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Correction of a bug in controlled exogenous variables indexation

time-shift
Ferhat Mihoubi 2013-01-18 17:00:04 +01:00
parent 607210dcb9
commit fb127d010e
1 changed files with 20 additions and 15 deletions
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35
matlab/det_cond_forecast.m
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@ -48,7 +48,7 @@ function det_cond_forecast(constrained_paths, constrained_vars, options_cond_fcs
global options_ oo_ M_
if ~isfield(options_cond_fcst,'periods') || isempty(options_cond_fcst.periods)
options_cond_fcst.periods = 60;
options_cond_fcst.periods = 100;
end
maximum_lag = M_.maximum_lag;
@ -73,12 +73,14 @@ exo_names = M_.exo_names;
controlled_varexo = zeros(1,n_control_exo);
for i = 1:nx
for j=1:n_control_exo
if strcmp(exo_names(i,:), options_cond_fcst.controlled_varexo(j,:))
if strcmp(deblank(exo_names(i,:)), deblank(options_cond_fcst.controlled_varexo(j,:)))
controlled_varexo(j) = i;
end
end
end
%todo check if zero => error message
save_options_initval_file = options_.initval_file;
options_.initval_file = '__';
@ -272,22 +274,23 @@ else
disp('computation of derivatives w.r. to exogenous shocks');
col_count = 1;
for j = controlled_varexo
for j = 1:length(controlled_varexo)
j_pos = controlled_varexo(j);
if constrained_perfect_foresight(j)
for time = time_index_constraint
saved = oo_.exo_simul(time,j);
oo_.exo_simul(time,j) = oo_.exo_simul(time,j) + eps1;
saved = oo_.exo_simul(time,j_pos);
oo_.exo_simul(time,j_pos) = oo_.exo_simul(time,j_pos) + eps1;
simul();
J(:,col_count) = (oo_.endo_simul(indx_endo) - ys) / eps1;
oo_.exo_simul(time,j) = saved;
oo_.exo_simul(time,j_pos) = saved;
col_count = col_count + 1;
end;
else
saved = oo_.exo_simul(maximum_lag+1,j);
oo_.exo_simul(maximum_lag+1,j) = oo_.exo_simul(maximum_lag+1,j) + eps1;
saved = oo_.exo_simul(maximum_lag+1,j_pos);
oo_.exo_simul(maximum_lag+1,j_pos) = oo_.exo_simul(maximum_lag+1,j_pos) + eps1;
simul();
J(:,col_count) = (oo_.endo_simul(indx_endo) - ys) / eps1;
oo_.exo_simul(maximum_lag+1,j) = saved;
oo_.exo_simul(maximum_lag+1,j_pos) = saved;
col_count = col_count + 1;
end;
end;
@ -304,12 +307,13 @@ else
D_exo = - J \ r;
old_exo = oo_.exo_simul;
col_count = 1;
for j = controlled_varexo
for j = 1:length(controlled_varexo)
j_pos=controlled_varexo(j);
if constrained_perfect_foresight(j)
oo_.exo_simul(time_index_constraint,j) = (oo_.exo_simul(time_index_constraint,j) + D_exo(col_count: col_count + constrained_periods - t));
oo_.exo_simul(time_index_constraint,j_pos) = (oo_.exo_simul(time_index_constraint,j_pos) + D_exo(col_count: col_count + constrained_periods - t));
col_count = col_count + constrained_periods - t + 1;
else
oo_.exo_simul(maximum_lag + 1,j) = oo_.exo_simul(maximum_lag + 1,j) + D_exo(col_count);
oo_.exo_simul(maximum_lag + 1,j_pos) = oo_.exo_simul(maximum_lag + 1,j_pos) + D_exo(col_count);
col_count = col_count + 1;
end;
end;
@ -319,16 +323,17 @@ else
if ~convg
error(['convergence not achived at time ' int2str(t) ' after ' int2str(it) ' iterations']);
end;
for j = controlled_varexo
for j = 1:length(controlled_varexo)
j_pos=controlled_varexo(j);
if constrained_perfect_foresight(j)
% in case of mixed surprise and perfect foresight
% endogenous path at each date all the exogenous paths have to be
% stored. The paths are stacked in exo.
for time = time_index_constraint;
exo(past_val + time,j) = oo_.exo_simul(time,j);
exo(past_val + time,j_pos) = oo_.exo_simul(time,j_pos);
end
else
exo(maximum_lag + t,j) = oo_.exo_simul(maximum_lag + 1,j);
exo(maximum_lag + t,j_pos) = oo_.exo_simul(maximum_lag + 1,j_pos);
end;
end;
past_val = past_val + length(time_index_constraint);