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fixing problem wiht Ramsey policy when the steady state is provided by 

the user
time-shift
Michel Juillard 2011-12-14 21:04:51 +01:00
parent cef244842d
commit 3bc349402f
1 changed files with 31 additions and 28 deletions
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59
matlab/dyn_ramsey_static.m
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@ -53,28 +53,19 @@ if options_.steadystate_flag
end
ys(k_inst) = inst_val;
exo_ss = [oo.exo_steady_state oo.exo_det_steady_state];
[x,params,check] = evaluate_steady_state_file(ys,exo_ss,params,...
[xx,params,check] = evaluate_steady_state_file(ys,exo_ss,params,...
M.fname,options_.steadystate_flag);
if size(x,1) < M.endo_nbr
if length(M.aux_vars) > 0
x = feval([M.fname '_set_auxiliary_variables'],xx,...
M.params);
else
error([M.fname '_steadystate.m doesn''t match the model']);
end
end
[junk,junk,multbar] = dyn_ramsey_static_1(x(k_inst),M,options_,oo);
steady_state = [x(1:M.orig_endo_nbr); multbar];
else
xx = oo.steady_state(1:M.orig_endo_nbr);
n_var = M.orig_endo_nbr+min(find([M.aux_vars.type] == 6)) - 1;
xx = oo.steady_state(1:n_var);
[xx,info1] = dynare_solve(nl_func,xx,0);
[junk,junk,multbar] = nl_func(xx);
steady_state = [xx; multbar];
steady_state = nl_func(xx);
end
steady_state = nl_func(xx);
function [resids, rJ,mult] = dyn_ramsey_static_1(x,M,options_,oo)
function [resids,rJ,steady_state] = dyn_ramsey_static_1(x,M,options_,oo)
resids = [];
rJ = [];
mult = [];
@ -114,13 +105,18 @@ if options_.steadystate_flag
end
% setting steady state of auxiliary variables
xx = zeros(endo_nbr,1);
xx(1:orig_endo_nbr) = x(1:orig_endo_nbr);
x = feval([M.fname '_set_auxiliary_variables'],xx,...
[oo.exo_steady_state,...
oo.exo_det_steady_state],...
M.params);
% that depends on original endogenous variables
if any([M.aux_vars.type] ~= 6)
needs_set_auxiliary_variables = 1;
fh = str2func([M.fname '_set_auxiliary_variables']);
s_a_v_func = @(z) fh(z,...
[oo.exo_steady_state,...
oo.exo_det_steady_state],...
M.params);
x = s_a_v_func(x);
else
needs_set_auxiliary_variables = 0;
end
% value and Jacobian of objective function
ex = zeros(1,M.exo_nbr);
@ -128,13 +124,19 @@ ex = zeros(1,M.exo_nbr);
Uy = Uy';
Uyy = reshape(Uyy,endo_nbr,endo_nbr);
% set multipliers to 0 to compute residuals
[f,fJ] = feval([fname '_static'],x,[oo.exo_simul oo.exo_det_simul], ...
% set multipliers and auxiliary variables that
% depends on multipliers to 0 to compute residuals
xx = [x; zeros(M.endo_nbr - M.orig_eq_nbr,1)];
[res,fJ] = feval([fname '_static'],xx,[oo.exo_simul oo.exo_det_simul], ...
M.params);
aux_eq = [1:orig_endo_nbr orig_endo_nbr+orig_eq_nbr+1:size(fJ,1)];
A = fJ(aux_eq,orig_endo_nbr+1:end);
y = f(aux_eq);
% index of multipliers and corresponding equations
% the auxiliary variables before the Lagrange multipliers are treated
% as ordinary endogenous variables
n_var = M.orig_endo_nbr + min(find([M.aux_vars.type] == 6)) - 1;
aux_eq = [1:n_var orig_endo_nbr+orig_eq_nbr+1:size(fJ,1)];
A = fJ(aux_eq,n_var+1:end);
y = res(aux_eq);
mult = -A\y;
resids1 = y+A*mult;
@ -147,6 +149,7 @@ end
if options_.steadystate_flag
resids = r1;
else
resids = [f(i_mult); r1];
resids = [res; r1];
end
rJ = [];
steady_state = [x(1:n_var); mult];