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New option “constant_simulation_length” to “perfect_foresight_with_simulation_errors_solver” command

mr#2005
Sébastien Villemot 2022-04-12 15:45:50 +02:00
parent 08d1426014
commit a8a9051b31
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GPG Key ID: 2CECE9350ECEBE4A
5 changed files with 127 additions and 7 deletions
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1
matlab/default_option_values.m
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@ -326,6 +326,7 @@ options_.no_homotopy = false;
% Perfect foresight with expectation errors
options_.pfwee.terminal_steady_state_as_guess_value = false;
options_.pfwee.constant_simulation_length = false;
% Solution
options_.order = 2;

27
matlab/perfect-foresight-models/perfect_foresight_with_expectation_errors_solver.m
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@ -1,6 +1,6 @@
function perfect_foresight_with_expectation_errors_solver
% Copyright (C) 2021 Dynare Team
% Copyright © 2021-2022 Dynare Team
%
% This file is part of Dynare.
%
@ -23,8 +23,8 @@ global M_ oo_ options_
initial_steady_state = oo_.steady_state;
initial_exo_steady_state = oo_.exo_steady_state;
% Same for periods (it will be modified before calling perfect_foresight_solver)
periods = options_.periods
% Same for periods (it will be modified before calling perfect_foresight_solver if constants_simulation_length option is false)
periods = options_.periods;
% Retrieve initial paths built by pfwee_setup
% (the versions in oo_ will be truncated before calling perfect_foresight_solver)
@ -33,25 +33,40 @@ exo_simul = oo_.exo_simul;
% Start main loop around informational periods
info_period = 1;
increment = 0;
while info_period <= periods
% Compute terminal steady state as anticipated
oo_.exo_steady_state = oo_.pfwee.terminal_info(:, info_period);
steady_state_prev = oo_.steady_state;
[oo_.steady_state,~,info] = evaluate_steady_state(steady_state_prev, M_, options_, oo_, true);
options_.periods = periods - info_period + 1;
if options_.pfwee.constant_simulation_length && increment > 0
endo_simul = [ endo_simul NaN(M_.endo_nbr, increment)];
exo_simul = [ exo_simul; NaN(increment, M_.exo_nbr)];
end
oo_.endo_simul = endo_simul(:, info_period:end); % Take initial conditions + guess values from previous simulation
if options_.pfwee.constant_simulation_length
sim_length = periods;
else
sim_length = periods - info_period + 1;
end
if options_.pfwee.terminal_steady_state_as_guess_value
% Overwrite guess value with terminal steady state
oo_.endo_simul(:, M_.maximum_lag+(1:periods-info_period+1)) = repmat(oo_.steady_state, 1, periods-info_period+1);
oo_.endo_simul(:, M_.maximum_lag+(1:sim_length)) = repmat(oo_.steady_state, 1, sim_length);
elseif info_period == 1
% Use initial steady state as guess value for first simulation if not using terminal steady state
oo_.endo_simul(:, M_.maximum_lag+(1:periods)) = repmat(initial_steady_state, 1, periods);
elseif options_.pfwee.constant_simulation_length && increment > M_.maximum_lead
% Use initial steady state as guess value for simulation periods that don’t yet have an initial guess (i.e. are NaNs)
oo_.endo_simul(:, M_.maximum_lag+periods-(0:increment-M_.maximum_lead-1)) = repmat(initial_steady_state, 1, increment-M_.maximum_lead);
end
oo_.endo_simul(:, end-M_.maximum_lead+1:end) = repmat(oo_.steady_state, 1, M_.maximum_lead);
oo_.exo_simul = exo_simul(info_period:end, :);
oo_.exo_simul(M_.maximum_lag+(1:periods-info_period+1), :) = oo_.pfwee.shocks_info(:, info_period:end, info_period)';
oo_.exo_simul(end-M_.maximum_lead+1:end, :) = repmat(oo_.exo_steady_state, M_.maximum_lead, 1);
oo_.exo_simul(M_.maximum_lag+periods-info_period+2:end) = repmat(oo_.exo_steady_state, sim_length+M_.maximum_lead-(periods-info_period+1), 1);
options_.periods = sim_length;
perfect_foresight_solver;

2
preprocessor

@ -1 +1 @@
Subproject commit a431682697504bdc79ec8d574fda615917f3591c
Subproject commit acaabd59dad311e44f6d8c3913d8eb239cbf31ec

1
tests/Makefile.am
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@ -389,6 +389,7 @@ MODFILES = \
deterministic_simulations/rbc_det_stack_solve_algo_7_exo_lag.mod \
deterministic_simulations/rbc_det_stack_solve_algo_7_exo_lead.mod \
deterministic_simulations/pfwee.mod \
deterministic_simulations/pfwee_constant_sim_length.mod \
lmmcp/rbc.mod \
lmmcp/sw_lmmcp.mod \
lmmcp/sw_newton.mod \

103
tests/deterministic_simulations/pfwee_constant_sim_length.mod Normal file
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@ -0,0 +1,103 @@
// Tests perfect_foresight_with_expectation_errors_{setup,solver} with constant_simulation_length option
var c k;
varexo x;
parameters alph gam delt bet aa;
alph=0.5;
gam=0.5;
delt=0.02;
bet=0.05;
aa=0.5;
model;
c + k - aa*x*k(-1)^alph - (1-delt)*k(-1);
c^(-gam) - (1+bet)^(-1)*(aa*alph*x(+1)*k^(alph-1) + 1 - delt)*c(+1)^(-gam);
end;
initval;
x = 1;
k = ((delt+bet)/(1.0*aa*alph))^(1/(alph-1));
c = aa*k^alph-delt*k;
end;
steady;
check;
// First simulation with default options
perfect_foresight_with_expectation_errors_setup(periods = 7, datafile = 'pfwee.csv');
perfect_foresight_with_expectation_errors_solver(constant_simulation_length);
pfwee1 = oo_.endo_simul;
// Second simulation with alternative guess values
perfect_foresight_with_expectation_errors_setup(periods = 7, datafile = 'pfwee.csv');
perfect_foresight_with_expectation_errors_solver(terminal_steady_state_as_guess_value, constant_simulation_length);
pfwee2 = oo_.endo_simul;
// Now compute the solution by hand to verify the results
perfect_foresight_setup;
initial_steady_state = oo_.steady_state;
// Information arriving in period 1 (temp shock now)
oo_.exo_simul(2,1) = 1.2;
perfect_foresight_solver;
// Information arriving in period 2 (temp shock now + permanent shock in future)
oo_.exo_simul(3,1) = 1.3;
oo_.exo_steady_state = 1.1;
oo_.exo_simul(9:10, 1) = repmat(oo_.exo_steady_state', 2, 1);
oo_.steady_state = evaluate_steady_state(oo_.steady_state, M_, options_, oo_, true);
oo_.endo_simul(:, 10) = oo_.steady_state;
saved_endo = oo_.endo_simul(:, 1);
saved_exo = oo_.exo_simul(1, :);
oo_.endo_simul = oo_.endo_simul(:, 2:end);
oo_.exo_simul = oo_.exo_simul(2:end, :);
perfect_foresight_solver;
oo_.endo_simul = [ saved_endo oo_.endo_simul ];
oo_.exo_simul = [ saved_exo; oo_.exo_simul ];
// Information arriving in period 3 (temp shock now + permanent shock in future)
oo_.exo_simul(4,1) = 1.4;
oo_.exo_steady_state = 1.2;
oo_.exo_simul(9:11, 1) = repmat(oo_.exo_steady_state', 3, 1);
oo_.steady_state = evaluate_steady_state(oo_.steady_state, M_, options_, oo_, true);
oo_.endo_simul(:, 11) = oo_.steady_state;
saved_endo = oo_.endo_simul(:, 1:2);
saved_exo = oo_.exo_simul(1:2, :);
oo_.endo_simul = oo_.endo_simul(:, 3:end);
oo_.exo_simul = oo_.exo_simul(3:end, :);
perfect_foresight_solver;
oo_.endo_simul = [ saved_endo oo_.endo_simul ];
oo_.exo_simul = [ saved_exo; oo_.exo_simul ];
// Information arriving in period 6 (permanent shock arriving now)
oo_.exo_simul(7,1) = 1.1;
oo_.exo_simul(8,1) = 1.1;
oo_.exo_steady_state = 1.1;
oo_.exo_simul(9:14, 1) = repmat(oo_.exo_steady_state', 6, 1);
oo_.steady_state = evaluate_steady_state(oo_.steady_state, M_, options_, oo_, true);
oo_.endo_simul(:, 12:13) = repmat(initial_steady_state, 1, 2);
oo_.endo_simul(:, 14) = oo_.steady_state;
saved_endo = oo_.endo_simul(:, 1:5);
saved_exo = oo_.exo_simul(1:5, :);
oo_.endo_simul = oo_.endo_simul(:, 6:end);
oo_.exo_simul = oo_.exo_simul(6:end, :);
perfect_foresight_solver;
oo_.endo_simul = [ saved_endo oo_.endo_simul ];
oo_.exo_simul = [ saved_exo; oo_.exo_simul ];
% We should have strict equality with first pfwee simulation, because algorithm
% and guess values are exactly the same.
if any(any(pfwee1-oo_.endo_simul ~= 0))
error('Error in perfect_foresight_with_expectation_errors')
end
% For the 2nd simulation, since the guess values are different, there are some
% numerical differences
if max(max(abs(pfwee2-oo_.endo_simul))) > 40*options_.dynatol.f
error('Error in perfect_foresight_with_expectation_errors + terminal_steady_state_as_guess_value')
end