function [forecastmatrix]=maforecastsim(data_endo_a,data_exo_a,data_exo_p,B,Delta,p,n,m,horizon)


% function [forecastmatrix]=maforecastsim(data_endo_a,data_exo_a,data_exo_p,B,Delta,p,n,m,horizon)
% computes the matrix of unconditional forecasts (absent shocks)
% inputs:  - matrix 'data_endo_a': the matrix storing the pre-forecast endogenous data
%          - matrix 'data_exo_a': the matrix storing the pre-forecast exogenous data
%          - matrix 'data_exo_p': the matrix storing the predicted exogenous data
%          - matrix 'B': the matrix containing the VAR coefficients defined in (3.5.10)
%          - matrix 'Delta': the matrix containing the coefficients on exogenous data, defined in (3.5.10)
%          - integer 'p': the number of lags in the model
%          - integer 'n': the number of endogenous variables in the model
%          - integer 'm': the number of exogenous variables in the model
%          - integer 'horizon': the number of periods for which forecasts have to be produced
% outputs: - matrix 'forecastmatrix': the matrix storing the unconditional forecast values


% this function uses the chain rule of forecasts, defined p 38 of the user's guide, adapted for the mean_adjusted BVAR model


% compute the matrix Y
Y=data_endo_a(end-p+1:end,:);

% compute the matrix exo
exo=data_exo_a(end-p+1:end,:);


% repeat the process for periods T+1 to T+h

for jj=1:horizon

% concatenate the transpose of predicted exogenous to the top of actual exogenous
exo=[exo;data_exo_p(jj,:)];

% use the function lagx on Y to obtain the matrix X; retain only the last row
X=bear.lagx(Y,p-1);
X=X(end,:);

% use the function lagx on exo to obtain the matrix Z; retain only the last row
Z=bear.lagx(exo,p);
Z=Z(end,:);
Z(:,m+1:end)=-Z(:,m+1:end);


% obtain predicted value for T+jj
yp=X*B+Z*Delta;

% concatenate the transpose of yp to the top of Y
Y=[Y;yp];

% repeat until values are obtained for T+h
end

% record the values in the matrix forecastmatrix
forecastmatrix=Y(p+1:end,:);




european-central-bank
github-repos/MATLAB/european-central-bank-BEAR-toolbox/BEAR-toolbox-f33aae80c40f7a2e78a54de99b2ce3663f59aa75/tbx/bear/+bear/maforecastsim.m
BEAR-toolbox
github-repos/MATLAB/european-central-bank-BEAR-toolbox
f33aae80c40f7a2e78a54de99b2ce3663f59aa75