* Changed name of ct_ --> options_.terminal_condition. The default value is zero
(the terminal condition is y_{T} = y^{\star}), other possible values
are 1 (terminal condition is y_{T+1}=y_{T}) and 2 (terminal
condition is y_{T+1}=TransitionMatrix*y_{T}, where TransitionMatrix
is given by the first order approximation of the reduced form model).
* Added mode options_.terminal_condition=2 in perfect_foresight_simulation.m.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3176 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
stepan
parent
622a2d7ec2
commit
9a23cee31c
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@ -30,8 +30,7 @@ function global_initialization()
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global oo_ M_ options_ ct_
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ct_=0;
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options_.terminal_condition = 0;
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options_.rplottype = 0;
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options_.smpl = 0;
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options_.dynatol = 0.00001;
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@ -1,9 +1,11 @@
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function info = perfect_foresight_simulation(init)
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% performs deterministic simulations with lead or lag on one period
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function [info,endo_simul] = perfect_foresight_simulation(endo_simul,exo_simul,compute_linear_solution,steady_state)
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% Performs deterministic simulations with lead or lag on one period
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%
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% INPUTS
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% none
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%
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% endo_simul [double] n*T matrix, where n is the number of endogenous variables.
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% exo_simul [double] q*T matrix, where q is the number of shocks.
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% compute_linear_solution [integer] scalar equal to zero or one.
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%
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% OUTPUTS
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% none
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%
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@ -33,40 +35,44 @@ function info = perfect_foresight_simulation(init)
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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global M_ options_ oo_
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global ct_ it_
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global M_ options_ it_
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persistent flag_init
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persistent lead_lag_incidence dynamic_model ny nyp nyf nrs nrc iyf iyp isp is isf isf1 iz icf
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if nargin==1
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flag_init = [];
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end
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persistent ghx
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if isempty(flag_init)
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lead_lag_incidence = M_.lead_lag_incidence;
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dynamic_model = [M_.fname '_dynamic'];
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ny = size(oo_.endo_simul,1);
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nyp = nnz(lead_lag_incidence(1,:));
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nyf = nnz(lead_lag_incidence(3,:));
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dynamic_model = [M_.fname '_dynamic'];
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ny = size(endo_simul,1);
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nyp = nnz(lead_lag_incidence(1,:));% number of lagged variables.
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nyf = nnz(lead_lag_incidence(3,:));% number of leaded variables.
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nrs = ny+nyp+nyf+1;
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nrc = nyf+1;
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iyf = find(lead_lag_incidence(3,:)>0);
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iyp = find(lead_lag_incidence(1,:)>0);
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isp = 1:nyp;
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is = (nyp+1):(ny+nyp);
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iyf = find(lead_lag_incidence(3,:)>0);% indices for leaded variables.
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iyp = find(lead_lag_incidence(1,:)>0);% indices for lagged variables.
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isp = 1:nyp;
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is = (nyp+1):(nyp+ny); % Indices for contemporaneaous variables.
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isf = iyf+nyp;
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isf1 = (nyp+ny+1):(nyf+nyp+ny+1);
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iz = 1:(ny+nyp+nyf);
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icf = 1:size(iyf,2);
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flag_init = 1;
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if nargin==1
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return
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end
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end
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iz = 1:(ny+nyp+nyf);
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icf = 1:size(iyf,2);
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flag_init = 1;
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end
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endo_simul = oo_.endo_simul;
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periods = options_.periods;
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if nargin<3
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compute_linear_solution = 0;
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if nargin<4
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error('The steady state (fourth input argument) is missing!');
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end
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end
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if compute_linear_solution
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[dr,info]=resol(steady_state,0);
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ghx = dr.ghx(end-dr.nfwrd+1:end,:);
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end
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periods = options_.periods;
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stop = 0 ;
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it_init = M_.maximum_lag+1;
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@ -80,63 +86,80 @@ function info = perfect_foresight_simulation(init)
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last_line = options_.maxit_;
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error_growth = 0;
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h1 = clock;
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h1 = clock;
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for iter = 1:options_.maxit_
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h2 = clock;
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if ct_ == 0
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c = zeros(ny*periods,nrc);
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else
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h2 = clock;
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if options_.terminal_condition
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c = zeros(ny*(periods+1),nrc);
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else
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c = zeros(ny*periods,nrc);
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end
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it_ = it_init ;
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it_ = it_init;
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z = [ endo_simul(iyp,it_-1) ; endo_simul(:,it_) ; endo_simul(iyf,it_+1) ];
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[d1,jacobian] = feval(dynamic_model,z,oo_.exo_simul, M_.params, it_);
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[d1,jacobian] = feval(dynamic_model,z,exo_simul, M_.params, it_);
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jacobian = [jacobian(:,iz) , -d1];
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ic = 1:ny;
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icp = iyp;
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ic = 1:ny;
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icp = iyp;
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c(ic,:) = jacobian(:,is)\jacobian(:,isf1) ;
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for it_ = it_init+(1:periods-1)
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for it_ = it_init+(1:periods-1)
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z = [ endo_simul(iyp,it_-1) ; endo_simul(:,it_) ; endo_simul(iyf,it_+1)];
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[d1,jacobian] = feval(dynamic_model,z,oo_.exo_simul, M_.params, it_);
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[d1,jacobian] = feval(dynamic_model,z,exo_simul, M_.params, it_);
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jacobian = [jacobian(:,iz) , -d1];
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jacobian(:,[isf nrs]) = jacobian(:,[isf nrs])-jacobian(:,isp)*c(icp,:);
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ic = ic + ny;
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icp = icp + ny;
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c(ic,:) = jacobian(:,is)\jacobian(:,isf1);
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end
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if ct_ == 1
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s = eye(ny);
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s(:,isf) = s(:,isf)+c(ic,1:nyf);
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ic = ic + ny;
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c(ic,nrc) = s\c(:,nrc);
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icp = icp + ny;
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c(ic,:) = jacobian(:,is)\jacobian(:,isf1);
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end
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if options_.terminal_condition
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if options_.terminal_condition==1% Terminal condition is Y_{T} = Y_{T+1}
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s = eye(ny);
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s(:,isf) = s(:,isf)+c(ic,1:nyf);
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ic = ic + ny;
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c(ic,nrc) = s\c(ic,nrc);
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else% Terminal condition is Y_{T}-Y^{\star} = TransitionMatrix*(Y_{T+1}-Y^{\star})
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z = [ endo_simul(iyp,it_-1) ; endo_simul(:,it_) ; endo_simul(iyf,it_+1) ] ;
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[d1,jacobian] = feval(dynamic_model,z,exo_simul, M_.params, it_);
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jacobian = [jacobian(:,iz) -d1];
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jacobian(:,[isf nrs]) = jacobian(:,[isf nrs])-jacobian(:,isp)*c(icp,:) ;
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ic = ic + ny;
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icp = icp + ny;
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s = jacobian(:,is);
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s(:,iyp-nyp) = s(:,iyp-nyp)+jacobian(:,isf)*ghx;
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c (ic,:) = s\jacobian(:,isf1);
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end
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c = bksup0(c,ny,nrc,iyf,icf,periods);
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c = reshape(c,ny,periods+1);
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endo_simul(:,it_init+(0:periods)) = endo_simul(:,it_init+(0:periods))+options_.slowc*c;
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else
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c = bksup0(c,ny,nrc,iyf,icf,periods);
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c = reshape(c,ny,periods);
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else% Terminal condition is Y_{T}=Y^{\star}
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c = bksup0(c,ny,nrc,iyf,icf,periods);
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c = reshape(c,ny,periods);
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endo_simul(:,it_init+(0:periods-1)) = endo_simul(:,it_init+(0:periods-1))+options_.slowc*c;
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end
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end
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err = max(max(abs(c)));
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info.iterations.time(iter) = etime(clock,h2);
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info.iterations.error(iter) = err;
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if iter>1
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error_growth = error_growth + (info.iterations.error(iter)>info.iterations.error(iter-1));
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end
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if isnan(err) || error_growth>3
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last_line = iter;
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% if iter>1
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% error_growth = error_growth + (info.iterations.error(iter)>info.iterations.error(iter-1));
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% end
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% if isnan(err) || error_growth>3
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% last_line = iter;
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% break
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% end
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if err < options_.dynatol
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stop = 1;
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info.time = etime(clock,h1);
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info.error = err;
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info.iterations.time = info.iterations.time(1:iter);
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info.iterations.error = info.iterations.error(1:iter);
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break
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end
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if err < options_.dynatol
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stop = 1;
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info.time = etime(clock,h1);
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info.error = err;
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info.iterations.time = info.iterations.time(1:iter);
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info.iterations.error = info.iterations.error(1:iter);
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oo_.endo_simul = endo_simul;
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break
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end
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end
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end
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if options_.terminal_condition==2
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distance_to_steady_state = abs(((endo_simul(:,end-1)-endo_simul(:,end))./endo_simul(:,end)))*100;
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disp('Distance to steady state at the end is (in percentage):')
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distance_to_steady_state
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end
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if ~stop
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info.time = etime(clock,h1);
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@ -144,4 +167,6 @@ function info = perfect_foresight_simulation(init)
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info.convergence = 0;
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info.iterations.time = info.iterations.time(1:last_line);
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info.iterations.error = info.iterations.error(1:last_line);
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info.iterations.error
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endo_simul = [ ];
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end
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@ -33,7 +33,7 @@ function sim1
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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global M_ options_ oo_
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global iyp iyf ct_ M_ it_ c
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global iyp iyf M_ it_ c
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lead_lag_incidence = M_.lead_lag_incidence;
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@ -61,7 +61,7 @@ h1 = clock ;
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for iter = 1:options_.maxit_
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h2 = clock ;
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if ct_ == 0
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if options_.terminal_condition == 0
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c = zeros(ny*options_.periods,nrc) ;
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else
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c = zeros(ny*(options_.periods+1),nrc) ;
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@ -84,7 +84,7 @@ for iter = 1:options_.maxit_
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c (ic,:) = jacobian(:,is)\jacobian(:,isf1) ;
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end
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if ct_ == 1
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if options_.terminal_condition == 1
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s = eye(ny) ;
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s(:,isf) = s(:,isf)+c(ic,1:nyf) ;
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ic = ic + ny ;
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@ -35,7 +35,7 @@ function simk
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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global M_ options_ oo_
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global it_ iyr0 ct_ broyden_
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global it_ iyr0 broyden_
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%func_name = [M_.fname '_static'];
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nk = M_.maximum_endo_lag + M_.maximum_endo_lead + 1 ;
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@ -283,7 +283,7 @@ for iter = 1:options_.maxit_
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iyr = iyr + ny ;
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icr0 = icr0 + ny ;
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end
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if ct_ == 1
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if options_.terminal_condition == 1
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ofs = (((it_-M_.maximum_lag-2)*ny+1)-1)*ncc*8 ;
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junk = fseek(fid,ofs,-1) ;
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@ -303,7 +303,7 @@ for iter = 1:options_.maxit_
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end
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end
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oo_.endo_simul = reshape(oo_.endo_simul,ny,options_.periods+M_.maximum_lag+M_.maximum_endo_lead) ;
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if ct_ == 1
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if options_.terminal_condition == 1
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hbacsup = clock ;
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c = bksupk(ny,fid,ncc,icc1) ;
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hbacsup = etime(clock,hbacsup) ;
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