From 0391dbbeb1446467e8087cf4f3c80f4edb69d52d Mon Sep 17 00:00:00 2001
From: MichelJuillard <michel.juillard@mjui.fr>
Date: Fri, 4 Sep 2020 14:02:04 +0000
Subject: [PATCH] fix bug with lag on exogenous variables on more than one
period
(cherry picked from commit 492124ce9886e6aef4f4cefef302241d7edfe024)
---
matlab/perfect-foresight-models/sim1_linear.m | 17 ++++++++++++++---
.../sim1_purely_backward.m | 4 ++--
2 files changed, 16 insertions(+), 5 deletions(-)
diff --git a/matlab/perfect-foresight-models/sim1_linear.m b/matlab/perfect-foresight-models/sim1_linear.m
index 2a68ac0b57..6f63ca1fa1 100644
--- a/matlab/perfect-foresight-models/sim1_linear.m
+++ b/matlab/perfect-foresight-models/sim1_linear.m
@@ -120,9 +120,13 @@ if max(abs(d1))>options.solve_tolf
error('Jacobian is not evaluated at the steady state!')
end
+% current variables
[r0,c0,v0] = find(jacobian(:,jc));
+% current and predetermined
[rT,cT,vT] = find(jacobian(:,jpc));
+% current and jump variables
[r1,c1,v1] = find(jacobian(:,jcn));
+% all endogenous variables
[rr,cc,vv] = find(jacobian(:,jendo));
iv0 = 1:length(v0);
@@ -155,9 +159,16 @@ for it = (maximum_lag+1):(maximum_lag+periods)
nv = length(vv);
iA(iv+m,:) = [i_rows(rr),i_cols_A(cc),vv];
end
- z(jendo) = Y(i_cols);
- z(jexog) = transpose(exogenousvariables(it,:));
- res(i_rows) = jacobian*z;
+ if M.maximum_exo_lag > 0
+ % needed as jacobian for lagged exogenous variables is wrong
+ % in current version of Dynare
+ zz = Y(i_cols);
+ res(i_rows) = dynamicmodel(zz, exogenousvariables, params, steadystate_y, it);
+ else
+ z(jendo) = Y(i_cols);
+ z(jexog) = transpose(exogenousvariables(it,:));
+ res(i_rows) = jacobian*z;
+ end
m = m + nv;
i_rows = i_rows + ny;
i_cols = i_cols + ny;
diff --git a/matlab/perfect-foresight-models/sim1_purely_backward.m b/matlab/perfect-foresight-models/sim1_purely_backward.m
index b3d88a7123..689d4f310d 100644
--- a/matlab/perfect-foresight-models/sim1_purely_backward.m
+++ b/matlab/perfect-foresight-models/sim1_purely_backward.m
@@ -38,13 +38,13 @@ dynamicmodel = str2func([M.fname,'.dynamic']);
info.status = 1;
-for it = 2:options.periods+1
+for it = M.maximum_lag + (1:options.periods)
yb = endogenousvariables(:,it-1); % Values at previous period, also used as guess value for current period
yb1 = yb(iyb);
[tmp, check] = solve1(dynamicmodel, [yb1; yb], 1:M.endo_nbr, nyb+1:nyb+M.endo_nbr, ...
1, options.gstep, options.dynatol.f, options.dynatol.x, ...
options.simul.maxit, options.debug, exogenousvariables, ...
- M.params, steadystate, it+M.maximum_lag-1);
+ M.params, steadystate, it);
if check
info.status = 0;
end
--
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