From 647a4b8060ca164442730b55f1adf7704b68c5c6 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=20=28Argos=29?=
<stepan@adjemian.eu>
Date: Fri, 14 Mar 2025 11:18:08 +0100
Subject: [PATCH] Allow hybrid>2 in stochastic extended path.
Hybrid stochastic extended path with the constant correction in the
reduced form of the model approximated at order k>1 (perturbation
around the deterministic steady state).
---
matlab/ep/ep_problem_1.m | 2 +-
matlab/ep/ep_problem_2.m | 2 +-
matlab/ep/extended_path_initialization.m | 6 +++++-
...solve_stochastic_perfect_foresight_model_0.m | 17 ++++++++---------
...solve_stochastic_perfect_foresight_model_1.m | 4 ++++
5 files changed, 19 insertions(+), 12 deletions(-)
diff --git a/matlab/ep/ep_problem_1.m b/matlab/ep/ep_problem_1.m
index 51c7fb1a80..35757c83af 100644
--- a/matlab/ep/ep_problem_1.m
+++ b/matlab/ep/ep_problem_1.m
@@ -43,7 +43,7 @@ for i = 1:order+1
end
if i <= order
for k=1:nnodes
- if hybrid_order==2 && i==order
+ if hybrid_order && i==order
z = [Y(i_cols_p,i_w_p);
Y(i_cols_s,j);
Y(i_cols_f,(j-1)*nnodes+k)+h_correction(i_hc)];
diff --git a/matlab/ep/ep_problem_2.m b/matlab/ep/ep_problem_2.m
index 2fda1838bc..26ba78895c 100644
--- a/matlab/ep/ep_problem_2.m
+++ b/matlab/ep/ep_problem_2.m
@@ -79,7 +79,7 @@ for i = 1:order+1
else
k1 = (nnodes-1)*(i-1)+k;
end
- if hybrid_order == 2 && (k > 1 || i == order)
+ if hybrid_order && (k > 1 || i == order)
z = [Y(i_cols_p,1);
Y(i_cols_s,1);
Y(i_cols_f,k1)+h_correction(i_hc)];
diff --git a/matlab/ep/extended_path_initialization.m b/matlab/ep/extended_path_initialization.m
index 90828dc4b6..63197f3824 100644
--- a/matlab/ep/extended_path_initialization.m
+++ b/matlab/ep/extended_path_initialization.m
@@ -100,7 +100,11 @@ end
% hybrid correction
pfm.hybrid_order = ep.stochastic.hybrid_order;
-if pfm.hybrid_order
+if pfm.hybrid_order==1
+ warning('extended_path:: hybrid=1 is equivalent to hybrid=0 (option value must be an integer greater than 1 to be effective).')
+end
+
+if pfm.hybrid_order>1
oo_.dr = set_state_space(oo_.dr, M_);
options = options_;
options.order = pfm.hybrid_order;
diff --git a/matlab/ep/solve_stochastic_perfect_foresight_model_0.m b/matlab/ep/solve_stochastic_perfect_foresight_model_0.m
index efdaf62472..9196ea79bc 100644
--- a/matlab/ep/solve_stochastic_perfect_foresight_model_0.m
+++ b/matlab/ep/solve_stochastic_perfect_foresight_model_0.m
@@ -62,18 +62,18 @@ if update_pfm_struct
pfm.nodes = nodes;
pfm.weights = weights;
- hybrid_order = pfm.hybrid_order;
- dr = pfm.dr;
- if hybrid_order > 0
- if hybrid_order == 2
- h_correction = 0.5*dr.ghs2(dr.inv_order_var);
+ if pfm.hybrid_order>0
+ if pfm.hybrid_order==2
+ pfm.h_correction = 0.5*pfm.dr.ghs2(dr.inv_order_var);
+ elseif pfm.hybrid_order>2
+ pfm.h_correction = pfm.dr.g_0(pfm.dr.inv_order_var);
+ else
+ pfm.h_correction = 0;
end
else
- h_correction = 0;
+ pfm.h_correction = 0;
end
- pfm.h_correction = h_correction;
-
z = endo_simul(lead_lag_incidence_t(:)>0);
[~, jacobian] = dynamic_model(z, exo_simul, pfm.params, pfm.steady_state, 2);
@@ -134,7 +134,6 @@ if update_pfm_struct
pfm.order = order;
pfm.world_nbr = world_nbr;
- pfm.hybrid_order = hybrid_order;
pfm.i_cols_1 = i_cols_1;
pfm.i_cols_h = i_cols_j;
pfm.icA = icA;
diff --git a/matlab/ep/solve_stochastic_perfect_foresight_model_1.m b/matlab/ep/solve_stochastic_perfect_foresight_model_1.m
index 19eb067380..d9f0deda76 100644
--- a/matlab/ep/solve_stochastic_perfect_foresight_model_1.m
+++ b/matlab/ep/solve_stochastic_perfect_foresight_model_1.m
@@ -60,6 +60,10 @@ if update_pfm_struct
if pfm.hybrid_order > 0
if pfm.hybrid_order == 2
pfm.h_correction = 0.5*pfm.dr.ghs2(pfm.dr.inv_order_var);
+ elseif pfm.hybrid_order>2
+ pfm.h_correction = pfm.dr.g_0(pfm.dr.inv_order_var);
+ else
+ pfm.h_correction = 0;
end
else
pfm.h_correction = 0;
--
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