Commit f44db937 authored by MichelJuillard's avatar MichelJuillard
Browse files

fixing problem with Ramsey policy and auxiliary variables

parent 4ac4fdb2
......@@ -56,7 +56,7 @@ if options_.steadystate_flag
[xx,params,check] = evaluate_steady_state_file(ys,exo_ss,params,...
M.fname,options_.steadystate_flag);
else
n_var = M.orig_endo_nbr+min(find([M.aux_vars.type] == 6)) - 1;
n_var = M.orig_endo_nbr;
xx = oo.steady_state(1:n_var);
[xx,info1] = dynare_solve(nl_func,xx,0);
steady_state = nl_func(xx);
......@@ -71,13 +71,17 @@ rJ = [];
mult = [];
% recovering usefull fields
params = M.params;
endo_nbr = M.endo_nbr;
endo_names = M.endo_names;
exo_nbr = M.exo_nbr;
orig_endo_nbr = M.orig_endo_nbr;
aux_vars_type = [M.aux_vars.type];
orig_endo_aux_nbr = orig_endo_nbr + min(find(aux_vars_type == 6)) - 1;
orig_eq_nbr = M.orig_eq_nbr;
inst_nbr = orig_endo_nbr - orig_eq_nbr;
inst_nbr = orig_endo_aux_nbr - orig_eq_nbr;
% indices of Lagrange multipliers
i_mult = [orig_endo_nbr+(1:orig_eq_nbr)]';
i_mult = [orig_endo_aux_nbr+(1:orig_eq_nbr)]';
fname = M.fname;
max_lead = M.maximum_lead;
max_lag = M.maximum_lag;
......@@ -94,16 +98,18 @@ if options_.steadystate_flag
instruments = options_.instruments;
for i = 1:size(instruments,1)
k_inst = [k_inst; strmatch(instruments(i,:), ...
M.endo_names,'exact')];
endo_names,'exact')];
end
oo.steady_state(k_inst) = x;
[x,params,check] = evaluate_steady_state_file(oo.steady_state,...
[oo.exo_steady_state; ...
oo.exo_det_steady_state] ...
,M.params,M.fname,...
,params,fname,...
options_.steadystate_flag);
end
xx = zeros(endo_nbr,1);
xx(1:length(x)) = x;
% setting steady state of auxiliary variables
% that depends on original endogenous variables
if any([M.aux_vars.type] ~= 6)
......@@ -112,44 +118,43 @@ if any([M.aux_vars.type] ~= 6)
s_a_v_func = @(z) fh(z,...
[oo.exo_steady_state,...
oo.exo_det_steady_state],...
M.params);
x = s_a_v_func(x);
params);
xx = s_a_v_func(xx);
else
needs_set_auxiliary_variables = 0;
end
% value and Jacobian of objective function
ex = zeros(1,M.exo_nbr);
[U,Uy,Uyy] = feval([fname '_objective_static'],x,ex, M.params);
[U,Uy,Uyy] = feval([fname '_objective_static'],x,ex, params);
Uy = Uy';
Uyy = reshape(Uyy,endo_nbr,endo_nbr);
% set multipliers and auxiliary variables that
% depends on multipliers to 0 to compute residuals
xx = [x; zeros(M.endo_nbr - M.orig_eq_nbr,1)];
[res,fJ] = feval([fname '_static'],xx,[oo.exo_simul oo.exo_det_simul], ...
M.params);
% index of multipliers and corresponding equations
% the auxiliary variables before the Lagrange multipliers are treated
% as ordinary endogenous variables
n_var = M.orig_endo_nbr + min(find([M.aux_vars.type] == 6)) - 1;
aux_eq = [1:n_var, orig_endo_nbr+orig_eq_nbr+1:size(fJ,1)];
A = fJ(aux_eq,n_var+1:end);
aux_eq = [1:orig_endo_aux_nbr, orig_endo_aux_nbr+orig_eq_nbr+1:size(fJ,1)];
A = fJ(aux_eq,orig_endo_aux_nbr+1:end);
y = res(aux_eq);
mult = -A\y;
aux_vars = -A\y;
resids1 = y+A*mult;
resids1 = y+A*aux_vars;
if inst_nbr == 1
r1 = sqrt(resids1'*resids1);
else
[q,r,e] = qr([A y]');
r1 = r(end,(orig_endo_nbr-inst_nbr+1:end))';
k = size(A,1)+(1-inst_nbr:0);
r1 = r(end,k)';
end
if options_.steadystate_flag
resids = r1;
else
resids = [resids1; r1];
resids = [res(orig_endo_nbr+(1:orig_endo_nbr-inst_nbr)); r1];
end
rJ = [];
steady_state = [x(1:n_var); mult];
\ No newline at end of file
steady_state = [xx(1:orig_endo_aux_nbr); aux_vars];
\ No newline at end of file
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