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Add k-order conditional and unconditional welfare evaluation in evaluate_planner_objective

pac-components
NormannR 2021-11-24 17:30:02 +01:00
parent f889a25e86
commit 6b566d37c7
2 changed files with 38 additions and 14 deletions
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47
matlab/evaluate_planner_objective.m
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@ -198,7 +198,7 @@ if options_.ramsey_policy
Wbar = U/(1-beta);
Wy = Uy*gy/(eye(nspred)-beta*Gy);
Wu = Uy*gu + beta*Wy*Gu;
if isempty(options_.qz_criterium)
options_.qz_criterium = 1+1e-6;
end
@ -225,16 +225,43 @@ if options_.ramsey_policy
planner_objective_value.conditional.steady_initial_multiplier = W_L_SS;
planner_objective_value.conditional.zero_initial_multiplier = W_L_0;
else
%Order k code will go here!
if ~isempty(M_.endo_histval)
fprintf('\nevaluate_planner_objective: order>2 conditional and unconditional welfare calculations not yet supported when an histval block is provided\n')
else
fprintf('\nevaluate_planner_objective: order>2 conditional welfare with initial Lagrange multipliers set to zero and unconditional welfare calculations not yet supported\n')
planner_objective_value.conditional.steady_initial_multiplier = k_order_welfare(dr, M_, options_);
planner_objective_value.conditional.zero_initial_multiplier = NaN;
planner_objective_value.unconditional = NaN;
% Computes the welfare decision rule
[W] = k_order_welfare(dr,M_,options_);
% Appends the welfare decision rule to the endogenous variables decision
% rule
g = dr;
for i=0:options_.order
eval("g.g_"+num2str(i)+" = [dr.g_"+num2str(i)+"; W.W_"+num2str(i)+"];");
end
return
% Amends the steady-state vector accordingly
[U] = feval([M_.fname '.objective.static'],ys,zeros(1,exo_nbr), M_.params);
ysteady = [ys(oo_.dr.order_var); U/(1-beta)];
% Generates the sequence of shocks to compute unconditional welfare
nper = 10000;
nburn = 1000;
chol_S = chol(M_.Sigma_e);
exo_simul = chol_S*randn(nper,M_.exo_nbr)';
yhat_start = zeros(M_.endo_nbr+1,1);
[moment] = k_order_mean(options_.order, M_.nstatic, M_.npred, M_.nboth, M_.nfwrd+1, M_.exo_nbr, 1, nburn, yhat_start, exo_simul, ysteady, g);
% Stores the result for unconditional welfare
planner_objective_value.unconditional = moment(end);
% Conditional welfare
% Gets initial values
[yhat_L_SS,yhat_L_0, u] = get_initial_state(ys,M_,dr,oo_);
% Conditional welfare (i) with Lagrange multipliers set to their
% steady-state values
yhat_start(M_.nstatic+1:M_.nstatic+M_.npred+M_.nboth) = yhat_L_SS;
[moment,sim] = k_order_mean(options_.order, M_.nstatic, M_.npred, M_.nboth, M_.nfwrd+1, M_.exo_nbr, 1, 0, yhat_start, u, ysteady, g);
planner_objective_value.conditional.steady_initial_multiplier = sim(end,1);
% Conditional welfare (ii) with Lagrange multipliers set to 0
yhat_start(M_.nstatic+1:M_.nstatic+M_.npred+M_.nboth) = yhat_L_0;
[moment,sim] = k_order_mean(options_.order, M_.nstatic, M_.npred, M_.nboth, M_.nfwrd+1, M_.exo_nbr, 1, nburn, yhat_start, u, ysteady, g);
planner_objective_value.conditional.zero_initial_multiplier = sim(end,1);
end
end
elseif options_.discretionary_policy

5
tests/optimal_policy/neo_growth_ramsey_k_order.mod
View File

@ -31,13 +31,10 @@ end;
stoch_simul(order=6, irf=0);
%evaluate_planner_objective;
evaluate_planner_objective;
[W_dynpp] = k_order_welfare(oo_.dr, M_, options_);
%if condWelfare~=oo_.planner_objective_value.conditional.steady_initial_multiplier
% error('Inaccurate conditional welfare with Lagrange multiplier set to its steady-state value');
%end
if ~exist(['neo_growth_k_order' filesep 'Output' filesep 'neo_growth_k_order_results.mat'],'file');
error('neo_growth_k_order must be run first');
end;