4.1: add preprocessor interface for k_order_solver
rename use_k_order to k_order_solver in Matlab procedures fix tests git-svn-id: https://www.dynare.org/svn/dynare/trunk@3179 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
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19a3db853e
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@ -51,7 +51,7 @@ function [dr,info,M_,options_,oo_] = dr1(dr,task,M_,options_,oo_)
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info = 0;
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if options_.use_k_order;
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if options_.k_order_solver;
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dr = set_state_space(dr,M_);
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[dr,info] = k_order_pert(dr,M_,options_,oo_);
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oo_.dr = dr;
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@ -127,7 +127,7 @@ function global_initialization()
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options_.use_qzdiv = 0;
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end
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options_.aim_solver = 0; % i.e. by default do not use G.Anderson's AIM solver, use mjdgges instead
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options_.use_k_order=0; % by default do not use k_order_perturbation but mjdgges
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options_.k_order_solver=0; % by default do not use k_order_perturbation but mjdgges
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options_.partial_information = 0;
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options_.conditional_variance_decomposition = [];
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@ -10,12 +10,20 @@ function [dr,info] = k_order_pert(dr,M,options,oo)
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case 1
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g_1 = k_order_perturbation(dr,0,M,options, oo , ['.' ...
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mexext]);
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dr.g_1 = g_1;
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case 2
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[g_0, g_1, g_2] = k_order_perturbation(dr,0,M,options, oo , ['.' ...
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mexext]);
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dr.g_0 = g_0;
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dr.g_1 = g_1;
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dr.g_2 = g_2;
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case 3
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[g_0, g_1, g_2, g_3] = k_order_perturbation(dr,0,M,options, oo , ['.' ...
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mexext]);
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dr.g_0 = g_0;
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dr.g_1 = g_1;
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dr.g_2 = g_2;
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dr.g_3 = g_3;
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otherwise
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error('order > 3 isn''t implemented')
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end
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@ -61,9 +69,3 @@ function [dr,info] = k_order_pert(dr,M,options,oo)
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dr.ghuu = ghuu;
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end
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if order > 2
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dr.g_0 = g_0;
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dr.g_1 = g_1;
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dr.g_2 = g_2;
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dr.g_3 = g_3;
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end
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@ -42,53 +42,69 @@ global M_ options_ it_
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y_ = zeros(size(y0,1),iter+M_.maximum_lag);
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y_(:,1:M_.maximum_lag) = y0;
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k1 = [M_.maximum_lag:-1:1];
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k2 = dr.kstate(find(dr.kstate(:,2) <= M_.maximum_lag+1),[1 2]);
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k2 = k2(:,1)+(M_.maximum_lag+1-k2(:,2))*M_.endo_nbr;
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k3 = M_.lead_lag_incidence(1:M_.maximum_lag,:)';
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k3 = find(k3(:));
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k4 = dr.kstate(find(dr.kstate(:,2) < M_.maximum_lag+1),[1 2]);
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k4 = k4(:,1)+(M_.maximum_lag+1-k4(:,2))*M_.endo_nbr;
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if iorder == 1
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if ~isempty(dr.ghu)
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for i = M_.maximum_lag+1: iter+M_.maximum_lag
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tempx1 = y_(dr.order_var,k1);
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tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
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tempx = tempx2(k2);
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if options_.k_order_solver
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options_.seed = 77;
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ex_ = [zeros(1,M_.exo_nbr); ex_];
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switch options_.order
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case 1
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y_ = dynare_simul_(1,dr.nstatic,dr.npred-dr.nboth,dr.nboth,dr.nfwrd,M_.exo_nbr, ...
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y_(dr.order_var,1),ex_',M_.Sigma_e,options_.seed,dr.ys(dr.order_var),...
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zeros(M_.endo_nbr,1),dr.g_1);
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case 2
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y_ = dynare_simul_(2,dr.nstatic,dr.npred-dr.nboth,dr.nboth,dr.nfwrd,M_.exo_nbr, ...
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y_(dr.order_var,1),ex_',M_.Sigma_e,options_.seed,dr.ys(dr.order_var),dr.g_0, ...
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dr.g_1,dr.g_2);
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case 3
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y_ = dynare_simul_(3,dr.nstatic,dr.npred-dr.nboth,dr.nboth,dr.nfwrd,M_.exo_nbr, ...
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y_(dr.order_var,1),ex_',M_.Sigma_e,options_.seed,dr.ys(dr.order_var),dr.g_0, ...
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dr.g_1,dr.g_2,dr.g_3);
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otherwise
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error(['order = ' int2str(order) ' isn''t supported'])
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end
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y_(dr.order_var,:) = y_;
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else
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k1 = [M_.maximum_lag:-1:1];
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k2 = dr.kstate(find(dr.kstate(:,2) <= M_.maximum_lag+1),[1 2]);
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k2 = k2(:,1)+(M_.maximum_lag+1-k2(:,2))*M_.endo_nbr;
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k3 = M_.lead_lag_incidence(1:M_.maximum_lag,:)';
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k3 = find(k3(:));
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k4 = dr.kstate(find(dr.kstate(:,2) < M_.maximum_lag+1),[1 2]);
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k4 = k4(:,1)+(M_.maximum_lag+1-k4(:,2))*M_.endo_nbr;
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if iorder == 1
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if ~isempty(dr.ghu)
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for i = M_.maximum_lag+1: iter+M_.maximum_lag
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tempx1 = y_(dr.order_var,k1);
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tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
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tempx = tempx2(k2);
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y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*tempx+dr.ghu* ...
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ex_(i-M_.maximum_lag,:)';
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k1 = k1+1;
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k1 = k1+1;
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end
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else
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for i = M_.maximum_lag+1: iter+M_.maximum_lag
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tempx1 = y_(dr.order_var,k1);
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tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
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tempx = tempx2(k2);
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y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*tempx;
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k1 = k1+1;
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end
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end
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else
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elseif iorder == 2
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for i = M_.maximum_lag+1: iter+M_.maximum_lag
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tempx1 = y_(dr.order_var,k1);
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tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
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tempx = tempx2(k2);
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y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*tempx;
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tempu = ex_(i-M_.maximum_lag,:)';
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tempuu = kron(tempu,tempu);
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tempxx = kron(tempx,tempx);
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tempxu = kron(tempx,tempu);
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y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghs2/2+dr.ghx*tempx+ ...
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dr.ghu*tempu+0.5*(dr.ghxx*tempxx+dr.ghuu*tempuu)+dr.ghxu*tempxu;
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k1 = k1+1;
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end
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end
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elseif iorder == 2
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for i = M_.maximum_lag+1: iter+M_.maximum_lag
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tempx1 = y_(dr.order_var,k1);
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tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
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tempx = tempx2(k2);
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tempu = ex_(i-M_.maximum_lag,:)';
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tempuu = kron(tempu,tempu);
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tempxx = kron(tempx,tempx);
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tempxu = kron(tempx,tempu);
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y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghs2/2+dr.ghx*tempx+ ...
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dr.ghu*tempu+0.5*(dr.ghxx*tempxx+dr.ghuu*tempuu)+dr.ghxu*tempxu;
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k1 = k1+1;
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end
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elseif iorder == 3
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options_.seed = 77;
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ex_ = [zeros(1,M_.exo_nbr); ex_];
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y_ = dynare_simul_(3,dr.nstatic,dr.npred-dr.nboth,dr.nboth,dr.nfwrd,M_.exo_nbr, ...
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y_(dr.order_var,1),ex_',M_.Sigma_e,options_.seed,dr.ys(dr.order_var),dr.g_0, ...
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dr.g_1,dr.g_2,dr.g_3);
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y_(dr.order_var,:) = y_;
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end
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% MJ 08/30/02 corrected bug at order 2
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@ -27,7 +27,7 @@ function info=stoch_simul(var_list)
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options_.replic = 1;
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elseif options_.order == 3
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options_.simul = 1;
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options_.use_k_order = 1;
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options_.k_order_solver = 1;
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end
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@ -97,7 +97,7 @@ class ParsingDriver;
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%token END ENDVAL EQUAL ESTIMATION ESTIMATED_PARAMS ESTIMATED_PARAMS_BOUNDS ESTIMATED_PARAMS_INIT
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%token FILENAME FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS
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%token <string_val> FLOAT_NUMBER
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%token FORECAST
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%token FORECAST K_ORDER_SOLVER
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%token GAMMA_PDF GRAPH CONDITIONAL_VARIANCE_DECOMPOSITION
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%token HISTVAL HOMOTOPY_SETUP HOMOTOPY_MODE HOMOTOPY_STEPS HP_FILTER HP_NGRID
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%token IDENTIFICATION INF_CONSTANT INITVAL INITVAL_FILE
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@ -804,6 +804,7 @@ stoch_simul_options : o_dr_algo
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| o_aim_solver
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| o_partial_information
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| o_conditional_variance_decomposition
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| o_k_order_solver
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;
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symbol_list : symbol_list symbol
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@ -1858,6 +1859,7 @@ o_draws_nbr_burn_in_2 : DRAWS_NBR_BURN_IN_2 EQUAL INT_NUMBER {driver.option_num(
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o_draws_nbr_mean_var_estimate : DRAWS_NBR_MEAN_VAR_ESTIMATE EQUAL INT_NUMBER {driver.option_num("ms.draws_nbr_mean_var_estimate",$3); };
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o_draws_nbr_modified_harmonic_mean : DRAWS_NBR_MODIFIED_HARMONIC_MEAN EQUAL INT_NUMBER {driver.option_num("ms.draws_nbr_modified_harmonic_mean",$3); };
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o_dirichlet_scale : DIRICHLET_SCALE EQUAL INT_NUMBER {driver.option_num("ms.dirichlet_scale",$3); };
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o_k_order_solver : K_ORDER_SOLVER {driver.option_num("k_order_solver","1"); };
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o_chain : CHAIN EQUAL INT_NUMBER { ;};
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o_state : STATE EQUAL INT_NUMBER { ;};
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@ -343,6 +343,7 @@ int sigma_e = 0;
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<DYNARE_STATEMENT>posterior_mode {return token::POSTERIOR_MODE; }
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<DYNARE_STATEMENT>posterior_mean {return token::POSTERIOR_MEAN; }
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<DYNARE_STATEMENT>posterior_median {return token::POSTERIOR_MEDIAN; }
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<DYNARE_STATEMENT>k_order_solver {return token::K_ORDER_SOLVER; }
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<DYNARE_STATEMENT>[\$][^$]*[\$] {
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@ -55,7 +55,7 @@ end;
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steady;
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stoch_simul(order=2,use_k_order,periods=1000);
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stoch_simul(order=2,k_order_solver,periods=1000);
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oo1 = load('fs2000k2a_results','oo_');
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@ -1,4 +1,4 @@
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var m P c e W R k d n l gy_obs gp_obs y dA ;
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var m m_1 P P_1 c e W R k d n l gy_obs gp_obs y dA AUXv;
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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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@ -11,10 +11,10 @@ rho = 0.7;
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psi = 0.787;
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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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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)))))/(c(+2)*P(+2)*m(+1))=0;
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log(m) = (1-rho)*log(mst) + rho*log(m_1(-1))+e_m;
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-P/(c(+1)*P(+1)*m)+AUXv(+1)=0;
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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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R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
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@ -25,12 +25,17 @@ m-1+d = l;
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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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gy_obs = dA*y/y(-1);
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gp_obs = (P/P(-1))*m(-1)/dA;
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gp_obs = (P/P_1(-1))*m_1(-1)/dA;
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m_1 = m;
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P_1 = P;
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AUXv = bet*P*(alp*exp(-alp*(gam+log(e)))*k(-1)^(alp-1)*n^(1-alp)+(1-del)*exp(-(gam+log(e))))/(c(+1)*P(+1)*m);
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end;
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initval;
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m = mst;
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m_1=mst;
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P = 2.25;
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P_1 = 2.25;
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c = 0.45;
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e = 1;
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W = 4;
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@ -43,6 +48,7 @@ y = 0.6;
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gy_obs = exp(gam);
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gp_obs = exp(-gam);
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dA = exp(gam);
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AUXv = 1;
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end;
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shocks;
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@ -52,7 +58,7 @@ end;
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steady;
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stoch_simul(order=2,use_k_order,irf=0);
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stoch_simul(order=2,k_order_solver,irf=0);
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if ~exist('fs2000k2_results.mat','file');
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error('fs2000k2 must be run first');
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@ -63,27 +69,27 @@ oo1 = load('fs2000k2_results','oo_');
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dr0 = oo1.oo_.dr;
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dr = oo_.dr;
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ikr = [15 1:3 16 4:7 12 10 11 13 14];
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ikr = [2:10 1 13:17];
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ikc = [1 3 4 2];
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ikc2 = [1 3 4 2 9 11 12 10 13 15 16 14 5 7 8 6];
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ikc2u = [1 2 5 6 7 8 3 4];
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if max(max(abs(dr0.ghx(ikr,ikc) - dr.ghx(1:end-1,:)))) > 1e-12;
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if max(max(abs(dr0.ghx - dr.ghx(ikr,ikc)))) > 1e-12;
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disp('error in ghx');
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end;
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if max(max(abs(dr0.ghu(ikr,:) - dr.ghu(1:end-1,:)))) > 1e-12;
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if max(max(abs(dr0.ghu - dr.ghu(ikr,:)))) > 1e-12;
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disp('error in ghu');
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end;
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if max(max(abs(dr0.ghxx(ikr,ikc2) - dr.ghxx(1:end-1,:)))) > 1e-12;
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if max(max(abs(dr0.ghxx - dr.ghxx(ikr,ikc2)))) > 1e-12;
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disp('error in ghxx');
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end;
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if max(max(abs(dr0.ghuu(ikr,:) - dr.ghuu(1:end-1,:)))) > 1e-12;
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if max(max(abs(dr0.ghuu - dr.ghuu(ikr,:)))) > 1e-12;
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disp('error in ghuu');
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end;
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if max(max(abs(dr0.ghxu(ikr,ikc2u) - dr.ghxu(1:end-1,:)))) > 1e-12;
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if max(max(abs(dr0.ghxu - dr.ghxu(ikr,ikc2u)))) > 1e-12;
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disp('error in ghxu');
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end;
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if max(max(abs(dr0.ghs2(ikr,:) - dr.ghs2(1:end-1,:)))) > 1e-12;
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if max(max(abs(dr0.ghs2 - dr.ghs2(ikr,:)))) > 1e-12;
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disp('error in ghs2');
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end;
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