71 lines
3.9 KiB
Matlab
71 lines
3.9 KiB
Matlab
% [err, g_0, g_1, g_2, g_3, derivs] = k_order_perturbation(dr,DynareModel,DynareOptions)
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% computes a k_order_petrubation solution for k=1,2,3
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%
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% INPUTS
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% dr: struct describing the reduced form solution of the model.
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% DynareModel: struct jobs's parameters
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% DynareOptions: struct job's options
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%
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% OUTPUTS
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% err: double err code (currently unused)
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% g_0: vector dynare++ output. Constant effect of future volatility (in
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% dr.order_var order) on the decision rule
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% (=ghs2/2). Contains zero when order of
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% approximation is 1.
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% g_1: matrix dynare++ output. First order Taylor coefficients
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% of decision rule. When order of approximation
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% is 3, the. Contains both the effect of
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% state endogenous variable and shocks. The rows
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% are in dr.order_var order. The columns are in
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% dr.order_var order of state endogenous
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% variables and shocks
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% g_2: matrix dynare++ output. Second order Taylor coefficients of decision
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% rule. Contains both the effect of state endogenous
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% variable and shocks. The rows are in dr.order_var
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% order. Each row corresponds to the vectorized
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% version of the lower triangle of the Hessian
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% matrix. The Taylor coefficient (1/2) is
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% included. The columns of the Hessian matrix are in
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% dr.order_var order of state endogenous variables
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% and shocks
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% g_3: matrix dynare++ output. Third order Taylor coefficients of decision
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% rule. Contains both the effect of state endogenous
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% variable and shocks. The rows are in dr.order_var
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% order. Each row corresponds to the vectorized
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% version of the 3rd order derivatives tensor where each
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% combination of variables appears only once.
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% The Taylor coefficient (1/6) is
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% included. Inside the tensor, the variables are in
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% dr.order_var order of state endogenous variables
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% and shocks
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% derivs struct contains the original derivatives of the
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% decision function (ghx, ghu, ghxx, ghxu, ghuu,
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% ghs2, ghxxx, ghxxu, ghxuu,ghuuu, ghxss, ghuss),
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% keeping the effect of future volatility
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% separate (in ghs2, ghxss and ghuss). The
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% derivatives matrices contain full versions of
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% the Hessian matrices and 3rd order
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% tensor. Symmetric derivatives are repeated. The
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% Taylor coefficients (1/2 and 1/6) aren't
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% included.
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% k_order_peturbation is a compiled MEX function. It's source code is in
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% dynare/mex/sources/k_order_perturbation.cc and it uses code provided by
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% dynare++
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% Copyright (C) 2013 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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