2017-09-28 10:11:42 +02:00
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function [ysim, xsim] = simul_backward_nonlinear_model_(initialconditions, samplesize, DynareOptions, DynareModel, DynareOutput, innovations, iy1, model_dynamic)
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% Simulates a stochastic non linear backward looking model with arbitrary precision (a deterministic solver is used).
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%
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% INPUTS
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2022-03-02 18:12:35 +01:00
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% - initial_conditions [dseries] initial conditions for the endogenous variables.
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2017-09-28 10:11:42 +02:00
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% - sample_size [integer] scalar, number of periods for the simulation.
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% - DynareOptions [struct] Dynare's options_ global structure.
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% - DynareModel [struct] Dynare's M_ global structure.
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% - DynareOutput [struct] Dynare's oo_ global structure.
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% - innovations [double] T*q matrix, innovations to be used for the simulation.
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%
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% OUTPUTS
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% - DynareOutput [struct] Dynare's oo_ global structure.
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%
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% REMARKS
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% [1] The innovations used for the simulation are saved in DynareOutput.exo_simul, and the resulting paths for the endogenous
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% variables are saved in DynareOutput.endo_simul.
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% [2] The last input argument is not mandatory. If absent we use random draws and rescale them with the informations provided
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% through the shocks block.
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% [3] If the first input argument is empty, the endogenous variables are initialized with 0, or if available with the informations
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% provided thrtough the histval block.
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2022-03-02 18:12:35 +01:00
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% Copyright © 2017-2022 Dynare Team
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2017-09-28 10:11:42 +02:00
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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2021-06-09 17:33:48 +02:00
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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2017-09-28 10:11:42 +02:00
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2020-02-27 22:57:16 +01:00
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debug = false;
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2017-09-28 10:11:42 +02:00
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model_dynamic_s = str2func('dynamic_backward_model_for_simulation');
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if ~isempty(innovations)
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DynareOutput.exo_simul(initialconditions.nobs+(1:samplesize),:) = innovations;
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end
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% Simulations (call a Newton-like algorithm for each period).
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for it = initialconditions.nobs+(1:samplesize)
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2020-02-27 22:57:16 +01:00
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if debug
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2022-03-02 18:13:48 +01:00
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dprintf('Period t = %s.', num2str(it-initialconditions.nobs));
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2020-02-27 22:57:16 +01:00
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end
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y_ = DynareOutput.endo_simul(:,it-1);
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ylag = y_(iy1); % Set lagged variables.
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y = y_; % A good guess for the initial conditions is the previous values for the endogenous variables.
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2020-02-19 14:39:02 +01:00
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try
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2020-02-20 13:12:16 +01:00
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if ismember(DynareOptions.solve_algo, [12,14])
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2022-04-10 15:51:55 +02:00
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[DynareOutput.endo_simul(:,it), errorflag, ~, ~, errorcode] = dynare_solve(model_dynamic_s, y, ...
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DynareOptions.simul.maxit, DynareOptions.dynatol.f, DynareOptions.dynatol.x, ...
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DynareOptions, ...
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DynareModel.isloggedlhs, DynareModel.isauxdiffloggedrhs, DynareModel.endo_names, DynareModel.lhs, ...
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model_dynamic, ylag, DynareOutput.exo_simul, DynareModel.params, DynareOutput.steady_state, it);
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2020-02-20 13:12:16 +01:00
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else
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2022-04-09 16:03:37 +02:00
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[DynareOutput.endo_simul(:,it), errorflag, ~, ~, errorcode] = ...
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2022-04-10 15:51:55 +02:00
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dynare_solve(model_dynamic_s, y, ...
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DynareOptions.simul.maxit, DynareOptions.dynatol.f, DynareOptions.dynatol.x, ...
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DynareOptions, ...
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2020-02-27 22:57:16 +01:00
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model_dynamic, ylag, DynareOutput.exo_simul, DynareModel.params, DynareOutput.steady_state, it);
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2020-02-20 13:12:16 +01:00
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end
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2022-03-03 16:57:59 +01:00
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if errorflag
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2022-04-09 16:03:37 +02:00
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error('Nonlinear solver routine failed with errorcode=%i in period %i.', errorcode, it)
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2020-02-19 14:39:02 +01:00
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end
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catch
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2022-03-03 10:57:40 +01:00
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DynareOutput.endo_simul = DynareOutput.endo_simul(:, 1:it-1);
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2020-02-27 22:57:16 +01:00
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dprintf('Newton failed on iteration i = %s.', num2str(it-initialconditions.nobs));
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2022-03-03 16:57:59 +01:00
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ytm = DynareOutput.endo_simul(:,end);
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xtt = DynareOutput.exo_simul(it,:);
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skipline()
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dprintf('Values of the endogenous variables before the nonlinear solver failure')
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dprintf('----------------------------------------------------------------------')
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skipline()
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dyntable(DynareOptions, '', {'VARIABLES','VALUES'}, DynareModel.endo_names(1:DynareModel.orig_endo_nbr), ytm(1:DynareModel.orig_endo_nbr), [], [], 6)
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skipline()
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dprintf('Values of the exogenous variables before the nonlinear solver failure')
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dprintf('---------------------------------------------------------------------')
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skipline()
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dyntable(DynareOptions, '', {'VARIABLES','VALUES'}, DynareModel.exo_names, transpose(DynareOutput.exo_simul(it,:)), [], [], 6)
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skipline(2)
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%
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% Get equation tags if any
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%
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if isfield(DynareModel, 'equations_tags')
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etags = cell(DynareModel.orig_endo_nbr, 1);
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for i = 1:DynareModel.orig_endo_nbr
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equations_tags = DynareModel.equations_tags(cellfun(@(x) isequal(x, i), DynareModel.equations_tags(:,1)), :);
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name = equations_tags(strcmpi(equations_tags(:,2), 'name'),:);
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if isempty(name)
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eqtags{i} = int2str(i);
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else
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if rows(name)>1
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error('Something is wrong in the equation tags.')
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else
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eqtags(i) = name(3);
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end
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end
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end
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else
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etags = split(int2str(1:DynareModel.orig_endo_nbr), ' ');
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end
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%
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% Evaluate and check the residuals
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%
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2022-04-19 19:13:41 +02:00
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[r, J] = feval(model_dynamic_s, ytm, model_dynamic, ytm(iy1), DynareOutput.exo_simul, DynareModel.params, DynareOutput.steady_state, it);
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2022-03-03 16:57:59 +01:00
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residuals_evaluating_to_nan = isnan(r);
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residuals_evaluating_to_inf = isinf(r);
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residuals_evaluating_to_complex = ~isreal(r);
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if any(residuals_evaluating_to_nan)
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dprintf('Following equations are evaluating to NaN:')
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skipline()
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2022-04-19 16:33:29 +02:00
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display_names_of_problematic_equations(DynareModel, eqtags, residuals_evaluating_to_nan);
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2022-03-03 16:57:59 +01:00
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skipline()
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end
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if any(residuals_evaluating_to_inf)
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dprintf('Following equations are evaluating to Inf:')
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skipline()
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2022-04-19 16:33:29 +02:00
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display_names_of_problematic_equations(DynareModel, eqtags, residuals_evaluating_to_inf);
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2022-03-03 16:57:59 +01:00
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skipline()
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end
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if any(residuals_evaluating_to_complex)
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dprintf('Following equations are evaluating to a complex number:')
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skipline()
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2022-04-19 16:33:29 +02:00
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display_names_of_problematic_equations(DynareModel, eqtags, residuals_evaluating_to_complex);
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2022-03-03 16:57:59 +01:00
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skipline()
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end
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2020-02-19 14:39:02 +01:00
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break
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2022-03-03 18:19:33 +01:00
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% TODO Implement same checks with the jacobian matrix.
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% TODO Modify other solvers to return an exitflag.
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2017-09-29 10:17:33 +02:00
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end
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2017-09-28 10:11:42 +02:00
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end
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ysim = DynareOutput.endo_simul(1:DynareModel.orig_endo_nbr,:);
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2022-03-03 16:57:59 +01:00
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xsim = DynareOutput.exo_simul;
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2022-04-19 16:33:29 +02:00
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function display_names_of_problematic_equations(DynareModel, eqtags, TruthTable)
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2022-03-03 16:57:59 +01:00
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for i=1:DynareModel.orig_endo_nbr
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if TruthTable(i)
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dprintf(' - %s', eqtags{i})
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end
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end
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for i=DynareModel.orig_endo_nbr+1:DynareModel.endo_nbr
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if TruthTable(i)
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dprintf(' - Auxiliary equation for %s', DynareModel.endo_names{i})
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end
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end
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