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Estimation DLL: fixed decision rules with respect to state variables (ghx)

time-shift
Sébastien Villemot 2010-02-19 18:00:34 +01:00
parent 547a912d5e
commit 5ee45cfb60
2 changed files with 14 additions and 12 deletions
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22
mex/sources/estimation/DecisionRules.cc
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@ -39,12 +39,13 @@ DecisionRules::DecisionRules(size_t n_arg, size_t p_arg,
A(n, n_back_mixed + n + n_fwrd_mixed),
D(n_fwrd + n_back + 2*n_mixed),
E(n_fwrd + n_back + 2*n_mixed),
Z(n_fwrd + n_back + 2*n_mixed),
Z_prime(n_fwrd + n_back + 2*n_mixed),
QR(n, n_static, n_back_mixed + n + n_fwrd_mixed),
GSD(n_fwrd + n_back + 2*n_mixed, qz_criterium),
LU1(n_fwrd_mixed),
LU2(n_back_mixed),
LU3(n_static),
Z21(n_fwrd_mixed, n_back_mixed),
g_y_back(n_back_mixed),
g_y_back_tmp(n_back_mixed),
g_y_static(n_static, n_back_mixed),
@ -121,42 +122,43 @@ DecisionRules::compute(const Matrix &jacobian, Matrix &g_y, Matrix &g_u) throw (
// Perform the generalized Schur
size_t sdim;
GSD.compute(E, D, Z, sdim);
GSD.compute(E, D, Z_prime, sdim);
if (n_back_mixed != sdim)
throw BlanchardKahnException(true, n_fwrd_mixed, n_fwrd + n_back + 2*n_mixed - sdim);
// Compute DR for forward variables w.r. to endogenous
MatrixView Z21(Z, n_back_mixed, 0, n_fwrd_mixed, n_back_mixed),
Z22(Z, n_back_mixed, n_back_mixed, n_fwrd_mixed, n_fwrd_mixed);
MatrixView Z21_prime(Z_prime, 0, n_back_mixed, n_back_mixed, n_fwrd_mixed),
Z22_prime(Z_prime, n_back_mixed, n_back_mixed, n_fwrd_mixed, n_fwrd_mixed);
mat::transpose(Z21, Z21_prime);
try
{
LU1.invMult("N", Z22, Z21);
LU1.invMult("T", Z22_prime, Z21);
}
catch (LUSolver::LUException &e)
{
throw BlanchardKahnException(false, n_fwrd_mixed, n_fwrd + n_back + 2*n_mixed - sdim);
}
mat::negate(Z21);
const MatrixView &g_y_fwrd = Z21;
const Matrix &g_y_fwrd = Z21;
for (size_t i = 0; i < n_fwrd_mixed; i++)
mat::row_copy(g_y_fwrd, i, g_y, zeta_fwrd_mixed[i]);
// Compute DR for backward variables w.r. to endogenous
MatrixView Z11(Z, 0, 0, n_back_mixed, n_back_mixed),
MatrixView Z11_prime(Z_prime, 0, 0, n_back_mixed, n_back_mixed),
T11(D, 0, 0, n_back_mixed, n_back_mixed),
S11(E, 0, 0, n_back_mixed, n_back_mixed);
mat::set_identity(g_y_back);
mat::transpose(Z11);
g_y_back_tmp = Z11;
g_y_back_tmp = Z11_prime;
LU2.invMult("N", g_y_back_tmp, g_y_back);
g_y_back_tmp = g_y_back;
blas::gemm("N", "N", 1.0, S11, g_y_back_tmp, 0.0, g_y_back);
LU2.invMult("N", T11, g_y_back);
g_y_back_tmp = g_y_back;
blas::gemm("N", "N", 1.0, Z11, g_y_back_tmp, 0.0, g_y_back);
blas::gemm("N", "N", 1.0, Z11_prime, g_y_back_tmp, 0.0, g_y_back);
// TODO: avoid to copy mixed variables again, rather test it...
for (size_t i = 0; i < n_back_mixed; i++)

4
mex/sources/estimation/DecisionRules.hh
View File

@ -34,11 +34,11 @@ private:
const size_t n_fwrd, n_back, n_mixed, n_static, n_back_mixed, n_fwrd_mixed, n_dynamic;
std::vector<size_t> zeta_fwrd_mixed, zeta_back_mixed, zeta_dynamic,
beta_back, beta_fwrd, pi_back, pi_fwrd;
Matrix S, A, D, E, Z;
Matrix S, A, D, E, Z_prime;
QRDecomposition QR;
GeneralizedSchurDecomposition GSD;
LUSolver LU1, LU2, LU3;
Matrix g_y_back, g_y_back_tmp;
Matrix Z21, g_y_back, g_y_back_tmp;
Matrix g_y_static, A0s, A0d, g_y_dynamic, g_y_static_tmp;
public:
class BlanchardKahnException