99 lines
2.9 KiB
Matlab
99 lines
2.9 KiB
Matlab
function [y_out,exo_simul] =simult(y0, dr,M_,options_)
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% Simulate a DSGE model (perturbation approach).
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%@info:
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%! @deftypefn {Function File} {[@var{y_}, @var{exo_simul}] =} simult (@var{y0},@var{dr},@var{M_},@var{options_})
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%! @anchor{simult}
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%! @sp 1
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%! Simulate a DSGE model (perturbation approach).
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%! @sp 2
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%! @strong{Inputs}
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%! @sp 1
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%! @table @ @var
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%! @item y0
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%! Vector of doubles, initial conditions.
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%! @item dr
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%! Matlab's structure describing decision and transition rules.
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%! @item M_
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%! Matlab's structure describing the model (initialized by dynare, see @ref{M_})
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%! @item options_
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%! Matlab's structure describing the current options (initialized by dynare, see @ref{options_}).
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%! @end table
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%! @sp 2
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%! @strong{Outputs}
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%! @sp 1
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%! @table @ @var
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%! @item y_out
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%! Matrix of doubles, simulated time series for all the endogenous variables (one per row).
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%! @item exo_simul
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%! Matrix of doubles, random exogenous shocks
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%! @end table
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%! @sp 2
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%! @strong{This function is called by:}
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%! @sp 1
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%! @ref{non_linear_dsge_likelihood}, @ref{pea/pea_initialization}, @ref{stoch_simul}
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%! @sp 2
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%! @strong{This function calls:}
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%! @sp 1
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%! @ref{simult_}
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%! @sp 2
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%! @strong{Remarks}
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%! @sp 1
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%! If the routine is called with only one output argument, then field exo_simul (structural innovations) is not updated.
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%! @end deftypefn
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%@eod:
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% Copyright © 2001-2023 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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order = options_.order;
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replic = options_.simul_replic;
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if replic > 1
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if ~exist([M_.dname '/Output'],'dir')
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mkdir(M_.dname,'Output');
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end
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fname = [M_.dname filesep 'Output' filesep M_.fname,'_simul'];
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fh = fopen(fname,'w+');
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end
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% eliminate shocks with 0 variance
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i_exo_var = setdiff(1:M_.exo_nbr,find(diag(M_.Sigma_e) == 0));
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nxs = length(i_exo_var);
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exo_simul = zeros(options_.periods,M_.exo_nbr);
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chol_S = chol(M_.Sigma_e(i_exo_var,i_exo_var));
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for i=1:replic
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if ~isempty(M_.Sigma_e)
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% we fill the shocks row wise to have the same values
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% independently of the length of the simulation
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exo_simul(:,i_exo_var) = randn(nxs,options_.periods)'*chol_S;
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end
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y_ = simult_(M_,options_,y0,dr,exo_simul,order);
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% elimninating initial value
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y_ = y_(:,2:end);
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if replic > 1
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fwrite(fh,y_,'float64');
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end
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if i==1
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y_out=y_;
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end
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end
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if replic > 1
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fclose(fh);
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end |