73 lines
3.0 KiB
Matlab
73 lines
3.0 KiB
Matlab
function [ysim, xsim, errorflag] = simul_backward_linear_model_(initialconditions, samplesize, options_, M_, oo_, innovations, dynamic_resid, dynamic_g1)
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% [ysim, xsim, errorflag] = simul_backward_linear_model_(initialconditions, samplesize, options_, M_, oo_, innovations, dynamic_resid, dynamic_g1)
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% Simulates a stochastic linear backward looking model.
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%
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% INPUTS
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% - initialconditions [dseries] initial conditions for the endogenous variables.
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% - samplesize [integer] scalar, number of periods for the simulation.
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% - options_ [struct] Dynare's options_ global structure.
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% - M_ [struct] Dynare's M_ global structure.
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% - oo_ [struct] Dynare's oo_ global structure.
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% - innovations [double] T*q matrix, innovations to be used for the simulation.
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%
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% OUTPUTS
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% - oo_ [struct] Dynare's oo_ global structure.
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% - errorflag [logical] scalar, equal to false iff the simulation did not fail.
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%
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% REMARKS
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% [1] The innovations used for the simulation are saved in oo_.exo_simul, and the resulting paths for the endogenous
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% variables are saved in oo_.endo_simul.
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% [2] The last input argument is not mandatory. If absent we use random draws and rescale them with the informations provided
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% through the shocks block.
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% [3] If the first input argument is empty, the endogenous variables are initialized with 0, or if available with the informations
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% provided thrtough the histval block.
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% Copyright © 2017-2023 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 <https://www.gnu.org/licenses/>.
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errorflag = false;
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if ~isempty(innovations)
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oo_.exo_simul(initialconditions.nobs+(1:samplesize),:) = innovations;
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end
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% Get coefficients
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y = [zeros(2*M_.endo_nbr,1); NaN(M_.endo_nbr,1)];
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x = zeros(M_.exo_nbr, 1);
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[cst, T_order, T] = dynamic_resid(y, x, M_.params, oo_.steady_state);
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jacob = dynamic_g1(y, x, M_.params, oo_.steady_state, M_.dynamic_g1_sparse_rowval, M_.dynamic_g1_sparse_colval, M_.dynamic_g1_sparse_colptr, T_order, T);
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try
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A0inv = inv(jacob(:,M_.endo_nbr+(1:M_.endo_nbr)));
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catch
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errorflag = true;
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ysim = [];
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xsim = [];
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return
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end
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A1 = jacob(:,1:M_.endo_nbr);
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B = jacob(:,3*M_.endo_nbr+1:end);
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% Simulations
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for it = initialconditions.nobs+(1:samplesize)
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oo_.endo_simul(:,it) = -A0inv*(cst + A1*oo_.endo_simul(:,it-1) + B*oo_.exo_simul(it,:)');
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end
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ysim = oo_.endo_simul(1:M_.orig_endo_nbr,:);
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xsim = oo_.exo_simul;
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