124 lines
3.0 KiB
Matlab
Executable File
124 lines
3.0 KiB
Matlab
Executable File
function [zdata]=mkdatap_anticipated(nperiods,decrulea,decruleb,...
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cof,Jbarmat,cofstar,Jstarbarmat,Dstarbarmat,...
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regime,regimestart,violvecbool,...
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endog_,exog_,irfshock,scalefactormod,init)
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nvars = length(endog_);
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if nargin<16
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init=zeros(nvars,1);
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end
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if nargin<15
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scalefactormod=1;
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end
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nshocks = size(irfshock,1);
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for i = 1:nshocks
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shockpos = strmatch(irfshock(i,:), exog_, 'exact');
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if ~isempty(shockpos)
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irfshockpos(i) = shockpos;
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else
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error(['Shock ', irfshock(i,:), ' is not in the model']);
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end
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end
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nregimes = length(regime);
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Cbarmat = cof(:,1:nvars);
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Bbarmat = cof(:,nvars+1:2*nvars);
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Abarmat = cof(:,2*nvars+1:3*nvars);
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% cofstar contains the system for the model when the constraint binds
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Cstarbarmat = cofstar(:,1:nvars);
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Bstarbarmat = cofstar(:,nvars+1:2*nvars);
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Astarbarmat = cofstar(:,2*nvars+1:3*nvars);
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% get the time-dependent decision rules
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Tmax = regimestart(nregimes)-1; % Tmax is the position of the last period
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% when the constraint binds
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if Tmax > 0
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P = zeros(nvars,nvars,Tmax);
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D = zeros(nvars,Tmax);
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invmat = inv((Astarbarmat*decrulea+Bstarbarmat));
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P(:,:,Tmax) = -invmat*Cstarbarmat;
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D(:,Tmax) = -invmat*Dstarbarmat;
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% equivalent to pre-multiplying by the inverse above if the target
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% matrix is invertible. Otherwise it yields the minimum state solution
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%P(:,:,Tmax) = -(Astarbarmat*decrulea+Bstarbarmat)\Cstarbarmat;
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%D(:,Tmax) = -(Astarbarmat*decrulea+Bstarbarmat)\Dstarbarmat;
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for i = Tmax-1:-1:1
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if violvecbool(i)
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invmat = inv(Bstarbarmat+Astarbarmat*P(:,:,i+1));
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P(:,:,i)=-invmat*Cstarbarmat;
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D(:,i) = -invmat*(Astarbarmat*D(:,i+1)+Dstarbarmat);
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else
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invmat = inv(Bbarmat+Abarmat*P(:,:,i+1));
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P(:,:,i)=-invmat*Cbarmat;
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D(:,i) = -invmat*(Abarmat*D(:,i+1));
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end
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end
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if Tmax > 1
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if violvecbool(1)
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E = -invmat*Jstarbarmat;
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else
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E = -invmat*Jbarmat;
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end
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else
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invmat = inv(Astarbarmat*decrulea+Bstarbarmat);
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E = -invmat*Jstarbarmat;
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end
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end
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% generate data
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% history will contain data, the state vector at each period in time will
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% be stored columnwise.
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history = zeros(nvars,nperiods+1);
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history(:,1) = init;
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errvec = zeros(length(exog_), 1);
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% deal with predetermined conditions
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for i = 1:nshocks
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errvec(irfshockpos(i)) = scalefactormod(i);
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end
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% deal with shocks
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irfpos =1;
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if irfpos <=Tmax
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history(:,irfpos+1) = P(:,:,irfpos)* history(:,irfpos)+...
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D(:,irfpos) + E*errvec;
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else
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history(:,irfpos+1) = decrulea*history(:,irfpos)+decruleb*errvec;
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end
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% all other periods
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for irfpos=2:nperiods+1
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if irfpos <=Tmax
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history(:,irfpos+1) = P(:,:,irfpos)* history(:,irfpos)+...
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D(:,irfpos);
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else
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history(:,irfpos+1) = decrulea*history(:,irfpos);
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end
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end
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history=history';
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zdata = history(2:end,:); |