function [zdata, T, R, CONST, ss, update_flag]=mkdatap_anticipated_dyn(n_periods,DM,... T_max,binding_indicator,irfshock_pos,scalefactor_mod,init,update_flag) % function [zdata, T, R, CONST, ss]=mkdatap_anticipated_dyn(nperiods,DM,... % Tmax,binding_indicator,irfshockpos,scalefactormod,init,update_flag) % % Inputs: % - n_periods [double] number for periods for simulation % - DM [structure] Dynamic model % - T_max [Tmax] last period where constraints bind % - binding_indicator [T+1] indicator for constraint violations % - irfshock_pos [double] shock position % - scalefactor_mod [double] shock values % - init [double] [N by 1] initial value of endogenous variables % - update_flag [boolean] flag whether to update results % % Output: % - zdata [double] T+1 by N matrix of simulated data % - T [N by N] transition matrix of state space % - R [N by N_exo] shock impact matrix of state space % - CONST [N by 1] constant of state space % - ss [structure] state space system % - update_flag [boolean] flag that results have been updated % % Original authors: Luca Guerrieri and Matteo Iacoviello % Original file downloaded from: % https://www.matteoiacoviello.com/research_files/occbin_20140630.zip % Adapted for Dynare by Dynare Team. % % This code is in the public domain and may be used freely. % However the authors would appreciate acknowledgement of the source by % citation of any of the following papers: % % Luca Guerrieri and Matteo Iacoviello (2015): "OccBin: A toolkit for solving % dynamic models with occasionally binding constraints easily" % Journal of Monetary Economics 70, 22-38 persistent dictionary if update_flag dictionary=[]; update_flag=false; end %Initialize outputs n_vars = DM.n_vars; n_exo = DM.n_exo; T = DM.decrulea; CONST = zeros(n_vars,1); R = DM.decruleb; if nargin<7 || isempty(init) init=zeros(n_vars,1); end if nargin<6 scalefactor_mod=1; end % % get the time-dependent decision rules if ~isempty(dictionary) if (length(binding_indicator)>size(dictionary.binding_indicator,1)) dictionary.binding_indicator = [dictionary.binding_indicator; zeros(length(binding_indicator)-size(dictionary.binding_indicator,1),size(dictionary.binding_indicator,2))]; end if (length(binding_indicator(:)) 0 if isempty(dictionary) temp = -(DM.Astarbarmat*DM.decrulea+DM.Bstarbarmat)\[DM.Cstarbarmat DM.Jstarbarmat DM.Dstarbarmat]; dictionary.binding_indicator(:,1) = [1; zeros(n_periods,1)]; dictionary.ss(1).T = temp(:,1:n_vars); dictionary.ss(1).R = temp(:,n_vars+1:n_vars+n_exo); dictionary.ss(1).C = temp(:,n_vars+n_exo+1:end); end ireg(T_max)=1; % equivalent to pre-multiplying by the inverse above if the target % matrix is invertible. Otherwise it yields the minimum state solution %P(:,:,Tmax) = -(Astarbarmat*decrulea+Bstarbarmat)\Cstarbarmat; %D(:,Tmax) = -(Astarbarmat*decrulea+Bstarbarmat)\Dstarbarmat; icount=length(dictionary.ss); for i = T_max-1:-1:1 tmp = 0*binding_indicator; tmp(1:end-i+1) = binding_indicator(i:end); if ~isoctave && matlab_ver_less_than('9.1') % Automatic broadcasting was introduced in MATLAB R2016b itmp = find(~any(bsxfun(@minus, dictionary.binding_indicator, tmp))); else itmp = find(~any(dictionary.binding_indicator-tmp)); end if ~isempty(itmp) ireg(i) = itmp; else icount=icount+1; ireg(i) = icount; dictionary.binding_indicator(1:length(tmp),icount) = tmp; if binding_indicator(i) temp = -(DM.Bstarbarmat+DM.Astarbarmat*dictionary.ss(ireg(i+1)).T)\[DM.Cstarbarmat DM.Jstarbarmat DM.Astarbarmat*dictionary.ss(ireg(i+1)).C+DM.Dstarbarmat]; dictionary.ss(icount).T = temp(:,1:n_vars); dictionary.ss(icount).R = temp(:,n_vars+1:n_vars+n_exo); dictionary.ss(icount).C = temp(:,n_vars+n_exo+1:end); else temp = -(DM.Bbarmat+DM.Abarmat*dictionary.ss(ireg(i+1)).T)\[DM.Cbarmat DM.Jbarmat (DM.Abarmat*dictionary.ss(ireg(i+1)).C)]; dictionary.ss(icount).T = temp(:,1:n_vars); dictionary.ss(icount).R = temp(:,n_vars+1:n_vars+n_exo); dictionary.ss(icount).C = temp(:,n_vars+n_exo+1:end); end end end E = dictionary.ss(ireg(1)).R; ss = dictionary.ss(ireg(1:T_max)); else ss = []; end % generate data % history will contain data, the state vector at each period in time will % be stored columnwise. history = zeros(n_vars,n_periods+1); history(:,1) = init; errvec = zeros(n_exo,1); % deal with predetermined conditions errvec(irfshock_pos) = scalefactor_mod; % deal with shocks irfpos =1; if irfpos <=T_max history(:,irfpos+1) = dictionary.ss(ireg(irfpos)).T* history(:,irfpos)+... dictionary.ss(ireg(irfpos)).C + E*errvec; T = dictionary.ss(ireg(irfpos)).T; CONST = dictionary.ss(ireg(irfpos)).C; R = E; else history(:,irfpos+1) = DM.decrulea*history(:,irfpos)+DM.decruleb*errvec; end % all other periods for irfpos=2:n_periods+1 if irfpos <=T_max history(:,irfpos+1) = dictionary.ss(ireg(irfpos)).T* history(:,irfpos)+... dictionary.ss(ireg(irfpos)).C; else history(:,irfpos+1) = DM.decrulea*history(:,irfpos); end end zdata = history(:,2:end)';