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Merge branch 'sylvester' into 'master' 

Fix for sylvester3a for purely forward looking models

See merge request Dynare/dynare!1775
time-shift
Sébastien Villemot 2020-11-21 09:56:21 +00:00
parent 5ec14b2642 3c1087a369
commit 2c7a1e8aec
3 changed files with 73 additions and 2 deletions
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4
matlab/sylvester3a.m
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@ -1,7 +1,7 @@
function [x0, flag]=sylvester3a(x0,a,b,c,dd)
% solves iteratively ax+bxc=d
% Copyright (C) 2005-2017 Dynare Team
% Copyright (C) 2005-2017,2020 Dynare Team
%
% This file is part of Dynare.
%
@ -25,7 +25,7 @@ for j=1:size(dd,3)
d = a_1*dd(:,:,j);
e = 1;
iter = 1;
while e > 1e-8 && iter < 500
while all(e > 1e-8) && iter < 500 %use all() to get a logical in case e is empty
x = d-b*x0(:,:,j)*c;
e = max(max(abs(x-x0(:,:,j))));
x0(:,:,j) = x;

1
tests/Makefile.am
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@ -217,6 +217,7 @@ MODFILES = \
identification/rbc_ident/rbc_ident_std_as_structural_par.mod \
identification/rbc_ident/rbc_ident_varexo_only.mod \
identification/correlated_errors/fs2000_corr.mod \
identification/forward_looking/forward_looking.mod \
simul/example1.mod \
simul/Solow_no_varexo.mod \
simul/simul_ZLB_purely_forward.mod \

70
tests/identification/forward_looking/forward_looking.mod Executable file
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@ -0,0 +1,70 @@
% Forward-looking example model from Koop, Pesaran, Smith (2013, JBES)
% created by Willi Mutschler (@wmutschl, willi@mutschler.eu)
% =========================================================================
% Copyright (C) 2020 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
% =========================================================================
var r x p;
varexo e_M e_D e_S;
varobs r x p;
parameters PSI TAU BETA KAPPA;
PSI=1.1;
TAU=2;
BETA=0.9;
KAPPA=0.6;
model;
r = PSI*p + e_M;
x = x(+1) - 1/TAU*(r-p(+1)) + e_D;
p = BETA*p(+1) + KAPPA*x + e_S;
end;
shocks;
var e_M = 1;
var e_D = 1;
var e_S = 1;
end;
steady;
check;
estimated_params;
PSI, 1.1;
TAU, 2;
BETA, 0.9;
KAPPA, 0.6;
end;
identification; %this triggers sylvester3a with empty ghx
% as a side note, we have the true solution:
% [r;x;p] = TRUE_SOLUTION*[e_M;e_D;e_S] (ghx is empty)
A = [1 0 -PSI; 1/TAU 1 0; 0 -KAPPA 1];
TRUE_SOLUTION1 = inv(A);
TRUE_SOLUTION2 = 1/(KAPPA*PSI/TAU +1)*[1 KAPPA*PSI PSI;
-1/TAU 1 -PSI/TAU;
-KAPPA/TAU KAPPA 1];
% note that BETA drops out from the solution
if max(max(abs(TRUE_SOLUTION1 - oo_.dr.ghu))) > 1e-15
error('Something wrong with perturbation');
end
if max(max(abs(TRUE_SOLUTION2 - oo_.dr.ghu))) > 1e-15
error('Something wrong with perturbation');
end