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* Bug fixes. 

* Added two new initializations for the perfect foresight equilibrium paths.


git-svn-id: https://www.dynare.org/svn/dynare/trunk@3294 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
stepan 2009-12-29 15:34:05 +00:00
parent ec6c70443a
commit 2d0fff0292
1 changed files with 35 additions and 4 deletions
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39
matlab/extended_path.m
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@ -5,7 +5,11 @@ function time_series = extended_path(initial_conditions,sample_size,init)
% INPUTS
% o initial_conditions [double] m*nlags array, where m is the number of endogenous variables in the model and
% nlags is the maximum number of lags.
% o sample_size [integer] scalar, size of the sample to be simulated.
% o sample_size [integer] scalar, size of the sample to be simulated.
% o init [integer] scalar, method of initialization of the perfect foresight equilibrium paths
% init=0 previous solution is used,
% init=1 a path generated with the first order reduced form is used.
% init=2 mix of cases 0 and 1.
%
% OUTPUTS
% o time_series [double] m*sample_size array, the simulations.
@ -35,10 +39,15 @@ global M_ oo_ options_
% Set default initial conditions.
if isempty(initial_conditions)
initial_conditions = repmat(oo_.steady_state,1,M_.maximum_lag);
end
end
% Set default value for the last input argument
if nargin<3
init = 0;
end
% Set the number of periods for the deterministic solver.
options_.periods = 100;
%options_.periods = 40;
% Initialize the exogenous variables.
make_ex_;
@ -46,6 +55,17 @@ make_ex_;
% Initialize the endogenous variables.
make_y_;
% Compute the first order reduced form if needed.
if init
oldopt = options_;
options_.order = 1;
[dr,info]=resol(oo_.steady_state,0);
options_ = oldopt;
if init==2
lambda = .8;
end
end
% Initialize the output array.
time_series = NaN(M_.endo_nbr,sample_size+1);
@ -61,10 +81,21 @@ norme = 0;
% Set verbose option
verbose = 1;
for t=1:sample_size
shocks = exp(randn(1,number_of_structural_innovations)*covariance_matrix_upper_cholesky-.5*variances(positive_var_indx)');
oo_.exo_simul(tdx,positive_var_indx) = shocks;
if init
% Compute first order solution.
exogenous_variables = zeros(size(oo_.exo_simul));
exogenous_variables(tdx,positive_var_indx) = log(shocks);
initial_path = simult_(oo_.steady_state,dr,exogenous_variables,1);
if init==1
oo_.endo_simul = initial_path(:,1:end-1);
else
oo_.endo_simul = initial_path(:,1:end-1)*lambda + oo_.endo_simul*(1-lambda);
end
end
info = perfect_foresight_simulation;
time = info.time;
if verbose