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fixed elimination of Lagrange multipliers for Ramsey policy

time-shift
Michel Juillard 2011-04-21 21:08:20 +02:00
parent e263b9258f
commit 74d1d80b0c
2 changed files with 20 additions and 11 deletions
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29
matlab/mult_elimination.m
View File

@ -36,7 +36,7 @@ npred = dr.npred;
order_var = dr.order_var;
nstates = M_.endo_names(order_var(nstatic+(1:npred)),:);
il = strmatch('mult_',nstates);
il = strmatch('MULT_',nstates);
nil = setdiff(1:dr.npred,il);
m_nbr = length(il);
nm_nbr = length(nil);
@ -71,7 +71,7 @@ M4 = AA2*E2*[R2_1*Q2(:,1:n2)'*[Q1_12' Q1_22']*[B1;B2]; zeros(m_nbr-n2,size(B,2))
k1 = nstatic+(1:npred);
k1 = k1(nil);
endo_nbr = M_.orig_model.endo_nbr;
endo_nbr = M_.orig_endo_nbr;
exo_nbr = M_.exo_nbr;
lead_lag_incidence = M_.lead_lag_incidence(:,1:endo_nbr+exo_nbr);
@ -101,23 +101,32 @@ dr.M4 = M4;
nvar = length(varlist);
nspred = dr.nspred;
nspred = 6;
if nvar > 0
res_table = zeros(2*(nspred+M_.exo_nbr),nvar);
res_table = zeros(2*(nm_nbr+M_.exo_nbr),nvar);
headers = 'Variables';
for i=1:length(varlist)
k = strmatch(varlist{i},M_.endo_names(dr.order_var,:),'exact');
headers = char(headers,varlist{i});
res_table(1:nspred,i) = M1(k,:)';
res_table(nspred+(1:nspred),i) = M2(k,:)';
res_table(2*nspred+(1:M_.exo_nbr),i) = M3(k,:)';
res_table(2*nspred+M_.exo_nbr+(1:M_.exo_nbr),i) = M4(k,:)';
res_table(1:nm_nbr,i) = M1(k,:)';
res_table(nm_nbr+(1:nm_nbr),i) = M2(k,:)';
res_table(2*nm_nbr+(1:M_.exo_nbr),i) = M3(k,:)';
res_table(2*nm_nbr+M_.exo_nbr+(1:M_.exo_nbr),i) = M4(k,:)';
end
my_title='ELIMINATION OF THE MULTIPLIERS';
lab1 = M_.endo_names(dr.order_var(dr.nstatic+[ 1 2 5:8]),:);
labels = char(lab1,lab1,M_.exo_names,M_.exo_names);
lab = nstates(nil,:);
labels = '';
for i = 1:size(lab,1)
labels = char(labels,strcat(deblank(lab(i,:)),'(-1)'));
end
for i = 1:size(lab,1)
labels = char(labels,strcat(deblank(lab(i,:)),'(-2)'));
end
labels = char(labels,M_.exo_names);
for i = 1:M_.exo_nbr
labels = char(labels,strcat(deblank(M_.exo_names(i,:)),'(-1)'));
end
lh = size(labels,2)+2;
dyntable(my_title,headers,labels,res_table,lh,10,6);
disp(' ')

2
tests/optimal_policy/mult_elimination_test.mod
View File

@ -50,7 +50,7 @@ ramsey_policy(order=1,irf=0,planner_discount=0.95);
dr2 = mult_elimination({'R'},M_,options_,oo_);
k1 = oo_.dr.nstatic+(1:oo_.dr.npred);
k2 = strmatch('mult_',M_.endo_names(oo_.dr.order_var(k1),:));
k2 = strmatch('MULT_',M_.endo_names(oo_.dr.order_var(k1),:));
k3 = k1(setdiff(1:oo_.dr.npred,k2));
k4 = oo_.dr.order_var(k3);