Closes #1176.

Closes #1178.

MichelJuillard authored 8 years ago and Stéphane Adjemian committed 8 years ago

(cherry picked from commit 7d29e917f77e7e20211e5be01544d86c64af8c65)

MichelJuillard authored 8 years ago and Stéphane Adjemian committed 8 years ago

(cherry picked from commit 86995a3bd478a3dc02919424aeb77e2a550a84c5)

Fixes the issue of paths containing spurious solutions for (stochastic)
perfect foresight models.

Use previous solution as an initial condition for the perfect foresight problem.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

Initialization of the perfect foresight solver (in extended path) with
the solution of the first order approximation of the model was broken.

If the value of options_.ep.init is "true"" (1) then the solution of the
first order approximation is used as an initial guess for the newton
lilke solver. If the value of options_.ep.init is "false" (0) the solver
is initialized with the steady state.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

The second outputr returned by perfect_foresight_solver_core is the
max. abs. residual, not a dummy variable indicating success or failure
of the perfect foresight solver.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

 - Added routines for initializing and setting shocks in EP.
 - Added a specialized routine for doing Monte Carlo around EP.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

Removed maximum_lead and maximum_lag in extended_path routines.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

Innovations were not correctly passed to the non linear solver. Closes #1128.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

Test that the extended path and stoch_simul (with order equal to 1)
algorithms return the same paths for the endogenous variables if the
RE model is linear.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

Takes a path for the endogenous variables and returns the residuals of
the dynamic equations. This routine is useful for solving the model with
the PEA approach.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

First input argument is a vector for the initial condition of the
endogenous variables. If empty, the steady state of the model is used.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

The third input argument of extended_path Matlab/Octave's routine is the
sequence of shocks (T*n array, where n is the number of exogenous
variables and T is the size of the sample). If the third argument is
empty, the (stochastic) extended path is run with gaussian
innovations (this corresponds to the previous behaviour).

TODO:
 - Fix the compatibility with ep.replic_nbr
 - Check the 'calibrated' mode.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

Simulation of the Smets and Wouters perfect foresight model, with a
productivity shock such that the nominal interest rate hits the
ZLB. Comparison of the solutions returned by a Newton
algorithm (stack_solve_algo==0) and the LMMCP algorithm. AT the time of
this commit, the results are different... Probably an issue with the
LMMCP algorithm.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

Removed some calls to bsxfun which is not optimal on sparse matrices. I
only removed the calls where I identified bottlenecks (with a Smets and
Wouters model), more tests are needed to decide if we have to remove other
occurences of bsxfun on sparse matrices.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

 - Use a switch-case block.
 - Added a warning when the user tries to solve a linear(ized) model
with solve_algo different from 0 (for a linear model).
 - Added an error message if the user try to solve a linearized model
with stack_solve_algo=6 (not implemented).

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

This option may be used in extended_path and perfect_foresight_solver commands.

Stéphane Adjemian authored 9 years ago and Stéphane Adjemian committed 8 years ago

Also merged rbcii.mod and rbciia.mod.