From 7829a252387d6da559b37b37797bf5fa4330f6ad Mon Sep 17 00:00:00 2001
From: Houtan Bastani <houtan@dynare.org>
Date: Mon, 14 Nov 2016 16:47:35 +0100
Subject: [PATCH] make stoch_simul solve linear model using order=1, even when
order=2,3 specified. Also makes stoch_simul more efficient. closes #1336
(cherry picked from commit e29be9676dd40388919819af2d366b8308763ccc)
---
matlab/stochastic_solvers.m | 28 ++++++++++++++++++++--------
1 file changed, 20 insertions(+), 8 deletions(-)
diff --git a/matlab/stochastic_solvers.m b/matlab/stochastic_solvers.m
index 2772001431..326c25f806 100644
--- a/matlab/stochastic_solvers.m
+++ b/matlab/stochastic_solvers.m
@@ -52,12 +52,18 @@ if options_.linear
options_.order = 1;
end
-if (options_.aim_solver == 1) && (options_.order > 1)
+local_order = options_.order;
+if M_.hessian_eq_zero
+ local_order = 1;
+ warning('stochastic_solvers: using order = 1 because Hessian is equal to zero');
+end
+
+if (options_.aim_solver == 1) && (local_order > 1)
error('Option "aim_solver" is incompatible with order >= 2')
end
if M_.maximum_endo_lag == 0
- if options_.order >= 2
+ if local_order >= 2
fprintf('\nSTOCHASTIC_SOLVER: Dynare does not solve purely forward models at higher order.\n')
fprintf('STOCHASTIC_SOLVER: To circumvent this restriction, you can add a backward-looking dummy equation of the form:\n')
fprintf('STOCHASTIC_SOLVER: junk=0.9*junk(-1);\n')
@@ -84,8 +90,11 @@ if options_.k_order_solver;
[dr,info] = dyn_risky_steadystate_solver(oo_.steady_state,M_,dr, ...
options_,oo_);
else
+ orig_order = options_.order;
+ options_.order = local_order;
dr = set_state_space(dr,M_,options_);
[dr,info] = k_order_pert(dr,M_,options_);
+ options_.order = orig_order;
end
return;
end
@@ -103,7 +112,7 @@ end
it_ = M_.maximum_lag + 1;
z = repmat(dr.ys,1,klen);
-if options_.order == 1
+if local_order == 1
if (options_.bytecode)
[chck, junk, loc_dr] = bytecode('dynamic','evaluate', z,exo_simul, ...
M_.params, dr.ys, 1);
@@ -112,7 +121,7 @@ if options_.order == 1
[junk,jacobia_] = feval([M_.fname '_dynamic'],z(iyr0),exo_simul, ...
M_.params, dr.ys, it_);
end;
-elseif options_.order == 2
+elseif local_order == 2
if (options_.bytecode)
[chck, junk, loc_dr] = bytecode('dynamic','evaluate', z,exo_simul, ...
M_.params, dr.ys, 1);
@@ -218,7 +227,7 @@ b(:,cols_b) = jacobia_(:,cols_j);
if M_.maximum_endo_lead == 0
% backward models: simplified code exist only at order == 1
- if options_.order == 1
+ if local_order == 1
[k1,junk,k2] = find(kstate(:,4));
dr.ghx(:,k1) = -b\jacobia_(:,k2);
if M_.exo_nbr
@@ -241,8 +250,11 @@ if M_.maximum_endo_lead == 0
'backward models'])
end
elseif options_.risky_steadystate
+ orig_order = options_.order;
+ options_.order = local_order;
[dr,info] = dyn_risky_steadystate_solver(oo_.steady_state,M_,dr, ...
options_,oo_);
+ options_.order = orig_order;
else
% If required, use AIM solver if not check only
if (options_.aim_solver == 1) && (task == 0)
@@ -255,7 +267,7 @@ else
end
end
- if options_.order > 1
+ if local_order > 1
% Second order
dr = dyn_second_order_solver(jacobia_,hessian1,dr,M_,...
options_.threads.kronecker.A_times_B_kronecker_C,...
@@ -287,7 +299,7 @@ if M_.exo_det_nbr > 0
dr.ghud{i} = -M2*dr.ghud{i-1}(end-nsfwrd+1:end,:);
end
- if options_.order > 1
+ if local_order > 1
lead_lag_incidence = M_.lead_lag_incidence;
k0 = find(lead_lag_incidence(M_.maximum_endo_lag+1,order_var)');
k1 = find(lead_lag_incidence(M_.maximum_endo_lag+2,order_var)');
@@ -364,7 +376,7 @@ if options_.loglinear
dr.ghx(il,iklag) = dr.ghx(il,iklag).*repmat(dr.ys(klag1)', ...
length(il),1);
end
- if options_.order>1
+ if local_order > 1
error('Loglinear options currently only works at order 1')
end
end
--
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