76 lines
3.9 KiB
Plaintext
76 lines
3.9 KiB
Plaintext
AIM Subsystem cosists of
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A function dynAIMsolver1(jacobia_,M_,dr) which maps Dynare to Gary Anderson AIM package subsystem and derives the solution for gy=dr.hgx and gu=dr.hgu from the AIM outputs (where "1" in the title is for 1st order solver).
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A subset of routines from Gary Anderson AIM package starting with SP... needed to compute and solve system passed on and returned by dynAIMsolver1.
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( see http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html )
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The path to the AIM directory,if exists, is added by dynare_config.m using addpath.
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DR1 tries to invoke AIM if options_.aim_solver == 1 is set and, if not check only, and if 1st order only:
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if (options_.aim_solver == 1) && (task == 0) && (options_.order == 1)
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for start, options_.aim_solver = 0 is set by default in global_initialization.m so that system uses mjdgges by default.
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If AIM is to be used, options_.aim_solver = 1 needs to be set either in the model <>.mod file, before invoking, estimate and/or stoch_simul, or by issuing appropriate command for estimate and/or stoch_simul.
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NOTE: in the current implementation, as of July 2008, handling of exceptions is rather fundamental and, in particular, when Blanchard and Kahn conditions are not met, only a large penalty value 1.0e+8 is being set.
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Hence, system may not coverge ot resluts may not be accurate if there were many messages like
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Error in AIM: aimcode=4 : Aim: too few big roots
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or
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Error in AIM: aimcode=3 : Aim: too many big roots
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especially close to the point of convergence.
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However, if other exceptions occur and aimcode (see codes below) is higher than 5, the system resets options_.aim_solver = 0 and tries to use mjdgges instead.
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APPENDIX
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% AIM System is given as a sum:
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% i.e. for i=-$...+& SUM(Hi*xt+i)= £*zt, t = 0, . . . ,?
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% and its input as single array of matrices: [H-$... Hi ... H+&]
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% and its solution as xt=SUM( Bi*xt+i) + @*£*zt for i=-$...-1
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% with the output in form bb=[B-$... Bi ... B-1] and @=inv(Ho+H1*B-1)
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% Dynare jacobian = [fy'-$... fy'i ... fy'+& fu']
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% where [fy'-$... fy'i ... fy'+&]=[H-$... Hi ... H+&] and fu'= £
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%function [dr,aimcode]=dynAIMsolver1(jacobia_,M_,dr)
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% INPUTS
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% jacobia_ [matrix] 1st order derivative of the model
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% dr [matlab structure] Decision rules for stochastic simulations.
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% M_ [matlab structure] Definition of the model.
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%
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% OUTPUTS
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% dr [matlab structure] Decision rules for stochastic simulations.
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% aimcode [integer] 1: the model defines variables uniquely
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% aimcode is resolved in AIMerr as
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% (c==1) e='Aim: unique solution.';
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% (c==2) e='Aim: roots not correctly computed by real_schur.';
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% (c==3) e='Aim: too many big roots.';
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% (c==35) e='Aim: too many big roots, and q(:,right) is singular.';
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% (c==4) e='Aim: too few big roots.';
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% (c==45) e='Aim: too few big roots, and q(:,right) is singular.';
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% (c==5) e='Aim: q(:,right) is singular.';
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% (c==61) e='Aim: too many exact shiftrights.';
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% (c==62) e='Aim: too many numeric shiftrights.';
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% else e='Aimerr: return code not properly specified';
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%
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% SPECIAL REQUIREMENTS
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% Dynare use:
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% 1) the lognormal block in DR1 is being invoked for some models and changing
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% values of ghx and ghy. We need to return the AIM output
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% values before that block and run the block with the current returned values
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% of gy (i.e. dr.ghx) and gu (dr.ghu) if it is needed even when the AIM is used
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% (it does not depend on mjdgges output).
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%
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% 2) for forward looking models, passing into dynAIMsolver
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% aa={Q'|1}*jacobia_ can produce ~ one order closer
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% results to the Dynare solutiion then when if plain jacobia_ is passed,
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% i.e. diff < e-14 for aa and diff < *e-13 for jacobia_ if Q' is used.
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%
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% GP July 2008
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% part of DYNARE, copyright Dynare Team (1996-2008)
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% Gnu Public License.
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