dynare/matlab/backward/simul_backward_linear_model_.m

73 lines
3.0 KiB
Matlab

function [ysim, xsim, errorflag] = simul_backward_linear_model_(initialconditions, samplesize, options_, M_, oo_, innovations, dynamic_resid, dynamic_g1)
% [ysim, xsim, errorflag] = simul_backward_linear_model_(initialconditions, samplesize, options_, M_, oo_, innovations, dynamic_resid, dynamic_g1)
% 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.
% - options_ [struct] Dynare's options_ global structure.
% - M_ [struct] Dynare's M_ global structure.
% - oo_ [struct] Dynare's oo_ global structure.
% - innovations [double] T*q matrix, innovations to be used for the simulation.
%
% OUTPUTS
% - oo_ [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 oo_.exo_simul, and the resulting paths for the endogenous
% variables are saved in oo_.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)
oo_.exo_simul(initialconditions.nobs+(1:samplesize),:) = innovations;
end
% Get coefficients
y = [zeros(2*M_.endo_nbr,1); NaN(M_.endo_nbr,1)];
x = zeros(M_.exo_nbr, 1);
[cst, T_order, T] = dynamic_resid(y, x, M_.params, oo_.steady_state);
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);
try
A0inv = inv(jacob(:,M_.endo_nbr+(1:M_.endo_nbr)));
catch
errorflag = true;
ysim = [];
xsim = [];
return
end
A1 = jacob(:,1:M_.endo_nbr);
B = jacob(:,3*M_.endo_nbr+1:end);
% Simulations
for it = initialconditions.nobs+(1:samplesize)
oo_.endo_simul(:,it) = -A0inv*(cst + A1*oo_.endo_simul(:,it-1) + B*oo_.exo_simul(it,:)');
end
ysim = oo_.endo_simul(1:M_.orig_endo_nbr,:);
xsim = oo_.exo_simul;