59 lines
2.9 KiB
Matlab
59 lines
2.9 KiB
Matlab
function [ysim, xsim] = simul_backward_nonlinear_model_(initialconditions, samplesize, DynareOptions, DynareModel, DynareOutput, innovations, iy1, model_dynamic)
|
|
|
|
% Simulates a stochastic non linear backward looking model with arbitrary precision (a deterministic solver is used).
|
|
%
|
|
% INPUTS
|
|
% - initial_conditions [double] n*1 vector, initial conditions for the endogenous variables.
|
|
% - sample_size [integer] scalar, number of periods for the simulation.
|
|
% - DynareOptions [struct] Dynare's options_ global structure.
|
|
% - DynareModel [struct] Dynare's M_ global structure.
|
|
% - DynareOutput [struct] Dynare's oo_ global structure.
|
|
% - innovations [double] T*q matrix, innovations to be used for the simulation.
|
|
%
|
|
% OUTPUTS
|
|
% - DynareOutput [struct] Dynare's oo_ global structure.
|
|
%
|
|
% REMARKS
|
|
% [1] The innovations used for the simulation are saved in DynareOutput.exo_simul, and the resulting paths for the endogenous
|
|
% variables are saved in DynareOutput.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 (C) 2017 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 <http://www.gnu.org/licenses/>.
|
|
|
|
model_dynamic_s = str2func('dynamic_backward_model_for_simulation');
|
|
|
|
if ~isempty(innovations)
|
|
DynareOutput.exo_simul(initialconditions.nobs+(1:samplesize),:) = innovations;
|
|
end
|
|
|
|
% Simulations (call a Newton-like algorithm for each period).
|
|
for it = initialconditions.nobs+(1:samplesize)
|
|
ylag = DynareOutput.endo_simul(iy1,it-1); % Set lagged variables.
|
|
y = DynareOutput.endo_simul(:,it-1); % A good guess for the initial conditions is the previous values for the endogenous variables.
|
|
[DynareOutput.endo_simul(:,it), info, fvec] = dynare_solve(model_dynamic_s, ...
|
|
y, DynareOptions, model_dynamic, ylag, DynareOutput.exo_simul, DynareModel.params, DynareOutput.steady_state, it);
|
|
if info
|
|
error('Newton failed!')
|
|
end
|
|
end
|
|
|
|
ysim = DynareOutput.endo_simul(1:DynareModel.orig_endo_nbr,:);
|
|
xsim = DynareOutput.exo_simul; |