Commit 3a137c3e authored by stepan's avatar stepan
Browse files

Added files for extended path simulations.

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3120 ac1d8469-bf42-47a9-8791-bf33cf982152
parent ba6c1da0
function d = bksup0(c,ny,jcf,iyf,icf,periods)
% Solves deterministic models recursively by backsubstitution for one lead/lag
%
% INPUTS
% ny: number of endogenous variables
% jcf: variables index forward
%
% OUTPUTS
% d: vector of backsubstitution results
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2003-2009 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
ir = ((periods-2)*ny+1):(ny+(periods-2)*ny);
irf = iyf+(periods-1)*ny ;
for i = 2:periods
c(ir,jcf) = c(ir,jcf)-c(ir,icf)*c(irf,jcf);
ir = ir-ny;
irf = irf-ny;
end
d = c(:,jcf);
\ No newline at end of file
function time_series = extended_path(initial_conditions,sample_size)
% Stochastic simulation of a non linear DSGE model using the Extended Path method (Fair and Taylor 1983). A time
% series of size T is obtained by solving T perfect foresight models.
%
% INPUTS
% o initial_conditions [double] m*nlags array, where m is the number of endogenous variables in the model and
% nlags is the maximum number of lags.
% o sample_size [integer] scalar, size of the sample to be simulated.
%
% OUTPUTS
% o time_series [double] m*sample_size array, the simulations.
%
% ALGORITHM
%
% SPECIAL REQUIREMENTS
% Copyright (C) 2009 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ oo_ options_
% Set default initial conditions.
if isempty(initial_conditions)
initial_conditions = repmat(oo_.steady_state,1,M_.maximum_lag);
end
% Copy sample_size to periods.
options_.periods = sample_size;
% Initialize the exogenous variables.
make_ex_;
% Initialize the endogenous variables.
make_y_;
% Initialize the output array.
time_series = NaN(M_.endo_nbr,sample_size+1);
% Set the covariance matrix of the structural innovations.
variances = diag(M_.Sigma_e);
positive_var_indx = find(variances>0);
covariance_matrix = M_.Sigma_e(positive_var_indx,positive_var_indx);
number_of_structural_innovations = length(covariance_matrix);
covariance_matrix_upper_cholesky = chol(covariance_matrix);
tdx = M_.maximum_lag+1;
for t=1:sample_size
oo_.exo_simul(tdx,positive_var_indx) = exp(randn(1,number_of_structural_innovations)*covariance_matrix_upper_cholesky-.5*variances(positive_var_indx)');
perfect_foresight_simulation;
time_series(:,t+1) = oo_.endo_simul(:,tdx);
oo_.endo_simul(:,1:end-1) = oo_.endo_simul(:,2:end);
oo_.endo_simul(:,end) = oo_.steady_state;
end
\ No newline at end of file
function info = perfect_foresight_simulation(init)
% performs deterministic simulations with lead or lag on one period
%
% INPUTS
% none
%
% OUTPUTS
% none
%
% ALGORITHM
% Laffargue, Boucekkine, Juillard (LBJ)
% see Juillard (1996) Dynare: A program for the resolution and
% simulation of dynamic models with forward variables through the use
% of a relaxation algorithm. CEPREMAP. Couverture Orange. 9602.
%
% SPECIAL REQUIREMENTS
% None.
% Copyright (C) 1996-2009 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ options_ oo_
global ct_ it_
persistent flag_init
persistent lead_lag_incidence dynamic_model ny nyp nyf nrs nrc iyf iyp isp is isf isf1 iz icf
if nargin==1
flag_init = [];
end
if isempty(flag_init)
lead_lag_incidence = M_.lead_lag_incidence;
dynamic_model = [M_.fname '_dynamic'];
ny = size(oo_.endo_simul,1);
nyp = nnz(lead_lag_incidence(1,:));
nyf = nnz(lead_lag_incidence(3,:));
nrs = ny+nyp+nyf+1;
nrc = nyf+1;
iyf = find(lead_lag_incidence(3,:)>0);
iyp = find(lead_lag_incidence(1,:)>0);
isp = 1:nyp;
is = (nyp+1):(ny+nyp);
isf = iyf+nyp;
isf1 = (nyp+ny+1):(nyf+nyp+ny+1);
iz = 1:(ny+nyp+nyf);
icf = 1:size(iyf,2);
flag_init = 1;
if nargin==1
return
end
end
endo_simul = oo_.endo_simul;
periods = options_.periods;
stop = 0 ;
it_init = M_.maximum_lag+1;
info.convergence = 1;
info.time = 0;
info.error = 0;
info.iterations.time = zeros(options_.maxit_,1);
info.iterations.error = info.iterations.time;
h1 = clock;
for iter = 1:options_.maxit_
h2 = clock;
if ct_ == 0
c = zeros(ny*periods,nrc);
else
c = zeros(ny*(periods+1),nrc);
end
it_ = it_init ;
z = [ endo_simul(iyp,it_-1) ; endo_simul(:,it_) ; endo_simul(iyf,it_+1) ];
[d1,jacobian] = feval(dynamic_model,z,oo_.exo_simul, M_.params, it_);
jacobian = [jacobian(:,iz) , -d1];
ic = 1:ny;
icp = iyp;
c(ic,:) = jacobian(:,is)\jacobian(:,isf1) ;
for it_ = it_init+(1:periods-1)
z = [ endo_simul(iyp,it_-1) ; endo_simul(:,it_) ; endo_simul(iyf,it_+1)];
[d1,jacobian] = feval(dynamic_model,z,oo_.exo_simul, M_.params, it_);
jacobian = [jacobian(:,iz) , -d1];
jacobian(:,[isf nrs]) = jacobian(:,[isf nrs])-jacobian(:,isp)*c(icp,:);
ic = ic + ny;
icp = icp + ny;
c(ic,:) = jacobian(:,is)\jacobian(:,isf1);
end
if ct_ == 1
s = eye(ny);
s(:,isf) = s(:,isf)+c(ic,1:nyf);
ic = ic + ny;
c(ic,nrc) = s\c(:,nrc);
c = bksup0(c,ny,nrc,iyf,icf,periods);
c = reshape(c,ny,periods+1);
endo_simul(:,it_init+(0:periods)) = endo_simul(:,it_init+(0:periods))+options_.slowc*c;
else
c = bksup0(c,ny,nrc,iyf,icf,periods);
c = reshape(c,ny,periods);
endo_simul(:,it_init+(0:periods-1)) = endo_simul(:,it_init+(0:periods-1))+options_.slowc*c;
end
err = max(max(abs(c./options_.scalv')));
info.iterations.time(iter) = etime(clock,h2);
info.iterations.error(iter) = err;
if err < options_.dynatol
stop = 1;
info.time = etime(clock,h1);
info.error = err;
info.iterations.time = info.iterations.time(1:iter);
info.iterations.error = info.iterations.error(1:iter);
oo_.endo_simul = endo_simul;
break
end
end
if ~stop
info.time = etime(clock,h1);
info.error = err;
info.convergence = 0;
end
\ No newline at end of file
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