reverse-shooting

Matlab scripts for reverse shooting
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lagpoly.m (557B)

      1 function y=lagpoly(x,rho,y0);
      2 
      3 % lagpoly.m    2/26/97
      4 %
      5 %  Applies a lag polynomial to calculate y, where
      6 %
      7 %        y(t) = 1/(1-rho*L) x(t)
      8 %
      9 % ==>    y(t) = x(t) + rho*x(t-1) + rho^2*x(t-2) + ...
     10 %
     11 %  Of course, in practice, we do not observe the infinite past, so we need a
     12 %  starting point, which is y0.  Therefore, what this procedure actually
     13 %  does is the following:
     14 %
     15 %    y(t) = (1+rho*L+...+rho^(t-1)L^(t-1))*x(t) + rho^t*y(0)
     16 
     17 T=size(x,1);
     18 y=zeros(T,1);
     19 
     20 for t=1:T;
     21   y(t)=(rho^t)*y0;
     22   for k=0:(t-1);
     23     y(t)=y(t)+(rho^k)*x(t-k);
     24   end;
     25 end;