2015-07-23 14:27:55 +02:00
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function [oo_, maxerror] = perfect_foresight_solver_core(M_, options_, oo_)
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%function [oo_, maxerror] = simulation_core(M_, options_, oo_)
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% Copyright (C) 2015 Dynare Team
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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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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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if options_.linear_approximation && ~(isequal(options_.stack_solve_algo,0) || isequal(options_.stack_solve_algo,7))
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error('perfect_foresight_solver: Option linear_approximation is only available with option stack_solve_algo equal to 0.')
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end
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if options_.linear && isequal(options_.stack_solve_algo,0)
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options_.linear_approximation = 1;
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end
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2015-02-15 16:49:33 +01:00
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2015-02-14 11:54:57 +01:00
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if options_.block
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if options_.bytecode
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try
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[info, tmp] = bytecode('dynamic', oo_.endo_simul, oo_.exo_simul, M_.params, repmat(oo_.steady_state,1,options_.periods+2), options_.periods);
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catch
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info = 0;
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end
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if info
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2015-07-23 14:27:55 +02:00
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oo_.deterministic_simulation.status = false;
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2015-02-14 11:54:57 +01:00
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else
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2015-07-23 14:27:55 +02:00
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oo_.endo_simul = tmp;
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oo_.deterministic_simulation.status = true;
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end
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if options_.no_homotopy
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mexErrCheck('bytecode', info);
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2015-02-14 11:54:57 +01:00
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end
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else
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2015-07-23 14:27:55 +02:00
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oo_ = feval([M_.fname '_dynamic'], options_, M_, oo_);
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2015-02-14 11:54:57 +01:00
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end
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else
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if options_.bytecode
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try
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[info, tmp] = bytecode('dynamic', oo_.endo_simul, oo_.exo_simul, M_.params, repmat(oo_.steady_state,1,options_.periods+2), options_.periods);
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catch
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info = 0;
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end
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if info
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2015-07-23 14:27:55 +02:00
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oo_.deterministic_simulation.status = false;
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2015-02-14 11:54:57 +01:00
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else
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2015-07-23 14:27:55 +02:00
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oo_.endo_simul = tmp;
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oo_.deterministic_simulation.status = true;
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end
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if options_.no_homotopy
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mexErrCheck('bytecode', info);
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end
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2015-02-14 11:54:57 +01:00
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else
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if M_.maximum_endo_lead == 0 % Purely backward model
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2015-07-23 14:27:55 +02:00
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oo_ = sim1_purely_backward(options_, M_, oo_);
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2015-02-14 11:54:57 +01:00
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elseif M_.maximum_endo_lag == 0 % Purely forward model
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2015-07-23 14:27:55 +02:00
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oo_ = sim1_purely_forward(options_, M_, oo_);
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2015-02-14 11:54:57 +01:00
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else % General case
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if options_.stack_solve_algo == 0
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2015-07-23 14:27:55 +02:00
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if options_.linear_approximation
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oo_ = sim1_linear(options_, M_, oo_);
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else
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oo_ = sim1(M_, options_, oo_);
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end
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2015-02-14 11:54:57 +01:00
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elseif options_.stack_solve_algo == 6
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2015-07-23 14:27:55 +02:00
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oo_ = sim1_lbj(options_, M_, oo_);
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2015-02-14 11:54:57 +01:00
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elseif options_.stack_solve_algo == 7
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periods = options_.periods;
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if ~isfield(options_.lmmcp,'lb')
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2015-07-23 14:27:55 +02:00
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[lb,ub,pfm.eq_index] = get_complementarity_conditions(M_,options_.ramsey_policy);
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2015-02-14 11:54:57 +01:00
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options_.lmmcp.lb = repmat(lb,periods,1);
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options_.lmmcp.ub = repmat(ub,periods,1);
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end
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y = oo_.endo_simul;
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y0 = y(:,1);
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yT = y(:,periods+2);
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z = y(:,2:periods+1);
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illi = M_.lead_lag_incidence';
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2015-07-23 14:27:55 +02:00
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[i_cols,junk,i_cols_j] = find(illi(:));
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2015-02-14 11:54:57 +01:00
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illi = illi(:,2:3);
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2015-07-23 14:27:55 +02:00
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[i_cols_J1,junk,i_cols_1] = find(illi(:));
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2015-02-14 11:54:57 +01:00
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i_cols_T = nonzeros(M_.lead_lag_incidence(1:2,:)');
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2015-07-23 14:27:55 +02:00
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if options_.linear_approximation
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y_steady_state = oo_.steady_state;
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x_steady_state = transpose(oo_.exo_steady_state);
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ip = find(M_.lead_lag_incidence(1,:)');
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ic = find(M_.lead_lag_incidence(2,:)');
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in = find(M_.lead_lag_incidence(3,:)');
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% Evaluate the Jacobian of the dynamic model at the deterministic steady state.
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model_dynamic = str2func([M_.fname,'_dynamic']);
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[d1,jacobian] = model_dynamic(y_steady_state([ip; ic; in]), x_steady_state, M_.params, y_steady_state, 1);
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% Check that the dynamic model was evaluated at the steady state.
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if max(abs(d1))>1e-12
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error('Jacobian is not evaluated at the steady state!')
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end
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nyp = nnz(M_.lead_lag_incidence(1,:)) ;
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ny0 = nnz(M_.lead_lag_incidence(2,:)) ;
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nyf = nnz(M_.lead_lag_incidence(3,:)) ;
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nd = nyp+ny0+nyf; % size of y (first argument passed to the dynamic file).
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jexog = transpose(nd+(1:M_.exo_nbr));
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jendo = transpose(1:nd);
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z = bsxfun(@minus,z,y_steady_state);
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x = bsxfun(@minus,oo_.exo_simul,x_steady_state);
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[y,info] = dynare_solve(@linear_perfect_foresight_problem,z(:), options_, ...
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jacobian, y0-y_steady_state, yT-y_steady_state, ...
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x, M_.params, y_steady_state, ...
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M_.maximum_lag, options_.periods, M_.endo_nbr, i_cols, ...
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i_cols_J1, i_cols_1, i_cols_T, i_cols_j, ...
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M_.NNZDerivatives(1),jendo,jexog);
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else
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[y,info] = dynare_solve(@perfect_foresight_problem,z(:),options_, ...
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str2func([M_.fname '_dynamic']),y0,yT, ...
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oo_.exo_simul,M_.params,oo_.steady_state, ...
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M_.maximum_lag,options_.periods,M_.endo_nbr,i_cols, ...
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i_cols_J1, i_cols_1, i_cols_T, i_cols_j, ...
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M_.NNZDerivatives(1));
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end
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if all(imag(y)<.1*options_.dynatol.f)
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if ~isreal(y)
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y = real(y);
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end
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else
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info = 1;
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end
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if options_.linear_approximation
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oo_.endo_simul = [y0 bsxfun(@plus,reshape(y,M_.endo_nbr,periods),y_steady_state) yT];
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else
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oo_.endo_simul = [y0 reshape(y,M_.endo_nbr,periods) yT];
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end
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2015-02-14 11:54:57 +01:00
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if info == 1
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2015-07-23 14:27:55 +02:00
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oo_.deterministic_simulation.status = false;
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2015-02-14 11:54:57 +01:00
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else
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2015-07-23 14:27:55 +02:00
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oo_.deterministic_simulation.status = true;
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2015-02-14 11:54:57 +01:00
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end
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end
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end
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end
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end
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2015-07-23 14:27:55 +02:00
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if nargout>1
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2015-02-14 11:54:57 +01:00
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y0 = oo_.endo_simul(:,1);
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yT = oo_.endo_simul(:,options_.periods+2);
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yy = oo_.endo_simul(:,2:options_.periods+1);
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if ~exist('illi')
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illi = M_.lead_lag_incidence';
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2015-07-23 14:27:55 +02:00
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[i_cols,junk,i_cols_j] = find(illi(:));
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2015-02-14 11:54:57 +01:00
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illi = illi(:,2:3);
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2015-07-23 14:27:55 +02:00
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[i_cols_J1,junk,i_cols_1] = find(illi(:));
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2015-02-14 11:54:57 +01:00
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i_cols_T = nonzeros(M_.lead_lag_incidence(1:2,:)');
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end
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2015-07-23 14:27:55 +02:00
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if options_.block && ~options_.bytecode
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maxerror = oo_.deterministic_simulation.error;
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else
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if options_.bytecode
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[chck, residuals, junk]= bytecode('dynamic','evaluate', oo_.endo_simul, oo_.exo_simul, M_.params, oo_.steady_state, 1);
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else
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residuals = perfect_foresight_problem(yy(:),str2func([M_.fname '_dynamic']), y0, yT, ...
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oo_.exo_simul,M_.params,oo_.steady_state, ...
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M_.maximum_lag,options_.periods,M_.endo_nbr,i_cols, ...
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i_cols_J1, i_cols_1, i_cols_T, i_cols_j, ...
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M_.NNZDerivatives(1));
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end
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maxerror = max(max(abs(residuals)));
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end
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2015-02-14 11:54:57 +01:00
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end
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