Commit 0d483ff8 authored by Johannes Pfeifer 's avatar Johannes Pfeifer
Browse files

evaluate_planner_objective.m: Factorize setting of initial condition

also takes care of initially set shocks
parent acdad938
......@@ -120,20 +120,7 @@ if options_.ramsey_policy
Wy = Uy*gy/(eye(nspred)-beta*Gy);
Wu = Uy*gu + beta*Wy*Gu;
% initialize Lagrange multipliers to their steady-state values in yhat_L_SS
yhat_L_SS = ys;
% initialize Lagrange multipliers to 0 in yhat_L_0
yhat_L_0 = zeros(M_.endo_nbr,1);
if ~isempty(M_.endo_histval)
% initialize endogenous state variable to histval if necessary
yhat_L_SS(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
yhat_L_0(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
else
yhat_L_0(1:M_.orig_endo_nbr) = ys(1:M_.orig_endo_nbr);
end
yhat_L_0 = yhat_L_0(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
yhat_L_SS = yhat_L_SS(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
u = oo_.exo_simul(1,:)';
[yhat_L_SS,yhat_L_0, u]=get_initial_state(ys,M_,dr,oo_);
W_L_SS = Wbar+Wy*yhat_L_SS+Wu*u;
W_L_0 = Wbar+Wy*yhat_L_0+Wu*u;
......@@ -212,20 +199,7 @@ if options_.ramsey_policy
Wss = (Uy*gss + beta*(Wy*Gss + Wuu*M_.Sigma_e(:)))/(1-beta);
Wyu = Uyygugy + Uy*gyu + beta*(Wyygugy + Wy*Gyu);
% initialize Lagrange multipliers to their steady-state values in yhat_L_SS
yhat_L_SS = ys;
% initialize Lagrange multipliers to 0 in yhat_L_0
yhat_L_0 = zeros(M_.endo_nbr,1);
if ~isempty(M_.endo_histval)
% initialize endogenous state variable to histval if necessary
yhat_L_SS(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
yhat_L_0(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
else
yhat_L_0(1:M_.orig_endo_nbr) = ys(1:M_.orig_endo_nbr);
end
yhat_L_0 = yhat_L_0(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
yhat_L_SS = yhat_L_SS(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
u = oo_.exo_simul(1,:)';
[yhat_L_SS,yhat_L_0, u]=get_initial_state(ys,M_,dr,oo_);
Wyu_yu_L_SS = A_times_B_kronecker_C(Wyu,yhat_L_SS,u);
Wyy_yy_L_SS = A_times_B_kronecker_C(Wyy,yhat_L_SS,yhat_L_SS);
......@@ -310,20 +284,7 @@ elseif options_.discretionary_policy
Wss = beta*Wuu*M_.Sigma_e(:)/(1-beta);
Wyu = Uyygugy + beta*Wyygugy;
% initialize Lagrange multipliers to their steady-state values in yhat_L_SS
yhat_L_SS = ys;
% initialize Lagrange multipliers to 0 in yhat_L_0
yhat_L_0 = zeros(M_.endo_nbr,1);
if ~isempty(M_.endo_histval)
% initialize endogenous state variable to histval if necessary
yhat_L_SS(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
yhat_L_0(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
else
yhat_L_0(1:M_.orig_endo_nbr) = ys(1:M_.orig_endo_nbr);
end
yhat_L_0 = yhat_L_0(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
yhat_L_SS = yhat_L_SS(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
u = oo_.exo_simul(1,:)';
[yhat_L_SS,yhat_L_0, u]=get_initial_state(ys,M_,dr,oo_);
Wyu_yu_L_SS = A_times_B_kronecker_C(Wyu,yhat_L_SS,u);
Wyy_yy_L_SS = A_times_B_kronecker_C(Wyy,yhat_L_SS,yhat_L_SS);
......@@ -356,3 +317,46 @@ if ~options_.noprint
fprintf(' - with initial Lagrange multipliers set to steady state: %10.8f\n\n', planner_objective_value.conditional.steady_initial_multiplier)
end
end
function [yhat_L_SS,yhat_L_0, u]=get_initial_state(ys,M_,dr,oo_)
% initialize Lagrange multipliers to their steady-state values in yhat_L_SS
yhat_L_SS = ys;
% initialize Lagrange multipliers to 0 in yhat_L_0
yhat_L_0 = zeros(M_.endo_nbr,1);
if ~isempty(M_.aux_vars)
mult_indicator=([M_.aux_vars(:).type]==6);
mult_indices=[M_.aux_vars(mult_indicator).endo_index];
else
mult_indices=[];
end
non_mult_indices=~ismember(1:M_.endo_nbr,mult_indices);
if ~isempty(M_.endo_histval)
% initialize endogenous state variable to histval if necessary
yhat_L_SS(non_mult_indices) = M_.endo_histval(non_mult_indices);
yhat_L_0(non_mult_indices) = M_.endo_histval(non_mult_indices);
else
yhat_L_0(non_mult_indices) = ys(non_mult_indices);
end
yhat_L_0 = yhat_L_0(dr.order_var(M_.nstatic+(1:M_.nspred)),1)-ys(dr.order_var(M_.nstatic+(1:M_.nspred)));
yhat_L_SS = yhat_L_SS(dr.order_var(M_.nstatic+(1:M_.nspred)),1)-ys(dr.order_var(M_.nstatic+(1:M_.nspred)));
if ~isempty(M_.det_shocks)
if ~all(oo_.exo_simul(1,:)==0)
fprintf(['\nevaluate_planner_objective: oo_.exo_simul contains simulated values for the initial period.\n'...
'evaluate_planner_objective: Dynare will ignore them and use the provided initial condition.\n'])
end
u =oo_.exo_steady_state;
periods=[M_.det_shocks(:).periods];
if ~all(periods==0)
fprintf(['\nevaluate_planner_objective: Shock values for periods other than the intial period 0 have been provided.\n' ...
'evaluate_planner_objective: Note that they will be ignored.\n'])
end
shock_indices=find(periods==0);
if any([M_.det_shocks(shock_indices).multiplicative])
fprintf(['\nevaluate_planner_objective: Shock values need to be specified as additive.\n'])
end
u([M_.det_shocks(shock_indices).exo_id])=[M_.det_shocks(shock_indices).value];
else
u = oo_.exo_simul(1,:)'; %first value of simulation series (set by simult.m if periods>0), 1 otherwise
end
......@@ -12,7 +12,7 @@ phi=1;
rho=0.95;
model;
a = rho*a(-1)+u;
a = rho*a(-1)+u+u(-1);
1/c = beta*r/(c(+1)*pai(+1));
pai*(pai-1)/c = beta*pai(+1)*(pai(+1)-1)/c(+1)+epsilon*phi*n^(gamma+1)/omega -exp(a)*n*(epsilon-1)/(omega*c);
exp(a)*n = c+(omega/2)*(pai-1)^2;
......@@ -23,6 +23,7 @@ r=1;
end;
histval;
u(0)=1;
a(0)=-1;
end;
......@@ -36,11 +37,30 @@ end;
shocks;
var u; stderr 0.008;
var u;
periods 1;
periods 0;
values 1;
end;
options_.dr_display_tol=0;
planner_objective(ln(c)-phi*((n^(1+gamma))/(1+gamma)));
ramsey_model(planner_discount=0.99,instruments=(r));
stoch_simul(order=1);
evaluate_planner_objective;
\ No newline at end of file
evaluate_planner_objective;
stoch_simul(order=2);
evaluate_planner_objective;
initval;
r=1;
end;
histval;
u(0)=0;
a(0)=0;
end;
shocks(overwrite);
var u; stderr 0.008;
end;
stoch_simul(order=1);
evaluate_planner_objective;
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