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added missing function 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2066 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
michel 2008-09-14 15:38:23 +00:00
parent 68d00f20d9
commit ea271e7e84
1 changed files with 141 additions and 0 deletions
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% Copyright (C) 2005 Michel Juillard
%
function [y_,int_width]=simultexdet(y0,ex,ex_det, iorder,var_list,M_,oo_,options_)
% global endo_nbr ykmin_ xkmin_ it_ options_ iy_ M_ exe_det_ Sigma_e_ lgy_
dr = oo_.dr;
ykmin = M_.maximum_lag;
endo_nbr = M_.endo_nbr;
exo_det_steady_state = oo_.exo_det_steady_state;
nstatic = dr.nstatic;
npred =dr.npred;
nc = size(dr.ghx,2);
iter = size(ex,1);
nx = size(dr.ghu,2);
y_ = zeros(size(y0,1),iter+ykmin);
y_(:,1:ykmin) = y0;
k1 = [ykmin:-1:1];
k2 = dr.kstate(find(dr.kstate(:,2) <= ykmin+1),[1 2]);
k2 = k2(:,1)+(ykmin+1-k2(:,2))*endo_nbr;
k3 = M_.lead_lag_incidence(1:ykmin,:)';
k3 = find(k3(:));
k4 = dr.kstate(find(dr.kstate(:,2) < ykmin+1),[1 2]);
k4 = k4(:,1)+(ykmin+1-k4(:,2))*endo_nbr;
if options_.simul_algo == 1
o1 = dr.nstatic+1;
o2 = dr.nstatic+dr.npred;
o3 = o2-dr.nboth+1;
[junk, k5] = sort(dr.order_var(o1:o2));
[junk, k6] = sort(dr.order_var(o3:end));
end
nvar = size(var_list,1);
if nvar == 0
nvar = endo_nbr;
ivar = [1:nvar];
else
ivar=zeros(nvar,1);
for i=1:nvar
i_tmp = strmatch(var_list(i,:),M_.endo_names,'exact');
if isempty(i_tmp)
disp(var_list(i,:));
error (['One of the variable specified does not exist']) ;
else
ivar(i) = i_tmp;
end
end
end
if iorder == 1
for i = ykmin+1: iter+ykmin
tempx1 = y_(dr.order_var,k1);
tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,ykmin);
tempx = tempx2(k2);
if options_.simul_algo == 0
y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*tempx+dr.ghu* ...
ex(i,:)';
for j=1:min(ykmin+M_.exo_det_length+1-i,M_.exo_det_length)
y_(dr.order_var,i) = y_(dr.order_var,i) + dr.ghud{j}*(ex_det(i+j-1,:)'-exo_det_steady_state');
end
elseif options_.simul_algo == 1
it_ = i;
m = dr.ys(dr.order_var);
[y_(:,i), check] = dynare_solve('ff_simul1',y_(:,i-1),tempx1(k3), ...
m(o3:end),tempx(k4),o1,o2,o3,k6);
end
k1 = k1+1;
end
elseif iorder == 2
for i = ykmin+1: iter+ykmin
tempx1 = y_(dr.order_var,k1);
tempx2 = tempx1-repmat(dr.ys(dr.order_var),1,ykmin);
tempx = tempx2(k2);
tempu = ex(i-ykmin,:)';
tempuu = kron(tempu,tempu);
if options_.simul_algo == 0
tempxx = kron(tempx,tempx);
tempxu = kron(tempx,tempu);
y_(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghs2/2+dr.ghx*tempx+ ...
dr.ghu*tempu+0.5*(dr.ghxx*tempxx+dr.ghuu*tempuu)+dr.ghxu* ...
tempxu;
for j=1:min(ykmin+M_.exo_det_length+1-i,M_.exo_det_length)
tempud = ex_det(i+j-1,:)'-exo_det_steady_state;
tempudud = kron(tempud,tempud);
tempxud = kron(tempx,tempud);
tempuud = kron(tempu,tempud);
y_(dr.order_var,i) = y_(dr.order_var,i) + dr.ghud{j}*tempud + ...
dr.ghxud{j}*tempxud + dr.ghuud{j}*tempuud + ...
0.5*dr.ghudud{j,j}*tempudud;
for k=1:j-1
tempudk = ex_det(i+k-1,:)'-exo_det_steady_state;
tempududk = kron(tempudk,tempud);
y_(dr.order_var,i) = y_(dr.order_var,i) + ...
dr.ghudud{k,j}*tempududk;
end
end
elseif options_.simul_algo == 1
it_ = i;
m = dr.ys(dr.order_var)+dr.ghs2/2;
tempx1 = y_(:,k1);
[y_(:,i), check] = dynare_solve('ff_simul2',y_(:,i-1),tempx1(k3), ...
m(o3:end),tempx(k4),o1,o2,o3,k6);
end
k1 = k1+1;
end
end
[A,B] = kalman_transition_matrix(dr,nstatic+(1:npred),1:nc,dr.transition_auxiliary_variables,M_.exo_nbr);
sigma_u = B*M_.Sigma_e*B';
sigma_y = 0;
for i=1:iter
var_yf(i,dr.order_var) = diag(sigma_y(1:endo_nbr,1:endo_nbr))';
if i == iter
break
end
sigma_u = A*sigma_u*A';
sigma_y = sigma_y+sigma_u;
end
fact = qnorm((1-options_.conf_sig)/2,0,1);
int_width = zeros(iter,endo_nbr);
for i=1:endo_nbr
int_width(:,i) = fact*sqrt(var_yf(:,i));
end
for i=1:nvar
my_subplot(i,nvar,2,3,'Forecasts');
plot([-ykmin+1:0],y0(ivar(i),1:ykmin),'b-',...
[1:iter],y_(ivar(i),ykmin+1:end),'g-',...
[1:iter],y_(ivar(i),ykmin+1:end)'+int_width(:,ivar(i)),'g:',...
[1:iter],y_(ivar(i),ykmin+1:end)'-int_width(:,ivar(i)),'g:',...
[1 iter],repmat(dr.ys(ivar(i)),1,2),'r-');
title(M_.endo_names(ivar(i),:));
end