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

Document extended_path and oo_.exo_simul in ref manual

time-shift
Sébastien Villemot 2012-06-08 17:36:45 +02:00
parent a87cac34ca
commit b21d87966a
1 changed files with 60 additions and 4 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

64
doc/dynare.texi
View File

@ -2875,7 +2875,8 @@ The simulated endogenous variables are available in global matrix
@defvr {MATLAB/Octave variable} oo_.endo_simul @defvr {MATLAB/Octave variable} oo_.endo_simul
This variable stores the result of a deterministic simulation This variable stores the result of a deterministic simulation
(computed by @code{simul}) or of a stochastic simulation (computed by (computed by @code{simul}) or of a stochastic simulation (computed by
@code{stoch_simul} with the @code{periods} option). @code{stoch_simul} with the @code{periods} option or by
@code{extended_path}).
The variables are arranged row by row, in order of declaration (as in The variables are arranged row by row, in order of declaration (as in
@code{M_.endo_names}). Note that this variable also contains initial @code{M_.endo_names}). Note that this variable also contains initial
@ -2883,16 +2884,38 @@ and terminal conditions, so it has more columns than the value of
@code{periods} option. @code{periods} option.
@end defvr @end defvr
@anchor{oo_.exo_simul}
@defvr {MATLAB/Octave variable} oo_.exo_simul
This variable stores the path of exogenous variables during a
simulation (computed by @code{simul}, @code{stoch_simul} or
@code{extended_path}).
The variables are arranged in columns, in order of declaration (as in
@code{M_.endo_names}). Periods are in rows. Note that this convention
regarding columns and rows is the opposite of the convention for
@code{oo_.endo_simul}!
@end defvr
@node Stochastic solution and simulation @node Stochastic solution and simulation
@section Stochastic solution and simulation @section Stochastic solution and simulation
In a stochastic context, Dynare computes one or several simulations In a stochastic context, Dynare computes one or several simulations
corresponding to a random draw of the shocks. Dynare uses a Taylor corresponding to a random draw of the shocks.
The main algorithm for solving stochastic models relies on a Taylor
approximation, up to third order, of the expectation functions (see approximation, up to third order, of the expectation functions (see
@cite{Judd (1996)}, @cite{Collard and Juillard (2001a)}, @cite{Collard @cite{Judd (1996)}, @cite{Collard and Juillard (2001a)}, @cite{Collard
and Juillard (2001b)}, and @cite{Schmitt-Grohé and Uríbe (2004)}). The and Juillard (2001b)}, and @cite{Schmitt-Grohé and Uríbe (2004)}). The
details of the Dynare implementation of the first order solution are details of the Dynare implementation of the first order solution are
given in @cite{Villemot (2011)}. given in @cite{Villemot (2011)}. Such a solution is computed using
the @code{stoch_simul} command.
As an alternative, it is possible to compute a simulation to a
stochastic model using the @emph{extended path} method presented by
@cite{Fair and Taylor (1983)}. This method is especially useful when
there are strong nonlinearities or binding constraints. Such a
solution is computed using the @code{extended_path} command.
@menu @menu
* Computing the stochastic solution:: * Computing the stochastic solution::
@ -3052,7 +3075,9 @@ periods to use in the simulations. Values of the @code{initval} block,
possibly recomputed by @code{steady}, will be used as starting point possibly recomputed by @code{steady}, will be used as starting point
for the simulation. The simulated endogenous variables are made for the simulation. The simulated endogenous variables are made
available to the user in a vector for each variable and in the global available to the user in a vector for each variable and in the global
matrix @code{oo_.endo_simul} (@pxref{oo_.endo_simul}). Default: @code{0}. matrix @code{oo_.endo_simul} (@pxref{oo_.endo_simul}). The simulated
exogenous variables are made available in @code{oo_.exo_simul}
(@pxref{oo_.exo_simul}). Default: @code{0}.
@item qz_criterium = @var{DOUBLE} @item qz_criterium = @var{DOUBLE}
Value used to split stable from unstable eigenvalues in reordering the Value used to split stable from unstable eigenvalues in reordering the
@ -3250,6 +3275,37 @@ variables of the model as function of the previous state of the model and
shocks oberved at the beginning of the period. The decision rules are stored shocks oberved at the beginning of the period. The decision rules are stored
in the structure @code{oo_.dr} which is described below. in the structure @code{oo_.dr} which is described below.
@deffn Command extended_path ;
@deffnx Command extended_path (@var{OPTIONS}@dots{}) ;
@descriptionhead
@code{extended_path} solves a stochastic (@i{i.e.} rational
expectations) model, using the @emph{extended path} method presented
by @cite{Fair and Taylor (1983)}.
This function first computes a random path for the exogenous variables
(stored in @code{oo_.exo_simul}, @pxref{oo_.exo_simul}) and then
computes the corresponding path for endogenous variables, taking the
steady state as starting point. The result of the simulation is stored
in @code{oo_.endo_simul} (@pxref{oo_.endo_simul}).
@optionshead
@table @code
@item periods = @var{INTEGER}
The number of periods for which the simulation is to be computed. No
default value, mandatory option.
@item solver_periods = @var{INTEGER}
The number of periods used to compute the approximate solution
at every iteration of the algorithm. Default: @code{200}.
@end table
@end deffn
@node Typology and ordering of variables @node Typology and ordering of variables
@subsection Typology and ordering of variables @subsection Typology and ordering of variables