From bd9aeef1d0e3975ca6e0ade938d98a90b50f8797 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?S=C3=A9bastien=20Villemot?= Date: Wed, 6 Jun 2012 12:55:36 +0200 Subject: [PATCH] Give the references to Dennis (2007) for discretionary_policy --- doc/dynare.texi | 8 +++++++- matlab/discretionary_policy_engine.m | 5 +++-- 2 files changed, 10 insertions(+), 3 deletions(-) diff --git a/doc/dynare.texi b/doc/dynare.texi index 1437125ef..a02967042 100644 --- a/doc/dynare.texi +++ b/doc/dynare.texi @@ -4962,7 +4962,8 @@ inflation or nominal interest rate as an instrument. @descriptionhead This command computes an approximation of the optimal policy under -discretion +discretion. The algorithm implemented is essentially an LQ solver, and +is described by @cite{Dennis (2007)}. @optionshead @@ -7279,6 +7280,11 @@ Expansion Approach to Simulation of Stochastic Forward-Looking Models with an Application to a Non-Linear Phillips Curve,'' @i{Computational Economics}, 17, 125--139. +@item +Dennis, Richard (2007): ``Optimal Policy In Rational Expectations +Models: New Solution Algorithms,'' @i{Macroeconomic Dynamics}, 11(1), +31--55 + @item Durbin, J. and S. J. Koopman (2001), @i{Time Series Analysis by State Space Methods}, Oxford University Press. diff --git a/matlab/discretionary_policy_engine.m b/matlab/discretionary_policy_engine.m index 67aef9f23..2c475b264 100644 --- a/matlab/discretionary_policy_engine.m +++ b/matlab/discretionary_policy_engine.m @@ -4,8 +4,9 @@ function [H,G,retcode]=discretionary_policy_engine(AAlag,AA0,AAlead,BB,bigw,inst % AAlag*yy_{t-1}+AA0*yy_t+AAlead*yy_{t+1}+BB*e=0, with W the weight on the % variables in vector y_t and instr_id is the location of the instruments % in the yy_t vector. -% We use the Dennis algorithm and so we need to re-write the model in the -% form A0*y_t=A1*y_{t-1}+A2*y_{t+1}+A3*x_t+A4*x_{t+1}+A5*e_t, with W the +% We use the Dennis (2007, Macroeconomic Dynamics) algorithm and so we need +% to re-write the model in the form +% A0*y_t=A1*y_{t-1}+A2*y_{t+1}+A3*x_t+A4*x_{t+1}+A5*e_t, with W the % weight on the y_t vector and Q the weight on the x_t vector of % instruments.