Fixed extended path.
- Removed call to make_ex_, - Fill oo_.exo_simul in extended path routine, - Do not update oo_.exo_simul after the call to the extended path routine, - Cosmetic change. (cherry picked from commit 4791649524cc7876fc25d04a925f58a546a3a67d)time-shift
Stéphane Adjemian (Hermes)
parent
066c79f46a
commit
d331cf5a7a
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@ -138,7 +138,6 @@ switch ep.innovation_distribution
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error(['extended_path:: ' ep.innovation_distribution ' distribution for the structural innovations is not (yet) implemented!'])
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end
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% Set waitbar (graphic or text mode)
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hh = dyn_waitbar(0,'Please wait. Extended Path simulations...');
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set(hh,'Name','EP simulations.');
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@ -182,6 +181,8 @@ oo_.ep.failures.periods = [];
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oo_.ep.failures.previous_period = cell(0);
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oo_.ep.failures.shocks = cell(0);
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oo_.exo_simul = shocks;
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% Initializes some variables.
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t = 1;
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tsimul = 1;
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@ -189,7 +190,7 @@ for k = 1:replic_nbr
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results{k} = zeros(endo_nbr,sample_size+1);
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results{k}(:,1) = initial_conditions;
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end
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make_ex_;
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%make_ex_;
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exo_simul_ = zeros(maximum_lag+sample_size+maximum_lead,exo_nbr);
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exo_simul_(1:size(oo_.exo_simul,1),1:size(oo_.exo_simul,2)) = oo_.exo_simul;
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% Main loop.
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@ -265,78 +266,4 @@ else
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end
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end
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assignin('base', 'Simulated_time_series', ts);
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function [y, info_convergence] = extended_path_core(periods,endo_nbr,exo_nbr,positive_var_indx, ...
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exo_simul,init,initial_conditions,...
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maximum_lag,maximum_lead,steady_state, ...
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verbosity,bytecode_flag,order,M,pfm,algo,solve_algo,stack_solve_algo,...
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olmmcp,options,oo)
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ep = options.ep;
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if init% Compute first order solution (Perturbation)...
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endo_simul = simult_(initial_conditions,oo.dr,exo_simul(2:end,:),1);
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else
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endo_simul = [initial_conditions repmat(steady_state,1,periods+1)];
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end
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oo.endo_simul = endo_simul;
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oo_.endo_simul = endo_simul;
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% Solve a perfect foresight model.
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% Keep a copy of endo_simul_1
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if verbosity
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save ep_test_1 endo_simul exo_simul
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end
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if bytecode_flag && ~ep.stochastic.order
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[flag,tmp] = bytecode('dynamic',endo_simul,exo_simul, M_.params, endo_simul, periods);
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else
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flag = 1;
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end
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if flag
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if order == 0
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options.periods = periods;
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options.block = pfm.block;
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oo.endo_simul = endo_simul;
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oo.exo_simul = exo_simul;
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oo.steady_state = steady_state;
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options.bytecode = bytecode_flag;
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options.lmmcp = olmmcp;
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options.solve_algo = solve_algo;
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options.stack_solve_algo = stack_solve_algo;
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[tmp,flag] = perfect_foresight_solver_core(M,options,oo);
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if ~flag && ~options.no_homotopy
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exo_orig = oo.exo_simul;
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endo_simul = repmat(steady_state,1,periods+1);
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for i = 1:10
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weight = i/10;
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oo.endo_simul = [weight*initial_conditions + (1-weight)*steady_state ...
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endo_simul];
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oo.exo_simul = repmat((1-weight)*oo.exo_steady_state', ...
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size(oo.exo_simul,1),1) + weight*exo_orig;
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[tmp,flag] = perfect_foresight_solver_core(M,options,oo);
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disp([i,flag])
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if ~flag
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break
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end
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endo_simul = tmp.endo_simul;
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end
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end
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info_convergence = flag;
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else
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switch(algo)
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case 0
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[flag,endo_simul] = ...
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solve_stochastic_perfect_foresight_model(endo_simul,exo_simul,pfm,ep.stochastic.quadrature.nodes,ep.stochastic.order);
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case 1
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[flag,endo_simul] = ...
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solve_stochastic_perfect_foresight_model_1(endo_simul,exo_simul,options_,pfm,ep.stochastic.order);
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end
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tmp.endo_simul = endo_simul;
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info_convergence = ~flag;
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end
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end
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if info_convergence
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y = tmp.endo_simul(:,2);
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else
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y = NaN(size(endo_nbr,1));
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end
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assignin('base', 'Simulated_time_series', ts);
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@ -0,0 +1,88 @@
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function [y, info_convergence] = extended_path_core(periods,endo_nbr,exo_nbr,positive_var_indx, ...
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exo_simul,init,initial_conditions,...
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maximum_lag,maximum_lead,steady_state, ...
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verbosity,bytecode_flag,order,M,pfm,algo,solve_algo,stack_solve_algo,...
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olmmcp,options,oo)
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% Copyright (C) 2016 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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ep = options.ep;
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if init% Compute first order solution (Perturbation)...
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endo_simul = simult_(initial_conditions,oo.dr,exo_simul(2:end,:),1);
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else
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endo_simul = [initial_conditions repmat(steady_state,1,periods+1)];
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end
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oo.endo_simul = endo_simul;
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% Solve a perfect foresight model.
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% Keep a copy of endo_simul_1
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if verbosity
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save ep_test_1 endo_simul exo_simul
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end
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if bytecode_flag && ~ep.stochastic.order
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[flag,tmp] = bytecode('dynamic',endo_simul,exo_simul, M_.params, endo_simul, periods);
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else
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flag = 1;
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end
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if flag
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if order == 0
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options.periods = periods;
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options.block = pfm.block;
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oo.endo_simul = endo_simul;
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oo.exo_simul = exo_simul;
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oo.steady_state = steady_state;
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options.bytecode = bytecode_flag;
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options.lmmcp = olmmcp;
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options.solve_algo = solve_algo;
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options.stack_solve_algo = stack_solve_algo;
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[tmp,flag] = perfect_foresight_solver_core(M,options,oo);
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if ~flag && ~options.no_homotopy
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exo_orig = oo.exo_simul;
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endo_simul = repmat(steady_state,1,periods+1);
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for i = 1:10
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weight = i/10;
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oo.endo_simul = [weight*initial_conditions + (1-weight)*steady_state ...
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endo_simul];
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oo.exo_simul = repmat((1-weight)*oo.exo_steady_state', ...
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size(oo.exo_simul,1),1) + weight*exo_orig;
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[tmp,flag] = perfect_foresight_solver_core(M,options,oo);
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disp([i,flag])
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if ~flag
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break
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end
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endo_simul = tmp.endo_simul;
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end
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end
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info_convergence = flag;
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else
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switch(algo)
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case 0
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[flag,endo_simul] = ...
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solve_stochastic_perfect_foresight_model(endo_simul,exo_simul,pfm,ep.stochastic.quadrature.nodes,ep.stochastic.order);
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case 1
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[flag,endo_simul] = ...
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solve_stochastic_perfect_foresight_model_1(endo_simul,exo_simul,options_,pfm,ep.stochastic.order);
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end
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tmp.endo_simul = endo_simul;
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info_convergence = ~flag;
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end
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end
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if info_convergence
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y = tmp.endo_simul(:,2);
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else
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y = NaN(size(endo_nbr,1));
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end
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@ -3166,8 +3166,7 @@ ExtendedPathStatement::writeOutput(ostream &output, const string &basename, bool
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output << "options_." << it->first << " = " << it->second << ";" << endl;
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output << "extended_path([], " << options_list.num_options.find("periods")->second
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<< ");" << endl
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<< "oo_.exo_simul = oo_.ep.shocks;" << endl;
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<< ");" << endl;
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}
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ModelDiagnosticsStatement::ModelDiagnosticsStatement()
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