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Allow for lags in exogenous variables.

time-shift
Stéphane Adjemian (Charybdis) 2017-06-01 09:59:42 +02:00
parent 385f3fc27f
commit b8e2eec878
1 changed files with 3 additions and 3 deletions
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6
matlab/backward/backward_model_inversion.m
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@ -98,7 +98,7 @@ for i=1:nyctrl
end
% Initialization of the returned simulations (exogenous variables).
X = exogenousvariables{exo_names{:}}(constraints.dates(1)-1:constraints.dates(end)).data;
X = exogenousvariables{exo_names{:}}(constraints.dates(1)-max(1,DynareModel.maximum_exo_lag):constraints.dates(end)).data;
% Inversion of the model, solvers for the free endogenous and exogenous variables (call a Newton-like algorithm in each period).
for it = 2:nobs(constraints)+1
@ -110,7 +110,7 @@ for it = 2:nobs(constraints)+1
% values) and the free exogenous variables (initialized with 0).
z = [Y(freeendogenousvariables_id,it-1); zeros(nxfree, 1)];
% Solves for z.
z = dynare_solve(model_dtransf, z, DynareOptions, model_dynamic, ylag, ycur, X, DynareModel.params, DynareOutput.steady_state, it, ModelInversion);
z = dynare_solve(model_dtransf, z, DynareOptions, model_dynamic, ylag, ycur, X, DynareModel.params, DynareOutput.steady_state, it+DynareModel.maximum_exo_lag, ModelInversion);
% Update the matrix of exogenous variables.
X(it,freeinnovations_id) = z(nyfree+1:end);
% Update the matrix of endogenous variables.
@ -118,4 +118,4 @@ for it = 2:nobs(constraints)+1
end
endogenousvariables = dseries(Y', constraints.dates(1)-1, endo_names);
exogenousvariables = dseries(X(2:end,:), constraints.dates(1), exo_names);
exogenousvariables = dseries(X(max(DynareModel.maximum_exo_lag,1)+1:end,:), constraints.dates(1), exo_names);