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(1) Added pruning algorithm for second order simulations (matlab code). 

(2) Speed improvement in second order simulations (replaced call to matlab's kron function by call to
A_times_B_kronecker_C).

(3) Removed useless globals.

(4) Cosmetic changes and corrections on headers.
time-shift
Stéphane Adjemian (Charybdis) 2010-05-25 14:00:08 +02:00
parent 56e4c35b39
commit 945c434afe
3 changed files with 47 additions and 54 deletions
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1
matlab/global_initialization.m
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@ -112,6 +112,7 @@ options_.minimal_solving_periods = 1;
% Solution
options_.order = 2;
options_.pruning = 0;
options_.solve_algo = 2;
options_.linear = 0;
options_.replic = 50;

3
matlab/simult.m
View File

@ -31,7 +31,6 @@ function y_=simult(ys, dr)
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ options_ oo_
global it_ means_
order = options_.order;
replic = options_.replic;
@ -40,8 +39,6 @@ if replic == 0
end
seed = options_.simul_seed;
it_ = M_.maximum_lag + 1 ;
if replic > 1
fname = [M_.fname,'_simul'];
fh = fopen(fname,'w+');

97
matlab/simult_.m
View File

@ -1,23 +1,21 @@
function y_=simult_(y0,dr,ex_,iorder)
% function y_=simult_(y0,dr,ex_,iorder)
%
% Simulates the model, given the path of exogenous variables and the
% Simulates the model using a perturbation approach, given the path for the exogenous variables and the
% decision rules.
%
% INPUTS
% y0: starting values
% dr: structure of decisions rules for stochastic simulations
% ex_: matrix of shocks
% iorder=0: first-order approximation
% iorder=1: second-order approximation
% y0 [double] n*1 vector, initial value (n is the number of declared endogenous variables plus the number
% of auxilliary variables for lags and leads)
% dr [struct] matlab's structure where the reduced form solution of the model is stored.
% ex_ [double] T*q matrix of innovations.
% iorder [integer] order of the taylor approximation.
%
% OUTPUTS
% y_: stochastic simulations results
% y_ [double] n*(T+1) time series for the endogenous variables.
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2001-2007 Dynare Team
% Copyright (C) 2001-2010 Dynare Team
%
% This file is part of Dynare.
%
@ -34,16 +32,15 @@ function y_=simult_(y0,dr,ex_,iorder)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ options_ it_
global M_ options_
iter = size(ex_,1);
if ~isempty(dr.ghu)
nx = size(dr.ghu,2);
end
y_ = zeros(size(y0,1),iter+M_.maximum_lag);
y_(:,1:M_.maximum_lag) = y0;
y_(:,1) = y0;
if options_.k_order_solver
if options_.k_order_solver% Call dynare++ routines.
options_.seed = 77;
ex_ = [zeros(1,M_.exo_nbr); ex_];
switch options_.order
@ -64,46 +61,44 @@ if options_.k_order_solver
end
y_(dr.order_var,:) = y_;
else
k1 = [M_.maximum_lag:-1:1];
k2 = dr.kstate(find(dr.kstate(:,2) <= M_.maximum_lag+1),[1 2]);
k2 = k2(:,1)+(M_.maximum_lag+1-k2(:,2))*M_.endo_nbr;
k3 = M_.lead_lag_incidence(1:M_.maximum_lag,:)';
k3 = find(k3(:));
k4 = dr.kstate(find(dr.kstate(:,2) < M_.maximum_lag+1),[1 2]);
k4 = k4(:,1)+(M_.maximum_lag+1-k4(:,2))*M_.endo_nbr;
if iorder == 1
if ~isempty(dr.ghu)
for i = M_.maximum_lag+1: iter+M_.maximum_lag
tempx1 = y_(dr.order_var,k1);
tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
tempx = tempx2(k2);
y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*tempx+dr.ghu* ...
ex_(i-M_.maximum_lag,:)';
k1 = k1+1;
switch iorder
case 1
if isempty(dr.ghu)
for i = 2:iter+M_.maximum_lag
yhat = y_(dr.order_var(k2),i-1)-dr.ys(dr.order_var(k2));
y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*yhat;
end
else
for i = M_.maximum_lag+1: iter+M_.maximum_lag
tempx1 = y_(dr.order_var,k1);
tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
tempx = tempx2(k2);
y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*tempx;
k1 = k1+1;
for i = 2:iter+M_.maximum_lag
yhat = y_(dr.order_var(k2),i-1)-dr.ys(dr.order_var(k2));
y_(dr.order_var,i) = dr.ys(dr.order_var) + dr.ghx*yhat + dr.ghu*ex_(i-1,:)';
end
end
elseif iorder == 2
for i = M_.maximum_lag+1: iter+M_.maximum_lag
tempx1 = y_(dr.order_var,k1);
tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,M_.maximum_lag);
tempx = tempx2(k2);
tempu = ex_(i-M_.maximum_lag,:)';
tempuu = kron(tempu,tempu);
tempxx = kron(tempx,tempx);
tempxu = kron(tempx,tempu);
y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghs2/2+dr.ghx*tempx+ ...
dr.ghu*tempu+0.5*(dr.ghxx*tempxx+dr.ghuu*tempuu)+dr.ghxu*tempxu;
k1 = k1+1;
case 2
constant = dr.ys(dr.order_var)+.5*dr.ghs2;
if options_.pruning
y__ = y0;
for i = 2:iter+M_.maximum_lag
yhat1 = y__(dr.order_var(k2))-dr.ys(dr.order_var(k2));
yhat2 = y_(dr.order_var(k2),i-1)-dr.ys(dr.order_var(k2));
epsilon = ex_(i-1,:)';
y_(dr.order_var,i) = constant + dr.ghx*yhat2 + dr.ghu*epsilon ...
+ A_times_B_kronecker_C(.5*dr.ghxx,yhat1) ...
+ A_times_B_kronecker_C(.5*dr.ghuu,epsilon) ...
+ A_times_B_kronecker_C(dr.ghxu,yhat1,epsilon);
y__(dr.order_var) = dr.ys(dr.order_var) + dr.ghx*yhat1 + dr.ghu*epsilon;
end
else
for i = 2:iter+M_.maximum_lag
yhat = y_(dr.order_var(k2),i-1)-dr.ys(dr.order_var(k2));
epsilon = ex_(i-1,:)';
y_(dr.order_var,i) = constant + dr.ghx*yhat + dr.ghu*epsilon ...
+ A_times_B_kronecker_C(.5*dr.ghxx,yhat) ...
+ A_times_B_kronecker_C(.5*dr.ghuu,epsilon) ...
+ A_times_B_kronecker_C(dr.ghxu,yhat,epsilon);
end
end
end
end
% MJ 08/30/02 corrected bug at order 2
end