98 lines
4.2 KiB
Matlab
98 lines
4.2 KiB
Matlab
function perfect_foresight_with_expectation_errors_solver
|
||
|
||
% Copyright © 2021-2023 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/>.
|
||
|
||
global M_ oo_ options_ ys0_
|
||
|
||
% Save original steady state, for restoring it at the end
|
||
orig_steady_state = oo_.steady_state;
|
||
orig_exo_steady_state = oo_.exo_steady_state;
|
||
|
||
% Same for periods (it will be modified before calling perfect_foresight_solver if constants_simulation_length option is false)
|
||
periods = options_.periods;
|
||
|
||
% Retrieve initial paths built by pfwee_setup
|
||
% (the versions in oo_ will be truncated before calling perfect_foresight_solver)
|
||
endo_simul = oo_.endo_simul;
|
||
exo_simul = oo_.exo_simul;
|
||
|
||
% Start main loop around informational periods
|
||
info_period = 1;
|
||
increment = 0;
|
||
if isempty(ys0_)
|
||
initial_steady_state = oo_.steady_state;
|
||
else
|
||
initial_steady_state = ys0_;
|
||
end
|
||
while info_period <= periods
|
||
% Compute terminal steady state as anticipated
|
||
oo_.exo_steady_state = oo_.pfwee.terminal_info(:, info_period);
|
||
oo_.steady_state = oo_.pfwee.terminal_steady_state(:, info_period);
|
||
|
||
if options_.pfwee.constant_simulation_length && increment > 0
|
||
endo_simul = [ endo_simul NaN(M_.endo_nbr, increment)];
|
||
exo_simul = [ exo_simul; NaN(increment, M_.exo_nbr)];
|
||
end
|
||
|
||
oo_.endo_simul = endo_simul(:, info_period:end); % Take initial conditions + guess values from previous simulation
|
||
if options_.pfwee.constant_simulation_length
|
||
sim_length = periods;
|
||
else
|
||
sim_length = periods - info_period + 1;
|
||
end
|
||
if options_.pfwee.terminal_steady_state_as_guess_value
|
||
% Overwrite guess value with terminal steady state
|
||
oo_.endo_simul(:, M_.maximum_lag+(1:sim_length)) = repmat(oo_.steady_state, 1, sim_length);
|
||
elseif info_period == 1
|
||
% Use initial steady state as guess value for first simulation if not using terminal steady state
|
||
oo_.endo_simul(:, M_.maximum_lag+(1:periods)) = repmat(initial_steady_state, 1, periods);
|
||
elseif options_.pfwee.constant_simulation_length && increment > M_.maximum_lead
|
||
% Use initial steady state as guess value for simulation periods that don’t yet have an initial guess (i.e. are NaNs)
|
||
oo_.endo_simul(:, M_.maximum_lag+periods-(0:increment-M_.maximum_lead-1)) = repmat(initial_steady_state, 1, increment-M_.maximum_lead);
|
||
end
|
||
oo_.endo_simul(:, end-M_.maximum_lead+1:end) = repmat(oo_.steady_state, 1, M_.maximum_lead);
|
||
oo_.exo_simul = exo_simul(info_period:end, :);
|
||
oo_.exo_simul(M_.maximum_lag+(1:periods-info_period+1), :) = oo_.pfwee.shocks_info(:, info_period:end, info_period)';
|
||
oo_.exo_simul(M_.maximum_lag+periods-info_period+2:end, :) = repmat(oo_.exo_steady_state', sim_length+M_.maximum_lead-(periods-info_period+1), 1);
|
||
|
||
options_.periods = sim_length;
|
||
|
||
perfect_foresight_solver;
|
||
|
||
endo_simul(:, info_period:end) = oo_.endo_simul;
|
||
exo_simul(info_period:end, :) = oo_.exo_simul;
|
||
|
||
% Increment info_period (as much as possible, if information set does not change for some time)
|
||
increment = 1;
|
||
while info_period+increment <= periods && ...
|
||
all(oo_.pfwee.terminal_info(:, info_period) == oo_.pfwee.terminal_info(:, info_period+increment)) && ...
|
||
all(all(oo_.pfwee.shocks_info(:, info_period+increment:end, info_period) == oo_.pfwee.shocks_info(:, info_period+increment:end, info_period+increment)))
|
||
increment = increment + 1;
|
||
end
|
||
info_period = info_period + increment;
|
||
end
|
||
|
||
% Set final paths
|
||
oo_.endo_simul = endo_simul;
|
||
oo_.exo_simul = exo_simul;
|
||
|
||
% Restore some values
|
||
oo_.steady_state = orig_steady_state;
|
||
oo_.exo_steady_state = orig_exo_steady_state;
|
||
options_.periods = periods;
|