From fe8ae2c5658323c4aa2428b095d9b88a891cea8e Mon Sep 17 00:00:00 2001 From: Michel Juillard <michel.juillard@mjui.fr> Date: Thu, 2 Aug 2012 11:25:52 +0200 Subject: [PATCH] adding doc *.m file for k_order_perturbation MEX --- matlab/k_order_perturbation.m | 53 +++++++++++++++++++++++++++++++++++ 1 file changed, 53 insertions(+) create mode 100644 matlab/k_order_perturbation.m diff --git a/matlab/k_order_perturbation.m b/matlab/k_order_perturbation.m new file mode 100644 index 0000000000..566a281175 --- /dev/null +++ b/matlab/k_order_perturbation.m @@ -0,0 +1,53 @@ +% [err, g_0, g_1, g_2, g_3, derivs] = k_order_perturbation(dr,DynareModel,DynareOptions) +% computes a k_order_petrubation solution for k=1,2,3 +% +% INPUTS +% dr: struct describing the reduced form solution of the model. +% DynareModel: struct jobs's parameters +% DynareOptions: struct job's options +% +% OUTPUTS +% err: double err code (currently unused) +% g_0: vector dynare++ output. Constant effect of future volatility (in +% dr.order_var order) on the decision rule +% (=ghs2/2). Contains zero when order of +% approximation is 1. +% g_1: matrix dynare++ output. First order Taylor coefficients +% of decision rule. When order of approximation +% is 3, the. Contains both the effect of +% state endogenous variable and shocks. The rows +% are in dr.order_var order. The columns are in +% dr.order_var order of state endogenous +% variables and shocks +% g_2: matrix dynare++ output. Second order Taylor coefficients of decision +% rule. Contains both the effect of state endogenous +% variable and shocks. The rows are in dr.order_var +% order. Each row corresponds to the vectorized +% version of the lower triangle of the Hessian +% matrix. The Taylor coefficient (1/2) is +% included. The columns of the Hessian matrix are in +% dr.order_var order of state endogenous variables +% and shocks +% g_3: matrix dynare++ output. Third order Taylor coefficients of decision +% rule. Contains both the effect of state endogenous +% variable and shocks. The rows are in dr.order_var +% order. Each row corresponds to the vectorized +% version of the 3rd order derivatives tensor where each +% combination of variables appears only once. +% The Taylor coefficient (1/6) is +% included. Inside the tensor, the variables are in +% dr.order_var order of state endogenous variables +% and shocks +% derivs struct contains the original derivatives of the +% decision function (ghx, ghu, ghxx, ghxu, ghuu, +% ghs2, ghxxx, ghxxu, ghxuu,ghuuu, ghxss, ghuss), +% keeping the effect of future volatility +% separate (in ghs2, ghxss and ghuss). The +% derivatives matrices contain full versions of +% the Hessian matrices and 3rd order +% tensor. Symmetric derivatives are repeated. The +% Taylor coefficients (1/2 and 1/6) aren't +% included. +% k_order_peturbation is a compiled MEX function. It's source code is in +% dynare/mex/sources/k_order_perturbation.cc and it uses code provided by +% dynare++ -- GitLab