function [dr,info,M_,options_,oo_] = dr1_PI(dr,task,M_,options_,oo_) % function [dr,info,M_,options_,oo_] = dr1_PI(dr,task,M_,options_,oo_) % Computes the reduced form solution of a rational expectation model first % order % approximation of the Partial Information stochastic model solver around the deterministic steady state). % Prepares System as % A0*E_t[y(t+1])+A1*y(t)=A2*y(t-1)+c+psi*eps(t) % with z an exogenous variable process. % and calls PI_Gensys.m solver % based on Pearlman et al 1986 paper and derived from % C.Sims' gensys linear solver. % to return solution in format % [s(t)' x(t)' E_t x(t+1)']'=G1pi [s(t-1)' x(t-1)' x(t)]'+C+impact*eps(t), % % INPUTS % dr [matlab structure] Decision rules for stochastic simulations. % task [integer] if task = 0 then dr1 computes decision rules. % if task = 1 then dr1 computes eigenvalues. % M_ [matlab structure] Definition of the model. % options_ [matlab structure] Global options. % oo_ [matlab structure] Results % % OUTPUTS % dr [matlab structure] Decision rules for stochastic simulations. % info [integer] info=1: the model doesn't define current variables uniquely % info=2: problem in mjdgges.dll info(2) contains error code. % info=3: BK order condition not satisfied info(2) contains "distance" % absence of stable trajectory. % info=4: BK order condition not satisfied info(2) contains "distance" % indeterminacy. % info=5: BK rank condition not satisfied. % M_ [matlab structure] % options_ [matlab structure] % oo_ [matlab structure] % % ALGORITHM % ... % % SPECIAL REQUIREMENTS % none. % % Copyright (C) 1996-2010 Dynare Team % % This file is part of Dynare. % % Dynare is free software: you can redistribute it and/or modify % it under the terms of the GNU General Public License as published by % the Free Software Foundation, either version 3 of the License, or % (at your option) any later version. % % Dynare is distributed in the hope that it will be useful, % but WITHOUT ANY WARRANTY; without even the implied warranty of % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % GNU General Public License for more details. % % You should have received a copy of the GNU General Public License % along with Dynare. If not, see . info = 0; options_ = set_default_option(options_,'loglinear',0); options_ = set_default_option(options_,'noprint',0); options_ = set_default_option(options_,'olr',0); options_ = set_default_option(options_,'olr_beta',1); options_ = set_default_option(options_,'qz_criterium',1.000001); xlen = M_.maximum_endo_lead + M_.maximum_endo_lag + 1; if (options_.aim_solver == 1) options_.aim_solver == 0; warning('You can not use AIM with Part Info solver. AIM ignored'); end if (options_.order > 1) warning('You can not use order higher than 1 with Part Info solver. Order 1 assumed'); options_.order =1; end % expanding system for Optimal Linear Regulator if options_.ramsey_policy if isfield(M_,'orig_model') orig_model = M_.orig_model; M_.endo_nbr = orig_model.endo_nbr; M_.endo_names = orig_model.endo_names; M_.lead_lag_incidence = orig_model.lead_lag_incidence; M_.maximum_lead = orig_model.maximum_lead; M_.maximum_endo_lead = orig_model.maximum_endo_lead; M_.maximum_lag = orig_model.maximum_lag; M_.maximum_endo_lag = orig_model.maximum_endo_lag; end old_solve_algo = options_.solve_algo; % options_.solve_algo = 1; oo_.steady_state = dynare_solve('ramsey_static',oo_.steady_state,0,M_,options_,oo_,it_); options_.solve_algo = old_solve_algo; [junk,junk,multbar] = ramsey_static(oo_.steady_state,M_,options_,oo_,it_); [jacobia_,M_] = ramsey_dynamic(oo_.steady_state,multbar,M_,options_,oo_,it_); klen = M_.maximum_lag + M_.maximum_lead + 1; dr.ys = [oo_.steady_state;zeros(M_.exo_nbr,1);multbar]; else klen = M_.maximum_lag + M_.maximum_lead + 1; iyv = M_.lead_lag_incidence'; iyv = iyv(:); iyr0 = find(iyv) ; it_ = M_.maximum_lag + 1 ; if M_.exo_nbr == 0 oo_.exo_steady_state = [] ; end z = repmat(dr.ys,1,klen); z = z(iyr0) ; [junk,jacobia_] = feval([M_.fname '_dynamic'],z,[oo_.exo_simul ... oo_.exo_det_simul], M_.params, it_); end if options_.debug save([M_.fname '_debug.mat'],'jacobia_') end dr=set_state_space(dr,M_); kstate = dr.kstate; kad = dr.kad; kae = dr.kae; nstatic = dr.nstatic; nfwrd = dr.nfwrd; npred = dr.npred; nboth = dr.nboth; order_var = dr.order_var; nd = size(kstate,1); nz = nnz(M_.lead_lag_incidence); sdyn = M_.endo_nbr - nstatic; k0 = M_.lead_lag_incidence(M_.maximum_endo_lag+1,order_var); k1 = M_.lead_lag_incidence(find([1:klen] ~= M_.maximum_endo_lag+1),:); b = jacobia_(:,k0); if (options_.aim_solver == 1) error('Anderson and Moore AIM solver is not compatible with Partial Information models'); end % end if useAIM and... %forward--looking models if nstatic > 0 [Q,R] = qr(b(:,1:nstatic)); aa = Q'*jacobia_; else aa = jacobia_; end % If required, try PCL86 solver, that is, if not the check being % performed only and if it is 1st order % create sparse, extended jacobia AA: nendo=M_.endo_nbr; % = size(aa,1) %%% OLD: aax=zeros(size(aa,1),size(aa,1)*klen); % partition jacobian: jlen=dr.nspred+dr.nsfwrd+M_.endo_nbr+M_.exo_nbr; % length of jacobian % find size xlen of the state vector Y and of A0, A1 and A2 transition matrices: % it is the sum the all i variables's lag/lead representations, % for each variable i representation being defined as: % Max (i_lags-1,0)+ Max (i_leads-1,0)+1 % so that if variable x appears with 2 lags and 1 lead, and z % with 2 lags and 3 leads, the size of the state space is: % 1+0+1 + 1+2+1 =6 % e.g. E_t Y(t+1)= % E_t x(t) % E_t x(t+1) % E_t z(t) % E_t z(t+1) % E_t z(t+2) % E_t z(t+3) % first transpose M_.lead_lag_incidence'; lead_lag=M_.lead_lag_incidence'; max_lead_lag=zeros(nendo,2); % lead/lag representation in Y for each endogenous variable i if ( M_.maximum_lag <= 1) && (M_.maximum_lead <= 1) xlen=nendo; %%=0; AA0=zeros(xlen,xlen); % empty A0 AA2=AA0; % empty A2 and A3 AA3=AA0; AA1=jacobia_(:,npred+1:npred+nendo); fnd = find(lead_lag(:,3)); AA0(:, fnd)= jacobia_(:,nonzeros(lead_lag(:,3))); %forwd jacobian fnd = find(lead_lag(:,1)); AA2(:, fnd)= jacobia_(:,nonzeros(lead_lag(:,1))); %backward if M_.orig_endo_nbr0 AA3(:,exp_0)=AA1(:,exp_0); XX0=zeros(nendo,num_exp_0); AA1(:,exp_0)=XX0(:,[1:num_exp_0]) end end else xlen=0; for i=1:nendo llmask=find(lead_lag(i,:)); % mask of leads and lags for var i nlag = max((M_.maximum_lag+1-min(llmask)), 0); % reduced no of lags and nlead = max((max(llmask)-(M_.maximum_lag+1)), 0); % reduced no of leads for var i max_lead_lag(i,:)=[nlag nlead]; % store for future reference %xlen=xlen+(nlag+nlead+1); % size as the sum over all the i variables xlen=xlen+(max(nlag-1,0)+max(nlead-1,0)+1); % size as the sum over all the i variables end AA0=zeros(xlen,xlen); % empty A0 AA2=AA0; % empty A2 and A3 AA3=AA0; end if (xlen>nendo )||( M_.maximum_lag >1) || (M_.maximum_lead >1) % we could not use shortcut above start=xlen -nendo+1; offset=0; for i=1:nendo llmask=find(lead_lag(i,:)); % mask of leads and lags for var i nlag=max_lead_lag(i,1); % size for the i'th variable lags nlead=max_lead_lag(i,2); % size for the i'th variable lead ilen=max(nlag-1,0)+max(nlead-1,0)+1; % size for the i'th variable if lead_lag(i,M_.maximum_lag-nlag+1) && nlag>0 %(j0==1 )&& lead_lag(i,j0) % !=0 %(ilen - iLagLen) %<=max(nlag,1) AA2( start:end, offset+1)=aa(:,lead_lag(i,M_.maximum_lag-nlag+1)); else AA2( start+i-1, offset+1)=Inf; end if lead_lag(i,klen-M_.maximum_lead+nlead) && nlead>0 %(j0==1 )&& lead_lag(i,j0) % !=0 %(ilen - iLagLen) %<=max(nlag,1) AA0( start:end, offset+ilen)=aa(:,lead_lag(i,klen-M_.maximum_lead+nlead)); else AA0( start+i-1, offset+ilen)=Inf; end for j0= 1:ilen % M_.maximum_lag if (j0nlag)&& lead_lag(i,j0+1) % !=0 %(ilen - iLagLen) % AA1( start:end, offset+j0)=aa(:,lead_lag(i,(j0+1))); elseif (j0==max(nlag-1,0)+1) && lead_lag(i,(M_.maximum_lag+1)) %&& (j0<=ilen-max(nlead-1,0) ) ... %AA1( start+i-1, offset+j0)=Inf; // jacobian at t AA1( start:end, offset+j0)=aa(:,lead_lag(i,(M_.maximum_lag+1))); elseif (j0>max(nlag-1,0)+1)&& (ilen>nlead)&& lead_lag(i,M_.maximum_lag+j0+1) AA1( start:end, offset+j0)=aa(:,lead_lag(i,(M_.maximum_lag+1+j0))); end end offset=offset+ilen; if offset>xlen error(' dr1_PI: offset exceeds max xlen!'); end end end PSI=-[[zeros(xlen-nendo,M_.exo_nbr)];[jacobia_(:, jlen-M_.exo_nbr+1:end)]]; % exog cc=0; NX=M_.exo_nbr; % no of exogenous varexo shock variables. NETA=nfwrd+nboth; % total no of exp. errors set to no of forward looking equations FL_RANK=rank(AA0); % nfwrd+nboth; % min total no of forward looking equations and vars try % call [G1pi,C,impact,nmat,TT1,TT2,gev,eu]=PI_gensys(a0,a1,a2,c,PSI,NX,NETA,NO_FL_EQS) % System given as % a0*E_t[y(t+1])+a1*y(t)=a2*y(t-1)+c+psi*eps(t) % with eps an exogenous variable process. % Returned system is % [s(t)' x(t)' E_t x(t+1)']'=G1pi [s(t-1)' x(t-1)' x(t)]'+C+impact*eps(t), % and (a) the matrix nmat satisfying nmat*E_t z(t)+ E_t x(t+1)=0 % (b) matrices TT1, TT2 that relate y(t) to these states: % y(t)=[TT1 TT2][s(t)' x(t)']'. if(options_.ACES_solver==1) SSbar= diag(dr.ys);%(oo_.steady_state); AA0=AA0*SSbar; AA1=AA1*SSbar; AA2=AA2*SSbar; AA3=AA3*SSbar; end %%if any(AA3) % for expectational models when complete %% [G1pi,CC,impact,nmat,TT1,TT2,gev,eu, DD, E3,E5]=PI_gensysEXP(AA0,AA1,-AA2,AA3,cc,PSI,NX,NETA,FL_RANK, M_, options_); %%else [G1pi,CC,impact,nmat,TT1,TT2,gev,eu, DD, E3,E5]=PI_gensys(AA0,AA1,-AA2,AA3,cc,PSI,NX,NETA,FL_RANK, M_, options_); %%end % reuse some of the bypassed code and tests that may be needed if eu ~=[1; 1] info(1) = abs(eu(1)+eu(2)); info(2) = 1.0e+8; % return end dr.PI_ghx=G1pi; dr.PI_ghu=impact; dr.PI_TT1=TT1; dr.PI_TT2=TT2; dr.PI_nmat=nmat; dr.PI_CC=CC; dr.PI_gev=gev; dr.PI_eu=eu; dr.PI_FL_RANK=FL_RANK; %dr.ys=zeros(nendo); % zero steady state dr.ghx=G1pi; dr.ghu=impact; dr.eigval = eig(G1pi); dr.rank=FL_RANK; if options_.ACES_solver==1 ACES.A=G1pi; ACES.C=impact; % (:,1); ACES.D=DD; %=impact (:,20); ACES.E3=E3; ACES.E5=E5; save ACES ;%ACES_A ACES_C ACES_D ACES_E2 ACES_E5 %save([M_.fname '_ACES_IN'], 'ACES') save ([M_.fname '_ACES_A.txt'], 'G1pi', '-ascii', '-double', '-tabs'); save ([M_.fname '_ACES_C.txt'], 'impact','-ascii', '-double', '-tabs'); save ([M_.fname '_ACES_D.txt'], 'DD', '-ascii', '-double', '-tabs'); save ([M_.fname '_ACES_E3.txt'], 'E3', '-ascii', '-double', '-tabs'); save ([M_.fname '_ACES_E5.txt'], 'E5', '-ascii', '-double', '-tabs'); end catch disp('Problem with using Part Info solver - Using Dynare solver instead'); lerror=lasterror; disp (lerror); options_.PartInfo = 0; % and then try mjdgges instead end % TODO: % if options_.loglinear == 1 % if exogenous deterministic variables return;