Commit 9a23cee3 authored by stepan's avatar stepan
Browse files

* Changed name of ct_ --> options_.terminal_condition. The default value is zero

  (the terminal condition is y_{T} = y^{\star}), other possible values
  are  1  (terminal  condition   is  y_{T+1}=y_{T})  and  2  (terminal
  condition is  y_{T+1}=TransitionMatrix*y_{T}, where TransitionMatrix
  is given by the first order approximation of the reduced form model).
* Added mode options_.terminal_condition=2 in perfect_foresight_simulation.m.



git-svn-id: https://www.dynare.org/svn/dynare/trunk@3176 ac1d8469-bf42-47a9-8791-bf33cf982152
parent 622a2d7e
......@@ -30,8 +30,7 @@ function global_initialization()
global oo_ M_ options_ ct_
ct_=0;
options_.terminal_condition = 0;
options_.rplottype = 0;
options_.smpl = 0;
options_.dynatol = 0.00001;
......
function info = perfect_foresight_simulation(init)
% performs deterministic simulations with lead or lag on one period
function [info,endo_simul] = perfect_foresight_simulation(endo_simul,exo_simul,compute_linear_solution,steady_state)
% Performs deterministic simulations with lead or lag on one period
%
% INPUTS
% none
%
% endo_simul [double] n*T matrix, where n is the number of endogenous variables.
% exo_simul [double] q*T matrix, where q is the number of shocks.
% compute_linear_solution [integer] scalar equal to zero or one.
%
% OUTPUTS
% none
%
......@@ -33,40 +35,44 @@ function info = perfect_foresight_simulation(init)
% 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_
global M_ options_ 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
persistent ghx
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,:));
dynamic_model = [M_.fname '_dynamic'];
ny = size(endo_simul,1);
nyp = nnz(lead_lag_incidence(1,:));% number of lagged variables.
nyf = nnz(lead_lag_incidence(3,:));% number of leaded variables.
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);
iyf = find(lead_lag_incidence(3,:)>0);% indices for leaded variables.
iyp = find(lead_lag_incidence(1,:)>0);% indices for lagged variables.
isp = 1:nyp;
is = (nyp+1):(nyp+ny); % Indices for contemporaneaous variables.
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
iz = 1:(ny+nyp+nyf);
icf = 1:size(iyf,2);
flag_init = 1;
end
if nargin<3
compute_linear_solution = 0;
if nargin<4
error('The steady state (fourth input argument) is missing!');
end
end
end
endo_simul = oo_.endo_simul;
periods = options_.periods;
if compute_linear_solution
[dr,info]=resol(steady_state,0);
ghx = dr.ghx(end-dr.nfwrd+1:end,:);
end
periods = options_.periods;
stop = 0 ;
it_init = M_.maximum_lag+1;
......@@ -80,63 +86,80 @@ function info = perfect_foresight_simulation(init)
last_line = options_.maxit_;
error_growth = 0;
h1 = clock;
h1 = clock;
for iter = 1:options_.maxit_
h2 = clock;
if ct_ == 0
c = zeros(ny*periods,nrc);
else
h2 = clock;
if options_.terminal_condition
c = zeros(ny*(periods+1),nrc);
else
c = zeros(ny*periods,nrc);
end
it_ = it_init ;
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_);
[d1,jacobian] = feval(dynamic_model,z,exo_simul, M_.params, it_);
jacobian = [jacobian(:,iz) , -d1];
ic = 1:ny;
icp = iyp;
ic = 1:ny;
icp = iyp;
c(ic,:) = jacobian(:,is)\jacobian(:,isf1) ;
for it_ = it_init+(1:periods-1)
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_);
[d1,jacobian] = feval(dynamic_model,z,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);
icp = icp + ny;
c(ic,:) = jacobian(:,is)\jacobian(:,isf1);
end
if options_.terminal_condition
if options_.terminal_condition==1% Terminal condition is Y_{T} = Y_{T+1}
s = eye(ny);
s(:,isf) = s(:,isf)+c(ic,1:nyf);
ic = ic + ny;
c(ic,nrc) = s\c(ic,nrc);
else% Terminal condition is Y_{T}-Y^{\star} = TransitionMatrix*(Y_{T+1}-Y^{\star})
z = [ endo_simul(iyp,it_-1) ; endo_simul(:,it_) ; endo_simul(iyf,it_+1) ] ;
[d1,jacobian] = feval(dynamic_model,z,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;
s = jacobian(:,is);
s(:,iyp-nyp) = s(:,iyp-nyp)+jacobian(:,isf)*ghx;
c (ic,:) = s\jacobian(:,isf1);
end
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);
else% Terminal condition is Y_{T}=Y^{\star}
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
end
err = max(max(abs(c)));
info.iterations.time(iter) = etime(clock,h2);
info.iterations.error(iter) = err;
if iter>1
error_growth = error_growth + (info.iterations.error(iter)>info.iterations.error(iter-1));
end
if isnan(err) || error_growth>3
last_line = iter;
break
end
if err < options_.dynatol
stop = 1;
% if iter>1
% error_growth = error_growth + (info.iterations.error(iter)>info.iterations.error(iter-1));
% end
% if isnan(err) || error_growth>3
% last_line = iter;
% break
% end
if err < options_.dynatol
stop = 1;
info.time = etime(clock,h1);
info.error = err;
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
info.iterations.error = info.iterations.error(1:iter);
break
end
end
end
if options_.terminal_condition==2
distance_to_steady_state = abs(((endo_simul(:,end-1)-endo_simul(:,end))./endo_simul(:,end)))*100;
disp('Distance to steady state at the end is (in percentage):')
distance_to_steady_state
end
if ~stop
info.time = etime(clock,h1);
......@@ -144,4 +167,6 @@ function info = perfect_foresight_simulation(init)
info.convergence = 0;
info.iterations.time = info.iterations.time(1:last_line);
info.iterations.error = info.iterations.error(1:last_line);
info.iterations.error
endo_simul = [ ];
end
\ No newline at end of file
......@@ -33,7 +33,7 @@ function sim1
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ options_ oo_
global iyp iyf ct_ M_ it_ c
global iyp iyf M_ it_ c
lead_lag_incidence = M_.lead_lag_incidence;
......@@ -61,7 +61,7 @@ h1 = clock ;
for iter = 1:options_.maxit_
h2 = clock ;
if ct_ == 0
if options_.terminal_condition == 0
c = zeros(ny*options_.periods,nrc) ;
else
c = zeros(ny*(options_.periods+1),nrc) ;
......@@ -84,7 +84,7 @@ for iter = 1:options_.maxit_
c (ic,:) = jacobian(:,is)\jacobian(:,isf1) ;
end
if ct_ == 1
if options_.terminal_condition == 1
s = eye(ny) ;
s(:,isf) = s(:,isf)+c(ic,1:nyf) ;
ic = ic + ny ;
......
......@@ -35,7 +35,7 @@ function simk
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ options_ oo_
global it_ iyr0 ct_ broyden_
global it_ iyr0 broyden_
%func_name = [M_.fname '_static'];
nk = M_.maximum_endo_lag + M_.maximum_endo_lead + 1 ;
......@@ -283,7 +283,7 @@ for iter = 1:options_.maxit_
iyr = iyr + ny ;
icr0 = icr0 + ny ;
end
if ct_ == 1
if options_.terminal_condition == 1
ofs = (((it_-M_.maximum_lag-2)*ny+1)-1)*ncc*8 ;
junk = fseek(fid,ofs,-1) ;
......@@ -303,7 +303,7 @@ for iter = 1:options_.maxit_
end
end
oo_.endo_simul = reshape(oo_.endo_simul,ny,options_.periods+M_.maximum_lag+M_.maximum_endo_lead) ;
if ct_ == 1
if options_.terminal_condition == 1
hbacsup = clock ;
c = bksupk(ny,fid,ncc,icc1) ;
hbacsup = etime(clock,hbacsup) ;
......
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