reverse-shooting

Matlab scripts for reverse shooting
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ar1.m (587B)

      1 % AR1.m   ar1(rho,T,N,const,stddev,trend)
      2 %	Generates N AR(1) series of length T with root rho
      3 %
      4 %	Note:  StdDev, const, and trend can be scalar or Nx1
      5 
      6 function data=ar1(rho,T,N,const,stddev,trend);
      7 
      8 if exist('trend')~=1;
      9 	trend=0;
     10 end;
     11 
     12 
     13 if length(stddev)~=1; stddev=kron(ones(T+1,1),stddev'); end;
     14 if length(const)~=1;  const=const'; end;
     15 if length(trend)~=1;  trend=kron((1:T)',trend');
     16 else;                 trend=trend*kron((1:T)',ones(1,N)); end;
     17 
     18 
     19 e=randn(T+1,N).*stddev;
     20 data=e(1,:);
     21 for i=2:T+1;
     22 	data=[data; const+rho*data(i-1,:)+e(i,:)];
     23 end; 
     24 data(1,:)=[];
     25 data=data+trend;