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corrected bugs in shock_decomposition

time-shift
Michel Juillard 2010-04-26 15:04:42 +02:00
parent b3602541ac
commit 956b42fdff
3 changed files with 37 additions and 12 deletions
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40
matlab/evaluate_planner_objective.m
View File

@ -50,27 +50,46 @@ function oo1 = evaluate_planner_objective(dr,M,oo,options)
i_org = (1:M.endo_nbr)';
end
ipred = find(lead_lag_incidence(M.maximum_lag,:))';
orig_ifrwrd = find(M.orig_model.lead_lag_incidence(3,:));
orig_npred = nnz(M.orig_model.lead_lag_incidence(1,:));
order_var = dr.order_var;
ys = oo.dr.ys;
[U,Uy,Uyy] = feval([M.fname '_objective_static'],ys,zeros(1,exo_nbr), ...
M.params);
z = repmat(ys(1:M.orig_model.endo_nbr),1,3);
z = z(find(M.orig_model.lead_lag_incidence'));
[F,Fy,Fyy] = feval([M.fname '_dynamic'],z,zeros(3,exo_nbr), ...
M.params,2);
mu_ss = oo.dr.ys(M.orig_model.endo_nbr+exo_nbr+(1:size(F,1)));
%K = reshape(1:endo_nbr^2,endo_nbr,endo_nbr);
%K = K(order_var,order_var);
%Uyy = Uyy(:,K(:));
beta = options.planner_discount;
Gy = dr.ghx(nstatic+(1:npred),:);
Gu = dr.ghu(nstatic+(1:npred),:);
gy(dr.order_var,:) = dr.ghx;
gu(dr.order_var,:) = dr.ghu;
Gy = gy(ipred,:);
Gu = gu(ipred,:);
gy = gy(i_org,:);
gu = gu(i_org,:);
muFy = mu_ss'*Fy;
muFyy = mu_ss'*Fyy;
Zy = [eye(orig_npred,npred); gy; gy(orig_ifrwrd,:)*Gy; zeros(exo_nbr, ...
npred)];
Zu = [zeros(orig_npred,exo_nbr); gu; gy(orig_ifrwrd,:)*Gu; eye(exo_nbr, ...
exo_nbr)];
Zyy = kron(Zy,Zy);
Zuu = kron(Zu,Zu);
Zyu = kron(Zy,Zu);
Wbar = U/(1-beta);
Wy = Uy*gy/(eye(npred)-beta*Gy);
Wu = Uy*gu + beta*Wy*Gu;
Wyy = Uyy*kron(gy,gy)/(eye(npred^2)-beta*kron(Gy,Gy));
Wyu = Uyy*kron(gy,gu)+beta*Wyy*kron(Gy,Gu);
Wuu = Uyy*kron(gu,gu)+beta*Wyy*kron(Gu,Gu);
Wy = (Uy*gy+muFy*Zy)/(eye(npred)-beta*Gy);
Wu = Uy*gu + muFy*Zu + beta*Wy*Gu;
% N1 = Uyy*kron(gy,gy)
% N2 = muFyy*Zyy
format long
Wyy = (Uyy*kron(gy,gy)+muFyy*Zyy)/(eye(npred^2)-beta*kron(Gy,Gy))
Wyu = Uyy*kron(gy,gu) + muFyy*Zyu + beta*Wyy*kron(Gy,Gu);
Wuu = Uyy*kron(gu,gu) + muFyy*Zuu + beta*Wyy*kron(Gu,Gu);
Wss = beta*Wuu*vec(M.Sigma_e)/(1-beta);
if options.ramsey_policy
@ -79,17 +98,18 @@ function oo1 = evaluate_planner_objective(dr,M,oo,options)
else
yhat = oo.endo_simul;
end
yhat = yhat(dr.order_var(nstatic+(1:npred)),1)-dr.ys(dr.order_var(nstatic+(1:npred)));
yhat = yhat(dr.order_var(nstatic+(1:npred)),1)-dr.ys(dr.order_var(nstatic+(1:npred)))
u = oo.exo_simul(1,:)';
planner_objective_value = Wbar+Wy*yhat+Wu*u+Wyu*kron(yhat,u) ...
+ 0.5*(Wyy*kron(yhat,yhat) + Wuu*kron(u,u)+Wss);
disp(Wyy*kron(yhat,yhat))
oo1.planner_objective_value = planner_objective_value;
if ~options.noprint
disp(' ')
if options.ramsey_policy
disp(['Value of planner objective function under Ramsey policy: ' ...
num2str(planner_objective_value)])
disp(sprintf('Value of planner objective function under Ramsey policy: %16.8f', ...
planner_objective_value))
else
disp(['Value of planner objective function: ' ...
num2str(planner_objective_value)])

5
matlab/global_initialization.m
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@ -235,6 +235,11 @@ options_.use_dll = 0;
% model evaluated using bytecode.dll
options_.bytecode = 0;
% dates for historical time series
options_.initial_date.freq = 1;
options_.initial_date.period = 1;
options_.initial_date.subperiod = 0;
% SWZ SBVAR
options_.ms.freq = 1;
options_.ms.initial_subperiod = 1;

4
matlab/shock_decomposition.m
View File

@ -38,7 +38,7 @@ nshocks = M_.exo_nbr;
% indices of endogenous variables
if size(varlist,1) == 0
varlist = M_.endo_names(M_.orig_endo_nbr);
varlist = M_.endo_names(1:M_.orig_endo_nbr,:);
end
[i_var,nvar] = varlist_indices(varlist,M_.endo_names);
@ -95,4 +95,4 @@ options_.initial_date.freq = 1;
options_.initial_date.period = 1;
options_.initial_date.sub_period = 0;
graph_decomp(z,M_.exo_names,i_var,options_.initial_date)
graph_decomp(z,M_.exo_names,M_.endo_names,i_var,options_.initial_date)