stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge branch 'foresight_resids' of git.dynare.org:JohannesPfeifer/dynare 

Ref. !2031
mr#2067
Sébastien Villemot 2022-05-19 14:55:08 +02:00
parent 3496c26699 74dc4f81f0
commit a83570e1f4
No known key found for this signature in database
GPG Key ID: 2CECE9350ECEBE4A
1 changed files with 16 additions and 5 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

21
matlab/perfect-foresight-models/perfect_foresight_solver.m
View File

@ -192,9 +192,9 @@ if ~oo_.deterministic_simulation.status && ~options_.no_homotopy
warning(warning_old_state);
end
%If simulated paths are complex, take real part and recompute the residuals to check whether this is actually a solution
if ~isreal(oo_.endo_simul(:)) % cannot happen with bytecode or the perfect_foresight_problem DLL
ny = size(oo_.endo_simul, 1)
ny = size(oo_.endo_simul, 1);
if M_.maximum_lag > 0
y0 = real(oo_.endo_simul(:, M_.maximum_lag));
else
@ -205,9 +205,20 @@ if ~isreal(oo_.endo_simul(:)) % cannot happen with bytecode or the perfect_fores
else
yT = NaN(ny, 1);
end
yy = real(oo_.endo_simul(:,M_.maximum_lag+(1:periods)));
residuals = perfect_foresight_problem(yy(:), y0, yT, oo_.exo_simul, M_.params, oo_.steady_state, periods, M_, options_);
if M_.maximum_lag~=0 && M_.maximum_lead~=0
yy = real(oo_.endo_simul(:,M_.maximum_lag+(1:periods)));
residuals = perfect_foresight_problem(yy(:), y0, yT, oo_.exo_simul, M_.params, oo_.steady_state, periods, M_, options_);
else
%The perfect_foresight_problem MEX only works on models with lags and leads
i_cols = find(M_.lead_lag_incidence');
residuals=NaN(ny,periods);
yy=real(oo_.endo_simul);
for it = (M_.maximum_lag+1):(M_.maximum_lag+periods)
residuals(:,it) = feval([M_.fname '.dynamic'],yy(i_cols), oo_.exo_simul, M_.params, oo_.steady_state, it);
i_cols = i_cols + ny;
end
residuals=residuals(:);
end
if max(abs(residuals))< options_.dynatol.f
oo_.deterministic_simulation.status = true;