoments==0,
0040 tau = [oo_.dr.ys(oo_.dr.order_var); A(:); dyn_vech(B*M_.Sigma_e*B')];
0041 else
0042 GAM =  lyapunov_symm(A,B*M_.Sigma_e*B',options_.qz_criterium,options_.lyapunov_complex_threshold);
0043 k = find(abs(GAM) < 1e-12);
0044 GAM(k) = 0;
0045 if useautocorr,
0046   sy = sqrt(diag(GAM));
0047   sy = sy*sy';
0048   sy0 = sy-diag(diag(sy))+eye(length(sy));
0049   dum = GAM./sy0;
0050   tau = dyn_vech(dum(mf,mf));
0051 else
0052   tau = dyn_vech(GAM(mf,mf));
0053 end
0054 for ii = 1:nlags
0055   dum = A^(ii)*GAM;
0056   if useautocorr,
0057     dum = dum./sy;
0058   end
0059   tau = [tau;vec(dum(mf,mf))];
0060 end
0061 tau = [ oo_.dr.ys(oo_.dr.order_var(mf)); tau];
0062 end