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Fixes to handle properly implicit derivation when STEADY_STATE syntax is applied

time-shift
Marco Ratto 2011-03-18 10:54:09 +01:00
parent 1ec1ea874a
commit 8352873e06
2 changed files with 26 additions and 27 deletions
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15
matlab/getH.m
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@ -30,15 +30,10 @@ yy0=oo_.dr.ys(I);
% for j=1:size(M_.lead_lag_incidence,1);
% yy0 = [ yy0; oo_.dr.ys(find(M_.lead_lag_incidence(j,:)))];
% end
[df, gp] = feval([M_.fname,'_params_derivs'],yy0, oo_.exo_steady_state', ...
M_.params, oo_.dr.ys, 1);
[residual, g1 ] = feval([M_.fname,'_dynamic'],yy0, oo_.exo_steady_state', ...
M_.params, oo_.dr.ys, 1);
[residual, g1, g2 ] = feval([M_.fname,'_dynamic'],yy0, oo_.exo_steady_state', ...
M_.params, oo_.dr.ys, 1);
dyssdtheta=zeros(length(oo_.dr.ys),M_.param_nbr);
df = feval([M_.fname,'_params_derivs'],yy0, oo_.exo_steady_state', ...
M_.params, oo_.dr.ys, 1, dyssdtheta);
[residual, gg1] = feval([M_.fname,'_static'],oo_.dr.ys, oo_.exo_steady_state', M_.params);
% df = feval([M_.fname,'_model_derivs'],yy0, oo_.exo_steady_state', M_.params, 1);
dyssdtheta = -gg1\df;
if any(any(isnan(dyssdtheta))),
[U,T] = schur(gg1);
@ -51,6 +46,10 @@ if any(any(isnan(dyssdtheta))),
T = T(k+1:end,k+1:end);
dyssdtheta = -U(:,k+1:end)*(T\U(:,k+1:end)')*df;
end
[df, gp] = feval([M_.fname,'_params_derivs'],yy0, oo_.exo_steady_state', ...
M_.params, oo_.dr.ys, 1, dyssdtheta);
[residual, g1, g2 ] = feval([M_.fname,'_dynamic'],yy0, oo_.exo_steady_state', ...
M_.params, oo_.dr.ys, 1);
Hss = dyssdtheta(oo_.dr.order_var,indx);
dyssdtheta = dyssdtheta(I,:);

38
matlab/getJJ.m
View File

@ -36,14 +36,14 @@ if kronflag == -1,
assignin('base','M_', M_);
assignin('base','oo_', oo_);
else
[H, dA, dOm, dYss, gp] = getH(A, B, M_,oo_,kronflag,indx,indexo);
[H, dA, dOm, dYss, gp] = getH(A, B, M_,oo_,kronflag,indx,indexo);
gp = reshape(gp,size(gp,1)*size(gp,2),size(gp,3));
gp = [dYss; gp];
% if isempty(H),
% JJ = [];
% GAM = [];
% return
% end
% end
m = length(A);
GAM = lyapunov_symm(A,B*M_.Sigma_e*B',options_.qz_criterium,options_.lyapunov_complex_threshold,1);
k = find(abs(GAM) < 1e-12);
@ -113,27 +113,27 @@ else
JJ = [ [zeros(length(mf),nexo) dYss(mf,:)]; JJ];
if nargout >2,
% sy=sy(mf,mf);
options_.ar=nlags;
[GAM,stationary_vars] = th_autocovariances(oo_.dr,oo_.dr.order_var(mf),M_,options_);
sy=sqrt(diag(GAM{1}));
sy=sy*sy';
if useautocorr,
sy=sy-diag(diag(sy))+eye(length(mf));
GAM{1}=GAM{1}./sy;
else
for j=1:nlags,
GAM{j+1}=GAM{j+1}.*sy;
end
end
gam = dyn_vech(GAM{1});
end
if nargout >2,
% sy=sy(mf,mf);
options_.ar=nlags;
[GAM,stationary_vars] = th_autocovariances(oo_.dr,oo_.dr.order_var(mf),M_,options_);
sy=sqrt(diag(GAM{1}));
sy=sy*sy';
if useautocorr,
sy=sy-diag(diag(sy))+eye(length(mf));
GAM{1}=GAM{1}./sy;
else
for j=1:nlags,
gam = [gam; vec(GAM{j+1})];
GAM{j+1}=GAM{j+1}.*sy;
end
end
gam = [oo_.dr.ys(oo_.dr.order_var(mf)); gam];
gam = dyn_vech(GAM{1});
for j=1:nlags,
gam = [gam; vec(GAM{j+1})];
end
end
gam = [oo_.dr.ys(oo_.dr.order_var(mf)); gam];
% if useautocorr,
warning('on','MATLAB:divideByZero')