diff --git a/matlab/+occbin/kalman_update_algo_1.m b/matlab/+occbin/kalman_update_algo_1.m
index e7c936670efb54b70ab11a4b8ca1689be77710d0..9600130ae1fa484852c287edb9ae753694e0e474 100644
--- a/matlab/+occbin/kalman_update_algo_1.m
+++ b/matlab/+occbin/kalman_update_algo_1.m
@@ -194,7 +194,9 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
else
opts_simul.endo_init = alphahat(oo_.dr.inv_order_var,1);
end
-% opts_simul.init_regime=regimes_(1);
+ if not(options_.occbin.filter.use_relaxation)
+ opts_simul.init_regime=regimes_(1);
+ end
if M_.occbin.constraint_nbr==1
myregimestart = [regimes_.regimestart];
else
diff --git a/matlab/+occbin/kalman_update_algo_3.m b/matlab/+occbin/kalman_update_algo_3.m
index ca93b187fb4f9b2a81f7488a0815cd27e8daca3b..70e46770f8d8f540e70d06dd6c55306b3ea549a4 100644
--- a/matlab/+occbin/kalman_update_algo_3.m
+++ b/matlab/+occbin/kalman_update_algo_3.m
@@ -128,7 +128,7 @@ if M_.occbin.constraint_nbr==1
else
myregime = [regimes_.regime1 regimes_.regime2];
end
-regime_hist = {regimes0};
+regime_hist = {regimes0(1)};
if M_.occbin.constraint_nbr==1
regime_end = regimes0(1).regimestart(end);
end
@@ -180,7 +180,7 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
CC(:,2)=ss.C(my_order_var,1);
end
newguess=0;
- regime_hist(niter) = {regimes_};
+ regime_hist(niter) = {regimes_(1)};
if M_.occbin.constraint_nbr==1
regime_end(niter) = regimes_(1).regimestart(end);
end
@@ -199,7 +199,9 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
opts_simul.endo_init = alphahat(oo_.dr.inv_order_var,1);
end
% end
- % opts_simul.init_regime=regimes_(1); %% why don't we use this ???
+ if not(options_.occbin.filter.use_relaxation)
+ opts_simul.init_regime=regimes_(1);
+ end
if M_.occbin.constraint_nbr==1
myregimestart = [regimes_.regimestart];
else
@@ -212,7 +214,7 @@ if any(myregime) || ~isequal(regimes_(1),regimes0(1))
regimes_ = out.regime_history;
if niter>1
for kiter=1:niter-1
- is_periodic(kiter) = isequal(regime_hist{kiter}, regimes_);
+ is_periodic(kiter) = isequal(regime_hist{kiter}, regimes_(1));
end
is_periodic = any(is_periodic);
if is_periodic
@@ -288,7 +290,13 @@ if error_flag==0 && niter>options_.occbin.likelihood.max_number_of_iterations &&
CC(:,2) = CCx(:,end);
[a, a1, P, P1, v, Fi, Ki, alphahat, etahat] = occbin_kalman_update(a,a1,P,P1,data_index,Z,v,Y,H,QQQ,TT,RR,CC,Ki,Fi,mm,kalman_tol);
opts_simul.SHOCKS(1,:) = etahat(:,2)';
- opts_simul.endo_init = alphahat(oo_.dr.inv_order_var,1);
+ if occbin_options.opts_algo.restrict_state_space
+ tmp=zeros(M_.endo_nbr,1);
+ tmp(oo_.dr.restrict_var_list,1)=alphahat(:,1);
+ opts_simul.endo_init = tmp(oo_.dr.inv_order_var,1);
+ else
+ opts_simul.endo_init = alphahat(oo_.dr.inv_order_var,1);
+ end
if M_.occbin.constraint_nbr==1
myregimestart = [regimes_.regimestart];
else
diff --git a/matlab/+occbin/set_default_options.m b/matlab/+occbin/set_default_options.m
index a3b437cd1636d56b180f41ac8ca6f369bb7a57b1..568fbc5418d0c38dafc60d78ac051ae52bf6c7cd 100644
--- a/matlab/+occbin/set_default_options.m
+++ b/matlab/+occbin/set_default_options.m
@@ -160,6 +160,7 @@ if ismember(flag,{'shock_decomp','all'})
end
if ismember(flag,{'simul','all'})
+ options_occbin_.simul.algo_truncation = 1;
options_occbin_.simul.debug = false;
options_occbin_.simul.curb_retrench=false;
options_occbin_.simul.endo_init=zeros(M_.endo_nbr,1);
@@ -174,6 +175,7 @@ if ismember(flag,{'simul','all'})
options_occbin_.simul.check_ahead_periods=200;
options_occbin_.simul.periodic_solution=true;
options_occbin_.simul.piecewise_only = false;
+ options_occbin_.simul.reset_regime_in_new_period = false;
options_occbin_.simul.restrict_state_space=false;
options_occbin_.simul.SHOCKS=zeros(1,M_.exo_nbr);
options_occbin_.simul.waitbar=true;
diff --git a/matlab/+occbin/solve_one_constraint.m b/matlab/+occbin/solve_one_constraint.m
index 34b2e25ba25dcabc94b35a6d834f7872e2423d72..0801f8c1ebfab61a3b8e4658b30fee5bd22454a2 100644
--- a/matlab/+occbin/solve_one_constraint.m
+++ b/matlab/+occbin/solve_one_constraint.m
@@ -163,6 +163,15 @@ for shock_period = 1:n_shocks_periods
% get the hypothesized piece wise linear solution
if shock_period==1 || shock_period>1 && any(data.shocks_sequence(shock_period,:))
+ if iter==1 && opts_simul_.reset_regime_in_new_period
+ binding_indicator=false(size(binding_indicator));
+ binding_indicator_history{iter}=binding_indicator;
+ % analyse violvec and isolate contiguous periods in the other regime.
+ [regime, regime_start, error_code_period]=occbin.map_regime(binding_indicator,opts_simul_.debug);
+ regime_history(shock_period).regime = regime;
+ regime_history(shock_period).regimestart = regime_start;
+ end
+
[zdatalinear_, SS_out.T(:,:,shock_period), SS_out.R(:,:,shock_period), SS_out.C(:,shock_period), SS, update_flag]=occbin.mkdatap_anticipated_dyn(nperiods_0,DM,...
regime_start(end)-1,binding_indicator,...
data.exo_pos,data.shocks_sequence(shock_period,:),endo_init,update_flag);
@@ -243,22 +252,26 @@ for shock_period = 1:n_shocks_periods
end
- if regime_change_this_iteration ==1 && max_iter>1
- disp_verbose(['occbin solver:: period ' int2str(shock_period) '::'],opts_simul_.debug)
- if is_periodic
- disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
- if periodic_solution
- disp_verbose(['Max error:' num2str(merr) '.'],opts_simul_.debug)
+ if regime_change_this_iteration ==1
+ if max_iter>opts_simul_.algo_truncation
+ disp_verbose(['occbin solver:: period ' int2str(shock_period) '::'],opts_simul_.debug)
+ if is_periodic
+ disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
+ if periodic_solution
+ disp_verbose(['Max error:' num2str(merr) '.'],opts_simul_.debug)
+ else
+ if opts_simul_.waitbar; dyn_waitbar_close(hh); end
+ error_flag = 310;
+ return
+ end
else
+ disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
- error_flag = 310;
+ error_flag = 311;
return
end
else
- disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
- if opts_simul_.waitbar; dyn_waitbar_close(hh); end
- error_flag = 311;
- return
+ binding_indicator = binding_indicator_history{end};
end
end
if any(error_code_period)
diff --git a/matlab/+occbin/solve_two_constraints.m b/matlab/+occbin/solve_two_constraints.m
index 5365347bfe6088ef8469054100ab7e4a61918fbb..234aaa78b510dfc93cc14d6b6c4b1532fc5c621c 100644
--- a/matlab/+occbin/solve_two_constraints.m
+++ b/matlab/+occbin/solve_two_constraints.m
@@ -70,11 +70,11 @@ if solve_DM %recompute solution matrices
[DM.Cbarmat ,DM.Bbarmat, DM.Abarmat, DM.Jbarmat] = occbin.get_deriv(M00_,data.ys);
M10_ = M00_;
- M10_.params(strmatch(M_.params(M_.occbin.pswitch(1)),M00_.param_names,'exact'))= 1;
+ M10_.params(M_.occbin.pswitch(1))= 1;
[DM.Cbarmat10, DM.Bbarmat10, DM.Abarmat10, DM.Jbarmat10, DM.Dbarmat10] = occbin.get_deriv(M10_,data.ys);
M01_ = M00_;
- M01_.params(strmatch(M_.params(M_.occbin.pswitch(2)),M00_.param_names,'exact'))= 1;
+ M01_.params(M_.occbin.pswitch(2))= 1;
[DM.Cbarmat01, DM.Bbarmat01, DM.Abarmat01, DM.Jbarmat01, DM.Dbarmat01] = occbin.get_deriv(M01_,data.ys);
M11_ = M00_;
@@ -177,6 +177,17 @@ for shock_period = 1:n_shocks_periods
regime_history(shock_period).regime2 = regime_2;
regime_history(shock_period).regimestart2 = regime_start_2;
if shock_period==1 || shock_period>1 && any(data.shocks_sequence(shock_period,:)) % first period or shock happening
+ if iter==1 && opts_simul_.reset_regime_in_new_period
+ binding_indicator=false(size(binding_indicator));
+ binding_indicator_history{iter}=binding_indicator;
+ % analyse violvec and isolate contiguous periods in the other regime.
+ [regime_1, regime_start_1, error_code_period(1)]=occbin.map_regime(binding_indicator(:,1),opts_simul_.debug);
+ regime_history(shock_period).regime1 = regime_1;
+ regime_history(shock_period).regimestart1 = regime_start_1;
+ [regime_2, regime_start_2, error_code_period(2)]=occbin.map_regime(binding_indicator(:,2),opts_simul_.debug);
+ regime_history(shock_period).regime2 = regime_2;
+ regime_history(shock_period).regimestart2 = regime_start_2;
+ end
Tmax=max([regime_start_1(end) regime_start_2(end)])-1;
[zdatalinear_, SS_out.T(:,:,shock_period), SS_out.R(:,:,shock_period), SS_out.C(:,shock_period), SS, update_flag]=occbin.mkdatap_anticipated_2constraints_dyn(nperiods_0,...
DM,Tmax,...
@@ -271,22 +282,28 @@ for shock_period = 1:n_shocks_periods
binding_indicator_history{iter}=binding_indicator;
end
end
- if regime_change_this_iteration && max_iter>1
- disp_verbose(['occbin solver: period ' int2str(shock_period) ':'],opts_simul_.debug)
- if is_periodic
- disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
- if periodic_solution
- disp_verbose(['Max error:' num2str(min_err) '.'],opts_simul_.debug)
+ if regime_change_this_iteration
+ if max_iter>opts_simul_.algo_truncation
+ disp_verbose(['occbin solver: period ' int2str(shock_period) ':'],opts_simul_.debug)
+ if is_periodic
+ disp_verbose('Occbin solver loops between two regimes.',opts_simul_.debug)
+ if periodic_solution
+ disp_verbose(['Max error:' num2str(min_err) '.'],opts_simul_.debug)
+ else
+ error_flag = 310;
+ if opts_simul_.waitbar; dyn_waitbar_close(hh); end
+ return;
+ end
else
- error_flag = 310;
+ disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
+ error_flag = 311;
if opts_simul_.waitbar; dyn_waitbar_close(hh); end
return;
end
else
- disp_verbose('Did not converge -- increase maxit.',opts_simul_.debug)
- error_flag = 311;
- if opts_simul_.waitbar; dyn_waitbar_close(hh); end
- return;
+ % if max_iter <= truncation, we force indicator to equal the
+ % last guess
+ binding_indicator = binding_indicator_history{end};
end
end
if any(error_code_period)
diff --git a/matlab/+occbin/write_regimes_to_xls.m b/matlab/+occbin/write_regimes_to_xls.m
index c74131fc545b3140b0df6be63de18f1991926ca2..7029990f6202deb7877ac3cb35e7f2686dc787a3 100644
--- a/matlab/+occbin/write_regimes_to_xls.m
+++ b/matlab/+occbin/write_regimes_to_xls.m
@@ -35,14 +35,14 @@ end
xls_filename = options_.occbin.write_regimes.filename;
if isfield(regime_history,'regime')
- Header = {'time', 'regime sequence', 'starting period of regime'};
+ Header = {'time', 'regime_sequence', 'starting_period_of_regime'};
for tp=1:length(T)
xlsmat{tp,1}=T(tp);
xlsmat{tp,2}=int2str(regime_history(tp).regime);
xlsmat{tp,3}=int2str(regime_history(tp).regimestart);
end
else
- Header = {'time', 'regime sequence 1', 'starting period of regime 1', 'regime sequence 2', 'starting period of regime 2'};
+ Header = {'time', 'regime_sequence_1', 'starting_period_of_regime_1', 'regime_sequence_2', 'starting_period_of_regime_2'};
for tp=1:length(T)
xlsmat{tp,1}=T(tp);
xlsmat{tp,2}=int2str(regime_history(tp).regime1);
diff --git a/matlab/DsgeSmoother.m b/matlab/DsgeSmoother.m
index 180300c517a4f734b8a52f6bd0be4b9a7bca8062..e6942561c35c3cfdeb44709ec652ea4848449f40 100644
--- a/matlab/DsgeSmoother.m
+++ b/matlab/DsgeSmoother.m
@@ -366,6 +366,7 @@ else
if options_.occbin.smoother.status
% reconstruct occbin smoother
if length_varargin>0
+ % sequence of regimes is provided in input
isoccbin=1;
else
isoccbin=0;
@@ -431,6 +432,8 @@ else
bbb(oo_.dr.inv_order_var,k) = out.zpiece(1,:);
end
end
+ % do not overwrite accurate computations using reduced st. space
+ bbb(oo_.dr.restrict_var_list,:)=ahat;
ahat0=ahat;
ahat=bbb;
if ~isempty(P)
diff --git a/matlab/missing_DiffuseKalmanSmootherH3_Z.m b/matlab/missing_DiffuseKalmanSmootherH3_Z.m
index 08404b0a4831f875de9ff58d83cb1499da5d3aa7..3f9850297a728bbd9703bc4c51ec9b379e6bc04d 100644
--- a/matlab/missing_DiffuseKalmanSmootherH3_Z.m
+++ b/matlab/missing_DiffuseKalmanSmootherH3_Z.m
@@ -212,6 +212,13 @@ else
R0=R;
end
+ if ~isinf(occbin_options.first_period_occbin_update)
+ % initialize state matrices (otherwise they are set to 0 for
+ % t<first_period_occbin_update!)
+ TTT=repmat(T0,1,1,smpl+1);
+ RRR=repmat(R0,1,1,smpl+1);
+ CCC=repmat(zeros(length(T0),1),1,smpl+1);
+ end
end