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fix bug with lag on exogenous variables on more than one period 

(cherry picked from commit 492124ce9886e6aef4f4cefef302241d7edfe024)
time-shift
MichelJuillard 2020-09-04 14:02:04 +00:00 committed by Sébastien Villemot
parent fa87c296cb
commit 0391dbbeb1
2 changed files with 16 additions and 5 deletions
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17
matlab/perfect-foresight-models/sim1_linear.m
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@ -120,9 +120,13 @@ if max(abs(d1))>options.solve_tolf
error('Jacobian is not evaluated at the steady state!')
end
% current variables
[r0,c0,v0] = find(jacobian(:,jc));
% current and predetermined
[rT,cT,vT] = find(jacobian(:,jpc));
% current and jump variables
[r1,c1,v1] = find(jacobian(:,jcn));
% all endogenous variables
[rr,cc,vv] = find(jacobian(:,jendo));
iv0 = 1:length(v0);
@ -155,9 +159,16 @@ for it = (maximum_lag+1):(maximum_lag+periods)
nv = length(vv);
iA(iv+m,:) = [i_rows(rr),i_cols_A(cc),vv];
end
z(jendo) = Y(i_cols);
z(jexog) = transpose(exogenousvariables(it,:));
res(i_rows) = jacobian*z;
if M.maximum_exo_lag > 0
% needed as jacobian for lagged exogenous variables is wrong
% in current version of Dynare
zz = Y(i_cols);
res(i_rows) = dynamicmodel(zz, exogenousvariables, params, steadystate_y, it);
else
z(jendo) = Y(i_cols);
z(jexog) = transpose(exogenousvariables(it,:));
res(i_rows) = jacobian*z;
end
m = m + nv;
i_rows = i_rows + ny;
i_cols = i_cols + ny;

4
matlab/perfect-foresight-models/sim1_purely_backward.m
View File

@ -38,13 +38,13 @@ dynamicmodel = str2func([M.fname,'.dynamic']);
info.status = 1;
for it = 2:options.periods+1
for it = M.maximum_lag + (1:options.periods)
yb = endogenousvariables(:,it-1); % Values at previous period, also used as guess value for current period
yb1 = yb(iyb);
[tmp, check] = solve1(dynamicmodel, [yb1; yb], 1:M.endo_nbr, nyb+1:nyb+M.endo_nbr, ...
1, options.gstep, options.dynatol.f, options.dynatol.x, ...
options.simul.maxit, options.debug, exogenousvariables, ...
M.params, steadystate, it+M.maximum_lag-1);
M.params, steadystate, it);
if check
info.status = 0;
end