stochastic extended path: additional changes

matlab/ep/extended_path.m

@@ -123,6 +123,17 @@ t  = 0;
 hh = dyn_waitbar(0,'Please wait. Extended Path simulations...');
 set(hh,'Name','EP simulations.');
 
+% hybrid correction
+pfm.hybrid_order = options_.ep.stochastic.hybrid_order;
+if pfm.hybrid_order
+    oo_.dr = set_state_space(oo_.dr,M_,options_);
+    options = options_;
+    options.order = pfm.hybrid_order;
+    pfm.dr = resol(0,M_,options,oo_);
+else
+    pfm.dr = [];
+end
+
 % Main loop.
 while (t<sample_size)
     if ~mod(t,10)
@@ -164,7 +175,14 @@ while (t<sample_size)
                 if options_.ep.stochastic.order == 0
                     [flag,tmp,err] = solve_perfect_foresight_model(endo_simul_1,exo_simul_1,pfm1);
                 else
-                    [flag,tmp] = solve_stochastic_perfect_foresight_model(endo_simul_1,exo_simul_1,pfm1,options_.ep.stochastic.quadrature.nodes,options_.ep.stochastic.order);
+                    switch(options_.ep.stochastic.algo)
+                        case 0
+                        [flag,tmp] = ...
+                            solve_stochastic_perfect_foresight_model(endo_simul_1,exo_simul_1,pfm1,options_.ep.stochastic.quadrature.nodes,options_.ep.stochastic.order);
+                        case 1
+                          [flag,tmp] = ...
+                              solve_stochastic_perfect_foresight_model_1(endo_simul_1,exo_simul_1,pfm1,options_.ep.stochastic.quadrature.nodes,options_.ep.stochastic.order);
+                    end
                 end
             end
             info_convergence = ~flag;

matlab/global_initialization.m

@@ -177,12 +177,14 @@ ep.set_dynare_seed_to_default = 1;
 ep.stack_solve_algo = 4;
 % Stochastic extended path related options.
 ep.stochastic.method = '';
+ep.stochastic.algo = 0;
 ep.stochastic.quadrature.ortpol = 'hermite';
 ep.stochastic.order = 0;
 ep.stochastic.quadrature.nodes = 5;
 ep.stochastic.quadrature.pruned.status = 0;
 ep.stochastic.quadrature.pruned.relative = 1e-5;
 ep.stochastic.quadrature.pruned.level = 1e-5;
+ep.stochastic.hybrid_order = 0;
 % Copy ep structure in options_ global structure
 options_.ep = ep;
 
@@ -345,6 +347,7 @@ options_.filter_step_ahead = [];
 options_.filtered_vars = 0;
 options_.first_obs = 1;
 options_.kalman_algo = 0;
+options_.fast_kalman = 0;
 options_.kalman_tol = 1e-10;
 options_.use_univariate_filters_if_singularity_is_detected = 1;
 options_.riccati_tol = 1e-6;