matrices before VAR representation

[Ippei]

Hi all,

I would like to obtain such matrices as alpha0, alpha1 and alpha2 as below;
alpha0*Z(+1)+alpha1*Z+alpha2*Z(-1)=0,
where Z is the vector of endogenous variables. This is the linearlized forward looking model before backward (Blanchard-Kahn) transformation (in some cases, this may include Z(-2) etc).

I know that I can obtain the matrix, ghx, contained in dr_, in backward state space form as below:
Z=ghx*X(-1),
where X is the vector of state variables. However, I would like to obtain the matrices in dynamic system in forward looking state space form as well.

Thanks in advance,
Ippei

[MichelJuillard]

Dear Ippei,

these matrices aren't made available. But they exist in dr1.m.

They are submatrices of jacobia_, around line 47.

jacobia_ is organized as

[alpha2 alpha1 alpha0] in your notation

In each of alpha0, alpha1, alpha2 the variables are arranged in alphabetical order.

The corresponding variable and lag of each column of jacobia_ is given in iy_

The first row of iy_ represent maximum lag

Kind regards

Michel

[Ippei]

Dear Michel,

Thank you very much for your reply and detailed information. I really appreciate it!

Cheers,
Ippei