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more fixes for loglinear with lead/lagged exogenous variables

time-shift
Michel Juillard 2016-05-03 11:06:31 +02:00
parent 7e13fe5ef7
commit 3c7c2f46a4
3 changed files with 121 additions and 5 deletions
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16
matlab/stochastic_solvers.m
View File

@ -334,15 +334,21 @@ end
if options_.loglinear
% this needs to be extended for order=2,3
k = get_all_variables_but_lagged_leaded_exogenous(M_);
[ik,k1] = rm_lagged_leaded_exogenous_variables(dr.order_var,M_);
[iklag,klag1] = rm_lagged_leaded_exogenous_variables(dr.order_var(M_.nstatic+(1:M_.nspred)),M_);
[il,il1,ik,k1] = indices_lagged_leaded_exogenous_variables(dr.order_var,M_);
[illag,illag1,iklag,klag1] = indices_lagged_leaded_exogenous_variables(dr.order_var(M_.nstatic+(1:M_.nspred)),M_);
if ~isempty(ik)
if M_.maximum_endo_lag > 0
if M_.nspred > 0
dr.ghx(ik,iklag) = repmat(1./dr.ys(k1),1,length(klag1)).*dr.ghx(ik,iklag).* ...
repmat(dr.ys(klag1)',length(ik),1);
dr.ghx(ik,illag) = repmat(1./dr.ys(k1),1,length(illag)).*dr.ghx(ik,illag)
end
dr.ghu(ik,:) = repmat(1./dr.ys(k1),1,M_.exo_nbr).*dr.ghu(ik,:);
if M_.exo_nbr > 0
dr.ghu(ik,:) = repmat(1./dr.ys(k1),1,M_.exo_nbr).*dr.ghu(ik,:);
end
end
if ~isempty(il) && M_.nspred > 0
dr.ghx(il,iklag) = dr.ghx(il,iklag).*repmat(dr.ys(klag1)', ...
length(il),1);
end
if options_.order>1
error('Loglinear options currently only works at order 1')

57
matlab/utilities/general/indices_lagged_leaded_exogenous_variables.m Normal file
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@ -0,0 +1,57 @@
function [il,l1,ik,k1] = indices_lagged_leaded_exogenous(k,M)
% returns indices of all endogenous variables split between auxiliary
% variables for lagged or leaded exogenous variables and all other ones
%
% INPUT
% k: vector of endogenous variables ID
% M: model structure
%
% OUTPUT
% il: indices of lagged or leaded variable in vector k
% l1: value of lagged or leaded variable in vector k
% ik: indices of non lagged or leaded variable in vector k
% k1: value of non lagged or leaded variable in vector k
% Copyright (C) 2011-2016 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/>.
il = [];
l1 = [];
if isempty(M.aux_vars)
ik = 1:length(k);
k1 = k;
else
ik = [];
k1 = [];
orig_endo_nbr = M.orig_endo_nbr;
type = [M.aux_vars.type];
for j=1:length(k)
if (k(j) > orig_endo_nbr)
ty = type(k(j) - orig_endo_nbr);
if (ty ~= 2 & ty ~= 3)
ik = [ik; j];
k1 = [k1; k(j)];
else
il = [il; j];
l1 = [l1; k(j)];
end
else
ik = [ik; j];
k1 = [k1; k(j)]
end
end
end

53
matlab/utilities/general/log_variable.m Normal file
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@ -0,0 +1,53 @@
function y = log_variable(ivar,x,M)
% returns the log of an endogenous variables except if
% it is a lagged/leaded exogenous variable
%
% INPUT
% ivar: vector of variable indices (in declaration order)
% x: vector of variables value
% M: model structure
%
% OUTPUT
% y: log of the selected variables if there are not auxiliary variables
% for lagged/leaded exogenous variables
%
% Copyright (C) 2011-2016 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/>.
orig_endo_nbr = M.orig_endo_nbr;
aux_vars = M.aux_vars;
y = zeros(length(ivar),1);
for i = ivar(:)'
% Does ivar(i) refer to a lag/lead exogenous variable?
if ivar(i) > orig_endo_nbr
av = aux_vars(ivar(i) - orig_endo_nbr);
if av.type == 2 || av.type == 3
if av.endo_index ~= ivar(i)
error(['This case shouldn''t happen. Please, contact Dynare ' ...
'developers'])
else
y(i) = x(ivar(i));
end
else
y(i) = log(x(ivar(i)));
end
else
y(i) = log(x(ivar(i)));
end
end