dynare/matlab/occbin/mkdatap_anticipated_2constraints.m

function [zdata]=mkdatap_anticipated_2constraints(nperiods,decrulea,decruleb,...
                                                  cof,Jbarmat,...
                                                  cof10,Jbarmat10,Dbarmat10,...
                                                  cof01,Jbarmat01,Dbarmat01,...
                                                  cof11,Jbarmat11,Dbarmat11,...
                                                  regime1,regimestart1,...
                                                  regime2,regimestart2,...
                                                  violvecbool,endog_,exog_,...
                                                  irfshock,scalefactormod,init)


nvars = size(endog_,1);


if nargin<16
    init=zeros(nvars,1);
end

if nargin<15
    scalefactormod=1;
end


nshocks = size(irfshock,1);
for i = 1:nshocks
    shockpos = strmatch(irfshock(i,:),exog_,'exact');
    if ~isempty(shockpos)
        irfshockpos(i) = shockpos;
    else
        error(['Shock ',irfshock(i,:),' is not in the model']);
    end
end



Cbarmat = cof(:,1:nvars);
Bbarmat = cof(:,nvars+1:2*nvars);
Abarmat = cof(:,2*nvars+1:3*nvars);


% cofstar contains the system for the model when the constraint binds


Cbarmat10 = cof10(:,1:nvars);
Bbarmat10 = cof10(:,nvars+1:2*nvars);
Abarmat10 = cof10(:,2*nvars+1:3*nvars);

Cbarmat01 = cof01(:,1:nvars);
Bbarmat01 = cof01(:,nvars+1:2*nvars);
Abarmat01 = cof01(:,2*nvars+1:3*nvars);

Cbarmat11 = cof11(:,1:nvars);
Bbarmat11 = cof11(:,nvars+1:2*nvars);
Abarmat11 = cof11(:,2*nvars+1:3*nvars);

% get the time-dependent decision rules
nregimes1 = length(regime1);
nregimes2 = length(regime2);

Tmax = max([regimestart1(nregimes1) regimestart2(nregimes2)])-1;  % Tmax is the position of the last period
                                                                  % when the constraint binds

if Tmax > 0
    P = zeros(nvars,nvars,Tmax);
    D = zeros(nvars,Tmax);

    %     invmat = inv((Astarbarmat*decrulea+Bstarbarmat));
    %     P(:,:,Tmax) = -invmat*Cstarbarmat;
    %     D(:,Tmax) = -invmat*Dstarbarmat;


    if (violvecbool(Tmax,1) & ~violvecbool(Tmax,2))
        %XXX fix next three lines
        invmat = inv((Abarmat10*decrulea+Bbarmat10));
        P(:,:,Tmax) = -invmat*Cbarmat10;
        D(:,Tmax) = -invmat*Dbarmat10;
    elseif (violvecbool(Tmax,1) & violvecbool(Tmax,2))
        invmat = inv((Abarmat11*decrulea+Bbarmat11));
        P(:,:,Tmax) = -invmat*Cbarmat11;
        D(:,Tmax) = -invmat*Dbarmat11;
    else
        invmat = inv((Abarmat01*decrulea+Bbarmat01));
        P(:,:,Tmax) = -invmat*Cbarmat01;
        D(:,Tmax) = -invmat*Dbarmat01;
    end




    for i = Tmax-1:-1:1

        if (violvecbool(i,1) & ~violvecbool(i,2))
            invmat = inv(Bbarmat10+Abarmat10*P(:,:,i+1));
            P(:,:,i)=-invmat*Cbarmat10;
            D(:,i) = -invmat*(Abarmat10*D(:,i+1)+Dbarmat10);
        elseif (~violvecbool(i,1) & violvecbool(i,2))
            invmat = inv(Bbarmat01+Abarmat01*P(:,:,i+1));
            P(:,:,i)=-invmat*Cbarmat01;
            D(:,i) = -invmat*(Abarmat01*D(:,i+1)+Dbarmat01);
        elseif (violvecbool(i,1) & violvecbool(i,2))
            invmat = inv(Bbarmat11+Abarmat11*P(:,:,i+1));
            P(:,:,i)=-invmat*Cbarmat11;
            D(:,i) = -invmat*(Abarmat11*D(:,i+1)+Dbarmat11);
        else
            invmat = inv(Bbarmat+Abarmat*P(:,:,i+1));
            P(:,:,i)=-invmat*Cbarmat;
            D(:,i) = -invmat*(Abarmat*D(:,i+1));
        end

    end


    % Double check the appropriate invmat in each case
    % right now -- inherited from previous loop
    if Tmax > 1

        if ( ~violvecbool(1,1) & violvecbool(1,2) )
            E = -invmat*Jbarmat01;
        elseif ( violvecbool(1,1) & ~violvecbool(1,2) )
            E = -invmat*Jbarmat10;
        elseif ( violvecbool(1,1) & violvecbool(1,2) )
            E = -invmat*Jbarmat11;
        else
            E = -invmat*Jbarmat;
        end

    else  % Tmax is equal to 1
          %     invmat = inv((Astarbarmat*decrulea+Bstarbarmat));
          %     E = -invmat*Jstarbarmat;

        if ( ~violvecbool(1,1) & violvecbool(1,2) )
            invmat = inv((Abarmat01*decrulea+Bbarmat01));
            E = -invmat*Jbarmat01;
        elseif ( violvecbool(1,1) & violvecbool(1,2) )
            invmat = inv((Abarmat11*decrulea+Bbarmat11));
            E = -invmat*Jbarmat11;
        else
            invmat = inv((Abarmat10*decrulea+Bbarmat10));
            E = -invmat*Jbarmat10;

        end

    end


end

% generate data
% history will contain data, the state vector at each period in time will
% be stored columnwise.
history = zeros(nvars,nperiods+1);
history(:,1) = init;
errvec = zeros(size(exog_,1),1);

for i = 1:nshocks
    errvec(irfshockpos(i)) = scalefactormod(i);
end

% deal with shocks
irfpos =1;
if irfpos <=Tmax
    history(:,irfpos+1) = P(:,:,irfpos)* history(:,irfpos)+...
        D(:,irfpos) + E*errvec;
else
    history(:,irfpos+1) = decrulea*history(:,irfpos)+decruleb*errvec;
end

% all other periods
for irfpos=2:nperiods+1
    if irfpos <=Tmax
        history(:,irfpos+1) = P(:,:,irfpos)* history(:,irfpos)+...
            D(:,irfpos);
    else
        history(:,irfpos+1) = decrulea*history(:,irfpos);
    end
end


history=history';
zdata = history(2:end,:);