73 lines
3.0 KiB
Matlab
73 lines
3.0 KiB
Matlab
function [ysim, xsim, errorflag] = simul_backward_linear_model_(initialconditions, samplesize, DynareOptions, DynareModel, DynareOutput, innovations, nx, ny1, iy1, jdx, model_dynamic)
|
|
|
|
% Simulates a stochastic linear backward looking model.
|
|
%
|
|
% INPUTS
|
|
% - initialconditions [dseries] initial conditions for the endogenous variables.
|
|
% - samplesize [integer] scalar, number of periods for the simulation.
|
|
% - DynareOptions [struct] Dynare's options_ global structure.
|
|
% - DynareModel [struct] Dynare's M_ global structure.
|
|
% - DynareOutput [struct] Dynare's oo_ global structure.
|
|
% - innovations [double] T*q matrix, innovations to be used for the simulation.
|
|
%
|
|
% OUTPUTS
|
|
% - DynareOutput [struct] Dynare's oo_ global structure.
|
|
% - errorflag [logical] scalar, equal to false iff the simulation did not fail.
|
|
%
|
|
% REMARKS
|
|
% [1] The innovations used for the simulation are saved in DynareOutput.exo_simul, and the resulting paths for the endogenous
|
|
% variables are saved in DynareOutput.endo_simul.
|
|
% [2] The last input argument is not mandatory. If absent we use random draws and rescale them with the informations provided
|
|
% through the shocks block.
|
|
% [3] If the first input argument is empty, the endogenous variables are initialized with 0, or if available with the informations
|
|
% provided thrtough the histval block.
|
|
|
|
% Copyright © 2017-2023 Dynare Team
|
|
%
|
|
% This file is part of Dynare.
|
|
%
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
% it under the terms of the GNU General Public License as published by
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
% (at your option) any later version.
|
|
%
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
% GNU General Public License for more details.
|
|
%
|
|
% You should have received a copy of the GNU General Public License
|
|
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
|
|
|
errorflag = false;
|
|
|
|
if ~isempty(innovations)
|
|
DynareOutput.exo_simul(initialconditions.nobs+(1:samplesize),:) = innovations;
|
|
end
|
|
|
|
% Get coefficients
|
|
[cst, jacob] = model_dynamic(zeros(DynareModel.endo_nbr+ny1,1), ...
|
|
zeros(DynareModel.orig_maximum_lag+1,DynareModel.exo_nbr), ...
|
|
DynareModel.params, ...
|
|
DynareOutput.steady_state, DynareModel.orig_maximum_lag+1);
|
|
|
|
try
|
|
A0inv = inv(jacob(:,jdx));
|
|
catch
|
|
errorflag = true;
|
|
ysim = [];
|
|
xsim = [];
|
|
return
|
|
end
|
|
|
|
A1 = jacob(:,nonzeros(DynareModel.lead_lag_incidence(1,:)));
|
|
B = jacob(:,end-nx+1:end);
|
|
|
|
% Simulations
|
|
for it = initialconditions.nobs+(1:samplesize)
|
|
DynareOutput.endo_simul(:,it) = -A0inv*(cst + A1*DynareOutput.endo_simul(iy1,it-1) + B*DynareOutput.exo_simul(it,:)');
|
|
end
|
|
|
|
ysim = DynareOutput.endo_simul(1:DynareModel.orig_endo_nbr,:);
|
|
xsim = DynareOutput.exo_simul;
|