- Mar 24, 2025
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Sébastien Villemot authored
Fix crash of perfect foresight w/ expectation errors + marginal linearization + several learnt_in blocks
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- Nov 28, 2023
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Sébastien Villemot authored
Fix marginal linearization in the context of perfect_foresight_with_expectation_errors_solver with homotopy If a solution corresponding to 100% of the shock can’t be found in the first informational period, marginal linearization will be performed to extrapolate a solution. However, in subsequent informational periods, this extrapolated solution cannot be used for the initial conditions of endogenous variables, because the initial conditions are not a true solution of the nonlinear model. For those subsequent informational periods, the correct approach is to compute the two solutions needed for marginal linearization using as initial conditions the values obtained in the same two solutions for the previous informational periods (stored as oo_.deterministic_simulation.{sim1,sim2}).
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- Jun 21, 2023
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Sébastien Villemot authored
– new option “endval_steady” to pf_setup command to recompute terminal steady state in the homotopy loop – new options “homotopy_linearization_fallback” and “homotopy_marginal_linearization_fallback” to pf_solver and pfwee_solver commands, to get an approximate solution when homotopy fails to go to 100% – new options “homotopy_initial_step_size”, “homotopy_min_step_size”, “homotopy_step_size_increase_success_count” and “homotopy_max_completion_share” to pf_solver and pfwee_solver commands to fine tune the homotopy behaviour – removed option “homotopy_alt_starting_point” to pf_solver command, not really useful – new options “steady_solve_algo”, “steady_tolf”, “steady_tolx”, “steady_maxit”, “steady_markowitz” to pf_solver and pfwee_solver commands, to control the computation of the terminal steady state (and remove the equivalent options which previously had different names in pfwee_solver command)
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