stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

correcting bug in extended path and added a test

time-shift
Michel Juillard 2012-01-21 14:55:17 +01:00
parent 692708859e
commit 62b1ed7923
2 changed files with 53 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

14
matlab/ep/extended_path.m
View File

@ -70,7 +70,8 @@ end
options_.minimal_solving_period = options_.ep.periods;
% Get indices of variables with non zero steady state
idx = find(abs(oo_.steady_state)>0);
idx = find(abs(oo_.steady_state)>1e-6);
indx = find(abs(oo_.steady_state)<=1e-6);
% Initialize the exogenous variables.
make_ex_;
@ -228,7 +229,16 @@ while (t<sample_size)
end
end
% Test if periods is big enough.
if ~increase_periods && max(max(abs(tmp(idx,end-options_.ep.lp:end)./tmp(idx,end-options_.ep.lp-1:end-1)-1)))<options_.dynatol.x
delta = 0;
if ~isempty(idx)
delta = max(max(abs(tmp(idx,end-options_.ep.lp:end)./tmp(idx, ...
end-options_.ep.lp-1:end-1)-1)));
end;
if ~isempty(indx)
delta = max(delta,max(max(abs(tmp(indx,end-options_.ep.lp: ...
end)-tmp(indx,end-options_.ep.lp-1:end-1)))));
end
if ~increase_periods && delta < options_.dynatol.x
break
else
options_.periods = options_.periods + options_.ep.step;

41
tests/ep/linear.mod Normal file
View File

@ -0,0 +1,41 @@
var y pie r;
varexo e_y e_pie;
parameters delta sigma alpha kappa gamma1 gamma2;
delta = 0.44;
kappa = 0.18;
alpha = 0.48;
sigma = -0.06;
gamma1 = 1.5;
gamma2 = 0.5;
model(block,bytecode,cutoff=0);
y = delta * y(-1) + (1-delta)*y(+1)+sigma *(r - pie(+1)) + e_y;
pie = alpha * pie(-1) + (1-alpha) * pie(+1) + kappa*y + e_pie;
r = gamma1*pie+gamma2*y;
end;
shocks;
var e_y;
stderr 0.63;
var e_pie;
stderr 0.4;
end;
steady;
options_.maxit_ = 100;
options_.ep.verbosity = 0;
options_.ep.stochastic.status = 0;
options_.console_mode = 0;
ts = extended_path([],1000);
options_.ep.stochastic.status = 1;
sts = extended_path([],1000);
if max(max(abs(ts-sts))) > 1e-14
error('extended path algorithm fails in ./tests/ep/linear.mod')
end