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Fixed initial condition of stochastic simulation of backward looking models. 

Do not initialize with the steady state. Use histval if available,
default initialization is 0 (which may be problematic).
time-shift
Stéphane Adjemian (Charybdis) 2016-12-01 13:29:36 +01:00
parent e4dee8ef61
commit 95076d5c72
1 changed files with 7 additions and 5 deletions
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12
matlab/simul_backward_nonlinear_model.m
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@ -52,7 +52,7 @@ function DynareOutput = simul_backward_nonlinear_model(initial_conditions, sampl
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
if DynareModel.maximum_lead
error(['simul_backward_nonlinear_model:: The specified model is not backward looking!'])
error('simul_backward_nonlinear_model:: The specified model is not backward looking!')
end
if nargin<6
@ -63,12 +63,10 @@ if nargin<6
effective_number_of_shocks = length(positive_var_indx);
covariance_matrix = DynareModel.Sigma_e(positive_var_indx,positive_var_indx);
covariance_matrix_upper_cholesky = chol(covariance_matrix);
% Set seed to its default state.
if DynareOptions.bnlms.set_dynare_seed_to_default
set_dynare_seed('default');
end
% Simulate structural innovations.
switch DynareOptions.bnlms.innovation_distribution
case 'gaussian'
@ -76,7 +74,6 @@ if nargin<6
otherwise
error(['simul_backward_nonlinear_model:: ' DynareOption.bnlms.innovation_distribution ' distribution for the structural innovations is not (yet) implemented!'])
end
% Put the simulated innovations in DynareOutput.exo_simul.
DynareOutput.exo_simul = zeros(sample_size,number_of_shocks);
DynareOutput.exo_simul(:,positive_var_indx) = DynareOutput.bnlms.shocks;
@ -102,7 +99,12 @@ y = NaN(length(idx)+ny1,1);
% initialization of the returned simulations.
DynareOutput.endo_simul = NaN(DynareModel.endo_nbr,sample_size+1);
if isempty(initial_conditions)
DynareOutput.endo_simul(:,1) = DynareOutput.steady_state;
if isfield(DynareModel,'endo_histval')
DynareOutput.endo_simul(:,1:DynareModel.maximum_lag) = DynareModel.endo_histval;
else
warning('simul_backward_nonlinear_model:: Initial condition is zero for all variables! If the model is nonlinear, the model simulation may fail with the default initialization')
DynareOutput.endo_simul(:,1) = 0;
end
else
DynareOutput.endo_simul(:,1) = initial_conditions;
end