77 lines
3.2 KiB
Matlab
77 lines
3.2 KiB
Matlab
function [initialconditions, samplesize, innovations, DynareOptions, DynareModel, DynareOutput, nx, ny1, iy1, jdx, model_dynamic, y] = simul_backward_model_init(varargin)
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% Initialization of the routines simulating backward models.
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% Copyright (C) 2012-2017 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 <http://www.gnu.org/licenses/>.
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initialconditions = varargin{1};
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samplesize = varargin{2};
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DynareOptions = varargin{3};
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DynareModel = varargin{4};
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DynareOutput = varargin{5};
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if DynareModel.maximum_lead
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error('simul_backward_nonlinear_model:: The specified model is not backward looking!')
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end
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if nargin<6
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% Set the covariance matrix of the structural innovations.
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variances = diag(DynareModel.Sigma_e);
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number_of_shocks = length(DynareModel.Sigma_e);
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positive_var_indx = find(variances>0);
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effective_number_of_shocks = length(positive_var_indx);
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covariance_matrix = DynareModel.Sigma_e(positive_var_indx,positive_var_indx);
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covariance_matrix_upper_cholesky = chol(covariance_matrix);
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% Set seed to its default state.
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if DynareOptions.bnlms.set_dynare_seed_to_default
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set_dynare_seed('default');
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end
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% Simulate structural innovations.
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switch DynareOptions.bnlms.innovation_distribution
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case 'gaussian'
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DynareOutput.bnlms.shocks = randn(samplesize,effective_number_of_shocks)*covariance_matrix_upper_cholesky;
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otherwise
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error(['simul_backward_nonlinear_model:: ' DynareOption.bnlms.innovation_distribution ' distribution for the structural innovations is not (yet) implemented!'])
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end
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% Put the simulated innovations in DynareOutput.exo_simul.
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DynareOutput.exo_simul = zeros(samplesize,number_of_shocks);
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DynareOutput.exo_simul(:,positive_var_indx) = DynareOutput.bnlms.shocks;
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if isfield(DynareModel,'exo_histval') && ~ isempty(DynareModel.exo_histval)
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DynareOutput.exo_simul = [transpose(DynareModel.exo_histval); DynareOutput.exo_simul];
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else
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DynareOutput.exo_simul = [zeros(1,number_of_shocks); DynareOutput.exo_simul];
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end
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innovations = DynareOutput.exo_simul;
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else
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innovations = varargin{6};
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DynareOutput.exo_simul = innovations; % innovations
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end
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if nargout>6
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nx = size(DynareOutput.exo_simul,2);
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ny0 = nnz(DynareModel.lead_lag_incidence(2,:));
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ny1 = nnz(DynareModel.lead_lag_incidence(1,:));
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iy1 = find(DynareModel.lead_lag_incidence(1,:)>0);
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idx = 1:DynareModel.endo_nbr;
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jdx = idx+ny1;
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% Get the name of the dynamic model routine.
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model_dynamic = str2func([DynareModel.fname,'_dynamic']);
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% initialization of vector y.
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y = NaN(length(idx)+ny1,1);
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end |