301 lines
14 KiB
HTML
301 lines
14 KiB
HTML
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<title>Description of dr11</title>
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<meta name="keywords" content="dr11">
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<meta name="description" content="Copyright (C) 2001 Michel Juillard">
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<div><a href="../index.html">Home</a> > <a href="index.html">.</a> > dr11.m</div>
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<!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td>
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<td align="right"><a href="index.html">Index for . <img alt=">" border="0" src="../right.png"></a></td></tr></table>-->
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<h1>dr11
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</h1>
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<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>Copyright (C) 2001 Michel Juillard</strong></div>
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<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>function dr=dr11(iorder,dr,cheik) </strong></div>
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<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre class="comment"> Copyright (C) 2001 Michel Juillard</pre></div>
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<!-- crossreference -->
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<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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This function calls:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="qzdiv.html" class="code" title="function [A,B,Q,Z] = qzdiv(stake,A,B,Q,Z)">qzdiv</a> from Chris Sims web site</li><li><a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a> </li><li><a href="set_state_space.html" class="code" title="function dr=set_state_space(dr)">set_state_space</a> Copyright (C) 2001 Michel Juillard</li></ul>
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This function is called by:
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<ul style="list-style-image:url(../matlabicon.gif)">
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<li><a href="resol1.html" class="code" title="function dr=resol1(ys,algo,linear,iorder)">resol1</a> Copyright (C) 2001 Michel Juillard</li></ul>
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<!-- crossreference -->
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<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre>0001 <span class="comment">% Copyright (C) 2001 Michel Juillard</span>
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0002 <span class="comment">%</span>
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0003 <a name="_sub0" href="#_subfunctions" class="code">function dr=dr11(iorder,dr,cheik)</a>
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0004
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0005 <span class="keyword">global</span> M_ options_ oo_
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0006 <span class="keyword">global</span> it_ stdexo_ means_ dr1_test_ bayestopt_
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0007
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0008 <span class="comment">% hack for Bayes</span>
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0009 <span class="keyword">global</span> dr1_test_ bayestopt_
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0010
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0011 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'loglinear'</span>,0);
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0012
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0013 xlen = M_.maximum_lead + M_.maximum_lag + 1;
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0014 klen = M_.maximum_lag + M_.maximum_lead + 1;
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0015 iyv = transpose(M_.lead_lag_incidence);
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0016 iyv = iyv(:);
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0017 iyr0 = find(iyv) ;
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0018 it_ = M_.maximum_lag + 1 ;
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0019
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0020
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0021 <span class="keyword">if</span> M_.exo_nbr == 0
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0022 oo_.exo_steady_state = [] ;
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0023 <span class="keyword">end</span>
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0024
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0025 <span class="keyword">if</span> ~ M_.lead_lag_incidence(M_.maximum_lag+1,:) > 0
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0026 error (<span class="string">'Error in model specification: some variables don"t appear as current'</span>) ;
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0027 <span class="keyword">end</span>
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0028
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0029 <span class="keyword">if</span> ~cheik
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0030 <span class="comment">% if xlen > 1</span>
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0031 <span class="comment">% error (['SS: stochastic exogenous variables must appear only at the' ...</span>
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0032 <span class="comment">% ' current period. Use additional endogenous variables']) ;</span>
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0033 <span class="comment">% end</span>
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0034 <span class="keyword">end</span>
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0035
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0036 <span class="keyword">if</span> M_.maximum_lead > 1 & iorder > 1
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0037 error ([<span class="string">'Models with leads on more than one period can only be solved'</span> <span class="keyword">...</span>
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0038 <span class="string">' at order 1'</span>])
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0039 <span class="keyword">end</span>
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0040
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0041 dr=<a href="set_state_space.html" class="code" title="function dr=set_state_space(dr)">set_state_space</a>(dr);
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0042 kstate = dr.kstate;
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0043 kad = dr.kad;
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0044 kae = dr.kae;
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0045 nstatic = dr.nstatic;
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0046 nfwrd = dr.nfwrd;
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0047 npred = dr.npred;
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0048 nboth = dr.nboth;
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0049 order_var = dr.order_var;
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0050 nd = size(kstate,1);
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0051
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0052 sdyn = M_.endo_nbr - nstatic;
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0053
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0054
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0055 tempex = oo_.exo_simul;
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0056
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0057 it_ = M_.maximum_lag + 1;
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0058 z = repmat(dr.ys,1,klen);
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0059 z = z(iyr0) ;
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0060 <span class="comment">%M_.jacobia=real(diffext('ff1_',[z; oo_.exo_steady_state])) ;</span>
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0061 <span class="comment">%M_.jacobia=real(jacob_a('ff1_',[z; oo_.exo_steady_state])) ;</span>
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0062 [junk,M_.jacobia] = feval([M_.fname <span class="string">'_dynamic'</span>],z,oo_.exo_simul);
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0063 oo_.exo_simul = tempex ;
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0064 tempex = [];
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0065
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0066 nz = size(z,1);
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0067 k1 = M_.lead_lag_incidence(find([1:klen] ~= M_.maximum_lag+1),:);
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0068 b = M_.jacobia(:,M_.lead_lag_incidence(M_.maximum_lag+1,order_var));
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0069 a = b\M_.jacobia(:,nonzeros(k1'));
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0070 <span class="keyword">if</span> any(isinf(a(:)))
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0071 dr1_test_(1) = 5;
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0072 dr1_test_(2) = bayestopt_.penalty;
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0073 <span class="keyword">end</span>
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0074 <span class="keyword">if</span> M_.exo_nbr
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0075 fu = b\M_.jacobia(:,nz+1:end);
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0076 <span class="keyword">end</span>
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0077
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0078 <span class="keyword">if</span> M_.maximum_lead == 0 & M_.maximum_lag == 1; <span class="comment">% backward model with one lag</span>
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0079 dr.ghx = -a;
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0080 dr.ghu = -fu;
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0081 <span class="keyword">return</span>;
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0082 <span class="keyword">elseif</span> M_.maximum_lead == 0 & M_.maximum_lag > 1 <span class="comment">% backward model with lags on more than</span>
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0083 <span class="comment">% one period</span>
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0084 e = zeros(endo_nbr,nd);
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0085 k = find(kstate(:,2) <= M_.maximum_lag+1 & kstate(:,4));
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0086 e(:,k) = -a(:,kstate(k,4)) ;
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0087 dr.ghx = e;
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0088 dr.ghu = -fu;
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0089 <span class="keyword">end</span>
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0090
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0091 <span class="comment">% buildind D and E</span>
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0092 d = zeros(nd,nd) ;
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0093 e = d ;
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0094
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0095 k = find(kstate(:,2) >= M_.maximum_lag+2 & kstate(:,3));
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0096 d(1:sdyn,k) = a(nstatic+1:<span class="keyword">end</span>,kstate(k,3)) ;
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0097 k1 = find(kstate(:,2) == M_.maximum_lag+2);
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0098 a1 = eye(sdyn);
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0099 e(1:sdyn,k1) = -a1(:,kstate(k1,1)-nstatic);
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0100 k = find(kstate(:,2) <= M_.maximum_lag+1 & kstate(:,4));
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0101 e(1:sdyn,k) = -a(nstatic+1:<span class="keyword">end</span>,kstate(k,4)) ;
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0102 k2 = find(kstate(:,2) == M_.maximum_lag+1);
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0103 k2 = k2(~ismember(kstate(k2,1),kstate(k1,1)));
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0104 d(1:sdyn,k2) = a1(:,kstate(k2,1)-nstatic);
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0105
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0106 <span class="keyword">if</span> ~isempty(kad)
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0107 <span class="keyword">for</span> j = 1:size(kad,1)
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0108 d(sdyn+j,kad(j)) = 1 ;
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0109 e(sdyn+j,kae(j)) = 1 ;
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0110 <span class="keyword">end</span>
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0111 <span class="keyword">end</span>
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0112 options_ = <a href="set_default_option.html" class="code" title="function options=set_default_option(options,field,default)">set_default_option</a>(options_,<span class="string">'qz_criterium'</span>,1.000001);
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0113
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0114 <span class="keyword">if</span> ~exist(<span class="string">'mjdgges'</span>)
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0115 <span class="comment">% using Chris Sim's routines</span>
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0116 use_qzdiv = 1;
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0117 [ss,tt,qq,w] = qz(e,d);
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0118 [tt,ss,qq,w] = <a href="qzdiv.html" class="code" title="function [A,B,Q,Z] = qzdiv(stake,A,B,Q,Z)">qzdiv</a>(options_.qz_criterium,tt,ss,qq,w);
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0119 ss1=diag(ss);
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0120 tt1=diag(tt);
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0121 warning_state = warning;
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0122 warning off;
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0123 oo_.eigenvalues = ss1./tt1 ;
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0124 warning warning_state;
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0125 nba = nnz(abs(eigval) > options_.qz_criterium);
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0126 <span class="keyword">else</span>
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0127 use_qzdiv = 0;
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0128 [ss,tt,w,sdim,oo_.eigenvalues,info] = mjdgges(e,d,options_.qz_criterium);
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0129 <span class="keyword">if</span> info & info ~= nd+2;
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0130 error([<span class="string">'ERROR'</span> info <span class="string">' in MJDGGES.DLL'</span>]);
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0131 <span class="keyword">end</span>
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0132 nba = nd-sdim;
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0133 <span class="keyword">end</span>
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0134
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0135 nyf = sum(kstate(:,2) > M_.maximum_lag+1);
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0136
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0137 <span class="keyword">if</span> cheik
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0138 dr.rank = rank(w(1:nyf,nd-nyf+1:end));
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0139 <span class="comment">% dr.eigval = oo_.eigenvalues;</span>
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0140 <span class="keyword">return</span>
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0141 <span class="keyword">end</span>
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0142
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0143 eigenvalues = sort(oo_.eigenvalues);
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0144
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0145 <span class="keyword">if</span> nba > nyf;
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0146 <span class="comment">% disp('Instability !');</span>
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0147 dr1_test_(1) = 3; <span class="comment">%% More eigenvalues superior to unity than forward variables ==> instability.</span>
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0148 dr1_test_(2) = (abs(eigenvalues(nd-nba+1:nd-nyf))-1-1e-5)'*<span class="keyword">...</span>
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0149 (abs(eigenvalues(nd-nba+1:nd-nyf))-1-1e-5);<span class="comment">% Distance to Blanchard-Khan conditions (penalty)</span>
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0150 <span class="keyword">return</span>
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0151 <span class="keyword">elseif</span> nba < nyf;
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0152 <span class="comment">% disp('Indeterminacy !');</span>
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0153 dr1_test_(1) = 2; <span class="comment">%% ==> Indeterminacy.</span>
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0154 dr1_test_(2) = (abs(eigenvalues(nd-nyf+1:nd-nba))-1-1e-5)'*<span class="keyword">...</span>
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0155 (abs(eigenvalues(nd-nyf+1:nd-nba))-1-1e-5);<span class="comment">% Distance to Blanchard-Khan conditions (penality)</span>
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0156 <span class="comment">%% warning('DR1: Blanchard-Kahn conditions are not satisfied. Run CHEIK to learn more!');</span>
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0157 <span class="keyword">return</span>
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0158 <span class="keyword">end</span>
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0159
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0160 np = nd - nyf;
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0161 n2 = np + 1;
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0162 n3 = nyf;
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0163 n4 = n3 + 1;
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0164 <span class="comment">% derivatives with respect to dynamic state variables</span>
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0165 <span class="comment">% forward variables</span>
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0166
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0167 <span class="keyword">if</span> condest(w(1:n3,n2:nd)) > 1e9
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0168 <span class="comment">% disp('Indeterminacy !!');</span>
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0169 dr1_test_(1) = 2;
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0170 dr1_test_(2) = 1;
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0171 <span class="keyword">return</span>
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0172 <span class="keyword">end</span>
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0173
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0174 warning_state = warning;
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0175 lastwarn(<span class="string">''</span>);
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0176 warning off;
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0177 gx = -w(1:n3,n2:nd)'\w(n4:nd,n2:nd)';
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0178
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0179 <span class="keyword">if</span> length(lastwarn) > 0;
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0180 <span class="comment">% disp('Indeterminacy !!');</span>
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0181 dr1_test_(1) = 2;
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0182 dr1_test_(2) = 1;
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0183 warning(warning_state);
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0184 <span class="keyword">return</span>
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0185 <span class="keyword">end</span>
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0186
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0187 <span class="comment">% predetermined variables</span>
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0188 hx = w(1:n3,1:np)'*gx+w(n4:nd,1:np)';
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0189 hx = (tt(1:np,1:np)*hx)\(ss(1:np,1:np)*hx);
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0190
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0191 lastwarn(<span class="string">''</span>);
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0192 <span class="keyword">if</span> length(lastwarn) > 0;
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0193 <span class="comment">% disp('Singularity problem in dr11.m');</span>
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0194 dr1_test_(1) = 2;
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0195 dr1_test_(2) = 1;
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0196 warning(warning_state);
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0197 <span class="keyword">return</span>
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0198 <span class="keyword">end</span>
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0199
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0200 k1 = find(kstate(n4:nd,2) == M_.maximum_lag+1);
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0201 k2 = find(kstate(1:n3,2) == M_.maximum_lag+2);
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0202 dr.ghx = [hx(k1,:); gx(k2(nboth+1:end),:)];
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0203
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0204 <span class="comment">%lead variables actually present in the model</span>
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0205 j3 = nonzeros(kstate(:,3));
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0206 j4 = find(kstate(:,3));
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0207 <span class="comment">% derivatives with respect to exogenous variables</span>
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0208 <span class="keyword">if</span> M_.exo_nbr
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0209 a1 = eye(M_.endo_nbr);
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0210 aa1 = [];
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0211 <span class="keyword">if</span> nstatic > 0
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0212 aa1 = a1(:,1:nstatic);
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0213 <span class="keyword">end</span>
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0214 dr.ghu = -[aa1 a(:,j3)*gx(j4,1:npred)+a1(:,nstatic+1:nstatic+ <span class="keyword">...</span>
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0215 npred) a1(:,nstatic+npred+1:end)]\fu;
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0216
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0217
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0218 lastwarn(<span class="string">''</span>);
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0219 <span class="keyword">if</span> length(lastwarn) > 0;
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0220 <span class="comment">% disp('Singularity problem in dr11.m');</span>
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0221 dr1_test_(1) = 2;
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0222 dr1_test_(2) = 1;
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0223 <span class="keyword">return</span>
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0224 <span class="keyword">end</span>
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0225 <span class="keyword">end</span>
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0226 warning(warning_state);
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0227
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0228 <span class="comment">% static variables</span>
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0229 <span class="keyword">if</span> nstatic > 0
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0230 temp = -a(1:nstatic,j3)*gx(j4,:)*hx;
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0231 j5 = find(kstate(n4:nd,4));
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0232 temp(:,j5) = temp(:,j5)-a(1:nstatic,nonzeros(kstate(:,4)));
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0233 dr.ghx = [temp; dr.ghx];
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0234 temp = [];
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0235 <span class="keyword">end</span>
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0236
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0237 <span class="keyword">if</span> options_.loglinear == 1
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0238 k = find(dr.kstate(:,2) <= M_.maximum_lag+1);
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0239 klag = dr.kstate(k,[1 2]);
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0240 k1 = dr.order_var;
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0241
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0242 dr.ghx = repmat(1./dr.ys(k1),1,size(dr.ghx,2)).*dr.ghx.* <span class="keyword">...</span>
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0243 repmat(dr.ys(k1(klag(:,1)))',size(dr.ghx,1),1);
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0244 dr.ghu = repmat(1./dr.ys(k1),1,size(dr.ghu,2)).*dr.ghu;
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0245 <span class="keyword">end</span>
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0246
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0247 <span class="comment">% necessary when using Sims' routines</span>
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0248 <span class="keyword">if</span> use_qzdiv
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0249 gx = real(gx);
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0250 hx = real(hx);
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0251 dr.ghx = real(dr.ghx);
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0252 dr.ghu = real(dr.ghu);
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0253 <span class="keyword">end</span>
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0254
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0255</pre></div>
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<hr><address>Generated on Fri 16-Jun-2006 09:09:06 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address>
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