114 lines
5.7 KiB
Matlab
114 lines
5.7 KiB
Matlab
function [out,info] = get_perturbation_params_derivs_numerical_objective(params, outputflag, estim_params, M_, options_, dr, endo_steady_state, exo_steady_state, exo_det_steady_state)
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%function [out,info] = get_perturbation_params_derivs_numerical_objective(params, outputflag, estim_params, M_, options_, dr, steady_state, exo_steady_state, exo_det_steady_state)
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% -------------------------------------------------------------------------
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% Objective function to compute numerically the Jacobians used for get_perturbation_params_derivs
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% =========================================================================
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% INPUTS
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% params: [vector] parameter values at which to evaluate objective function
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% stderr parameters come first, corr parameters second, model parameters third
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% outputflag: [string] flag which objective to compute (see below)
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% estim_params: [structure] storing the estimation information
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% M_: [structure] storing the model information
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% options_: [structure] storing the options
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% dr [structure] Reduced form model.
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% endo_steady_state [vector] steady state value for endogenous variables
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% exo_steady_state [vector] steady state value for exogenous variables
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% exo_det_steady_state [vector] steady state value for exogenous deterministic variables
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% -------------------------------------------------------------------------
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%
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% OUTPUT
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% out (dependent on outputflag and order of approximation):
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% - 'perturbation_solution': out = out1 = [vec(Sigma_e);vec(ghx);vec(ghu)]; (order==1)
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% out = out2 = [out1;vec(ghxx);vec(ghxu);vec(ghuu);vec(ghs2)]; (order==2)
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% out = out3 = [out1;out2;vec(ghxxx);vec(ghxxu);vec(ghxuu);vec(ghuuu);vec(ghxss);vec(ghuss)]; (order==3)
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% - 'dynamic_model': out = [Yss; vec(g1); vec(g2); vec(g3)]
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% - 'Kalman_Transition': out = [Yss; vec(KalmanA); dyn_vech(KalmanB*Sigma_e*KalmanB')];
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% all in DR-order
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% info [integer] output from resol
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% -------------------------------------------------------------------------
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% This function is called by
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% * get_perturbation_params_derivs.m (previously getH.m)
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% -------------------------------------------------------------------------
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% This function calls
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% * [M_.fname,'.dynamic']
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% * resol
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% * dyn_vech
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% =========================================================================
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% Copyright © 2019-2020 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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% =========================================================================
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%% Update stderr, corr and model parameters and compute perturbation approximation and steady state with updated parameters
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M_ = set_all_parameters(params,estim_params,M_);
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[dr,info,M_.params] = compute_decision_rules(M_,options_,dr,endo_steady_state,exo_steady_state,exo_det_steady_state);
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Sigma_e = M_.Sigma_e;
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if info(1) > 0
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% there are errors in the solution algorithm
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out = [];
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return
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else
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ys = dr.ys; %steady state of model variables in declaration order
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ghx = dr.ghx; ghu = dr.ghu;
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if options_.order > 1
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ghxx = dr.ghxx; ghxu = dr.ghxu; ghuu = dr.ghuu; ghs2 = dr.ghs2;
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end
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if options_.order > 2
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ghxxx = dr.ghxxx; ghxxu = dr.ghxxu; ghxuu = dr.ghxuu; ghxss = dr.ghxss; ghuuu = dr.ghuuu; ghuss = dr.ghuss;
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end
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end
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Yss = ys(dr.order_var); %steady state of model variables in DR order
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%% out = [vec(Sigma_e);vec(ghx);vec(ghu);vec(ghxx);vec(ghxu);vec(ghuu);vec(ghs2);vec(ghxxx);vec(ghxxu);vec(ghxuu);vec(ghuuu);vec(ghxss);vec(ghuss)]
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if strcmp(outputflag,'perturbation_solution')
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out = [Sigma_e(:); ghx(:); ghu(:)];
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if options_.order > 1
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out = [out; ghxx(:); ghxu(:); ghuu(:); ghs2(:);];
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end
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if options_.order > 2
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out = [out; ghxxx(:); ghxxu(:); ghxuu(:); ghuuu(:); ghxss(:); ghuss(:)];
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end
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end
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%% out = [Yss; vec(g1); vec(g2); vec(g3)]; of all endogenous variables, in DR order
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if strcmp(outputflag,'dynamic_model')
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[I,~] = find(M_.lead_lag_incidence'); %I is used to evaluate dynamic model files
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if options_.order == 1
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[~, g1] = feval([M_.fname,'.dynamic'], ys(I), exo_steady_state', M_.params, ys, 1);
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out = [Yss; g1(:)];
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elseif options_.order == 2
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[~, g1, g2] = feval([M_.fname,'.dynamic'], ys(I), exo_steady_state', M_.params, ys, 1);
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out = [Yss; g1(:); g2(:)];
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elseif options_.order == 3
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[~, g1, g2, g3] = feval([M_.fname,'.dynamic'], ys(I), exo_steady_state', M_.params, ys, 1);
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g3 = identification.unfold_g3(g3, length(ys(I))+M_.exo_nbr);
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out = [Yss; g1(:); g2(:); g3(:)];
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end
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end
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%% out = [Yss; vec(KalmanA); dyn_vech(KalmanB*Sigma_e*KalmanB')]; in DR order, where A and B are Kalman transition matrices
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if strcmp(outputflag,'Kalman_Transition')
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if options_.order == 1
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KalmanA = zeros(M_.endo_nbr,M_.endo_nbr);
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KalmanA(:,M_.nstatic+(1:M_.nspred)) = ghx;
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Om = ghu*Sigma_e*transpose(ghu);
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out = [Yss; KalmanA(:); dyn_vech(Om)];
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else
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error('''get_perturbation_params_derivs_numerical_objective.m'': Kalman_Transition works only at order=1');
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end
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end
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