174 lines
6.2 KiB
Matlab
174 lines
6.2 KiB
Matlab
function [y,y_] = local_state_equation_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,ss)
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%@info:
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%! @deftypefn {Function File} {@var{y}, @var{y_} =} local_state_equation_2 (@var{yhat},@var{epsilon}, @var{ghx}, @var{ghu}, @var{constant}, @var{ghxx}, @var{ghuu}, @var{ghxu}, @var{yhat_}, @var{ss})
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%! @anchor{particle/local_state_equation_2}
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%! @sp 1
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%! Given the states (y) and structural innovations (epsilon), this routine computes the level of selected endogenous variables when the
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%! model is approximated by an order two taylor expansion around the deterministic steady state. Depending on the number of input/output
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%! argument the pruning algorithm advocated by C. Sims is used or not (this version should not be used if the selected endogenous variables
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%! are not the states of the model).
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%!
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%! @sp 2
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%! @strong{Inputs}
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%! @sp 1
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%! @table @ @var
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%! @item yhat
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%! n*1 vector of doubles, initial condition, where n is the number of state variables.
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%! @item epsilon
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%! q*1 vector of doubles, structural innovations.
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%! @item ghx
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%! m*n matrix of doubles, restricted dr.ghx where we only consider the lines corresponding to a subset of endogenous variables.
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%! @item ghu
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%! m*q matrix of doubles, restricted dr.ghu where we only consider the lines corresponding to a subset of endogenous variables.
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%! @item constant
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%! m*1 vector of doubles, deterministic steady state plus second order correction for a subset of endogenous variables.
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%! @item ghxx
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%! m*n² matrix of doubles, restricted dr.ghxx where we only consider the lines corresponding to a subset of endogenous variables.
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%! @item ghuu
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%! m*q² matrix of doubles, restricted dr.ghuu where we only consider the lines corresponding to a subset of endogenous variables.
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%! @item ghxu
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%! m*(nq) matrix of doubles, subset of dr.ghxu where we only consider the lines corresponding to a subset of endogenous variables.
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%! @item yhat_
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%! n*1 vector of doubles, spurious states for the pruning version.
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%! @item ss
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%! n*1 vector of doubles, steady state for the states.
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%! @end table
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%! @sp 2
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%! @strong{Outputs}
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%! @sp 1
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%! @table @ @var
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%! @item y
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%! m*1 vector of doubles, selected endogenous variables.
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%! @item y_
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%! m*1 vector of doubles, update of the latent variables needed for the pruning version (first order update).
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%! @end table
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%! @sp 2
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%! @strong{Remarks}
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%! @sp 1
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%! [1] If the function has 10 input arguments then it must have 2 output arguments (pruning version).
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%! @sp 1
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%! [2] If the function has 08 input arguments then it must have 1 output argument.
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%! @sp 2
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%! @strong{This function is called by:}
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%! @sp 2
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%! @strong{This function calls:}
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%!
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%!
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%! @end deftypefn
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%@eod:
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% Copyright (C) 2011 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 <http://www.gnu.org/licenses/>.
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% AUTHOR(S) stephane DOT adjemian AT univ DASH lemans DOT fr
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% frederic DOT karame AT univ DASH evry DOT fr
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number_of_threads = 1;
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if nargin==8
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pruning = 0;
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if nargout>1
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error('local_state_equation_2:: Numbers of input and output argument are inconsistent!')
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end
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elseif nargin==10
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pruning = 1;
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if nargout~=2
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error('local_state_equation_2:: Numbers of input and output argument are inconsistent!')
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end
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else
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error('local_state_equation_2:: Wrong number of input arguments!')
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end
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switch pruning
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case 0
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for i =1:size(yhat,2)
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y(:,i) = constant + ghx*yhat(:,i) + ghu*epsilon(:,i) ...
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+ A_times_B_kronecker_C(.5*ghxx,yhat(:,i),number_of_threads) ...
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+ A_times_B_kronecker_C(.5*ghuu,epsilon(:,i),number_of_threads) ...
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+ A_times_B_kronecker_C(ghxu,yhat(:,i),epsilon(:,i),number_of_threads);
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end
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case 1
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for i =1:size(yhat,2)
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y(:,i) = constant + ghx*yhat(:,i) + ghu*epsilon(:,i) ...
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+ A_times_B_kronecker_C(.5*ghxx,yhat_(:,i),number_of_threads) ...
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+ A_times_B_kronecker_C(.5*ghuu,epsilon(:,i),number_of_threads) ...
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+ A_times_B_kronecker_C(ghxu,yhat_(:,i),epsilon(:,i),number_of_threads);
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end
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y_ = ghx*yhat_+ghu*epsilon;
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y_ = bsxfun(@plus,y_,ss);
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end
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%@test:1
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%$ n = 2;
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%$ q = 3;
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%$
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%$ yhat = zeros(n,1);
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%$ epsilon = zeros(q,1);
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%$ ghx = rand(n,n);
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%$ ghu = rand(n,q);
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%$ constant = ones(n,1);
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%$ ghxx = rand(n,n*n);
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%$ ghuu = rand(n,q*q);
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%$ ghxu = rand(n,n*q);
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%$ yhat_ = zeros(n,1);
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%$ ss = ones(n,1);
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%$
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%$ % Call the tested routine.
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%$ y1 = local_state_equation_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu);
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%$ [y2,y2_] = local_state_equation_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,ss);
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%$
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%$ % Check the results.
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%$ t(1) = dyn_assert(y1,ones(n,1));
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%$ t(2) = dyn_assert(y2,ones(n,1));
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%$ t(3) = dyn_assert(y2_,ones(n,1));
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%$ T = all(t);
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%@eof:1
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%@test:2
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%$ old_path = pwd;
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%$ cd([fileparts(which('dynare')) '/../tests/']);
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%$ dynare('dsge_base2');
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%$ load dsge_base2;
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%$ cd(old_path);
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%$ dr = oo_.dr;
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%$ clear('oo_','options_','M_');
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%$ delete([fileparts(which('dynare')) '/../tests/dsge_base2.mat']);
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%$ istates = dr.nstatic+(1:dr.npred);
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%$ n = dr.npred;
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%$ q = size(dr.ghu,2);
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%$ yhat = zeros(n,1);
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%$ epsilon = zeros(q,1);
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%$ ghx = dr.ghx(istates,:);
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%$ ghu = dr.ghu(istates,:);
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%$ constant = dr.ys(istates,:)+dr.ghs2(istates,:);
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%$ ghxx = dr.ghxx(istates,:);
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%$ ghuu = dr.ghuu(istates,:);
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%$ ghxu = dr.ghxu(istates,:);
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%$ yhat_ = zeros(n,1);
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%$ ss = dr.ys(istates,:);
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%$
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%$ % Call the tested routine.
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%$ y1 = local_state_equation_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu);
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%$ [y2,y2_] = local_state_equation_2(yhat,epsilon,ghx,ghu,constant,ghxx,ghuu,ghxu,yhat_,ss);
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%$
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%$ % Check the results.
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%$ t(1) = 1;%dyn_assert(y1,ones(n,1));
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%$ t(2) = 1;%dyn_assert(y2,ones(n,1));
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%$ t(3) = 1;%dyn_assert(y2_,ones(n,1));
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%$ T = all(t);
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%@eof:2 |