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Added (exogenous) homotopic steps in reversed extended path.

time-shift
Stéphane Adjemian (Scylla) 2010-05-12 17:56:37 +02:00
parent 0889df6161
commit 7d94b012dd
2 changed files with 20 additions and 4 deletions
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12
matlab/ep_residuals.m
View File

@ -42,14 +42,19 @@ if isempty(k1)
k1 = [maximum_lag:-1:1];
k2 = dr.kstate(find(dr.kstate(:,2) <= maximum_lag+1),[1 2]);
k2 = k2(:,1)+(maximum_lag+1-k2(:,2))*endo_nbr;
weight = 0.99;
weight = 0.0;
end
verbose = 0;
% Copy the shocks in exo_simul.
oo_.exo_simul(maximum_lag+1,ix) = exp(transpose(x));
exo_simul = log(oo_.exo_simul);
% Compute the initial solution path for the endogenous variables using a first order approximation.
if verbose
disp('ep_residuals:: Set initial condition for endogenous variable paths.')
end
initial_path = oo_.endo_simul;
for i = maximum_lag+1:size(oo_.exo_simul)
tempx1 = oo_.endo_simul(dr.order_var,k1);
@ -61,6 +66,11 @@ end
oo_.endo_simul = weight*initial_path + (1-weight)*oo_.endo_simul;
info = perfect_foresight_simulation(dr,steadystate);
if verbose>1
info
info.iterations.errors
end
r = y-transpose(oo_.endo_simul(maximum_lag+1,iy));
%(re)Set k1 (indices for the initial conditions)

12
matlab/reversed_extended_path.m
View File

@ -73,7 +73,6 @@ for k=1:n
iy_(k) = strmatch(controlled_variable_names{k},dataset.variables,'exact');
end
% Get indices of the control innovations in exo_simul.
ix = NaN(n,1);
for k=1:n
@ -89,12 +88,19 @@ innovation_paths = zeros(n,T);
% Initialization of the perfect foresight model solver.
perfect_foresight_simulation();
% Set options for fsolve.
options = optimset('MaxIter',10000,'Display','Iter');
%% Call fsolve recursively
for t=1:T
x0 = zeros(n,1);
y = transpose(data(t,iy_));
[tmp,fval,exitflag] = fsolve('ep_residuals', x0, [], y, ix, iy, oo_.steady_state, oo_.dr, M_.maximum_lag, M_.endo_nbr);
y_target = transpose(data(t,iy_));
total_variation = y_target-transpose(oo_.endo_simul(t+M_.maximum_lag,iy));
for i=1:100
[t,i]
y = transpose(oo_.endo_simul(t+M_.maximum_lag,iy)) + (i/100)*y_target
[tmp,fval,exitflag] = fsolve('ep_residuals', x0, options, y, ix, iy, oo_.steady_state, oo_.dr, M_.maximum_lag, M_.endo_nbr);
end
if exitflag==1
innovation_paths(:,t) = tmp;
end