ECONOMETRIC METHODS II TA session 1 MATLAB Intro ...

ECONOMETRIC METHODS II TA Session 1
diff=max(max(abs(Cap_Sigma1-Cap_Sigma0)));
diff1=[diff1,diff];
figure(2)
plot(diff1)
title(’Evolution of convergence’,’FontSize’,14)
end
sprintf(’Convergence achieved after %d iterations’,iter)
% Alternatively, solve the discrete Lyapunov equation
Cap_Sigma1l=dlyap(F,Q);
% Compare results
diff2=max(max(abs(Cap_Sigma1l-Cap_Sigma1)));
toc
Figure 3.2 shows that convergence is roughly achieved after iterating this equation
7 times. However, since we impose a convergence criteria of " = 1 10 10 , the loop
converges after 20 iterations. Moreover, in this application di¤2 is less than 1 10 10 ,
which shows that the loop produces a good approximation. We now proceed to the next
section for a more interesting analysis.
Figure 3.2: Evolution of convergence of Y
Fernando Pérez Forero 8