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loglinear: Take care of non-logged lagged/leaded exogenous variables 

Closes: #1783
time-shift
Johannes Pfeifer 2021-05-11 14:25:44 +02:00 committed by Sébastien Villemot
parent 5a2fbe2f89
commit cc045caa6f
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GPG Key ID: 2CECE9350ECEBE4A
3 changed files with 19 additions and 5 deletions
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6
matlab/dynare.m
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@ -281,10 +281,10 @@ try
evalin('base',[fname '.driver']) ;
catch ME
W = evalin('base','whos');
diary off
if ismember(fname,[W(:).name])
diary off
if ismember(fname,{W(:).name})
error('Your base workspace already contains a variable with the same name as the mod-file. You need to delete it or rename the mod-file.')
else
else
rethrow(ME)
end
end

3
matlab/simult_.m
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@ -42,7 +42,8 @@ y_ = zeros(size(y0,1),iter+M_.maximum_lag);
y_(:,1) = y0;
if options_.loglinear && ~options_.logged_steady_state
dr.ys=log(dr.ys);
k = get_all_variables_but_lagged_leaded_exogenous(M_);
dr.ys(k)=log(dr.ys(k));
end
if ~options_.k_order_solver || (options_.k_order_solver && options_.pruning) %if k_order_pert is not used or if we do not use Dynare++ with k_order_pert

15
matlab/store_smoother_results.m
View File

@ -79,6 +79,12 @@ end
if options_.loglinear
oo_.Smoother.loglinear = true;
if ~isempty(M_.aux_vars) % deal with lead/lag of exogenous variables
exo_lead_lag_index = M_.orig_endo_nbr + find(([M_.aux_vars.type] == 2) | ([M_.aux_vars.type] == 3));
else
exo_lead_lag_index =[];
end
else
oo_.Smoother.loglinear = false;
end
@ -137,6 +143,9 @@ if ~isempty(options_.nk) && options_.nk ~= 0
i_endo_declaration_order = oo_.dr.order_var(i_endo_in_dr_matrices); %get indices of smoothed variables in name vector
if options_.loglinear %logged steady state must be used
constant_all_variables=repmat(log(ys(i_endo_declaration_order))',[length(options_.filter_step_ahead),1,gend+max(options_.filter_step_ahead)]);
if ~isempty(exo_lead_lag_index) && any(ismember(i_endo_declaration_order,exo_lead_lag_index)) % deal with lead/lag of exogenous variables
constant_all_variables(:,ismember(i_endo_declaration_order,exo_lead_lag_index),:)=repmat(ys(i_endo_declaration_order(ismember(i_endo_declaration_order,exo_lead_lag_index)))',[length(options_.filter_step_ahead),1,gend+max(options_.filter_step_ahead)]);
end
elseif ~options_.loglinear %unlogged steady state must be used
constant_all_variables=repmat((ys(i_endo_declaration_order))',[length(options_.filter_step_ahead),1,gend+max(options_.filter_step_ahead)]);
end
@ -157,7 +166,11 @@ for i_endo_in_bayestopt_smoother_varlist=bayestopt_.smoother_saved_var_list'
i_endo_declaration_order = oo_.dr.order_var(i_endo_in_dr); %get indices of smoothed variables in name vector
%% Compute constant
if options_.loglinear == 1 %logged steady state must be used
constant_current_variable=repmat(log(ys(i_endo_declaration_order)),gend,1);
if ~isempty(exo_lead_lag_index) && ismember(i_endo_declaration_order,exo_lead_lag_index)% deal with lead/lag of exogenous variables
constant_current_variable=repmat(ys(i_endo_declaration_order),gend,1);
else
constant_current_variable=repmat(log(ys(i_endo_declaration_order)),gend,1);
end
elseif options_.loglinear == 0 %unlogged steady state must be used
constant_current_variable=repmat((ys(i_endo_declaration_order)),gend,1);
end