Update, The exit from the walkstochsteady, i.e. the code in the main() following exit is not complete - it is there only for debugging up to that point.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2375 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
parent
44a9cd73b8
commit
3165e2a6dc
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@ -17,8 +17,9 @@
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// Note that there is an initial minus sign missing in equation (A1), p. S63.
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// Note that there is an initial minus sign missing in equation (A1), p. S63.
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//
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//
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// Michel Juillard, February 2004
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// Michel Juillard, February 2004
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options_.usePartInfo=0;
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var m m_1 P P_1 c e W R k d n l gy_obs gp_obs Y_obs P_obs y dA P2 c2;
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//var m P c e W R k d n l gy_obs gp_obs Y_obs P_obs y dA P2 c2;
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var m P c e W R k d n l gy_obs gp_obs y dA P2 c2;
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varexo e_a e_m;
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varexo e_a e_m;
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parameters alp bet gam mst rho psi del;
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parameters alp bet gam mst rho psi del;
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@ -33,7 +34,7 @@ del = 0.02;
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model (use_dll);
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model (use_dll);
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dA = exp(gam+e_a);
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dA = exp(gam+e_a);
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log(m) = (1-rho)*log(mst) + rho*log(m_1(-1))+e_m;
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log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
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-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c2(+1)*P2(+1)*m(+1))=0;
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-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c2(+1)*P2(+1)*m(+1))=0;
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W = l/n;
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W = l/n;
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-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
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-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
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@ -45,30 +46,32 @@ m-1+d = l;
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e = exp(e_a);
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e = exp(e_a);
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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gy_obs = dA*y/y(-1);
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gy_obs = dA*y/y(-1);
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gp_obs = (P/P_1(-1))*m_1(-1)/dA;
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gp_obs = (P/P(-1))*m(-1)/dA;
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Y_obs/Y_obs(-1) = gy_obs;
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//Y_obs/Y_obs(-1) = gy_obs;
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P_obs/P_obs(-1) = gp_obs;
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//P_obs/P_obs(-1) = gp_obs;
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P2 = P(+1);
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P2 = P(+1);
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c2 = c(+1);
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c2 = c(+1);
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m_1 = m;
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P_1 = P;
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end;
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end;
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initval;
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initval;
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k = 6;
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m = mst;
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m = mst;
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P = 2.25;
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P = 2.25;
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c = 0.45;
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c = 0.45;
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e = 1;
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e = 1;
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W = 4;
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W = 4;
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R = 1.02;
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R = 1.02;
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k = 6;
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d = 0.85;
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d = 0.85;
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n = 0.19;
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n = 0.19;
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l = 0.86;
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l = 0.86;
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y = 0.6;
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gy_obs = exp(gam);
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gy_obs = exp(gam);
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gp_obs = exp(-gam);
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gp_obs = exp(-gam);
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// Y_obs = 20000;
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// P_obs = 51;
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y = 0.6;
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dA = exp(gam);
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dA = exp(gam);
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P2=P;
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c2=c;
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end;
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end;
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shocks;
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shocks;
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@ -76,9 +79,9 @@ var e_a; stderr 0.014;
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var e_m; stderr 0.005;
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var e_m; stderr 0.005;
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end;
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end;
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unit_root_vars P_obs Y_obs;
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//unit_root_vars P_obs Y_obs;
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steady;
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steady(solve_algo = 2);
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check;
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check;
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@ -94,12 +97,14 @@ stderr e_a, inv_gamma_pdf, 0.035449, inf;
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stderr e_m, inv_gamma_pdf, 0.008862, inf;
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stderr e_m, inv_gamma_pdf, 0.008862, inf;
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end;
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end;
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varobs P_obs Y_obs;
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//varobs P_obs Y_obs;
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varobs gp_obs gy_obs;
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//observation_trends;
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//P_obs (log(mst)-gam);
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//Y_obs (gam);
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//end;
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observation_trends;
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P_obs (log(mst)-gam);
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Y_obs (gam);
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end;
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//options_.useAIM = 1;
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//options_.useAIM = 1;
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estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=2000,
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estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=2000,
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@ -236,11 +236,19 @@ void KordpDynare::calcDerivatives(const Vector& yy, const Vector& xx)
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Vector& out= *(new Vector(nY));
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Vector& out= *(new Vector(nY));
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out.zeros();
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out.zeros();
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const Vector * llxYYp; // getting around the constantness
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if ((nJcols - nExog) > yy.length()){
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llxYYp= (LLxSteady( yy));
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} else {
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llxYYp= &yy;
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}
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const Vector & llxYY=*(llxYYp);
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#ifdef DEBUG
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#ifdef DEBUG
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mexPrintf("k_order_dynaare.cpp: Call eval in calcDerivatives\n");
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mexPrintf("k_order_dynaare.cpp: Call eval in calcDerivatives\n");
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#endif
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#endif
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try {
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try {
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dynamicDLL.eval( yy, xx, //int nb_row_x,
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dynamicDLL.eval( llxYY, xx, //int nb_row_x,
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params, //int it_,
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params, //int it_,
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out, g1, NULL);
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out, g1, NULL);
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}
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}
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@ -364,6 +372,38 @@ void KordpDynare::writeModelInfo(Journal& jr) const
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}
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}
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**************/
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**************/
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}
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}
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/*********************************************************
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* LLxSteady()
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* returns ySteady extended with leads and lags suitable for
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* passing to <model>_dynamic DLL
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*************************************************************/
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Vector * KordpDynare::LLxSteady( const Vector& yS){
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if ((nJcols-nExog) == yS.length()) {
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mexPrintf("k_ord_dynare.cpp: Warning in LLxSteady: ySteady already. right size");
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return NULL;
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}
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// create temporary square 2D matrix size nEndo x nEndo (sparse)
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// for the lag, current and lead blocks of the jacobian
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Vector * llxSteady = new Vector(nJcols-nExog);
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try{
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for (int ll_row=0; ll_row< ll_Incidence->nrows(); ll_row++)
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{
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// populate (non-sparse) vector with ysteady values
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for (int i=0;i<nY;i++){
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if(ll_Incidence->get(ll_row,i))
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(*llxSteady)[ll_Incidence->get(ll_row,i)-1] = yS[i];
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}
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}
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} catch (const TLException& e) {
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mexPrintf("Caugth TL exception in LLxSteady: ");
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e.print();
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return NULL;// 255;
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}catch (...){
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mexPrintf(" Error in LLxSteady - wrong index?");
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}
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return llxSteady;
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}
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/************************************
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/************************************
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DynamicModel* clone() const
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DynamicModel* clone() const
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{return new KordpDynare(*this);}
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{return new KordpDynare(*this);}
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void ReorderCols(TwoDMatrix * tdx, const int * varOrder);
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void ReorderCols(TwoDMatrix * tdx, const int * varOrder);
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Vector * KordpDynare::LLxSteady( const Vector& yS); // returns ySteady extended with leads and lags
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private:
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private:
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void writeModelInfo(Journal& jr) const;
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void writeModelInfo(Journal& jr) const;
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int * ReorderDynareJacobianIndices( const int * varOrder);
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int * ReorderDynareJacobianIndices( const int * varOrder);
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0.0, 0.0250e-3};
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0.0, 0.0250e-3};
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npar = 2;//(int)mxGetN(mxFldp);
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npar = 2;//(int)mxGetN(mxFldp);
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TwoDMatrix * vCov = new TwoDMatrix(npar, npar, (d2Dparams));
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TwoDMatrix * vCov = new TwoDMatrix(npar, npar, (d2Dparams));
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double dYSparams [16]= { // 27 mxGetData(mxFldp);
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double dYSparams [31]= { // mxGetData(mxFldp);
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// 1.0110, 2.2582, 5.8012, 0.5808,
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1.0110, 2.2582, 5.8012, 1.0000, 1.0000, 0.5808, 1.0110, 2.2582,
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1.0110, 2.2582, 0.4477, 1.0000
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0.4477, 1.0000, 4.5959, 1.0212, 5.8012, 0.8494, 0.1872, 0.8604,
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, 4.5959, 1.0212, 5.8012, 0.8494
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1.0030, 1.0080, 1.0000, 1.0000, 0.5808, 1.0030, 2.2582, 0.4477,
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, 0.1872, 0.8604, 1.0030, 1.0080
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1.0110, 2.2582, 0.4477, 1.0000, 0.1872, 2.2582, 0.4477
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, 0.5808, 1.0030, 2.2582, 0.4477
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//, 1.0110, 2.2582, 0.4477, 1.0000, 0.1872, 2.2582, 0.4477
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};
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};
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const int nSteady = 16;//27 //31;//29, 16 (int)mxGetM(mxFldp);
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// 1.0110, 2.2582, 0.4477, 1.0000, 4.5959, 1.0212, 5.8012, 0.8494,
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// 0.1872, 0.8604, 1.0030, 1.0080, 1.0000, 1.0000, 0.5808, 1.0030
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// };
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const int nSteady = 31;//29, 16 (int)mxGetM(mxFldp);
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Vector * ySteady = new Vector(dYSparams, nSteady);
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Vector * ySteady = new Vector(dYSparams, nSteady);
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//mxFldp = mxGetField(dr, 0,"nstatic" );
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//mxFldp = mxGetField(dr, 0,"nstatic" );
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const int nStat = 7;//(int)mxGetScalar(mxFldp);
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const int nStat = 7;//(int)mxGetScalar(mxFldp);
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// mxFldp = mxGetField(dr, 0,"npred" );
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// mxFldp = mxGetField(dr, 0,"npred" );
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const int nPred = 4;//6 - nBoth (int)mxGetScalar(mxFldp);
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const int nPred = 2;//6 - nBoth (int)mxGetScalar(mxFldp);
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//mxFldp = mxGetField(dr, 0,"nspred" );
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//mxFldp = mxGetField(dr, 0,"nspred" );
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const int nsPred = 6;//(int)mxGetScalar(mxFldp);
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const int nsPred = 4;//(int)mxGetScalar(mxFldp);
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//mxFldp = mxGetField(dr, 0,"nboth" );
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//mxFldp = mxGetField(dr, 0,"nboth" );
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const int nBoth = 2;// (int)mxGetScalar(mxFldp);
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const int nBoth = 2;// (int)mxGetScalar(mxFldp);
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//mxFldp = mxGetField(dr, 0,"nfwrd" );
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//mxFldp = mxGetField(dr, 0,"nfwrd" );
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@ -97,7 +93,7 @@ int main(int argc, char* argv[])
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//mxFldp = mxGetField(M_, 0,"exo_nbr" );
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//mxFldp = mxGetField(M_, 0,"exo_nbr" );
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const int nExog =2;// (int)mxGetScalar(mxFldp);
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const int nExog =2;// (int)mxGetScalar(mxFldp);
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//mxFldp = mxGetField(M_, 0,"endo_nbr" );
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//mxFldp = mxGetField(M_, 0,"endo_nbr" );
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const int nEndo = 18;//16(int)mxGetScalar(mxFldp);
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const int nEndo = 16;//16(int)mxGetScalar(mxFldp);
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//mxFldp = mxGetField(M_, 0,"param_nbr" );
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//mxFldp = mxGetField(M_, 0,"param_nbr" );
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const int nPar = 7;//(int)mxGetScalar(mxFldp);
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const int nPar = 7;//(int)mxGetScalar(mxFldp);
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// it_ should be set to M_.maximum_lag
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// it_ should be set to M_.maximum_lag
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int var_order[]//[18]
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int var_order[]//[18]
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= {
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= {
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5, 6, 8, 10, 11, 12, 16, 7, 13, 14, 15, 1, 2, 3, 4, 9, 17, 18
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5, 6, 8, 10, 11, 12, 14, 7, 13, 1, 2, 3, 4, 9, 15, 16
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// 5, 6, 8, 10, 11, 12, 16, 7, 13, 14, 15, 1, 2, 3, 4, 9, 17, 18
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};
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};
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//Vector * varOrder = new Vector(var_order, nEndo);
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//Vector * varOrder = new Vector(var_order, nEndo);
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const double ll_incidence []//[3][18]
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const double ll_incidence []//[3][18]
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= {
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= {
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/* 1, 2, 0, 0, 0, 0, 3, 0, 0, 0, 0, 0, 4, 5
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1, 5, 21
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, 6, 0, 0, 0
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, 2, 6, 22
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, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20
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, 0, 7, 23
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, 21, 22, 23, 24
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, 0, 8, 24
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, 25, 26, 27, 28, 0, 0, 0, 0, 29, 0, 0, 0, 0, 0
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, 0, 9, 0
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, 0, 0, 30, 31
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, 0, 10, 0
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*/
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, 3, 11, 0
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1, 7, 25
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, 2, 8, 26
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, 0, 9, 27
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, 0, 10, 28
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, 0, 11, 0
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, 0, 12, 0
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, 0, 12, 0
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, 3, 13, 0
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, 0, 13, 25
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, 0, 14, 0
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, 0, 14, 0
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, 0, 15, 29
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, 0, 15, 0
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, 0, 16, 0
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, 0, 16, 0
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, 0, 17, 0
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, 4, 17, 0
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, 0, 18, 0
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, 0, 18, 0
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, 4, 19, 0
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, 0, 19, 26
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, 5, 20, 0
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, 0, 20, 27
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, 6, 21, 0
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, 0, 22, 0
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, 0, 23, 30
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, 0, 24, 31
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};
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};
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TwoDMatrix * llincidence = new TwoDMatrix ( 3, nEndo, ll_incidence );
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TwoDMatrix * llincidence = new TwoDMatrix ( 3, nEndo, ll_incidence );
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@ -145,9 +133,9 @@ int main(int argc, char* argv[])
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mexPrintf("k_order_perturbation: jcols= %d .\n", jcols);
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mexPrintf("k_order_perturbation: jcols= %d .\n", jcols);
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#endif
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#endif
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//mxFldp= mxGetField(M_, 0,"endo_names" );
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//mxFldp= mxGetField(M_, 0,"endo_names" );
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const int nendo = 18;//16(int)mxGetM(mxFldp);
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const int nendo = 16;//16(int)mxGetM(mxFldp);
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const int widthEndo = 6;// (int)mxGetN(mxFldp);
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const int widthEndo = 6;// (int)mxGetN(mxFldp);
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const char * cNamesCharStr= "mPceWRkdnlggYPydPc yp__ A22 __oo oobb bbss ss ";
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const char * cNamesCharStr= "mPceWRkdnlggydPc yp A22 __ oo bb ss ";
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// const char** endoNamesMX= DynareMxArrayToString( mxFldp,nendo,widthEndo);
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// const char** endoNamesMX= DynareMxArrayToString( mxFldp,nendo,widthEndo);
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const char** endoNamesMX= DynareMxArrayToString( cNamesCharStr, nendo, widthEndo);
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const char** endoNamesMX= DynareMxArrayToString( cNamesCharStr, nendo, widthEndo);
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#ifdef DEBUG
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#ifdef DEBUG
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