Fixing the regression in behavior in evaluate_planner_objective (Ref: #1680)
- evaluate_planner_objective now returns conditional welfare depending on the initial value of the Lagrange multipliers when it is suitable to do so - histval blocks are no longer ignoredpac-components
NormannR
Johannes Pfeifer
parent
ee0a4eb001
commit
acdad93822
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@ -5,12 +5,14 @@ function planner_objective_value = evaluate_planner_objective(M_,options_,oo_)
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% options_: (structure) options
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% oo_: (structure) output results
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% OUTPUT
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% planner_objective_value (double)
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% planner_objective_value (structure)
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%
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%Returns a vector containing first order or second-order approximations of
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% - the unconditional expectation of the planner's objective function
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% - the conditional expectation of the planner's objective function starting from the non-stochastic steady state and allowing for future shocks
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% depending on the value of options_.order.
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%Returns a structure containing approximations of
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% - the unconditional expectation of the planner's objective function in the field unconditional
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% - the conditional expectations of the planner's objective function starting from the non-stochastic steady state in the field conditional
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% - with Lagrange multipliers initially set to zero in the field zero_initial_multiplier
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% - with lagrange multipliers initially set to their initial values in the field steady_initial_multiplier
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% Approximations are consistent with the order specified in options_order.
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%
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% SPECIAL REQUIREMENTS
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% none
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@ -38,8 +40,6 @@ function planner_objective_value = evaluate_planner_objective(M_,options_,oo_)
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% Taking the unconditional expectation yields E(U) = Ubar and E(W) = Ubar/(1-beta)
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% As for conditional welfare, a first-order approximation leads to
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% W = Wbar + W_y yhat_{t-1} + W_u u_t
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% The approximated conditional expectation of the planner's objective function taking at the non-stochastic steady-state and allowing for future shocks thus verifies
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% W (y, 0, 1) = Wbar
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% Similarly, taking the unconditional expectation of a second-order approximation of utility around the non-stochastic steady state yields a second-order approximation of unconditional welfare
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% E(W) = (1 - beta)^{-1} ( Ubar + U_x h_y E(yhat) + 0.5 ( (U_xx h_y^2 + U_x h_yy) E(yhat^2) + (U_xx h_u^2 + U_x h_uu) E(u^2) + U_x h_ss )
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@ -48,8 +48,6 @@ function planner_objective_value = evaluate_planner_objective(M_,options_,oo_)
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% As for conditional welfare, the second-order approximation of welfare around the non-stochastic steady state leads to
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% W(y_{t-1}, u_t, sigma) = Wbar + W_y yhat_{t-1} + W_u u_t + W_yu yhat_{t-1} ⊗ u_t + 0.5 ( W_yy yhat_{t-1}^2 + W_uu u_t^2 + W_ss )
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% The derivatives of W taken at the non-stochastic steady state can be computed as in Kamenik and Juillard (2004) "Solving Stochastic Dynamic Equilibrium Models: A k-Order Perturbation Approach".
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% The approximated conditional expectation of the planner's objective function starting from the non-stochastic steady-state and allowing for future shocks thus verifies
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% W(y,0,1) = Wbar + 0.5*Wss
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% In the discretionary case, the model is assumed to be linear and the utility is assumed to be linear-quadratic. This changes 2 aspects of the results delinated above:
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% 1) the second-order derivatives of the policy and transition functions h and g are zero.
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@ -87,7 +85,6 @@ nstatic = M_.nstatic;
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nspred = M_.nspred;
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beta = get_optimal_policy_discount_factor(M_.params, M_.param_names);
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planner_objective_value = zeros(2,1);
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if options_.ramsey_policy
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if oo_.gui.ran_perfect_foresight
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T = size(oo_.endo_simul,2);
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@ -98,14 +95,52 @@ if options_.ramsey_policy
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[U] = feval([M_.fname '.objective.static'],oo_.endo_simul(:,t),oo_.exo_simul(t,:), M_.params);
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W = U + beta*W;
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end
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planner_objective_value(1) = EW;
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planner_objective_value(2) = W;
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planner_objective_value = struct("conditional", W, "unconditional", EW);
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else
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planner_objective_value = struct("conditional", struct("zero_initial_multiplier", 0., "steady_initial_multiplier", 0.), "unconditional", 0.);
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ys = oo_.dr.ys;
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if options_.order == 1 || M_.hessian_eq_zero
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[U] = feval([M_.fname '.objective.static'],ys,zeros(1,exo_nbr), M_.params);
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planner_objective_value(1) = U/(1-beta);
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planner_objective_value(2) = U/(1-beta);
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[U,Uy] = feval([M_.fname '.objective.static'],ys,zeros(1,exo_nbr), M_.params);
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Gy = dr.ghx(nstatic+(1:nspred),:);
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Gu = dr.ghu(nstatic+(1:nspred),:);
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gy(dr.order_var,:) = dr.ghx;
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gu(dr.order_var,:) = dr.ghu;
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%% Unconditional welfare
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EW = U/(1-beta);
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planner_objective_value.unconditional = EW;
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%% Conditional welfare starting from the non-stochastic steady-state (i) with Lagrange multipliers set to their steady-state value (ii) with Lagrange multipliers set to 0
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Wbar = U/(1-beta);
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Wy = Uy*gy/(eye(nspred)-beta*Gy);
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Wu = Uy*gu + beta*Wy*Gu;
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% initialize Lagrange multipliers to their steady-state values in yhat_L_SS
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yhat_L_SS = ys;
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% initialize Lagrange multipliers to 0 in yhat_L_0
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yhat_L_0 = zeros(M_.endo_nbr,1);
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if ~isempty(M_.endo_histval)
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% initialize endogenous state variable to histval if necessary
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yhat_L_SS(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
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yhat_L_0(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
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else
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yhat_L_0(1:M_.orig_endo_nbr) = ys(1:M_.orig_endo_nbr);
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end
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yhat_L_0 = yhat_L_0(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
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yhat_L_SS = yhat_L_SS(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
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u = oo_.exo_simul(1,:)';
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W_L_SS = Wbar+Wy*yhat_L_SS+Wu*u;
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W_L_0 = Wbar+Wy*yhat_L_0+Wu*u;
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planner_objective_value.conditional.steady_initial_multiplier = W_L_SS;
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planner_objective_value.conditional.zero_initial_multiplier = W_L_0;
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elseif options_.order == 2 && ~M_.hessian_eq_zero
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[U,Uy,Uyy] = feval([M_.fname '.objective.static'],ys,zeros(1,exo_nbr), M_.params);
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@ -127,6 +162,7 @@ if options_.ramsey_policy
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Uyygygy = A_times_B_kronecker_C(Uyy,gy,gy);
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Uyygugu = A_times_B_kronecker_C(Uyy,gu,gu);
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Uyygugy = A_times_B_kronecker_C(Uyy,gu,gy);
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%% Unconditional welfare
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@ -157,10 +193,13 @@ if options_.ramsey_policy
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EU = U + Uy*gy*Eyhat + 0.5*((Uyygygy + Uy*gyy)*Eyhatyhat + (Uyygugu + Uy*guu)*Euu + Uy*gss);
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EW = EU/(1-beta);
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%% Conditional welfare starting from the non-stochastic steady-state
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planner_objective_value.unconditional = EW;
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%% Conditional welfare starting from the non-stochastic steady-state (i) with Lagrange multipliers set to their steady-state value (ii) with Lagrange multipliers set to 0
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Wbar = U/(1-beta);
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Wy = Uy*gy/(eye(nspred)-beta*Gy);
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Wu = Uy*gu + beta*Wy*Gu;
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if isempty(options_.qz_criterium)
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options_.qz_criterium = 1+1e-6;
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@ -168,23 +207,55 @@ if options_.ramsey_policy
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%solve Lyapunuv equation Wyy=gy'*Uyy*gy+Uy*gyy+beta*Wy*Gyy+beta*Gy'Wyy*Gy
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Wyy = reshape(lyapunov_symm(sqrt(beta)*Gy',reshape(Uyygygy + Uy*gyy + beta*Wy*Gyy,nspred,nspred),options_.lyapunov_fixed_point_tol,options_.qz_criterium,options_.lyapunov_complex_threshold, 3, options_.debug),1,nspred*nspred);
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Wyygugu = A_times_B_kronecker_C(Wyy,Gu,Gu);
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Wyygugy = A_times_B_kronecker_C(Wyy,Gu,Gy);
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Wuu = Uyygugu + Uy*guu + beta*(Wyygugu + Wy*Guu);
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Wss = (Uy*gss + beta*(Wy*Gss + Wuu*M_.Sigma_e(:)))/(1-beta);
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W = Wbar + 0.5*Wss;
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planner_objective_value(1) = EW;
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planner_objective_value(2) = W;
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Wyu = Uyygugy + Uy*gyu + beta*(Wyygugy + Wy*Gyu);
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% initialize Lagrange multipliers to their steady-state values in yhat_L_SS
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yhat_L_SS = ys;
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% initialize Lagrange multipliers to 0 in yhat_L_0
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yhat_L_0 = zeros(M_.endo_nbr,1);
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if ~isempty(M_.endo_histval)
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% initialize endogenous state variable to histval if necessary
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yhat_L_SS(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
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yhat_L_0(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
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else
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yhat_L_0(1:M_.orig_endo_nbr) = ys(1:M_.orig_endo_nbr);
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end
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yhat_L_0 = yhat_L_0(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
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yhat_L_SS = yhat_L_SS(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
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u = oo_.exo_simul(1,:)';
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Wyu_yu_L_SS = A_times_B_kronecker_C(Wyu,yhat_L_SS,u);
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Wyy_yy_L_SS = A_times_B_kronecker_C(Wyy,yhat_L_SS,yhat_L_SS);
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Wuu_uu_L_SS = A_times_B_kronecker_C(Wuu,u,u);
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W_L_SS = Wbar+Wy*yhat_L_SS+Wu*u+Wyu_yu_L_SS+0.5*(Wss+Wyy_yy_L_SS+Wuu_uu_L_SS);
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Wyu_yu_L_0 = A_times_B_kronecker_C(Wyu,yhat_L_0,u);
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Wyy_yy_L_0 = A_times_B_kronecker_C(Wyy,yhat_L_0,yhat_L_0);
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Wuu_uu_L_0 = A_times_B_kronecker_C(Wuu,u,u);
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W_L_0 = Wbar+Wy*yhat_L_0+Wu*u+Wyu_yu_L_0+0.5*(Wss+Wyy_yy_L_0+Wuu_uu_L_0);
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planner_objective_value.conditional.steady_initial_multiplier = W_L_SS;
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planner_objective_value.conditional.zero_initial_multiplier = W_L_0;
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else
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%Order k code will go here!
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fprintf('\nevaluate_planner_objective: order>2 unconditional welfare calculation not yet supported\n')
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planner_objective_value(1) = k_order_welfare(dr, M_, options_);
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planner_objective_value(2) = NaN;
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if ~isempty(M_.endo_histval)
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fprintf('\nevaluate_planner_objective: order>2 conditional and unconditional welfare calculations not yet supported when an histval block is provided\n')
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else
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fprintf('\nevaluate_planner_objective: order>2 conditional welfare with initial Lagrange multipliers set to zero and unconditional welfare calculations not yet supported\n')
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planner_objective_value.conditional.steady_initial_multiplier = k_order_welfare(dr, M_, options_);
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planner_objective_value.conditional.zero_initial_multiplier = NaN;
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planner_objective_value.unconditional = NaN;
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end
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return
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end
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end
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elseif options_.discretionary_policy
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ys = oo_.dr.ys;
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planner_objective_value = struct("conditional", struct("zero_initial_multiplier", 0., "steady_initial_multiplier", 0.), "unconditional", 0.);
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[U,Uy,Uyy] = feval([M_.fname '.objective.static'],ys,zeros(1,exo_nbr), M_.params);
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Gy = dr.ghx(nstatic+(1:nspred),:);
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@ -196,6 +267,7 @@ elseif options_.discretionary_policy
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Uyygygy = A_times_B_kronecker_C(Uyy,gy,gy);
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Uyygugu = A_times_B_kronecker_C(Uyy,gu,gu);
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Uyygugy = A_times_B_kronecker_C(Uyy,gu,gy);
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%% Unconditional welfare
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@ -222,34 +294,65 @@ elseif options_.discretionary_policy
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EU = U + Uy*gy*Eyhat + 0.5*(Uyygygy*Eyhatyhat + Uyygugu*Euu);
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EW = EU/(1-beta);
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planner_objective_value.unconditional = EW;
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%% Conditional welfare starting from the non-stochastic steady-state
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Wbar = U/(1-beta);
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Wy = Uy*gy/(eye(nspred)-beta*Gy);
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Wu = Uy*gu + beta*Wy*Gu;
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%solve Lyapunuv equation Wyy=gy'*Uyy*gy+beta*Gy'Wyy*Gy
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Wyy = reshape(lyapunov_symm(sqrt(beta)*Gy',reshape(Uyygygy,nspred,nspred),options_.lyapunov_fixed_point_tol,options_.qz_criterium,options_.lyapunov_complex_threshold, 3, options_.debug),1,nspred*nspred);
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Wyygugu = A_times_B_kronecker_C(Wyy,Gu,Gu);
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Wyygugy = A_times_B_kronecker_C(Wyy,Gu,Gy);
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Wuu = Uyygugu + beta*Wyygugu;
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Wss = beta*Wuu*M_.Sigma_e(:)/(1-beta);
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W = Wbar + 0.5*Wss;
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planner_objective_value(1) = EW;
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planner_objective_value(2) = W;
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Wyu = Uyygugy + beta*Wyygugy;
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% initialize Lagrange multipliers to their steady-state values in yhat_L_SS
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yhat_L_SS = ys;
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% initialize Lagrange multipliers to 0 in yhat_L_0
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yhat_L_0 = zeros(M_.endo_nbr,1);
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if ~isempty(M_.endo_histval)
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% initialize endogenous state variable to histval if necessary
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yhat_L_SS(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
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yhat_L_0(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
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else
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yhat_L_0(1:M_.orig_endo_nbr) = ys(1:M_.orig_endo_nbr);
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end
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yhat_L_0 = yhat_L_0(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
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yhat_L_SS = yhat_L_SS(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
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u = oo_.exo_simul(1,:)';
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Wyu_yu_L_SS = A_times_B_kronecker_C(Wyu,yhat_L_SS,u);
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Wyy_yy_L_SS = A_times_B_kronecker_C(Wyy,yhat_L_SS,yhat_L_SS);
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Wuu_uu_L_SS = A_times_B_kronecker_C(Wuu,u,u);
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W_L_SS = Wbar+Wy*yhat_L_SS+Wu*u+Wyu_yu_L_SS+0.5*(Wss+Wyy_yy_L_SS+Wuu_uu_L_SS);
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Wyu_yu_L_0 = A_times_B_kronecker_C(Wyu,yhat_L_0,u);
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Wyy_yy_L_0 = A_times_B_kronecker_C(Wyy,yhat_L_0,yhat_L_0);
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Wuu_uu_L_0 = A_times_B_kronecker_C(Wuu,u,u);
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W_L_0 = Wbar+Wy*yhat_L_0+Wu*u+Wyu_yu_L_0+0.5*(Wss+Wyy_yy_L_0+Wuu_uu_L_0);
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planner_objective_value.conditional.steady_initial_multiplier = W_L_SS;
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planner_objective_value.conditional.zero_initial_multiplier = W_L_0;
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end
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if ~options_.noprint
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if options_.ramsey_policy
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if oo_.gui.ran_perfect_foresight
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fprintf('\nSimulated value of unconditional welfare: %10.8f\n', planner_objective_value(1))
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fprintf('\nSimulated value of conditional welfare: %10.8f\n', planner_objective_value(2))
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fprintf('\nSimulated value of unconditional welfare: %10.8f\n', planner_objective_value.unconditional)
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fprintf('\nSimulated value of conditional welfare: %10.8f\n', planner_objective_value.conditional)
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else
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fprintf('\nApproximated value of unconditional welfare: %10.8f\n', planner_objective_value(1))
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fprintf('\nApproximated value of conditional welfare: %10.8f\n', planner_objective_value(2))
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fprintf('\nApproximated value of unconditional welfare: %10.8f\n', planner_objective_value.unconditional)
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fprintf('\nApproximated value of conditional welfare:\n')
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fprintf(' - with initial Lagrange multipliers set to 0: %10.8f\n', planner_objective_value.conditional.zero_initial_multiplier)
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fprintf(' - with initial Lagrange multipliers set to steady state: %10.8f\n\n', planner_objective_value.conditional.steady_initial_multiplier)
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end
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elseif options_.discretionary_policy
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fprintf('\nApproximated value of unconditional welfare with discretionary policy: %10.8f\n', planner_objective_value(1))
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fprintf('\nApproximated value of conditional welfare with discretionary policy: %10.8f\n', planner_objective_value(2))
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fprintf('\nApproximated value of unconditional welfare with discretionary policy: %10.8f\n', planner_objective_value.unconditional)
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fprintf('\nApproximated value of conditional welfare with discretionary policy:\n')
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fprintf(' - with initial Lagrange multipliers set to 0: %10.8f\n', planner_objective_value.conditional.zero_initial_multiplier)
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fprintf(' - with initial Lagrange multipliers set to steady state: %10.8f\n\n', planner_objective_value.conditional.steady_initial_multiplier)
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end
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end
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@ -1,5 +1,5 @@
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/*
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* This file implements the baseline New Keynesian model of Jordi Galí (2015): Monetary Policy, Inflation,
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* This file implements the baseline New Keynesian model of Jordi Gal<EFBFBD> (2015): Monetary Policy, Inflation,
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* and the Business Cycle, Princeton University Press, Second Edition, Chapter 3
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*
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* Note that this mod-file implements the non-linear first order conditions and that the IRFs show the log-deviations
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@ -220,8 +220,10 @@ planner_objective 0.5*((siggma+(varphi+alppha)/(1-alppha))*y_hat^2+epsilon/0.021
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discretionary_policy(order=1,instruments=(R),irf=20,planner_discount=betta, periods=0) y_hat pi_ann log_y log_N log_W_real log_P;
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temp=load(['Gali_2015_chapter_3' filesep 'Output' filesep 'Gali_2015_chapter_3_results.mat']);
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if abs(oo_.planner_objective_value-temp.oo_.planner_objective_value)>1e-6
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warning('Planner objective does not match linear model')
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if abs(oo_.planner_objective_value.unconditional-temp.oo_.planner_objective_value.unconditional)>1e-6 ...
|
||||
|| abs(oo_.planner_objective_value.conditional.zero_initial_multiplier-temp.oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-6 ...
|
||||
|| abs(oo_.planner_objective_value.conditional.steady_initial_multiplier-temp.oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-6 ...
|
||||
warning('Planner objective does not match linear model')
|
||||
end
|
||||
if max(max(abs([temp.oo_.irfs.y_eps_a; temp.oo_.irfs.w_real_eps_a; temp.oo_.irfs.n_eps_a; temp.oo_.irfs.pi_ann_eps_a]-...
|
||||
[oo_.irfs.log_y_eps_a; oo_.irfs.log_W_real_eps_a; oo_.irfs.log_N_eps_a; oo_.irfs.pi_ann_eps_a])))>1e-6
|
||||
|
|
|
|||
|
|
@ -130,7 +130,7 @@ end
|
|||
%Compute theoretical objective function
|
||||
V=betta/(1-betta)*(var_pi_theoretical+alpha_x*var_y_gap_theoretical); %evaluate at steady state in first period
|
||||
|
||||
if any( [ isnan(oo_.planner_objective_value(2)), abs(V-oo_.planner_objective_value(2))>1e-10 ] )
|
||||
if any( [ isnan(oo_.planner_objective_value.conditional.zero_initial_multiplier), abs(V-oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-10 ] )
|
||||
error('Computed welfare deviates from theoretical welfare')
|
||||
end
|
||||
end;
|
||||
|
|
@ -144,6 +144,6 @@ end;
|
|||
V=var_pi_theoretical+alpha_x*var_y_gap_theoretical+ betta/(1-betta)*(var_pi_theoretical+alpha_x*var_y_gap_theoretical); %evaluate at steady state in first period
|
||||
|
||||
discretionary_policy(instruments=(i),irf=20,discretionary_tol=1e-12,planner_discount=betta) y_gap pi p u;
|
||||
if any( [ isnan(oo_.planner_objective_value(1)), abs(V-oo_.planner_objective_value(1))>1e-10 ] )
|
||||
if any( [ isnan(oo_.planner_objective_value.conditional.steady_initial_multiplier), abs(V-oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-10 ] )
|
||||
error('Computed welfare deviates from theoretical welfare')
|
||||
end
|
||||
|
|
|
|||
|
|
@ -47,7 +47,9 @@ if max(abs((oo_ramsey_policy_steady_state_file.steady_state-oo_.steady_state)))>
|
|||
|| max(max(abs(oo_ramsey_policy_steady_state_file.dr.ghx-oo_.dr.ghx)))>1e-5 ...
|
||||
|| max(max(abs(oo_ramsey_policy_steady_state_file.dr.ghu-oo_.dr.ghu)))>1e-5 ...
|
||||
|| max(max(abs(oo_ramsey_policy_steady_state_file.dr.Gy-oo_.dr.Gy)))>1e-5 ...
|
||||
|| max(abs((oo_ramsey_policy_steady_state_file.planner_objective_value-oo_.planner_objective_value)))>1e-5
|
||||
|| abs(oo_ramsey_policy_steady_state_file.planner_objective_value.unconditional-oo_.planner_objective_value.unconditional)>1e-5 ...
|
||||
|| abs(oo_ramsey_policy_steady_state_file.planner_objective_value.conditional.zero_initial_multiplier-oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-5 ...
|
||||
|| abs(oo_ramsey_policy_steady_state_file.planner_objective_value.conditional.steady_initial_multiplier-oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-5
|
||||
error('Running stoch_simul after ramsey_policy leads to inconsistent results')
|
||||
end
|
||||
|
||||
|
|
@ -58,6 +60,8 @@ if any( [ max(abs((oo_ramsey_policy_initval.steady_state-oo_.steady_state)))>1e-
|
|||
max(max(abs(oo_ramsey_policy_initval.dr.ghx-oo_.dr.ghx)))>1e-5, ...
|
||||
max(max(abs(oo_ramsey_policy_initval.dr.ghu-oo_.dr.ghu)))>1e-5, ...
|
||||
max(max(abs(oo_ramsey_policy_initval.dr.Gy-oo_.dr.Gy)))>1e-5, ...
|
||||
max(abs((oo_ramsey_policy_initval.planner_objective_value-oo_.planner_objective_value)))>1e-5 ] )
|
||||
abs(oo_ramsey_policy_initval.planner_objective_value.unconditional-oo_.planner_objective_value.unconditional)>1e-5, ...
|
||||
abs(oo_ramsey_policy_initval.planner_objective_value.conditional.zero_initial_multiplier-oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-5, ...
|
||||
abs(oo_ramsey_policy_initval.planner_objective_value.conditional.steady_initial_multiplier-oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-5] )
|
||||
error('Initval and steady state file yield different results')
|
||||
end
|
||||
|
|
|
|||
|
|
@ -47,6 +47,8 @@ if max(abs((oo_ramsey_policy_initval.steady_state-oo_.steady_state)))>1e-5 ...
|
|||
|| max(max(abs(oo_ramsey_policy_initval.dr.ghx-oo_.dr.ghx)))>1e-5 ...
|
||||
|| max(max(abs(oo_ramsey_policy_initval.dr.ghu-oo_.dr.ghu)))>1e-5 ...
|
||||
|| max(max(abs(oo_ramsey_policy_initval.dr.Gy-oo_.dr.Gy)))>1e-5 ...
|
||||
|| max(abs((oo_ramsey_policy_initval.planner_objective_value-oo_.planner_objective_value)))>1e-5
|
||||
|| abs(oo_ramsey_policy_initval.planner_objective_value.unconditional-oo_.planner_objective_value.unconditional)>1e-5 ...
|
||||
|| abs(oo_ramsey_policy_initval.planner_objective_value.conditional.zero_initial_multiplier-oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-5 ...
|
||||
|| abs(oo_ramsey_policy_initval.planner_objective_value.conditional.steady_initial_multiplier-oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-5
|
||||
error('Running stoch_simul after ramsey_policy leads to inconsistent results')
|
||||
end
|
||||
|
|
|
|||
|
|
@ -45,6 +45,8 @@ if max(abs((oo_ramsey_policy_initval_AR2.steady_state-oo_.steady_state)))>1e-5 .
|
|||
|| max(max(abs(oo_ramsey_policy_initval_AR2.dr.ghx-oo_.dr.ghx)))>1e-5 ...
|
||||
|| max(max(abs(oo_ramsey_policy_initval_AR2.dr.ghu-oo_.dr.ghu)))>1e-5 ...
|
||||
|| max(max(abs(oo_ramsey_policy_initval_AR2.dr.Gy-oo_.dr.Gy)))>1e-5 ...
|
||||
|| max(abs((oo_ramsey_policy_initval_AR2.planner_objective_value-oo_.planner_objective_value)))>1e-5
|
||||
|| abs(oo_ramsey_policy_initval_AR2.planner_objective_value.unconditional-oo_.planner_objective_value.unconditional)>1e-5 ...
|
||||
|| abs(oo_ramsey_policy_initval_AR2.planner_objective_value.conditional.zero_initial_multiplier-oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-5 ...
|
||||
|| abs(oo_ramsey_policy_initval_AR2.planner_objective_value.conditional.steady_initial_multiplier-oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-5
|
||||
error('Running stoch_simul after ramsey_policy leads to inconsistent results')
|
||||
end
|
||||
|
|
@ -45,11 +45,20 @@ unc_W_hand = oo1.oo_.mean(strmatch('W',M1.M_.endo_names,'exact'));
|
|||
initial_condition_states = repmat(oo1.oo_.dr.ys,1,M1.M_.maximum_lag);
|
||||
shock_matrix = zeros(1,M1.M_.exo_nbr);
|
||||
y_sim = simult_(M1.M_,options1.options_,initial_condition_states,oo1.oo_.dr,shock_matrix,options1.options_.order);
|
||||
cond_W_hand=y_sim(strmatch('W',M1.M_.endo_names,'exact'),2);
|
||||
cond_W_hand_L_SS=y_sim(strmatch('W',M1.M_.endo_names,'exact'),2);
|
||||
|
||||
if abs((unc_W_hand - planner_objective_value(1))/unc_W_hand) > 1e-6;
|
||||
if abs((unc_W_hand - planner_objective_value.unconditional)/unc_W_hand) > 1e-6;
|
||||
error('Inaccurate unconditional welfare assessment');
|
||||
end;
|
||||
if abs((cond_W_hand - planner_objective_value(2))/cond_W_hand) > 1e-6;
|
||||
error('Inaccurate conditional welfare assessment');
|
||||
if abs(cond_W_hand_L_SS - planner_objective_value.conditional.steady_initial_multiplier) > 1e-6;
|
||||
error('Inaccurate conditional welfare with Lagrange multiplier set to its steady-state value');
|
||||
end;
|
||||
|
||||
initial_condition_states = zeros(M1.M_.endo_nbr,M1.M_.maximum_lag);
|
||||
initial_condition_states(1:M1.M_.orig_endo_nbr,:) = repmat(oo1.oo_.dr.ys(1:M1.M_.orig_endo_nbr),1,M1.M_.maximum_lag);
|
||||
shock_matrix = zeros(1,M1.M_.exo_nbr);
|
||||
y_sim = simult_(M1.M_,options1.options_,initial_condition_states,oo1.oo_.dr,shock_matrix,options1.options_.order);
|
||||
cond_W_hand_L_0=y_sim(strmatch('W',M1.M_.endo_names,'exact'),2);
|
||||
if abs(cond_W_hand_L_0 - planner_objective_value.conditional.zero_initial_multiplier) > 1e-6;
|
||||
error('Inaccurate conditional welfare with zero Lagrange multiplier');
|
||||
end;
|
||||
|
|
|
|||
|
|
@ -45,9 +45,9 @@ options1 = load(['neo_growth_foresight' filesep 'Output' filesep 'neo_growth_for
|
|||
cond_W_hand = oo1.oo_.endo_simul(strmatch('W',M1.M_.endo_names,'exact'),2);
|
||||
unc_W_hand = oo1.oo_.endo_simul(strmatch('W',M1.M_.endo_names,'exact'),end);
|
||||
|
||||
if abs((unc_W_hand - planner_objective_value(1))/unc_W_hand) > 1e-6;
|
||||
if abs((unc_W_hand - planner_objective_value.unconditional)/unc_W_hand) > 1e-6;
|
||||
error('Inaccurate unconditional welfare assessment');
|
||||
end;
|
||||
if abs((cond_W_hand - planner_objective_value(2))/cond_W_hand) > 1e-6;
|
||||
if abs((cond_W_hand - planner_objective_value.conditional)/cond_W_hand) > 1e-6;
|
||||
error('Inaccurate conditional welfare assessment');
|
||||
end;
|
||||
|
|
|
|||
|
|
@ -35,8 +35,8 @@ evaluate_planner_objective;
|
|||
|
||||
[condWelfare, U_dynpp, W_dynpp, U_dyn, W_dyn] = k_order_welfare(oo_.dr, M_, options_);
|
||||
|
||||
if condWelfare~=oo_.planner_objective_value(1)
|
||||
error('Values do not match');
|
||||
if condWelfare~=oo_.planner_objective_value.conditional.steady_initial_multiplier
|
||||
error('Inaccurate conditional welfare with Lagrange multiplier set to its steady-state value');
|
||||
end
|
||||
if ~exist(['neo_growth_k_order' filesep 'Output' filesep 'neo_growth_k_order_results.mat'],'file');
|
||||
error('neo_growth_k_order must be run first');
|
||||
|
|
|
|||
|
|
@ -100,7 +100,9 @@ end
|
|||
if (norm(o1.oo_.dr.ghu-oo_.dr.ghu,inf) > 1e-12)
|
||||
error('ghu doesn''t match')
|
||||
end
|
||||
if (abs(o1.oo_.planner_objective_value(1)-oo_.planner_objective_value(1)) > 1e-12)
|
||||
if (abs(o1.oo_.planner_objective_value.conditional.zero_initial_multiplier-oo_.planner_objective_value.conditional.zero_initial_multiplier) > 1e-12 ...
|
||||
|| abs(o1.oo_.planner_objective_value.conditional.steady_initial_multiplier-oo_.planner_objective_value.conditional.steady_initial_multiplier) > 1e-12 ...
|
||||
|| abs(o1.oo_.planner_objective_value.unconditional-oo_.planner_objective_value.unconditional) > 1e-12)
|
||||
error('planner objective value doesn''t match')
|
||||
end
|
||||
|
||||
|
|
|
|||
Loading…
Reference in New Issue