From a2061b6f4ef9b6232d0681aad9b14725a514d22c Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= <sebastien.villemot@ens.fr>
Date: Wed, 21 Dec 2011 18:37:45 +0100
Subject: [PATCH] Initialize empirical simulations with information provided in
 histval

Closes: #195, #157
---
 matlab/simult.m                |  8 ++++----
 matlab/stoch_simul.m           | 10 +++++++++-
 matlab/stoch_simul_sparse.m    |  7 ++++++-
 preprocessor/ComputingTasks.cc |  9 ---------
 4 files changed, 19 insertions(+), 15 deletions(-)

diff --git a/matlab/simult.m b/matlab/simult.m
index 0f8b66e28..303da134f 100644
--- a/matlab/simult.m
+++ b/matlab/simult.m
@@ -1,9 +1,9 @@
-function y_=simult(ys, dr)
-% function y_=simult(ys, dr)
+function y_=simult(y0, dr)
+% function y_=simult(y0, dr)
 % Recursive Monte Carlo simulations
 %
 % INPUTS
-%    ys:    vector of variables in steady state
+%    y0:    vector of variables in initial period of the simulation
 %    dr:    structure of decisions rules for stochastic simulations
 %
 % OUTPUTS
@@ -54,7 +54,7 @@ for i=1:replic
     if ~isempty(M_.Sigma_e)
         oo_.exo_simul(:,i_exo_var) = randn(options_.periods,nxs)*chol_S;
     end
-    y_ = simult_(ys,dr,oo_.exo_simul,order);
+    y_ = simult_(y0,dr,oo_.exo_simul,order);
     % elimninating initial value
     y_ = y_(:,2:end);
     if replic > 1
diff --git a/matlab/stoch_simul.m b/matlab/stoch_simul.m
index 7d6e18b8e..ec6d09664 100644
--- a/matlab/stoch_simul.m
+++ b/matlab/stoch_simul.m
@@ -130,7 +130,15 @@ if options_.periods > 0 && ~PI_PCL_solver
         options_ =options_old;
         return
     end
-    oo_.endo_simul = simult(oo_.dr.ys,oo_.dr);
+    % Note that the first column of oo_.endo_simul is preserved by the following
+    % call to simult; this is important because stoch_simul can be followed by
+    % forecast (see ticket #157)
+    if size(oo_.endo_simul,2) == 0
+        y0 = oo_.dr.ys;
+    else
+        y0 = oo_.endo_simul(:,1);
+    end
+    oo_.endo_simul = simult(y0,oo_.dr);
     dyn2vec;
 end
 
diff --git a/matlab/stoch_simul_sparse.m b/matlab/stoch_simul_sparse.m
index 21194408f..29488b9bb 100644
--- a/matlab/stoch_simul_sparse.m
+++ b/matlab/stoch_simul_sparse.m
@@ -82,7 +82,12 @@ elseif options_.periods ~= 0
         options_ =options_old;
         return
     end
-    oo_.endo_simul = simult(repmat(oo_.dr.ys,1,M_.maximum_lag),oo_.dr);
+    if size(oo_.endo_simul,2) < maximum_lag
+        y0 = oo_.dr.ys;
+    else
+        y0 = oo_.endo_simul(:,1);
+    end
+    oo_.endo_simul = simult(y0,oo_.dr);
     dyn2vec;
     if options_.nomoments == 0
         disp_moments(oo_.endo_simul,var_list);
diff --git a/preprocessor/ComputingTasks.cc b/preprocessor/ComputingTasks.cc
index dcd000d46..4cc96f966 100644
--- a/preprocessor/ComputingTasks.cc
+++ b/preprocessor/ComputingTasks.cc
@@ -135,15 +135,6 @@ StochSimulStatement::checkPass(ModFileStructure &mod_file_struct)
       cerr << "ERROR: in 'stoch_simul', you cannot use option 'pruning' with 'k_order_solver' option or with 3rd order approximation" << endl;
       exit(EXIT_FAILURE);
     }
-
-  // Workaround for ticket #157
-  it = options_list.num_options.find("periods");
-  if (it != options_list.num_options.end() && atoi(it->second.c_str()) > 0
-      && mod_file_struct.histval_present)
-    {
-      cerr << "ERROR: the 'periods' option of 'stoch_simul' is not compatible with a 'histval' block" << endl;
-      exit(EXIT_FAILURE);
-    }
 }
 
 void