85 lines
2.3 KiB
Matlab
85 lines
2.3 KiB
Matlab
function y_=simult(ys, dr)
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% function y_=simult(ys, dr)
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% Recursive Monte Carlo simulations
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%
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% INPUTS
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% ys: vector of variables in steady state
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% dr: structure of decisions rules for stochastic simulations
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%
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% OUTPUTS
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% y_: stochastic simulations results
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%
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% SPECIAL REQUIREMENTS
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% none
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%
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% Copyright (C) 2001-2007 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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global M_ options_ oo_
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global it_ means_
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order = options_.order;
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replic = options_.replic;
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if replic == 0
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replic = 1;
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end
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seed = options_.simul_seed;
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it_ = M_.maximum_lag + 1 ;
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if replic > 1
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fname = [M_.fname,'_simul'];
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fh = fopen(fname,'w+');
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end
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% eliminate shocks with 0 variance
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i_exo_var = setdiff([1:M_.exo_nbr],find(diag(M_.Sigma_e) == 0));
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nxs = length(i_exo_var);
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oo_.exo_simul = zeros(M_.maximum_lag+M_.maximum_lead+options_.periods,M_.exo_nbr);
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chol_S = chol(M_.Sigma_e(i_exo_var,i_exo_var));
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for i=1:replic
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if isempty(seed)
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randn('state',sum(100*clock));
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else
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randn('state',seed+i-1);
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end
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if ~isempty(M_.Sigma_e)
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oo_.exo_simul(:,i_exo_var) = randn(M_.maximum_lag+M_.maximum_lead+options_.periods,nxs)*chol_S;
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end
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y_ = simult_(ys,dr,oo_.exo_simul,order);
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if replic > 1
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fwrite(fh,y_(:,M_.maximum_lag+1:end),'float64');
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end
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end
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if replic > 1
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fclose(fh);
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end
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% 02/20/01 MJ replaced ys by dr.ys
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% 02/22/01 MJ removed commented out lines
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% removed useless temps
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% stderr_ replaced by M_.Sigma_e
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% 02/28/01 MJ changed expression for M_.Sigma_e
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% 02/18/03 MJ added ys in the calling sequence for arbitrary initial values
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% suppressed useless calling parameter istoch
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% 05/10/03 MJ removed repmat() in call to simult_() for lag > 1
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% 05/29/03 MJ test for 0 variances
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