fixed bug with deterministic exogenous variables at order==2 (moved
all relevant code to stochastic_solvers.m)time-shift
Michel Juillard
parent
c29fa9d81c
commit
0a5909f1d2
|
|
@ -105,7 +105,6 @@ function dr = dyn_second_order_solver(jacobia,hessian,dr,M_,threads_ABC,threads_
|
|||
% Jacobian with respect to the variables with the highest lead
|
||||
fyp = jacobia(:,kstate(k1,3)+nnz(M_.lead_lag_incidence(M_.maximum_endo_lag+1,:)));
|
||||
B(:,nstatic+npred-dr.nboth+1:end) = fyp;
|
||||
gx1 = dr.ghx;
|
||||
[junk,k1,k2] = find(M_.lead_lag_incidence(M_.maximum_endo_lag+M_.maximum_endo_lead+1,order_var));
|
||||
A(1:M_.endo_nbr,nstatic+1:nstatic+npred)=...
|
||||
A(1:M_.endo_nbr,nstatic+[1:npred])+fyp*gx1(k1,1:npred);
|
||||
|
|
@ -185,54 +184,4 @@ function dr = dyn_second_order_solver(jacobia,hessian,dr,M_,threads_ABC,threads_
|
|||
|
||||
% deterministic exogenous variables
|
||||
if M_.exo_det_nbr > 0
|
||||
hud = dr.ghud{1}(nstatic+1:nstatic+npred,:);
|
||||
zud=[zeros(np,M_.exo_det_nbr);dr.ghud{1};gx(:,1:npred)*hud;zeros(M_.exo_nbr,M_.exo_det_nbr);eye(M_.exo_det_nbr)];
|
||||
R1 = hessian*kron(zx,zud);
|
||||
dr.ghxud = cell(M_.exo_det_length,1);
|
||||
kf = [M_.endo_nbr-nyf+1:M_.endo_nbr];
|
||||
kp = nstatic+[1:npred];
|
||||
dr.ghxud{1} = -M1*(R1+f1*dr.ghxx(kf,:)*kron(dr.ghx(kp,:),dr.ghud{1}(kp,:)));
|
||||
Eud = eye(M_.exo_det_nbr);
|
||||
for i = 2:M_.exo_det_length
|
||||
hudi = dr.ghud{i}(kp,:);
|
||||
zudi=[zeros(np,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
|
||||
R2 = hessian*kron(zx,zudi);
|
||||
dr.ghxud{i} = -M2*(dr.ghxud{i-1}(kf,:)*kron(Gy,Eud)+dr.ghxx(kf,:)*kron(dr.ghx(kp,:),dr.ghud{i}(kp,:)))-M1*R2;
|
||||
end
|
||||
R1 = hessian*kron(zu,zud);
|
||||
dr.ghudud = cell(M_.exo_det_length,1);
|
||||
kf = [M_.endo_nbr-nyf+1:M_.endo_nbr];
|
||||
|
||||
dr.ghuud{1} = -M1*(R1+f1*dr.ghxx(kf,:)*kron(dr.ghu(kp,:),dr.ghud{1}(kp,:)));
|
||||
Eud = eye(M_.exo_det_nbr);
|
||||
for i = 2:M_.exo_det_length
|
||||
hudi = dr.ghud{i}(kp,:);
|
||||
zudi=[zeros(np,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
|
||||
R2 = hessian*kron(zu,zudi);
|
||||
dr.ghuud{i} = -M2*dr.ghxud{i-1}(kf,:)*kron(hu,Eud)-M1*R2;
|
||||
end
|
||||
R1 = hessian*kron(zud,zud);
|
||||
dr.ghudud = cell(M_.exo_det_length,M_.exo_det_length);
|
||||
dr.ghudud{1,1} = -M1*R1-M2*dr.ghxx(kf,:)*kron(hud,hud);
|
||||
for i = 2:M_.exo_det_length
|
||||
hudi = dr.ghud{i}(nstatic+1:nstatic+npred,:);
|
||||
zudi=[zeros(np,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi+dr.ghud{i-1}(kf,:);zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
|
||||
R2 = hessian*kron(zudi,zudi);
|
||||
dr.ghudud{i,i} = -M2*(dr.ghudud{i-1,i-1}(kf,:)+...
|
||||
2*dr.ghxud{i-1}(kf,:)*kron(hudi,Eud) ...
|
||||
+dr.ghxx(kf,:)*kron(hudi,hudi))-M1*R2;
|
||||
R2 = hessian*kron(zud,zudi);
|
||||
dr.ghudud{1,i} = -M2*(dr.ghxud{i-1}(kf,:)*kron(hud,Eud)+...
|
||||
dr.ghxx(kf,:)*kron(hud,hudi))...
|
||||
-M1*R2;
|
||||
for j=2:i-1
|
||||
hudj = dr.ghud{j}(kp,:);
|
||||
zudj=[zeros(np,M_.exo_det_nbr);dr.ghud{j};gx(:,1:npred)*hudj;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
|
||||
R2 = hessian*kron(zudj,zudi);
|
||||
dr.ghudud{j,i} = -M2*(dr.ghudud{j-1,i-1}(kf,:)+dr.ghxud{j-1}(kf,:)* ...
|
||||
kron(hudi,Eud)+dr.ghxud{i-1}(kf,:)* ...
|
||||
kron(hudj,Eud)+dr.ghxx(kf,:)*kron(hudj,hudi))-M1*R2;
|
||||
end
|
||||
|
||||
end
|
||||
end
|
||||
|
|
|
|||
|
|
@ -182,20 +182,6 @@ else
|
|||
end
|
||||
end
|
||||
|
||||
%exogenous deterministic variables
|
||||
if M_.exo_det_nbr > 0
|
||||
f1 = sparse(jacobia_(:,nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+2:end,order_var))));
|
||||
f0 = sparse(jacobia_(:,nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+1,order_var))));
|
||||
fudet = sparse(jacobia_(:,nz+M_.exo_nbr+1:end));
|
||||
M1 = inv(f0+[zeros(M_.endo_nbr,nstatic) f1*dr.gx zeros(M_.endo_nbr,nfwrds-nboth)]);
|
||||
M2 = M1*f1;
|
||||
dr.ghud = cell(M_.exo_det_length,1);
|
||||
dr.ghud{1} = -M1*fudet;
|
||||
for i = 2:M_.exo_det_length
|
||||
dr.ghud{i} = -M2*dr.ghud{i-1}(end-nfwrds+1:end,:);
|
||||
end
|
||||
end
|
||||
|
||||
if options_.order > 1
|
||||
% Second order
|
||||
dr = dyn_second_order_solver(jacobia_,hessian1,dr,M_,...
|
||||
|
|
@ -204,6 +190,80 @@ else
|
|||
end
|
||||
end
|
||||
|
||||
%exogenous deterministic variables
|
||||
if M_.exo_det_nbr > 0
|
||||
gx = dr.gx;
|
||||
f1 = sparse(jacobia_(:,nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+2:end,order_var))));
|
||||
f0 = sparse(jacobia_(:,nonzeros(M_.lead_lag_incidence(M_.maximum_endo_lag+1,order_var))));
|
||||
fudet = sparse(jacobia_(:,nz+M_.exo_nbr+1:end));
|
||||
M1 = inv(f0+[zeros(M_.endo_nbr,nstatic) f1*gx zeros(M_.endo_nbr,nfwrds-nboth)]);
|
||||
M2 = M1*f1;
|
||||
dr.ghud = cell(M_.exo_det_length,1);
|
||||
dr.ghud{1} = -M1*fudet;
|
||||
for i = 2:M_.exo_det_length
|
||||
dr.ghud{i} = -M2*dr.ghud{i-1}(end-nfwrds+1:end,:);
|
||||
end
|
||||
|
||||
if options_.order > 1
|
||||
lead_lag_incidence = M_.lead_lag_incidence;
|
||||
k0 = find(lead_lag_incidence(M_.maximum_endo_lag+1,order_var)');
|
||||
k1 = find(lead_lag_incidence(M_.maximum_endo_lag+2,order_var)');
|
||||
hu = dr.ghu(nstatic+[1:npred],:);
|
||||
hud = dr.ghud{1}(nstatic+1:nstatic+npred,:);
|
||||
zx = [eye(npred);dr.ghx(k0,:);gx*dr.Gy;zeros(M_.exo_nbr+M_.exo_det_nbr, ...
|
||||
npred)];
|
||||
zu = [zeros(npred,M_.exo_nbr); dr.ghu(k0,:); gx*hu; zeros(M_.exo_nbr+M_.exo_det_nbr, ...
|
||||
M_.exo_nbr)];
|
||||
zud=[zeros(npred,M_.exo_det_nbr);dr.ghud{1};gx(:,1:npred)*hud;zeros(M_.exo_nbr,M_.exo_det_nbr);eye(M_.exo_det_nbr)];
|
||||
R1 = hessian1*kron(zx,zud);
|
||||
dr.ghxud = cell(M_.exo_det_length,1);
|
||||
kf = [M_.endo_nbr-nfwrd-nboth+1:M_.endo_nbr];
|
||||
kp = nstatic+[1:npred];
|
||||
dr.ghxud{1} = -M1*(R1+f1*dr.ghxx(kf,:)*kron(dr.ghx(kp,:),dr.ghud{1}(kp,:)));
|
||||
Eud = eye(M_.exo_det_nbr);
|
||||
for i = 2:M_.exo_det_length
|
||||
hudi = dr.ghud{i}(kp,:);
|
||||
zudi=[zeros(npred,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
|
||||
R2 = hessian1*kron(zx,zudi);
|
||||
dr.ghxud{i} = -M2*(dr.ghxud{i-1}(kf,:)*kron(dr.Gy,Eud)+dr.ghxx(kf,:)*kron(dr.ghx(kp,:),dr.ghud{i}(kp,:)))-M1*R2;
|
||||
end
|
||||
R1 = hessian1*kron(zu,zud);
|
||||
dr.ghudud = cell(M_.exo_det_length,1);
|
||||
dr.ghuud{1} = -M1*(R1+f1*dr.ghxx(kf,:)*kron(dr.ghu(kp,:),dr.ghud{1}(kp,:)));
|
||||
Eud = eye(M_.exo_det_nbr);
|
||||
for i = 2:M_.exo_det_length
|
||||
hudi = dr.ghud{i}(kp,:);
|
||||
zudi=[zeros(npred,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
|
||||
R2 = hessian1*kron(zu,zudi);
|
||||
dr.ghuud{i} = -M2*dr.ghxud{i-1}(kf,:)*kron(hu,Eud)-M1*R2;
|
||||
end
|
||||
R1 = hessian1*kron(zud,zud);
|
||||
dr.ghudud = cell(M_.exo_det_length,M_.exo_det_length);
|
||||
dr.ghudud{1,1} = -M1*R1-M2*dr.ghxx(kf,:)*kron(hud,hud);
|
||||
for i = 2:M_.exo_det_length
|
||||
hudi = dr.ghud{i}(nstatic+1:nstatic+npred,:);
|
||||
zudi=[zeros(npred,M_.exo_det_nbr);dr.ghud{i};gx(:,1:npred)*hudi+dr.ghud{i-1}(kf,:);zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
|
||||
R2 = hessian1*kron(zudi,zudi);
|
||||
dr.ghudud{i,i} = -M2*(dr.ghudud{i-1,i-1}(kf,:)+...
|
||||
2*dr.ghxud{i-1}(kf,:)*kron(hudi,Eud) ...
|
||||
+dr.ghxx(kf,:)*kron(hudi,hudi))-M1*R2;
|
||||
R2 = hessian1*kron(zud,zudi);
|
||||
dr.ghudud{1,i} = -M2*(dr.ghxud{i-1}(kf,:)*kron(hud,Eud)+...
|
||||
dr.ghxx(kf,:)*kron(hud,hudi))...
|
||||
-M1*R2;
|
||||
for j=2:i-1
|
||||
hudj = dr.ghud{j}(kp,:);
|
||||
zudj=[zeros(npred,M_.exo_det_nbr);dr.ghud{j};gx(:,1:npred)*hudj;zeros(M_.exo_nbr+M_.exo_det_nbr,M_.exo_det_nbr)];
|
||||
R2 = hessian1*kron(zudj,zudi);
|
||||
dr.ghudud{j,i} = -M2*(dr.ghudud{j-1,i-1}(kf,:)+dr.ghxud{j-1}(kf,:)* ...
|
||||
kron(hudi,Eud)+dr.ghxud{i-1}(kf,:)* ...
|
||||
kron(hudj,Eud)+dr.ghxx(kf,:)*kron(hudj,hudi))-M1*R2;
|
||||
end
|
||||
|
||||
end
|
||||
end
|
||||
end
|
||||
|
||||
if options_.loglinear == 1
|
||||
% this needs to be extended for order=2,3
|
||||
k = find(dr.kstate(:,2) <= M_.maximum_endo_lag+1);
|
||||
|
|
|
|||
Loading…
Reference in New Issue