Added the possibility to invert (nonlinear) static models.
(cherry picked from commit 52b8c56da2)
time-shift
Stéphane Adjemian (Charybdis)
parent
766f752e7e
commit
6ddd58d0b0
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@ -15,7 +15,7 @@ function [endogenousvariables, exogenousvariables] = model_inversion(constraints
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%
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% REMARKS
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% Copyright (C) 2018 Dynare Team
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% Copyright (C) 2018-2019 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -44,7 +44,7 @@ if ~isdseries(exogenousvariables)
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error('model_inversion: Second input argument must be a dseries object!')
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end
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if ~isdseries(initialconditions)
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if ~isempty(initialconditions) && ~isdseries(initialconditions)
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error('model_inversion: Third input argument must be a dseries object!')
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end
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@ -68,8 +68,10 @@ if exogenousvariables.vobs>constraints.vobs
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observed_exogenous_variables_flag = true;
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end
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% Add auxiliary variables in initialconditions object.
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[initialconditions, info] = checkdatabase(initialconditions, DynareModel, true, false);
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if DynareModel.maximum_lag
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% Add auxiliary variables in initialconditions object.
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initialconditions = checkdatabase(initialconditions, DynareModel, true, false);
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end
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% Get the list of endogenous and exogenous variables.
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endo_names = DynareModel.endo_names;
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@ -77,10 +79,17 @@ exo_names = DynareModel.exo_names;
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% Use specidalized routine if the model is backward looking.
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if ~DynareModel.maximum_lead
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[endogenousvariables, exogenousvariables] = ...
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backward_model_inversion(constraints, exogenousvariables, initialconditions, ...
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endo_names, exo_names, freeinnovations, ...
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DynareModel, DynareOptions, DynareOutput);
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if DynareModel.maximum_lag
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[endogenousvariables, exogenousvariables] = ...
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backward_model_inversion(constraints, exogenousvariables, initialconditions, ...
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endo_names, exo_names, freeinnovations, ...
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DynareModel, DynareOptions, DynareOutput);
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else
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[endogenousvariables, exogenousvariables] = ...
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static_model_inversion(constraints, exogenousvariables, ...
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endo_names, exo_names, freeinnovations, ...
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DynareModel, DynareOptions, DynareOutput);
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end
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return
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end
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@ -0,0 +1,38 @@
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function [r, J] = static_model_for_inversion(z, dynamicmodel, ycur, x, params, ModelInversion)
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% Copyright (C) 2019 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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% Set up y
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y = zeros(ModelInversion.nyfree+ModelInversion.nyctrl, 1);
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y(ModelInversion.y_constrained_id) = ycur;
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if ModelInversion.nyfree
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y(ModelInversion.y_free_id) = z(1:ModelInversion.nyfree);
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end
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% Update x
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x(ModelInversion.x_free_id) = z(ModelInversion.nyfree+(1:ModelInversion.nxfree));
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if nargout>1
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[r, Jacobian] = feval(dynamicmodel, y, x, params, [], 1);
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else
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r = feval(dynamicmodel, y, x, params, [], 1);
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return
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end
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J = Jacobian(:,ModelInversion.J_id);
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@ -0,0 +1,122 @@
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function [endogenousvariables, exogenousvariables] = static_model_inversion(constraints, exogenousvariables, endo_names, exo_names, freeinnovations, DynareModel, DynareOptions, ~)
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% INPUTS
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% - constraints [dseries] with N constrained endogenous variables from t1 to t2.
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% - exogenousvariables [dseries] with Q exogenous variables.
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% - endo_names [cell] list of endogenous variable names.
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% - exo_names [cell] list of exogenous variable names.
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% - freeinstruments [cell] list of exogenous variable names used to control the constrained endogenous variables.
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%
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% OUTPUTS
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% - endogenous [dseries]
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% - exogenous [dseries]
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%
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% REMARKS
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% Copyright (C) 2019 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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% Get indices for the calibrated and free innovations.
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freeinnovations_id = zeros(length(freeinnovations), 1);
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if length(freeinnovations)<DynareModel.exo_nbr
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for i=1:length(freeinnovations)
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freeinnovations_id(i) = find(strcmp(freeinnovations{i}, exo_names));
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end
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calibratedinnovations_id = setdiff(transpose(1:length(exo_names)), freeinnovations_id);
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else
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freeinnovations_id = transpose(1:length(exo_names));
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calibratedinnovations_id = [];
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end
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nxfree = length(freeinnovations_id);
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nxcalb = length(calibratedinnovations_id);
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% Get indices for the the controlled and free endogenous variables.
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controlledendogenousvariables_id = zeros(length(freeinnovations), 1);
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if length(freeinnovations)<DynareModel.endo_nbr
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for i=1:length(freeinnovations)
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controlledendogenousvariables_id(i) = find(strcmp(constraints.name{i}, endo_names));
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end
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freeendogenousvariables_id = setdiff(transpose(1:length(endo_names)), controlledendogenousvariables_id);
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else
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controlledendogenousvariables_id = transpose(1:length(endo_names));
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freeendogenousvariables_id = [];
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end
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nyfree = length(freeendogenousvariables_id);
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nyctrl = length(controlledendogenousvariables_id);
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% Get indices of variables appearing at time t-1.
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% should be empty. iy1 = find(DynareModel.lead_lag_incidence(1,:)>0);
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% Get indices of variables appearing at time t.
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% all variables appear at time t in a static model. iy0 = find(DynareModel.lead_lag_incidence(2,:)>0);
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% Build structure to be passed to the objective function.
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ModelInversion.nyfree = nyfree;
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ModelInversion.nyctrl = nyctrl;
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ModelInversion.nxfree = nxfree;
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ModelInversion.nxcalb = nxcalb;
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ModelInversion.y_constrained_id = vec(DynareModel.lead_lag_incidence(controlledendogenousvariables_id));
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ModelInversion.y_free_id = vec(DynareModel.lead_lag_incidence(freeendogenousvariables_id));
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ModelInversion.x_free_id = freeinnovations_id;
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ModelInversion.J_id = [ModelInversion.y_free_id ; sum(DynareModel.lead_lag_incidence(:)>0)+ModelInversion.x_free_id];
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% Get the name of the dynamic model routines.
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model_dynamic = str2func([DynareModel.fname,'.dynamic']);
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model_stransf = str2func('static_model_for_inversion');
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% Initialization of the returned simulations (endogenous variables).
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Y = NaN(DynareModel.endo_nbr, nobs(constraints));
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for i=1:nyctrl
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Y(controlledendogenousvariables_id(i),1:end) = transpose(constraints.data(:,i));
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end
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% Exogenous variables.
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X = exogenousvariables.data;
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% Inversion of the model, solvers for the free endogenous and exogenous variables (call a Newton-like algorithm in each period).
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ity = 1;
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itx = find(exogenousvariables.dates==constraints.dates(1));
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DynareOptions.solve_algo=4;
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for t = 1:nobs(constraints)
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% Set the current values of the constrained endogenous variables.
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ycur = Y(controlledendogenousvariables_id,ity);
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% Vector z gather the free endogenous variables (initialized with lagged
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% values) and the free exogenous variables (initialized with 0).
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z = [Y(freeendogenousvariables_id,ity); zeros(nxfree, 1)];
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% Solves for z.
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[z, failed] = dynare_solve(model_stransf, z, DynareOptions, model_dynamic, ycur, X(itx, :), DynareModel.params, ModelInversion);
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if failed
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error('Enable to solve the system of equations!')
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end
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% Update the matrix of exogenous variables.
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X(itx,freeinnovations_id) = z(nyfree+(1:nxfree));
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% Update the matrix of endogenous variables.
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if nyfree
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Y(freeendogenousvariables_id,ity) = z(1:nyfree);
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end
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% Increment counters
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ity = ity+1;
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itx = itx+1;
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end
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endogenousvariables = dseries(Y', constraints.dates(1), endo_names);
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exogenousvariables = dseries(X(find(exogenousvariables.dates==constraints.dates(1))+(0:(nobs(constraints)-1)),:), constraints.dates(1), exo_names);
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