77 lines
2.4 KiB
Matlab
77 lines
2.4 KiB
Matlab
function [data_mat]=make_linear_model_data(n_periods,dr_A,dr_B,endo_names,exo_names,wish_list,shock_pos,shock_size_vec,var_init)
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% function [data_mat]=make_linear_model_data(n_periods,dr_A,dr_B,endo_names,exo_names,wish_list,shock_pos,shock_size_vec,var_init)
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% Inputs:
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% - n_periods [integer] number of simulation periods
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% - dr_A [double] [n by n] transition matrix
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% - dr_B [double] [n by nexo] shock response matrix
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% - endo_names [cell] name of endogenous variables
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% - exo_names [cell] name of exogenous variables
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% - wish_list [cell] name of requested variables for output
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% - shock_pos [integer] index of shocks
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% - shock_size_vec [double] [shock periods by 1] vector of
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% - var_init [double] [n by 1] vector of initial values (incl. states)
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%
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% Outputs:
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% - data_mat [double] [n_periods by n] vector of regime number indices
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% Original authors: Luca Guerrieri and Matteo Iacoviello
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% Original file downloaded from:
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% https://www.matteoiacoviello.com/research_files/occbin_20140630.zip
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% Adapted for Dynare by Dynare Team.
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%
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% This code is in the public domain and may be used freely.
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% However the authors would appreciate acknowledgement of the source by
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% citation of any of the following papers:
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%
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% Luca Guerrieri and Matteo Iacoviello (2015): "OccBin: A toolkit for solving
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% dynamic models with occasionally binding constraints easily"
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% Journal of Monetary Economics 70, 22-38
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% given decision rule
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neqs = size(endo_names,1);
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if nargin<9
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var_init = zeros(neqs,1);
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end
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if nargin<8
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shock_size_vec=1;
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end
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if nargin<7
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error('Not enough inputs')
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end
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history = zeros(neqs,n_periods+1);
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% generate data
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% history will contain data, the state vector at each period in time will
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% be stored columnwise.
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history(:,1)= var_init;
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lengthshock = size(shock_size_vec,1);
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err_vec = zeros(size(exo_names,1),1);
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for i = 2:n_periods+1
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if i<=(lengthshock+1)
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err_vec(shock_pos) = shock_size_vec(i-1,:);
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history(:,i) = dr_A * history(:,i-1)+dr_B*err_vec;
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else
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% update endogenous variables
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history(:,i) = dr_A * history(:,i-1);
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end
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end
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% extract desired variables
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if ~isempty(wish_list)
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n_wish=size(wish_list,1);
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wish_pos = zeros(n_wish,1);
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for i=1:n_wish
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wish_pos(i) = strmatch(wish_list(i,:),endo_names,'exact');
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end
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data_mat = history(wish_pos,2:end)';
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else
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data_mat = history(:,2:end)';
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end
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