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Stéphane Adjemian
dynare
Commits
2008af66
Verified
Commit
2008af66
authored
4 years ago
by
Sébastien Villemot
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time-varying information set solver: first draft
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matlab/time_varying_information_set_solver.m
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2008af66
function
time_varying_information_set_solver
(
csv_file
)
global
M_
oo_
options_
ys0_
if
isempty
(
csv_file
)
error
(
'A CSV file must be given as argument'
)
end
periods
=
options_
.
periods
;
%% Read CSV file
%% We can’t use readcell (only in MATLAB ≥ R2019a), so instead rely on csvread and manual hacks
% Read numeric data, skipping first row and first column
raw_csv
=
csvread
(
csv_file
,
1
,
1
);
if
size
(
raw_csv
,
1
)
-
2
~=
periods
error
([
'The number of rows in '
csv_file
' does not match the periods setting'
])
end
% Read first line (exogenous variable names)
fid
=
fopen
(
csv_file
);
csv_first_line
=
fgetl
(
fid
);
fclose
(
fid
);
exo_header_names
=
strsplit
(
csv_first_line
,
','
);
exo_header_names
=
exo_header_names
(
2
:
end
);
% Remove first column
if
numel
(
exo_header_names
)
~=
size
(
raw_csv
,
2
)
error
([
'First line malformed in '
csv_file
])
end
%% Create and fill structures containing information sets
terminal_info
=
NaN
(
M_
.
exo_nbr
,
periods
);
% 2nd dimension is informational time
shocks_info
=
NaN
(
M_
.
exo_nbr
,
periods
,
periods
);
% 2nd dimension is real time, 3rd dimension is informational time
for
i
=
1
:
size
(
raw_csv
,
2
)
exo_id
=
strmatch
(
exo_header_names
{
i
},
M_
.
exo_names
,
'exact'
);
period_id
=
raw_csv
(
1
,
i
);
terminal_info
(
exo_id
,
period_id
)
=
raw_csv
(
2
,
i
);
% Ignore irrelevant periods when copying shocks information
shocks_info
(
exo_id
,
period_id
:
end
,
period_id
)
=
raw_csv
(
2
+
period_id
:
end
,
i
);
end
if
~
isempty
(
M_
.
endo_histval
)
error
(
'histval unsupported'
)
end
if
~
isempty
(
oo_
.
initval_series
)
error
(
'histval_file/initval_file unsupported'
)
end
% Build initial paths for endos and exos
% FIXME: guess values for endogenous are the initial steady state, we may want something else
% (e.g. the terminal steady state as in regular perfect foresight)
endo_simul
=
[
repmat
(
oo_
.
steady_state
,
1
,
M_
.
maximum_lag
+
periods
)
NaN
(
M_
.
endo_nbr
,
M_
.
maximum_lead
)];
exo_simul
=
[
repmat
(
oo_
.
exo_steady_state
'
,
M_
.
maximum_lag
,
1
);
NaN
(
periods
+
M_
.
maximum_lead
,
M_
.
exo_nbr
)];
% Start main loop around informational periods
info_period
=
1
;
while
info_period
<=
periods
% Compute terminal steady state as anticipated
oo_
.
exo_steady_state
=
terminal_info
(:,
info_period
);
steady_state_prev
=
oo_
.
steady_state
;
[
oo_
.
steady_state
,
~
,
info
]
=
evaluate_steady_state
(
steady_state_prev
,
M_
,
options_
,
oo_
,
true
);
options_
.
periods
=
periods
-
info_period
+
1
;
oo_
.
endo_simul
=
endo_simul
(:,
info_period
:
end
);
oo_
.
endo_simul
(:,
end
-
M_
.
maximum_lead
+
1
:
end
)
=
repmat
(
oo_
.
steady_state
,
1
,
M_
.
maximum_lead
);
oo_
.
exo_simul
=
exo_simul
(
info_period
:
end
,
:);
oo_
.
exo_simul
(
M_
.
maximum_lag
+
1
:
M_
.
maximum_lag
+
periods
-
info_period
+
1
,
:)
=
shocks_info
(:,
info_period
:
end
,
info_period
)
'
;
oo_
.
exo_simul
(
end
-
M_
.
maximum_lead
+
1
:
end
,
:)
=
repmat
(
oo_
.
exo_steady_state
,
M_
.
maximum_lead
,
1
);
perfect_foresight_solver
;
endo_simul
(:,
info_period
:
end
)
=
oo_
.
endo_simul
;
exo_simul
(
info_period
:
end
,
:)
=
oo_
.
exo_simul
;
% Increment info_period (as much as possible, if information set does not change for some time)
increment
=
1
;
while
info_period
+
increment
<=
periods
&&
...
all
(
terminal_info
(:,
info_period
)
==
terminal_info
(:,
info_period
+
increment
))
&&
...
all
(
all
(
shocks_info
(:,
info_period
+
increment
:
end
,
info_period
)
==
shocks_info
(:,
info_period
+
increment
:
end
,
info_period
+
increment
)))
increment
=
increment
+
1
;
end
info_period
=
info_period
+
increment
;
end
options_
.
periods
=
periods
;
oo_
.
endo_simul
=
endo_simul
;
oo_
.
exo_simul
=
exo_simul
;
end
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