From f944a43b0c69997654e752e9f5e86a14a41e3020 Mon Sep 17 00:00:00 2001
From: Michel Juillard <michel.juillard@mjui.fr>
Date: Wed, 19 Sep 2012 17:02:42 +0200
Subject: [PATCH] added code for computing risky steady state in regular models
(not portfolio models)
---
matlab/dyn_risky_steadystate_solver.m | 47 ++++++++++++++++++++++++---
1 file changed, 43 insertions(+), 4 deletions(-)
diff --git a/matlab/dyn_risky_steadystate_solver.m b/matlab/dyn_risky_steadystate_solver.m
index d739a8b19..7f5437909 100644
--- a/matlab/dyn_risky_steadystate_solver.m
+++ b/matlab/dyn_risky_steadystate_solver.m
@@ -120,6 +120,8 @@ function [dr,info] = dyn_risky_steadystate_solver(ys0,M, ...
% ys0(l_var) = x;
[resids,dr1] = risky_residuals_ds(x,pm,M,dr,options,oo);
ys1 = dr1.ys;
+ else
+ pm = model_structure(M,options);
end
[ys, info] = solve1(func,ys0,1:endo_nbr,1:endo_nbr,0,1, options.gstep, ...
@@ -132,9 +134,15 @@ function [dr,info] = dyn_risky_steadystate_solver(ys0,M, ...
dr.ys = ys;
[resid,dr] = func(ys,pm,M,dr,options,oo);
-
+ dr.ghs2 = zeros(M.endo_nbr,1);
+
for i=1:M.endo_nbr
- disp(sprintf('%16s %12.6f %12.6f',M.endo_names(i,:),ys1(i), ys(i)))
+ if isfield(options,'portfolio') && options.portfolio == 1
+ disp(sprintf('%16s %12.6f %12.6f',M.endo_names(i,:),ys1(i), ...
+ ys(i)))
+ else
+ disp(sprintf('%16s %12.6f %12.6f',M.endo_names(i,:),ys(i)))
+ end
end
end
@@ -171,8 +179,14 @@ function [resid,dr] = risky_residuals(ys,pm,M,dr,options,oo)
dr = first_step_ds(x,pm,M,dr,options,oo);
dr.ys = ys;
else
- d1a = d1;
- d2a = d2;
+ pm = model_structure(M,options);
+ [dr,info] = dyn_first_order_solver(d1,M,dr,options,0);
+ if info
+ print_info();
+ end
+ dr = dyn_second_order_solver(d1,d2,dr,M,...
+ options.threads.kronecker.A_times_B_kronecker_C,...
+ options.threads.kronecker.sparse_hessian_times_B_kronecker_C);
end
gu1 = dr.ghu(pm.i_fwrd_g,:);
@@ -414,6 +428,31 @@ function y=unfold3(x,n)
end
end
+function pm = model_structure(M,options)
+
+
+ lead_index = M.maximum_endo_lag+2;
+ lead_lag_incidence = M.lead_lag_incidence;
+ dr = struct();
+ dr = set_state_space(dr,M,options);
+ pm.i_fwrd_g = find(lead_lag_incidence(lead_index,dr.order_var)');
+
+ i_fwrd_f1 = nonzeros(lead_lag_incidence(lead_index,dr.order_var));
+ pm.i_fwrd_f1 = i_fwrd_f1;
+ n = nnz(lead_lag_incidence)+M.exo_nbr;
+ ih = reshape(1:n*n,n,n);
+ i_fwrd_f2 = ih(i_fwrd_f1,i_fwrd_f1);
+ pm.i_fwrd_f2 = i_fwrd_f2(:);
+ i_fwrd1_f2 = ih(i_fwrd_f1,:);
+ pm.i_fwrd1_f2 = i_fwrd1_f2(:);
+
+ ih = reshape(1:n*n*n,n,n,n);
+ i_fwrd_f3 = ih(i_fwrd_f1,i_fwrd_f1,i_fwrd_f1);
+ pm.i_fwrd_f3 = i_fwrd_f3(:);
+ i_fwrd1_f3 = ih(i_fwrd_f1,i_fwrd_f1,:);
+ pm.i_fwrd1_f3 = i_fwrd1_f3(:);
+end
+
function pm = portfolio_model_structure(M,options)
i_d3_np = [];
--
GitLab