new implementation for extended path
Michel Juillard
parent
085ab360cc
commit
9c6e219990
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@ -1,4 +1,4 @@
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function ts = extended_path(initial_conditions,sample_size)
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function [ts,results] = extended_path(initial_conditions,sample_size)
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% Stochastic simulation of a non linear DSGE model using the Extended Path method (Fair and Taylor 1983). A time
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% series of size T is obtained by solving T perfect foresight models.
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%
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@ -32,24 +32,28 @@ function ts = extended_path(initial_conditions,sample_size)
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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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options_.verbosity = options_.ep.verbosity;
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verbosity = options_.ep.verbosity+options_.ep.debug;
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ep = options_.ep;
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options_.verbosity = ep.verbosity;
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verbosity = ep.verbosity+ep.debug;
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% Set maximum number of iterations for the deterministic solver.
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options_.simul.maxit = options_.ep.maxit;
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options_.simul.maxit = ep.maxit;
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% Prepare a structure needed by the matlab implementation of the perfect foresight model solver
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pfm = setup_stochastic_perfect_foresight_model_solver(M_,options_,oo_);
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endo_nbr = M_.endo_nbr;
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exo_nbr = M_.exo_nbr;
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ep = options_.ep;
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maximum_lag = M_.maximum_lag;
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maximum_lead = M_.maximum_lead;
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epreplic_nbr = ep.replic_nbr;
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steady_state = oo_.steady_state;
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dynatol = options_.dynatol;
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% Set default initial conditions.
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if isempty(initial_conditions)
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if isempty(M_.endo_histval)
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initial_conditions = oo_.steady_state;
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initial_conditions = steady_state;
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else
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initial_conditions = M_.endo_histval;
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end
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@ -57,18 +61,19 @@ end
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% Set the number of periods for the perfect foresight model
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periods = options_.ep.periods;
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periods = ep.periods;
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pfm.periods = periods;
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pfm.i_upd = pfm.ny+(1:pfm.periods*pfm.ny);
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pfm.block = options_.block;
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% keep a copy of pfm.i_upd
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i_upd = pfm.i_upd;
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% Set the algorithm for the perfect foresight solver
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options_.stack_solve_algo = options_.ep.stack_solve_algo;
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options_.stack_solve_algo = ep.stack_solve_algo;
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% Set check_stability flag
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do_not_check_stability_flag = ~options_.ep.check_stability;
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do_not_check_stability_flag = ~ep.check_stability;
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% Compute the first order reduced form if needed.
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%
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@ -76,7 +81,7 @@ do_not_check_stability_flag = ~options_.ep.check_stability;
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% all the globals in a mat file called linear_reduced_form.mat;
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dr = struct();
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if options_.ep.init
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if ep.init
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options_.order = 1;
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[dr,Info,M_,options_,oo_] = resol(1,M_,options_,oo_);
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end
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@ -85,12 +90,10 @@ end
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options_.minimal_solving_period = 100;%options_.ep.periods;
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% Initialize the exogenous variables.
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% !!!!!!!! Needs to fixed
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options_.periods = periods;
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make_ex_;
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% Initialize the endogenous variables.
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make_y_;
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%make_y_;
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% Initialize the output array.
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time_series = zeros(M_.endo_nbr,sample_size);
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@ -107,19 +110,36 @@ covariance_matrix_upper_cholesky = chol(covariance_matrix);
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%exo_nbr = effective_number_of_shocks;
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% Set seed.
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if options_.ep.set_dynare_seed_to_default
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if ep.set_dynare_seed_to_default
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set_dynare_seed('default');
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end
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% Set bytecode flag
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bytecode_flag = options_.ep.use_bytecode;
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bytecode_flag = ep.use_bytecode;
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% Set number of replications
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replic_nbr = ep.replic_nbr;
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% Simulate shocks.
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switch options_.ep.innovation_distribution
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switch ep.innovation_distribution
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case 'gaussian'
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oo_.ep.shocks = transpose(transpose(covariance_matrix_upper_cholesky)*randn(effective_number_of_shocks,sample_size));
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shocks = transpose(transpose(covariance_matrix_upper_cholesky)* ...
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randn(effective_number_of_shocks,sample_size*replic_nbr));
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case 'calibrated'
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replic_nbr = 1;
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shocks = zeros(sample_size,effective_number_of_shocks);
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for i = 1:length(M_.unanticipated_det_shocks)
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k = M_.unanticipated_det_shocks(i).periods;
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ivar = M_.unanticipated_det_shocks(i).exo_id;
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v = M_.unanticipated_det_shocks(i).value;
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if ~M_.unanticipated_det_shocks(i).multiplicative
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shocks(k,ivar) = v;
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else
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socks(k,ivar) = shocks(k,ivar) * v;
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end
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end
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shocks = shocks(:,positive_var_indx);
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otherwise
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error(['extended_path:: ' options_.ep.innovation_distribution ' distribution for the structural innovations is not (yet) implemented!'])
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error(['extended_path:: ' ep.innovation_distribution ' distribution for the structural innovations is not (yet) implemented!'])
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end
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@ -128,7 +148,7 @@ hh = dyn_waitbar(0,'Please wait. Extended Path simulations...');
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set(hh,'Name','EP simulations.');
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% hybrid correction
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pfm.hybrid_order = options_.ep.stochastic.hybrid_order;
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pfm.hybrid_order = ep.stochastic.hybrid_order;
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if pfm.hybrid_order
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oo_.dr = set_state_space(oo_.dr,M_,options_);
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options = options_;
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@ -142,16 +162,16 @@ end
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pfm.nnzA = M_.NNZDerivatives(1);
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% setting up integration nodes if order > 0
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if options_.ep.stochastic.order > 0
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if ep.stochastic.order > 0
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[nodes,weights,nnodes] = setup_integration_nodes(options_.ep,pfm);
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pfm.nodes = nodes;
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pfm.weights = weights;
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pfm.nnodes = nnodes;
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% compute number of blocks
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[block_nbr,pfm.world_nbr] = get_block_world_nbr(options_.ep.stochastic.algo,nnodes,options_.ep.stochastic.order,options_.ep.periods);
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[block_nbr,pfm.world_nbr] = get_block_world_nbr(ep.stochastic.algo,nnodes,ep.stochastic.order,ep.periods);
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else
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block_nbr = options_.ep.periods
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block_nbr = ep.periods;
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end
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@ -167,74 +187,54 @@ oo_.ep.failures.previous_period = cell(0);
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oo_.ep.failures.shocks = cell(0);
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% Initializes some variables.
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t = 0;
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t = 1;
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tsimul = 1;
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nx = length(oo_.exo_simul);
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for k = 1:replic_nbr
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results{k} = zeros(endo_nbr,sample_size+1);
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results{k}(:,1) = initial_conditions;
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end
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% Main loop.
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while (t<sample_size)
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while (t <= sample_size)
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if ~mod(t,10)
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dyn_waitbar(t/sample_size,hh,'Please wait. Extended Path simulations...');
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end
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% Set period index.
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t = t+1;
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% Put shocks in oo_.exo_simul (second line).
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exo_simul_1 = zeros(periods+2,exo_nbr);
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exo_simul_1(2,positive_var_indx) = oo_.exo_simul(2,positive_var_indx) + oo_.ep.shocks(t,:);
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if ep.init% Compute first order solution (Perturbation)...
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initial_path = simult_(initial_conditions,dr,exo_simul_1(2:end,:),1);
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endo_simul_1(:,1:end-1) = initial_path(:,1:end-1)*ep.init+endo_simul_1(:,1:end-1)*(1-ep.init);
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if replic_nbr > 1 && ep.parallel_1
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parfor k = 1:replic_nbr
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exo_simul = repmat(oo_.exo_steady_state',periods+2,1);
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exo_simul(1:sample_size+3-t,:) = oo_.exo_simul(t:end,:);
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exo_simul(2,positive_var_indx) = exo_simul(2+1,positive_var_indx) + ...
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shocks((t-2)*replic_nbr+k,:);
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initial_conditions = results{k}(:,t-1);
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results{k}(:,t) = extended_path_core(periods,endo_nbr,exo_nbr,positive_var_indx, ...
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exo_simul,ep.init,initial_conditions,...
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maximum_lag,maximum_lead,steady_state, ...
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ep.verbosity,bytecode_flag,ep.stochastic.order,...
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M_.params,pfm,ep.stochastic.algo,ep.stock_solve_algo,...
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options_.lmmcp);
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end
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else
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if t==1
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endo_simul_1 = repmat(steady_state,1,periods+2);
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for k = 1:replic_nbr
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exo_simul = repmat(oo_.exo_steady_state',periods+maximum_lag+ ...
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maximum_lead,1);
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exo_simul(1:sample_size+maximum_lag+maximum_lead-t+1,:) = ...
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oo_.exo_simul(t:end,:);
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exo_simul(maximum_lag+1,positive_var_indx) = ...
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exo_simul(maximum_lag+1,positive_var_indx) + shocks((t-2)*replic_nbr+k,:);
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initial_conditions = results{k}(:,t-1);
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results{k}(:,t) = extended_path_core(periods,endo_nbr,exo_nbr,positive_var_indx, ...
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exo_simul,ep.init,initial_conditions,...
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maximum_lag,maximum_lead,steady_state, ...
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ep.verbosity,bytecode_flag,ep.stochastic.order,...
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M_,pfm,ep.stochastic.algo,ep.stack_solve_algo,...
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options_.lmmcp);
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end
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end
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% Solve a perfect foresight model.
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% Keep a copy of endo_simul_1
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endo_simul = endo_simul_1;
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if verbosity
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save ep_test_1 endo_simul_1 exo_simul_1
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end
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if bytecode_flag && ~options_.ep.stochastic.order
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[flag,tmp] = bytecode('dynamic',endo_simul_1,exo_simul_1, M_.params, endo_simul_1, options_.ep.periods);
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else
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flag = 1;
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end
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if flag
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if options_.ep.stochastic.order == 0
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[flag,tmp,err] = solve_perfect_foresight_model(endo_simul_1,exo_simul_1,pfm);
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else
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switch(options_.ep.stochastic.algo)
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case 0
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[flag,tmp] = ...
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solve_stochastic_perfect_foresight_model(endo_simul_1,exo_simul_1,pfm,options_.ep.stochastic.quadrature.nodes,options_.ep.stochastic.order);
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case 1
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[flag,tmp] = ...
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solve_stochastic_perfect_foresight_model_1(endo_simul_1,exo_simul_1,options_,pfm,options_.ep.stochastic.order);
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end
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end
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end
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info_convergence = ~flag;
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if verbosity
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if info_convergence
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disp(['Time: ' int2str(t) '. Convergence of the perfect foresight model solver!'])
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else
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disp(['Time: ' int2str(t) '. No convergence of the perfect foresight model solver!'])
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end
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end
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endo_simul_1 = tmp;
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if info_convergence
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% Save results of the perfect foresight model solver.
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time_series(:,tsimul) = endo_simul_1(:,2);
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endo_simul_1(:,1:end-1) = endo_simul_1(:,2:end);
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endo_simul_1(:,1) = time_series(:,tsimul);
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endo_simul_1(:,end) = oo_.steady_state;
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tsimul = tsimul+1;
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else
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oo_.ep.failures.periods = [oo_.ep.failures.periods t];
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oo_.ep.failures.previous_period = [oo_.ep.failures.previous_period endo_simul_1(:,1)];
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oo_.ep.failures.shocks = [oo_.ep.failures.shocks shocks];
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endo_simul_1 = repmat(steady_state,1,periods+2);
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endo_simul_1(:,1) = time_series(:,tsimul-1);
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end
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end% (while) loop over t
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dyn_waitbar_close(hh);
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@ -242,14 +242,85 @@ dyn_waitbar_close(hh);
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if isnan(options_.initial_period)
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initial_period = dates(1,1);
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else
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initial_period = optins_.initial_period;
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initial_period = options_.initial_period;
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end
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if nargout
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ts = dseries(transpose([initial_conditions, time_series]),initial_period,cellstr(M_.endo_names));
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if ~isnan(results{1})
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ts = dseries(transpose([results{1}]), ...
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initial_period,cellstr(M_.endo_names));
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else
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ts = NaN;
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end
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else
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oo_.endo_simul = [initial_conditions, time_series];
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ts = dseries(transpose(oo_.endo_simul),initial_period,cellstr(M_.endo_names));
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dyn2vec;
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if ~isnan(results{1})
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oo_.endo_simul = results{1};
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ts = dseries(transpose(results{1}),initial_period, ...
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cellstr(M_.endo_names));
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else
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oo_.endo_simul = NaN;
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ts = NaN;
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end
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end
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assignin('base', 'Simulated_time_series', ts);
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assignin('base', 'Simulated_time_series', ts);
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function y = extended_path_core(periods,endo_nbr,exo_nbr,positive_var_indx, ...
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exo_simul,init,initial_conditions,...
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maximum_lag,maximum_lead,steady_state, ...
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verbosity,bytecode_flag,order,M,pfm,algo,stack_solve_algo,...
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olmmcp)
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if init% Compute first order solution (Perturbation)...
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endo_simul = simult_(initial_conditions,dr,exo_simul(2:end,:),1);
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else
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endo_simul = [initial_conditions repmat(steady_state,1,periods+1)];
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end
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oo.endo_simul = endo_simul;
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oo_.endo_simul = endo_simul;
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% Solve a perfect foresight model.
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% Keep a copy of endo_simul_1
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if verbosity
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save ep_test_1 endo_simul exo_simul
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end
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if bytecode_flag && ~ep.stochastic.order
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[flag,tmp] = bytecode('dynamic',endo_simul,exo_simul, M_.params, endo_simul, ep.periods);
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else
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flag = 1;
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end
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if flag
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if order == 0
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options.periods = periods;
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options.block = pfm.block;
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oo.endo_simul = endo_simul;
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oo.exo_simul = exo_simul;
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oo.steady_state = steady_state;
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options.bytecode = bytecode_flag;
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options.lmmcp = olmmcp;
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options.stack_solve_algo = stack_solve_algo;
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[tmp,flag] = perfect_foresight_solver_core(M,oo,options);
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else
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switch(algo)
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case 0
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[flag,tmp] = ...
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solve_stochastic_perfect_foresight_model(endo_simul,exo_simul,pfm,ep.stochastic.quadrature.nodes,ep.stochastic.order);
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case 1
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[flag,tmp] = ...
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solve_stochastic_perfect_foresight_model_1(endo_simul,exo_simul,options_,pfm,ep.stochastic.order);
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end
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end
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end
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info_convergence = ~flag;
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if verbosity
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if info_convergence
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disp(['Time: ' int2str(t) '. Convergence of the perfect foresight model solver!'])
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else
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disp(['Time: ' int2str(t) '. No convergence of the perfect foresight model solver!'])
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end
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end
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endo_simul = tmp;
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if info_convergence
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y = endo_simul(:,2);
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else
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y = NaN(size(endo_nbr,1));
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end
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@ -187,7 +187,11 @@ ep.innovation_distribution = 'gaussian';
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% Set flag for the seed
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ep.set_dynare_seed_to_default = 1;
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% Set algorithm for the perfect foresight solver
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ep.stack_solve_algo = 4;
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ep.stack_solve_algo = 7;
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% Number of replications
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ep.replic_nbr = 1;
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% Parallel execution of replications
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ep.parallel_1 = false;
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% Stochastic extended path related options.
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ep.stochastic.method = '';
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ep.stochastic.algo = 0;
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