2007-12-21 18:13:52 +01:00
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% function y_=simult_(y0,dr,ex_,iorder)
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% Monte Carlo simulations
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% Draws random shocks
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2005-02-18 20:54:39 +01:00
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%
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2007-12-21 18:13:52 +01:00
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% INPUTS
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% y0: starting values
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% dr: structure of decisions rules for stochastic simulations
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% ex_: matrix of shocks
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% iorder=0: first-order approximation
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% iorder=1: second-order approximation
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%
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% OUTPUTS
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% y_: stochastic simulations results
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%
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% SPECIAL REQUIREMENTS
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% none
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%
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%
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% part of DYNARE, copyright Dynare Team (2001-2007)
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% Gnu Public License.
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2005-02-18 20:54:39 +01:00
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function y_=simult_(y0,dr,ex_,iorder)
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global M_ options_ it_
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2006-04-29 11:43:21 +02:00
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iter = size(ex_,1);
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2008-02-11 15:42:46 +01:00
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if ~isempty(dr.ghu)
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nx = size(dr.ghu,2);
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end
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2005-02-18 20:54:39 +01:00
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y_ = zeros(size(y0,1),iter+M_.maximum_lag);
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2008-02-11 15:42:46 +01:00
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2005-02-18 20:54:39 +01:00
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y_(:,1:M_.maximum_lag) = y0;
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k1 = [M_.maximum_lag:-1:1];
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k2 = dr.kstate(find(dr.kstate(:,2) <= M_.maximum_lag+1),[1 2]);
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k2 = k2(:,1)+(M_.maximum_lag+1-k2(:,2))*M_.endo_nbr;
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k3 = M_.lead_lag_incidence(1:M_.maximum_lag,:)';
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k3 = find(k3(:));
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k4 = dr.kstate(find(dr.kstate(:,2) < M_.maximum_lag+1),[1 2]);
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k4 = k4(:,1)+(M_.maximum_lag+1-k4(:,2))*M_.endo_nbr;
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options_ = set_default_option(options_,'simul_algo',0);
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if options_.simul_algo == 1
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o1 = dr.nstatic+1;
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o2 = dr.nstatic+dr.npred;
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o3 = o2-dr.nboth+1;
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[junk, k5] = sort(dr.order_var(o1:o2));
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[junk, k6] = sort(dr.order_var(o3:end));
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end
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2005-10-01 14:59:40 +02:00
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if iorder == 1
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2008-02-11 15:42:46 +01:00
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if ~isempty(dr.ghu)
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for i = M_.maximum_lag+1: iter+M_.maximum_lag
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tempx1 = y_(dr.order_var,k1);
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tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
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tempx = tempx2(k2);
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if options_.simul_algo == 0
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y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*tempx+dr.ghu* ...
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ex_(i-M_.maximum_lag,:)';
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elseif options_.simul_algo == 1
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it_ = i;
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m = dr.ys(dr.order_var);
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[y_(:,i), check] = dynare_solve('ff_simul1',y_(:,i-1),tempx1(k3), ...
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m(o3:end),tempx(k4),o1,o2,o3,k6);
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end
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k1 = k1+1;
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end
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else
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for i = M_.maximum_lag+1: iter+M_.maximum_lag
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tempx1 = y_(dr.order_var,k1);
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tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
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tempx = tempx2(k2);
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if options_.simul_algo == 0
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y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*tempx;
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elseif options_.simul_algo == 1
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it_ = i;
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m = dr.ys(dr.order_var);
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[y_(:,i), check] = dynare_solve('ff_simul1',y_(:,i-1),tempx1(k3), ...
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m(o3:end),tempx(k4),o1,o2,o3,k6);
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end
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k1 = k1+1;
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end
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2005-02-18 20:54:39 +01:00
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end
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elseif iorder == 2
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for i = M_.maximum_lag+1: iter+M_.maximum_lag
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tempx1 = y_(dr.order_var,k1);
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tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
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tempx = tempx2(k2);
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2005-10-01 14:59:40 +02:00
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tempu = ex_(i-M_.maximum_lag,:)';
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2005-02-18 20:54:39 +01:00
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tempuu = kron(tempu,tempu);
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if options_.simul_algo == 0
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tempxx = kron(tempx,tempx);
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tempxu = kron(tempx,tempu);
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y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghs2/2+dr.ghx*tempx+ ...
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dr.ghu*tempu+0.5*(dr.ghxx*tempxx+dr.ghuu*tempuu)+dr.ghxu*tempxu;
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elseif options_.simul_algo == 1
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it_ = i;
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m = dr.ys(dr.order_var)+dr.ghs2/2;
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tempx1 = y_(:,k1);
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[y_(:,i), check] = dynare_solve('ff_simul2',y_(:,i-1),tempx1(k3), ...
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m(o3:end),tempx(k4),o1,o2,o3,k6);
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end
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k1 = k1+1;
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end
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end
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2008-02-11 15:42:46 +01:00
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% MJ 08/30/02 corrected bug at order 2
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