104 lines
4.4 KiB
Matlab
104 lines
4.4 KiB
Matlab
function perfect_foresight_with_expectation_errors_solver
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% Copyright © 2021-2023 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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global M_ oo_ options_
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% Same for periods (it will be modified before calling perfect_foresight_solver if constants_simulation_length option is false)
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periods = options_.periods;
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% Save some options
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orig_homotopy_max_completion_share = options_.simul.homotopy_max_completion_share;
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orig_endval_steady = options_.simul.endval_steady;
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% Retrieve initial paths built by pfwee_setup
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% (the versions in oo_ will be truncated before calling perfect_foresight_solver)
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endo_simul = oo_.endo_simul;
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exo_simul = oo_.exo_simul;
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% Enforce the endval steady option in pf_solver
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if M_.maximum_lead > 0
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options_.simul.endval_steady = true;
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end
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% Start main loop around informational periods
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info_period = 1;
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increment = 0;
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while info_period <= periods
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if ~options_.noprint
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fprintf('perfect_foresight_with_expectations_errors_solver: computing solution for information available at period %d\n', info_period)
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end
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% Compute terminal steady state as anticipated
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oo_.exo_steady_state = oo_.pfwee.terminal_info(:, info_period);
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% oo_.steady_state will be updated by pf_solver (since endval_steady=true)
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if options_.pfwee.constant_simulation_length && increment > 0
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% Use previous terminal steady state as guess value for: simulation periods that don’t yet have an initial guess (i.e. are NaNs at this point); and also for the terminal steady state
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endo_simul = [ endo_simul repmat(oo_.steady_state, 1, increment)];
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exo_simul = [ exo_simul; NaN(increment, M_.exo_nbr)];
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end
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oo_.endo_simul = endo_simul(:, info_period:end); % Take initial conditions + guess values from previous simulation
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if options_.pfwee.constant_simulation_length
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sim_length = periods;
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else
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sim_length = periods - info_period + 1;
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end
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oo_.exo_simul = exo_simul(info_period:end, :);
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oo_.exo_simul(M_.maximum_lag+(1:periods-info_period+1), :) = oo_.pfwee.shocks_info(:, info_period:end, info_period)';
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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);
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options_.periods = sim_length;
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perfect_foresight_solver(true);
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if ~oo_.deterministic_simulation.status
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error('perfect_foresight_with_expectation_errors_solver: failed to compute solution for information available at period %d\n', info_period)
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end
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if info_period == 1
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homotopy_completion_share = oo_.deterministic_simulation.homotopy_completion_share;
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options_.simul.homotopy_max_completion_share = homotopy_completion_share;
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elseif oo_.deterministic_simulation.homotopy_completion_share ~= homotopy_completion_share
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error('perfect_foresight_solver_with_expectation_errors: could not find a solution for information available at period %d with the same homotopy completion share as period 1\n', info_period)
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end
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endo_simul(:, info_period:end) = oo_.endo_simul;
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exo_simul(info_period:end, :) = oo_.exo_simul;
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% Increment info_period (as much as possible, if information set does not change for some time)
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increment = 1;
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while info_period+increment <= periods && ...
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all(oo_.pfwee.terminal_info(:, info_period) == oo_.pfwee.terminal_info(:, info_period+increment)) && ...
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all(all(oo_.pfwee.shocks_info(:, info_period+increment:end, info_period) == oo_.pfwee.shocks_info(:, info_period+increment:end, info_period+increment)))
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increment = increment + 1;
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end
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info_period = info_period + increment;
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end
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% Set final paths
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oo_.endo_simul = endo_simul;
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oo_.exo_simul = exo_simul;
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% Restore some options
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options_.periods = periods;
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options_.simul.homotopy_max_completion_share = orig_homotopy_max_completion_share;
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options_.simul.endval_steady = orig_endval_steady;
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