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New option “relative_to_initval” to “mshocks” block

kalman-mex
Sébastien Villemot 2023-10-18 16:45:06 -04:00
parent d78dea3086
commit 5145bd0708
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8 changed files with 122 additions and 31 deletions
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48
doc/manual/source/the-model-file.rst
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@ -2738,14 +2738,19 @@ blocks.
forecast;
.. block:: mshocks ;
mshocks(overwrite);
mshocks (OPTIONS...);
|br| The purpose of this block is similar to that of the
``shocks`` block for deterministic shocks, except that the numeric
values given will be interpreted in a multiplicative way. For
example, if a value of ``1.05`` is given as shock value for some
exogenous at some date, it means 5% above its steady state value
(as given by the last ``initval`` or ``endval`` block).
exogenous at some date, it means 5% above its steady state value.
If no ``endval`` block is present, the steady state as specified in the
``initval`` block is used as the basis for the multiplication. If an
``endval`` block is present, the terminal steady state as specified in the
``endval`` block will be used as the basis for the multiplication (unless
the ``relative_to_initval`` option is passed).
The syntax is the same as ``shocks`` in a deterministic context.
@ -2756,7 +2761,17 @@ blocks.
* on deterministic exogenous variables with a non-zero steady
state, in a stochastic setup.
See above for the meaning of the ``overwrite`` option.
*Options*
.. option:: overwrite
Same meaning as in the :bck:`shocks` block.
.. option:: relative_to_initval
If an ``endval`` block is present, the initial steady state as specified
in the ``initval`` block will be used as the basis for multiplication
(instead of the terminal steady state).
.. block:: heteroskedastic_shocks ;
heteroskedastic_shocks(overwrite);
@ -4125,7 +4140,7 @@ and ``endval`` blocks which are given a special ``learnt_in`` option.
``endval(learnt_in=p)`` block with ``p>3``.
.. block:: mshocks(learnt_in=INTEGER) ;
mshocks(learnt_in=INTEGER,overwrite) ;
mshocks(learnt_in=INTEGER,OPTIONS...) ;
|br| The ``mshocks(learnt_in=INTEGER)`` syntax can be used to specify temporary
shocks that are learnt in a specific period, specified in a multiplicative
@ -4138,18 +4153,27 @@ and ``endval`` blocks which are given a special ``learnt_in`` option.
As in the regular :bck:`mshocks` block (without the ``learnt_in`` option),
the values are interpreted as a multiplicative factor over the steady state
value of the exogenous variable, either the initial steady state as given
by ``initval`` if there is no ``endval`` block, or the terminal steady
state if there is an ``endval`` block. Note that in the latter case, it is
the terminal steady state as anticipated from the period given in the
``learnt_in`` option that is used for the computation.
value of the exogenous variable (the latter being taken either from the
``initval`` or ``endval``, see :bck:`mshocks` for the details).
The ``overwrite`` option says that this block cancels and replaces previous
``shocks`` and ``mshocks`` blocks that have the same ``learnt_in`` option.
If the terminal steady state as specified in the ``endval`` block is used
as a basis for the multiplication, its value as anticipated from the period
given in the ``learnt_in`` option will be used.
Note that a ``mshocks(learnt_in=1)`` block is equivalent to a regular
:bck:`mshocks` block.
*Options*
.. option:: overwrite
This block cancels and replaces previous ``shocks`` and ``mshocks``
blocks that have the same ``learnt_in`` option.
.. option:: relative_to_initval
Same meaning as in the regular :bck:`mshocks` block.
*Example*
::

6
matlab/+gui/+perfect_foresight/run.m
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@ -13,7 +13,7 @@ function run(json)
% SPECIAL REQUIREMENTS
% none
% Copyright © 2019-2022 Dynare Team
% Copyright © 2019-2023 Dynare Team
%
% This file is part of Dynare.
%
@ -84,7 +84,7 @@ if ~isempty(jm.anticipated_permanent_shocks) || ~isempty(jm.endval_endo)
struct(...
'exo_det', false, ...
'exo_id', s.exo_id, ...
'multiplicative', false, ...
'type', 'level', ...
'periods', 1:s.start_date, ...
'value', 0)];
end
@ -99,7 +99,7 @@ if ~isempty(jm.anticipated_transitory_shocks)
M_.det_shocks; ...
struct('exo_det', false, ...
'exo_id', s.exo_id, ...
'multiplicative', false, ...
'type', 'level', ...
'periods', s.start_date:s.end_date, ...
'value', s.value)];
end

6
matlab/evaluate_planner_objective.m
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@ -396,10 +396,10 @@ if ~isempty(M_.det_shocks)
'evaluate_planner_objective: Note that they will be ignored.\n'])
end
shock_indices=find(periods==1);
if any([M_.det_shocks(shock_indices).multiplicative])
fprintf(['\nevaluate_planner_objective: Shock values need to be specified as additive.\n'])
if any(cellfun(@(x) ~strcmp(x, 'level'), { M_.det_shocks(shock_indices).type }))
fprintf(['\nevaluate_planner_objective: Shock values need to be specified in level.\n'])
end
u([M_.det_shocks(shock_indices).exo_id])=[M_.det_shocks(shock_indices).value];
else
u = oo_.exo_simul(1,:)'; %first value of simulation series (set by simult.m if periods>0), 1 otherwise
end
end

25
matlab/perfect-foresight-models/make_ex_.m
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@ -86,16 +86,25 @@ if isfield(M_, 'det_shocks')
ivar = M_.det_shocks(i).exo_id;
v = M_.det_shocks(i).value;
if ~M_.det_shocks(i).exo_det
if ~M_.det_shocks(i).multiplicative
oo_.exo_simul(k,ivar) = v;
else
oo_.exo_simul(k,ivar) = oo_.exo_steady_state(ivar) * v;
switch M_.det_shocks(i).type
case 'level'
oo_.exo_simul(k,ivar) = v;
case 'multiply_steady_state'
oo_.exo_simul(k,ivar) = oo_.exo_steady_state(ivar) * v;
case 'multiply_initial_steady_state'
if isempty(ex0_)
error('Option relative_to_initval of mshocks block cannot be used without an endval block')
end
oo_.exo_simul(k,ivar) = ex0_(ivar) * v;
end
else
if ~M_.det_shocks(i).multiplicative
oo_.exo_det_simul(k,ivar) = v;
else
oo_.exo_det_simul(k,ivar) = oo_.exo_det_steady_state(ivar) * v;
switch M_.det_shocks(i).type
case 'level'
oo_.exo_det_simul(k,ivar) = v;
case 'multiply_steady_state'
oo_.exo_det_simul(k,ivar) = oo_.exo_det_steady_state(ivar) * v;
case 'multiply_initial_steady_state'
error('Option relative_to_initval of mshocks block cannot be used with a deterministic exogenous variable')
end
end
end

14
matlab/perfect-foresight-models/perfect_foresight_with_expectation_errors_setup.m
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@ -75,10 +75,16 @@ else
exo_id = M_.det_shocks(i).exo_id;
v = M_.det_shocks(i).value;
if ~M_.det_shocks(i).exo_det
if ~M_.det_shocks(i).multiplicative
oo_.pfwee.shocks_info(exo_id, prds, 1) = v;
else
oo_.pfwee.shocks_info(exo_id, prds, 1) = oo_.exo_steady_state(exo_id) * v;
switch M_.det_shocks(i).type
case 'level'
oo_.pfwee.shocks_info(exo_id, prds, 1) = v;
case 'multiply_steady_state'
oo_.pfwee.shocks_info(exo_id, prds, 1) = oo_.exo_steady_state(exo_id) * v;
case 'multiply_initial_steady_state'
if isempty(ex0_)
error('Option relative_to_initval of mshocks block cannot be used without an endval block')
end
oo_.pfwee.shocks_info(exo_id, prds, 1) = ex0_(exo_id) * v;
end
end
end

1
meson.build
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@ -1265,6 +1265,7 @@ mod_and_m_tests = [
{ 'test' : [ 'deterministic_simulations/ramst_a.mod' ] },
{ 'test' : [ 'deterministic_simulations/ramst_mshocks.mod' ] },
{ 'test' : [ 'deterministic_simulations/ramst_mshocks_vec.mod' ] },
{ 'test' : [ 'deterministic_simulations/ramst_mshocks_relative_to_initval.mod' ] },
{ 'test' : [ 'deterministic_simulations/predetermined_variables.mod' ] },
{ 'test' : [ 'deterministic_simulations/histval_det.mod' ] },
{ 'test' : [ 'deterministic_simulations/ramst_vec.mod' ] },

2
preprocessor

@ -1 +1 @@
Subproject commit 6af84b8cac54777bc97d4bc232452f8cf9b4498c
Subproject commit f78c428d99884c4b336dba0a7df20c7ad41fb682

51
tests/deterministic_simulations/ramst_mshocks_relative_to_initval.mod Normal file
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@ -0,0 +1,51 @@
// Test “relative_to_initval” option of “mshocks” block
var c k;
varexo x;
parameters alph gam delt bet aa;
alph=0.5;
gam=0.5;
delt=0.02;
bet=0.05;
aa=0.5;
model;
c + k - aa*x*k(-1)^alph - (1-delt)*k(-1);
c^(-gam) - (1+bet)^(-1)*(aa*alph*x(+1)*k^(alph-1) + 1 - delt)*c(+1)^(-gam);
end;
initval;
x = 2;
k = ((delt+bet)/(1.0*aa*x*alph))^(1/(alph-1));
c = aa*x*k^alph-delt*k;
end;
steady;
endval;
x = 3;
end;
steady;
mshocks(relative_to_initval);
var x;
periods 1 2:3;
values 1.2 0.8;
end;
mshocks;
var x;
periods 4;
values 0.9;
end;
perfect_foresight_setup(periods=200);
perfect_foresight_solver;
if ~all(oo_.exo_simul(M_.maximum_lag+(1:4)) == [ 2.4; 1.6; 1.6; 2.7]) ...
|| ~all(oo_.exo_simul(M_.maximum_lag+(5:200)) == 3)
error('mshocks not correctly applied')
end