Bugs correction in check command with sparse option in model command
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2196 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
ferhat
parent
dcc37a681a
commit
7c6ed357b6
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@ -59,7 +59,7 @@ global it_
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if(options_.model_mode == 1)
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nyf = dr.nyf;
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else
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nyf = nnz(dr.kstate(:,2)>M_.maximum_lag+1);
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nyf = nnz(dr.kstate(:,2)>M_.maximum_endo_lag+1);
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end;
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[m_lambda,i]=sort(abs(eigenvalues_));
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n_explod = nnz(abs(eigenvalues_) > options_.qz_criterium);
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@ -23,34 +23,18 @@ function [dr,info,M_,options_,oo_] = dr11_sparse(dr,task,M_,options_,oo_, jacobi
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kstate = dr.kstate;
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kad = dr.kad;
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kae = dr.kae;
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%kstate
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%kad
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%kae
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nstatic = dr.nstatic;
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nfwrd = dr.nfwrd;
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npred = dr.npred;
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nboth = dr.nboth;
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%nstatic
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%nfwrd
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%npred
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%nboth
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order_var = dr.order_var;
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%order_var
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nd = size(kstate,1);
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%nd
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nz = nnz(M_.lead_lag_incidence);
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%nz
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sdyn = M_.endo_nbr - nstatic;
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%sdyn
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% M_.lead_lag_incidence
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k0 = M_.lead_lag_incidence(M_.maximum_endo_lag+1,order_var);
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k1 = M_.lead_lag_incidence(find([1:klen] ~= M_.maximum_endo_lag+1),:);
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% size(jacobia_)
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% k0
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%k1
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b = jacobia_(:,k0);
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%full(b)
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if M_.maximum_endo_lead == 0; % backward models
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a = jacobia_(:,nonzeros(k1'));
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@ -75,7 +59,6 @@ function [dr,info,M_,options_,oo_] = dr11_sparse(dr,task,M_,options_,oo_, jacobi
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end
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return;
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end
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%forward--looking models
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if nstatic > 0
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[Q,R] = qr(b(:,1:nstatic));
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@ -83,14 +66,8 @@ function [dr,info,M_,options_,oo_] = dr11_sparse(dr,task,M_,options_,oo_, jacobi
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else
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aa = jacobia_;
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end
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% full(aa)
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a = aa(:,nonzeros(k1'));
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b = aa(:,k0);
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%M_.lead_lag_incidence
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%k0
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%k1
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%a
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%b
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b10 = b(1:nstatic,1:nstatic);
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b11 = b(1:nstatic,nstatic+1:end);
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b2 = b(nstatic+1:end,nstatic+1:end);
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@ -100,9 +77,9 @@ function [dr,info,M_,options_,oo_] = dr11_sparse(dr,task,M_,options_,oo_, jacobi
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end
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% buildind D and E
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%nd
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d = zeros(nd,nd) ;
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e = d ;
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k = find(kstate(:,2) >= M_.maximum_endo_lag+2 & kstate(:,3));
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d(1:sdyn,k) = a(nstatic+1:end,kstate(k,3)) ;
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k1 = find(kstate(:,2) == M_.maximum_endo_lag+2);
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@ -124,10 +101,6 @@ function [dr,info,M_,options_,oo_] = dr11_sparse(dr,task,M_,options_,oo_, jacobi
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[ss,tt,w,sdim,dr.eigval,info1] = mjdgges(e,d,options_.qz_criterium);
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%ss
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%tt
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%sdim
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%fprintf('%20.16f\n',dr.eigval)
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if info1
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info(1) = 2;
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@ -138,14 +111,13 @@ function [dr,info,M_,options_,oo_] = dr11_sparse(dr,task,M_,options_,oo_, jacobi
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nba = nd-sdim;
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nyf = sum(kstate(:,2) > M_.maximum_endo_lag+1);
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%disp(['task' num2str(task)]);
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if task == 1
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dr.rank = rank(w(1:nyf,nd-nyf+1:end));
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% Under Octave, eig(A,B) doesn't exist, and
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% lambda = qz(A,B) won't return infinite eigenvalues
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if ~exist('OCTAVE_VERSION')
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dr.eigval = eig(e,d);
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% dr.eigval
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end
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return
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end
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@ -214,11 +214,12 @@ function [dr,info,M_,options_,oo_] = dr1_sparse(dr,task,M_,options_,oo_)
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dr.nyf = 0;
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dr.rank = 0;
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for i=1:length(M_.block_structure.block)
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%disp(['block ' num2str(i)]);
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M_.block_structure.block(i).dr.Null=0;
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M_.block_structure.block(i).dr=set_state_space(M_.block_structure.block(i).dr,M_.block_structure.block(i));
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jcb_=jacobia_(M_.block_structure.block(i).equation,repmat(M_.block_structure.block(i).variable,1,M_.block_structure.block(i).maximum_endo_lag+M_.block_structure.block(i).maximum_endo_lead+1)+kron([M_.maximum_endo_lag-M_.block_structure.block(i).maximum_endo_lag:M_.maximum_endo_lag+M_.block_structure.block(i).maximum_endo_lead],M_.endo_nbr*ones(1,M_.block_structure.block(i).endo_nbr)));
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jcb_=jcb_(:,find(any(jcb_,1)));
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col_selector=repmat(M_.block_structure.block(i).variable,1,M_.block_structure.block(i).maximum_endo_lag+M_.block_structure.block(i).maximum_endo_lead+1)+kron([M_.maximum_endo_lag-M_.block_structure.block(i).maximum_endo_lag:M_.maximum_endo_lag+M_.block_structure.block(i).maximum_endo_lead],M_.endo_nbr*ones(1,M_.block_structure.block(i).endo_nbr));
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row_selector = M_.block_structure.block(i).equation;
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jcb_=jacobia_(row_selector,col_selector);
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jcb_ = jcb_(:,find(M_.block_structure.block(i).lead_lag_incidence')) ;
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hss_=0; %hessian(M_.block_structure.block(i).equation,M_.block_structure.block(i).variable);
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dra = M_.block_structure.block(i).dr;
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M_.block_structure.block(i).exo_nbr=M_.exo_nbr;
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Binary file not shown.
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@ -32,7 +32,7 @@ ModelTree::ModelTree(SymbolTable &symbol_table_arg,
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NumericalConstants &num_constants_arg) :
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DataTree(symbol_table_arg, num_constants_arg),
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mode(eStandardMode),
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cutoff(1e-12),
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cutoff(1e-15),
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markowitz(0.7),
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new_SGE(true),
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computeJacobian(false),
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@ -543,7 +543,9 @@ ModelTree::writeModelEquationsOrdered_M(ostream &output, Model_Block *ModelBlock
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{
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if(ModelBlock->Block_List[j].IM_lead_lag[m].Var_Index[i]==ModelBlock->Block_List[j].Variable[0])
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{
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output << " g1(M_.block_structure.block(" << gen_blocks << ").equation(" << count_derivates << "), M_.block_structure.block(" << gen_blocks << ").variable(" << count_derivates << ")+" << (m+variable_table.max_endo_lag-ModelBlock->Block_List[j].Max_Lag)*symbol_table.endo_nbr << ")=";
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//output << " g1(M_.block_structure.block(" << gen_blocks << ").equation(" << count_derivates << "), M_.block_structure.block(" << gen_blocks << ").variable(" << count_derivates << ")+" << (m+variable_table.max_endo_lag-ModelBlock->Block_List[j].Max_Lag)*symbol_table.endo_nbr << ")=";
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//output << " g1(M_.block_structure.block(" << gen_blocks << ").equation(" << count_derivates << "), M_.block_structure.block(" << gen_blocks << ").variable(" << count_derivates << ")+" << (m+variable_table.max_endo_lag-ModelBlock->Block_List[j].Max_Lag)*symbol_table.endo_nbr << ")=";
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output << " g1(" << ModelBlock->Block_List[j].Equation[0]+1 << ", " << ModelBlock->Block_List[j].Variable[0]+1 + (m+variable_table.max_endo_lag-ModelBlock->Block_List[j].Max_Lag)*symbol_table.endo_nbr << ")=";
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writeDerivative(output, ModelBlock->Block_List[j].Equation[0], ModelBlock->Block_List[j].Variable[0], k, oMatlabDynamicModelSparse, temporary_terms);
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output << "; % variable=" << symbol_table.getNameByID(eEndogenous, ModelBlock->Block_List[j].Variable[0])
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<< "(" << variable_table.getLag(variable_table.getSymbolID(ModelBlock->Block_List[j].Variable[0]))
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@ -2124,9 +2126,12 @@ ModelTree::writeSparseDynamicMFile(const string &dynamic_basename, const string
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break;
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case SOLVE_FORWARD_SIMPLE:
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case SOLVE_BACKWARD_SIMPLE:
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mDynamicModelFile << " y_index=" << block_triangular.ModelBlock->Block_List[i].Variable[0]+1 << ";\n";
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mDynamicModelFile << " y_index_eq = " << block_triangular.ModelBlock->Block_List[i].Equation[0]+1 << ";\n";
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mDynamicModelFile << " y_index = " << block_triangular.ModelBlock->Block_List[i].Variable[0]+1 << ";\n";
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mDynamicModelFile << " [r, g1, g2, g3]=" << dynamic_basename << "_" << i + 1 << "(y, x, it_, g1, g2, g3, y_index, 1);\n";
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mDynamicModelFile << " residual(y_index_eq)=r;\n";
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tmp_eq.str("");
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tmp.str("");
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break;
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case SOLVE_FORWARD_COMPLETE:
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case SOLVE_BACKWARD_COMPLETE:
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@ -2140,6 +2145,7 @@ ModelTree::writeSparseDynamicMFile(const string &dynamic_basename, const string
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//tmp_i=variable_table.max_lag+variable_table.max_lead+1;
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mDynamicModelFile << " ga = [];\n";
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mDynamicModelFile << " ga=spalloc(" << block_triangular.ModelBlock->Block_List[i].Size << ", " << block_triangular.ModelBlock->Block_List[i].Size*tmp_i << ", " << block_triangular.ModelBlock->Block_List[i].Size*block_triangular.ModelBlock->Block_List[i].Size*tmp_i << ");\n";
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//mDynamicModelFile << " [r, g1, g2, g3, b]=" << dynamic_basename << "_" << i + 1 << "(y, x, it_, 1, ga, g2, g3);\n";
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mDynamicModelFile << " [r, ga, g2, g3, b]=" << dynamic_basename << "_" << i + 1 << "(y, x, it_, 1, ga, g2, g3);\n";
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mDynamicModelFile << " g1(y_index_eq,y_index_c) = ga;\n";
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mDynamicModelFile << " residual(y_index_eq)=r;\n";
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@ -2159,6 +2165,7 @@ ModelTree::writeSparseDynamicMFile(const string &dynamic_basename, const string
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mDynamicModelFile << " for i=1:" << tmp_i-1 << ",\n";
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mDynamicModelFile << " y_index_c = [y_index_c (y_index+i*y_size)];\n";
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mDynamicModelFile << " end;\n";
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//mDynamicModelFile << " [r, g1, g2, g3, b]=" << dynamic_basename << "_" << i + 1 << "(y, x, it_-1, " << block_triangular.ModelBlock->Block_List[i].Size << ", 1, ga, g2, g3);\n";
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mDynamicModelFile << " [r, ga, g2, g3, b]=" << dynamic_basename << "_" << i + 1 << "(y, x, it_-1, " << block_triangular.ModelBlock->Block_List[i].Size << ", 1, ga, g2, g3);\n";
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if(block_triangular.ModelBlock->Block_List[i].Max_Lag==variable_table.max_lag && block_triangular.ModelBlock->Block_List[i].Max_Lead==variable_table.max_lead)
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mDynamicModelFile << " g1(y_index_eq,y_index_c) = ga;\n";
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@ -2877,6 +2884,8 @@ ModelTree::writeOutput(ostream &output) const
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output << "M_.block_structure.block(" << k << ").equation = [" << tmp_s_eq.str() << "];\n";
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output << "M_.block_structure.block(" << k << ").variable = [" << tmp_s.str() << "];\n";
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tmp_s.str("");
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cout << "begining of lead_lag_incidence\n";
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bool done_IM=false;
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if(!evaluate)
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{
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@ -18,7 +18,7 @@
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//
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// Michel Juillard, February 2004
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var m P c e W R k d n l gy_obs gp_obs y dA;
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var m P c e W R k d n l gy_obs gp_obs y dA vv ww;
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varexo e_a e_m;
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parameters alp bet gam mst rho psi del;
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@ -48,6 +48,19 @@ e = exp(e_a);
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y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
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gy_obs = dA*y/y(-1);
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gp_obs = (P/P(-1))*m(-1)/dA;
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vv = 0.2*ww+0.5*vv(-1)+1;
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ww = 0.1*vv+0.5*ww(-1)+2;
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/* A lt=
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0.5*vv-0.2*ww = 1
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-0.1*vv+0.5*ww = 2
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[ 0.5 -0.2][vv] [1]
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=
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[-0.1 0.5][ww] [2]
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det = 0.25-0.02 = 0.23
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[vv] [0.5 0.2] [1] [0.9] [3.91304]
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= 1/0.23* = 1/0.23* =
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[ww] [0.1 0.5] [2] [1.1] [4.7826]
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*/
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end;
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initval;
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@ -67,6 +80,8 @@ gp_obs = exp(-gam);
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dA = exp(gam);
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e_a=0;
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e_m=0;
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vv = 0;
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ww = 0;
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end;
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/*shocks;
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@ -17,7 +17,7 @@ rho_ys = 0.9;
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rho_pies = 0.7;
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//model(sparse_dll,gcc_compiler,cutoff=1e-17);
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//model(sparse_dll,cutoff=1e-17);
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model(sparse);
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//model;
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y = y(+1) - (tau +alpha*(2-alpha)*(1-tau))*(R-pie(+1))-alpha*(tau +alpha*(2-alpha)*(1-tau))*dq(+1) + alpha*(2-alpha)*((1-tau)/tau)*(y_s-y_s(+1))-A(+1);
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@ -68,7 +68,7 @@ estimation(datafile=data_ca1,first_obs=8,nobs=79,mh_nblocks=10,prefilter=1,mh_js
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*/
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steady;
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model_info;
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//model_info;
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check;
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shocks;
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@ -77,6 +77,6 @@ periods 1;
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values 0.5;
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end;
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simul(periods=200,method=bicgstab);
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rplot A;
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rplot pie;
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//simul(periods=200,method=bicgstab);
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//rplot A;
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//rplot pie;
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