function [ysim, xsim] = simul_backward_nonlinear_model_(initialconditions, samplesize, DynareOptions, DynareModel, DynareOutput, innovations, iy1, model_dynamic) % Simulates a stochastic non linear backward looking model with arbitrary precision (a deterministic solver is used). % % INPUTS % - initial_conditions [dseries] initial conditions for the endogenous variables. % - sample_size [integer] scalar, number of periods for the simulation. % - DynareOptions [struct] Dynare's options_ global structure. % - DynareModel [struct] Dynare's M_ global structure. % - DynareOutput [struct] Dynare's oo_ global structure. % - innovations [double] T*q matrix, innovations to be used for the simulation. % % OUTPUTS % - DynareOutput [struct] Dynare's oo_ global structure. % % REMARKS % [1] The innovations used for the simulation are saved in DynareOutput.exo_simul, and the resulting paths for the endogenous % variables are saved in DynareOutput.endo_simul. % [2] The last input argument is not mandatory. If absent we use random draws and rescale them with the informations provided % through the shocks block. % [3] If the first input argument is empty, the endogenous variables are initialized with 0, or if available with the informations % provided thrtough the histval block. % Copyright © 2017-2022 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 . debug = false; model_dynamic_s = str2func('dynamic_backward_model_for_simulation'); if ~isempty(innovations) DynareOutput.exo_simul(initialconditions.nobs+(1:samplesize),:) = innovations; end % Simulations (call a Newton-like algorithm for each period). for it = initialconditions.nobs+(1:samplesize) if debug dprintf('Period t = %s.', num2str(it-initialconditions.nobs)); end y_ = DynareOutput.endo_simul(:,it-1); ylag = y_(iy1); % Set lagged variables. y = y_; % A good guess for the initial conditions is the previous values for the endogenous variables. try if ismember(DynareOptions.solve_algo, [12,14]) [DynareOutput.endo_simul(:,it), errorflag, ~, ~, errorcode] = dynare_solve(model_dynamic_s, y, ... DynareOptions.simul.maxit, DynareOptions.dynatol.f, DynareOptions.dynatol.x, ... DynareOptions, ... DynareModel.isloggedlhs, DynareModel.isauxdiffloggedrhs, DynareModel.endo_names, DynareModel.lhs, ... model_dynamic, ylag, DynareOutput.exo_simul, DynareModel.params, DynareOutput.steady_state, it); else [DynareOutput.endo_simul(:,it), errorflag, ~, ~, errorcode] = ... dynare_solve(model_dynamic_s, y, ... DynareOptions.simul.maxit, DynareOptions.dynatol.f, DynareOptions.dynatol.x, ... DynareOptions, ... model_dynamic, ylag, DynareOutput.exo_simul, DynareModel.params, DynareOutput.steady_state, it); end if errorflag error('Nonlinear solver routine failed with errorcode=%i in period %i.', errorcode, it) end catch DynareOutput.endo_simul = DynareOutput.endo_simul(:, 1:it-1); dprintf('Newton failed on iteration i = %s.', num2str(it-initialconditions.nobs)); ytm = DynareOutput.endo_simul(:,end); xtt = DynareOutput.exo_simul(it,:); skipline() dprintf('Values of the endogenous variables before the nonlinear solver failure') dprintf('----------------------------------------------------------------------') skipline() dyntable(DynareOptions, '', {'VARIABLES','VALUES'}, DynareModel.endo_names(1:DynareModel.orig_endo_nbr), ytm(1:DynareModel.orig_endo_nbr), [], [], 6) skipline() dprintf('Values of the exogenous variables before the nonlinear solver failure') dprintf('---------------------------------------------------------------------') skipline() dyntable(DynareOptions, '', {'VARIABLES','VALUES'}, DynareModel.exo_names, transpose(DynareOutput.exo_simul(it,:)), [], [], 6) skipline(2) % % Get equation tags if any % if isfield(DynareModel, 'equations_tags') etags = cell(DynareModel.orig_endo_nbr, 1); for i = 1:DynareModel.orig_endo_nbr equations_tags = DynareModel.equations_tags(cellfun(@(x) isequal(x, i), DynareModel.equations_tags(:,1)), :); name = equations_tags(strcmpi(equations_tags(:,2), 'name'),:); if isempty(name) eqtags{i} = int2str(i); else if rows(name)>1 error('Something is wrong in the equation tags.') else eqtags(i) = name(3); end end end else etags = split(int2str(1:DynareModel.orig_endo_nbr), ' '); end % % Evaluate and check the residuals % [r, J] = feval(model_dynamic_s, ytm, model_dynamic, ytm(iy1), DynareOutput.exo_simul, DynareModel.params, DynareOutput.steady_state, it); residuals_evaluating_to_nan = isnan(r); residuals_evaluating_to_inf = isinf(r); residuals_evaluating_to_complex = ~isreal(r); if any(residuals_evaluating_to_nan) dprintf('Following equations are evaluating to NaN:') skipline() display_names_of_problematic_equations(DynareModel, eqtags, residuals_evaluating_to_nan); skipline() end if any(residuals_evaluating_to_inf) dprintf('Following equations are evaluating to Inf:') skipline() display_names_of_problematic_equations(DynareModel, eqtags, residuals_evaluating_to_inf); skipline() end if any(residuals_evaluating_to_complex) dprintf('Following equations are evaluating to a complex number:') skipline() display_names_of_problematic_equations(DynareModel, eqtags, residuals_evaluating_to_complex); skipline() end break % TODO Implement same checks with the jacobian matrix. % TODO Modify other solvers to return an exitflag. end end ysim = DynareOutput.endo_simul(1:DynareModel.orig_endo_nbr,:); xsim = DynareOutput.exo_simul; function display_names_of_problematic_equations(DynareModel, eqtags, TruthTable) for i=1:DynareModel.orig_endo_nbr if TruthTable(i) dprintf(' - %s', eqtags{i}) end end for i=DynareModel.orig_endo_nbr+1:DynareModel.endo_nbr if TruthTable(i) dprintf(' - Auxiliary equation for %s', DynareModel.endo_names{i}) end end