function perfect_foresight_with_expectation_errors_setup % Copyright © 2021-2023 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 . global M_ oo_ options_ if ~isempty(M_.endo_histval) error('perfect_foresight_with_expectation_errors_setup: cannot be used in conjunction with histval') end if ~isempty(oo_.initval_series) error('perfect_foresight_with_expectation_errors_setup: cannot be used in conjunction with histval_file/initval_file') end periods = options_.periods; %% Initialize informational structures oo_.pfwee.terminal_info = NaN(M_.exo_nbr, periods); % 2nd dimension is informational time oo_.pfwee.shocks_info = NaN(M_.exo_nbr, periods, periods); % 2nd dimension is real time, 3rd dimension is informational time if exist(options_.datafile, 'file') if ~isempty(M_.det_shocks) || ~isempty(M_.learnt_shocks) || ~isempty(oo_.initial_steady_state) || ~isempty(M_.learnt_endval) warning('perfect_foresight_with_expectation_errors_setup: since you passed the datafile option, the contents of shocks and endval blocks will be ignored') end %% Read CSV file %% We can’t use readcell (only in MATLAB ≥ R2019a), so instead rely on csvread and manual hacks % Read numeric data, skipping first row and first column raw_csv = csvread(options_.datafile, 1, 1); if size(raw_csv, 1)-2 ~= periods error(['perfect_foresight_with_expectation_errors_setup: the number of rows in ' options_.datafile ' does not match the periods setting']) end % Read first line (exogenous variable names) fid = fopen(options_.datafile); csv_first_line = fgetl(fid); fclose(fid); exo_header_names = strsplit(csv_first_line, ','); exo_header_names = exo_header_names(2:end); % Remove first column if numel(exo_header_names) ~= size(raw_csv, 2) error(['perfect_foresight_with_expectation_errors_setup: first line malformed in ' options_.datafile]) end %% Create and fill structures containing information sets for i = 1:size(raw_csv, 2) exo_id = strmatch(exo_header_names{i}, M_.exo_names, 'exact'); period_id = raw_csv(1, i); % Ignore irrelevant periods when copying shocks information oo_.pfwee.shocks_info(exo_id, period_id:end, period_id) = raw_csv(1+period_id:end-1, i); oo_.pfwee.terminal_info(exo_id, period_id) = raw_csv(end, i); end else %% No datafile option given, use the contents of shocks and endval blocks if isempty(M_.learnt_shocks) && isempty(M_.learnt_endval) warning('perfect_foresight_with_expectation_errors_setup: there is no shocks(learnt_in=...) or endval(learnt_in=...) block, and you did not pass the datafile option, so there is no point in using this command') end %% Initialize information set at period 1 using “bare” shocks and endval blocks (or initval if there is no endval) oo_.pfwee.terminal_info(:, 1) = oo_.exo_steady_state; oo_.pfwee.shocks_info(:, :, 1) = repmat(oo_.exo_steady_state, 1, periods); for i = 1:length(M_.det_shocks) prds = M_.det_shocks(i).periods; exo_id = M_.det_shocks(i).exo_id; v = M_.det_shocks(i).value; if ~M_.det_shocks(i).exo_det switch M_.det_shocks(i).type case 'level' oo_.pfwee.shocks_info(exo_id, prds, 1) = v; case 'multiply_steady_state' oo_.pfwee.shocks_info(exo_id, prds, 1) = oo_.exo_steady_state(exo_id) * v; case 'multiply_initial_steady_state' if isempty(oo_.initial_exo_steady_state) error('Option relative_to_initval of mshocks block cannot be used without an endval block') end oo_.pfwee.shocks_info(exo_id, prds, 1) = oo_.initial_exo_steady_state(exo_id) * v; end end end %% Construct information sets for subsequent informational periods for p = 2:periods oo_.pfwee.terminal_info(:, p) = oo_.pfwee.terminal_info(:, p-1); oo_.pfwee.shocks_info(:, :, p) = oo_.pfwee.shocks_info(:, :, p-1); if ~isempty(M_.learnt_endval) idx = find([M_.learnt_endval.learnt_in] == p); for i = 1:length(idx) j = idx(i); exo_id = M_.learnt_endval(j).exo_id; switch M_.learnt_endval(j).type case 'level' oo_.pfwee.terminal_info(exo_id, p) = M_.learnt_endval(j).value; case 'add' oo_.pfwee.terminal_info(exo_id, p) = oo_.pfwee.terminal_info(exo_id, p-1) + M_.learnt_endval(j).value; case 'multiply' oo_.pfwee.terminal_info(exo_id, p) = oo_.pfwee.terminal_info(exo_id, p-1) * M_.learnt_endval(j).value; otherwise error('Unknown type in M_.learnt_endval') end oo_.pfwee.shocks_info(exo_id, p:end, p) = oo_.pfwee.terminal_info(exo_id, p); end end if ~isempty(M_.learnt_shocks) idx = find([M_.learnt_shocks.learnt_in] == p); for i = 1:length(idx) j = idx(i); exo_id = M_.learnt_shocks(j).exo_id; prds = M_.learnt_shocks(j).periods; switch M_.learnt_shocks(j).type case 'level' oo_.pfwee.shocks_info(exo_id, prds, p) = M_.learnt_shocks(j).value; case 'add' oo_.pfwee.shocks_info(exo_id, prds, p) = oo_.pfwee.shocks_info(exo_id, prds, p-1) + M_.learnt_shocks(j).value; case 'multiply' oo_.pfwee.shocks_info(exo_id, prds, p) = oo_.pfwee.shocks_info(exo_id, prds, p-1) .* M_.learnt_shocks(j).value; case 'multiply_steady_state' oo_.pfwee.shocks_info(exo_id, prds, p) = oo_.pfwee.terminal_info(exo_id, p) * M_.learnt_shocks(j).value; otherwise error('Unknown type in M_.learnt_shocks') end end end end end % Build initial paths for endos and exos (only initial conditions are set, the rest is NaN) if isempty(oo_.initial_steady_state) oo_.endo_simul = repmat(oo_.steady_state, 1, M_.maximum_lag+periods+M_.maximum_lead); else oo_.endo_simul = [repmat(oo_.initial_steady_state, 1, M_.maximum_lag) repmat(oo_.steady_state, 1, periods+M_.maximum_lead)]; end if isempty(oo_.initial_exo_steady_state) oo_.exo_simul = repmat(oo_.exo_steady_state', M_.maximum_lag+periods+M_.maximum_lead, 1); else oo_.exo_simul = [repmat(oo_.initial_exo_steady_state', M_.maximum_lag, 1); repmat(oo_.exo_steady_state', periods+M_.maximum_lead, 1)]; end