169 lines
7.1 KiB
Matlab
169 lines
7.1 KiB
Matlab
function [zdata, T, R, CONST, ss, update_flag]=mkdatap_anticipated_2constraints_dyn(n_periods,DM,T_max,...
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binding_indicator,irfshock_pos,scalefactor_mod,init,update_flag)
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% function [zdata, T, R, CONST, ss, update_flag]=mkdatap_anticipated_2constraints_dyn(n_periods,DM,T_max,...
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% binding_indicator,irfshock_pos,scalefactor_mod,init,update_flag)
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%
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% Inputs:
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% - n_periods [double] number for periods for simulation
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% - DM [structure] Dynamic model
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% - T_max [Tmax] last period where constraints bind
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% - binding_indicator [T+1] indicator for constraint violations
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% - irfshock_pos [double] shock position
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% - scalefactor_mod [double] shock values
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% - init [double] [N by 1] initial value of endogenous variables
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% - update_flag [boolean] flag whether to update results
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%
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% Output:
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% - zdata [double] T+1 by N matrix of simulated data
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% - T [N by N] transition matrix of state space
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% - R [N by N_exo] shock impact matrix of state space
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% - CONST [N by 1] constant of state space
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% - ss [structure] state space system
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% - update_flag [boolean] flag that results have been updated
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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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persistent dictionary
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if update_flag
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dictionary=[];
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update_flag=false;
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end
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n_vars = DM.n_vars;
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T = DM.decrulea;
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CONST = zeros(n_vars,1);
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R = DM.decruleb;
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if nargin<7
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init=zeros(n_vars,1);
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end
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if nargin<6
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scalefactor_mod=1;
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end
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n_exo=DM.n_exo;
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% Tmax = max([regimestart1(nregimes1) regimestart2(nregimes2)])-1; % Tmax is the position of the last period
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% when the constraint binds
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if ~isempty(dictionary)
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if (length(binding_indicator(:))>size(dictionary.binding_indicator,1))
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nviol_old = size(dictionary.binding_indicator,1)/2;
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tmp = zeros(length(binding_indicator)-nviol_old,size(dictionary.binding_indicator,2));
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dictionary.binding_indicator = [dictionary.binding_indicator(1:nviol_old,:); tmp; dictionary.binding_indicator(1+nviol_old:2*nviol_old,:); tmp];
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end
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if (length(binding_indicator(:))<size(dictionary.binding_indicator,1))
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binding_indicator = [binding_indicator; zeros(size(dictionary.binding_indicator,1)/2-size(binding_indicator,1),2) ];
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end
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end
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if T_max > 0
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if isempty(dictionary)
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tmp = [binding_indicator(T_max,:); zeros(n_periods,2)];
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dictionary.binding_indicator(:,1) = tmp(:);
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if (binding_indicator(T_max,1) && ~binding_indicator(T_max,2))
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temp = -(DM.Abarmat10*DM.decrulea+DM.Bbarmat10)\[DM.Cbarmat10 DM.Jbarmat10 DM.Dbarmat10];
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dictionary.ss(1).T = temp(:,1:n_vars);
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dictionary.ss(1).R = temp(:,n_vars+1:n_vars+n_exo);
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dictionary.ss(1).C = temp(:,n_vars+n_exo+1:end);
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elseif (binding_indicator(T_max,1) && binding_indicator(T_max,2))
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temp = -(DM.Abarmat11*DM.decrulea+DM.Bbarmat11)\[DM.Cbarmat11 DM.Jbarmat11 DM.Dbarmat11];
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dictionary.ss(1).T = temp(:,1:n_vars);
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dictionary.ss(1).R = temp(:,n_vars+1:n_vars+n_exo);
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dictionary.ss(1).C = temp(:,n_vars+n_exo+1:end);
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else
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temp = -(DM.Abarmat01*DM.decrulea+DM.Bbarmat01)\[DM.Cbarmat01 DM.Jbarmat01 DM.Dbarmat01];
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dictionary.ss(1).T = temp(:,1:n_vars);
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dictionary.ss(1).R = temp(:,n_vars+1:n_vars+n_exo);
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dictionary.ss(1).C = temp(:,n_vars+n_exo+1:end);
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end
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end
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ireg(T_max)=1;
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icount=length(dictionary.ss);
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for i = T_max-1:-1:1
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tmp = 0*binding_indicator;
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tmp(1:end-i+1,:) = binding_indicator(i:end,:);
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itmp = find(~any(dictionary.binding_indicator(1:length(tmp)*2,:)-tmp(:)));
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if ~isempty(itmp)
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ireg(i) = itmp;
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else
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icount=icount+1;
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ireg(i) = icount;
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dictionary.binding_indicator(1:length(tmp)*2,icount) = tmp(:);
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if (binding_indicator(i,1) && ~binding_indicator(i,2))
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temp = -(DM.Bbarmat10+DM.Abarmat10*dictionary.ss(ireg(i+1)).T)\[DM.Cbarmat10 DM.Jbarmat10 DM.Abarmat10*dictionary.ss(ireg(i+1)).C+DM.Dbarmat10];
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dictionary.ss(icount).T = temp(:,1:n_vars);
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dictionary.ss(icount).R = temp(:,n_vars+1:n_vars+n_exo);
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dictionary.ss(icount).C = temp(:,n_vars+n_exo+1:end);
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elseif (~binding_indicator(i,1) && binding_indicator(i,2))
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temp = -(DM.Bbarmat01+DM.Abarmat01*dictionary.ss(ireg(i+1)).T)\[DM.Cbarmat01 DM.Jbarmat01 DM.Abarmat01*dictionary.ss(ireg(i+1)).C+DM.Dbarmat01];
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dictionary.ss(icount).T = temp(:,1:n_vars);
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dictionary.ss(icount).R = temp(:,n_vars+1:n_vars+n_exo);
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dictionary.ss(icount).C = temp(:,n_vars+n_exo+1:end);
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elseif (binding_indicator(i,1) && binding_indicator(i,2))
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temp = -(DM.Bbarmat11+DM.Abarmat11*dictionary.ss(ireg(i+1)).T)\[DM.Cbarmat11 DM.Jbarmat11 DM.Abarmat11*dictionary.ss(ireg(i+1)).C+DM.Dbarmat11];
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dictionary.ss(icount).T = temp(:,1:n_vars);
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dictionary.ss(icount).R = temp(:,n_vars+1:n_vars+n_exo);
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dictionary.ss(icount).C = temp(:,n_vars+n_exo+1:end);
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else
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temp = -(DM.Bbarmat+DM.Abarmat*dictionary.ss(ireg(i+1)).T)\[DM.Cbarmat DM.Jbarmat DM.Abarmat*dictionary.ss(ireg(i+1)).C];
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dictionary.ss(icount).T = temp(:,1:n_vars);
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dictionary.ss(icount).R = temp(:,n_vars+1:n_vars+n_exo);
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dictionary.ss(icount).C = temp(:,n_vars+n_exo+1:end);
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end
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end
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end
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E = dictionary.ss(ireg(1)).R;
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ss = dictionary.ss(ireg(1:T_max));
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else
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ss = [];
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end
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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 = zeros(n_vars,n_periods+1);
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history(:,1) = init;
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errvec = zeros(n_exo,1);
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errvec(irfshock_pos) = scalefactor_mod;
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% deal with shocks
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irfpos =1;
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if irfpos <=T_max
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history(:,irfpos+1) = dictionary.ss(ireg(irfpos)).T* history(:,irfpos)+...
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dictionary.ss(ireg(irfpos)).C + E*errvec;
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T = dictionary.ss(ireg(irfpos)).T;
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CONST = dictionary.ss(ireg(irfpos)).C;
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R = E;
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else
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history(:,irfpos+1) = DM.decrulea*history(:,irfpos)+DM.decruleb*errvec;
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end
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% all other periods
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for irfpos=2:n_periods+1
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if irfpos <=T_max
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history(:,irfpos+1) = dictionary.ss(ireg(irfpos)).T* history(:,irfpos)+...
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dictionary.ss(ireg(irfpos)).C;
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else
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history(:,irfpos+1) = DM.decrulea*history(:,irfpos);
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end
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end
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zdata = history(:,2:end)'; |