diff --git a/matlab/evaluate_planner_objective.m b/matlab/evaluate_planner_objective.m
index ec34a87b69d7ab711c9994a765b7b0441e6795fd..7ded2837e750b450ad7741f171940aafbae9f57f 100644
--- a/matlab/evaluate_planner_objective.m
+++ b/matlab/evaluate_planner_objective.m
@@ -5,12 +5,14 @@ function planner_objective_value = evaluate_planner_objective(M_,options_,oo_)
% options_: (structure) options
% oo_: (structure) output results
% OUTPUT
-% planner_objective_value (double)
+% planner_objective_value (structure)
%
-%Returns a vector containing first order or second-order approximations of
-% - the unconditional expectation of the planner's objective function
-% - the conditional expectation of the planner's objective function starting from the non-stochastic steady state and allowing for future shocks
-% depending on the value of options_.order.
+%Returns a structure containing approximations of
+% - the unconditional expectation of the planner's objective function in the field unconditional
+% - the conditional expectations of the planner's objective function starting from the non-stochastic steady state in the field conditional
+% - with Lagrange multipliers initially set to zero in the field zero_initial_multiplier
+% - with lagrange multipliers initially set to their initial values in the field steady_initial_multiplier
+% Approximations are consistent with the order specified in options_order.
%
% SPECIAL REQUIREMENTS
% none
@@ -38,8 +40,6 @@ function planner_objective_value = evaluate_planner_objective(M_,options_,oo_)
% Taking the unconditional expectation yields E(U) = Ubar and E(W) = Ubar/(1-beta)
% As for conditional welfare, a first-order approximation leads to
% W = Wbar + W_y yhat_{t-1} + W_u u_t
-% The approximated conditional expectation of the planner's objective function taking at the non-stochastic steady-state and allowing for future shocks thus verifies
-% W (y, 0, 1) = Wbar
% Similarly, taking the unconditional expectation of a second-order approximation of utility around the non-stochastic steady state yields a second-order approximation of unconditional welfare
% E(W) = (1 - beta)^{-1} ( Ubar + U_x h_y E(yhat) + 0.5 ( (U_xx h_y^2 + U_x h_yy) E(yhat^2) + (U_xx h_u^2 + U_x h_uu) E(u^2) + U_x h_ss )
@@ -48,8 +48,6 @@ function planner_objective_value = evaluate_planner_objective(M_,options_,oo_)
% As for conditional welfare, the second-order approximation of welfare around the non-stochastic steady state leads to
% W(y_{t-1}, u_t, sigma) = Wbar + W_y yhat_{t-1} + W_u u_t + W_yu yhat_{t-1} ⊗ u_t + 0.5 ( W_yy yhat_{t-1}^2 + W_uu u_t^2 + W_ss )
% The derivatives of W taken at the non-stochastic steady state can be computed as in Kamenik and Juillard (2004) "Solving Stochastic Dynamic Equilibrium Models: A k-Order Perturbation Approach".
-% The approximated conditional expectation of the planner's objective function starting from the non-stochastic steady-state and allowing for future shocks thus verifies
-% W(y,0,1) = Wbar + 0.5*Wss
% In the discretionary case, the model is assumed to be linear and the utility is assumed to be linear-quadratic. This changes 2 aspects of the results delinated above:
% 1) the second-order derivatives of the policy and transition functions h and g are zero.
@@ -87,7 +85,6 @@ nstatic = M_.nstatic;
nspred = M_.nspred;
beta = get_optimal_policy_discount_factor(M_.params, M_.param_names);
-planner_objective_value = zeros(2,1);
if options_.ramsey_policy
if oo_.gui.ran_perfect_foresight
T = size(oo_.endo_simul,2);
@@ -98,14 +95,52 @@ if options_.ramsey_policy
[U] = feval([M_.fname '.objective.static'],oo_.endo_simul(:,t),oo_.exo_simul(t,:), M_.params);
W = U + beta*W;
end
- planner_objective_value(1) = EW;
- planner_objective_value(2) = W;
+ planner_objective_value = struct("conditional", W, "unconditional", EW);
else
+ planner_objective_value = struct("conditional", struct("zero_initial_multiplier", 0., "steady_initial_multiplier", 0.), "unconditional", 0.);
ys = oo_.dr.ys;
if options_.order == 1 || M_.hessian_eq_zero
- [U] = feval([M_.fname '.objective.static'],ys,zeros(1,exo_nbr), M_.params);
- planner_objective_value(1) = U/(1-beta);
- planner_objective_value(2) = U/(1-beta);
+ [U,Uy] = feval([M_.fname '.objective.static'],ys,zeros(1,exo_nbr), M_.params);
+
+ Gy = dr.ghx(nstatic+(1:nspred),:);
+ Gu = dr.ghu(nstatic+(1:nspred),:);
+
+ gy(dr.order_var,:) = dr.ghx;
+ gu(dr.order_var,:) = dr.ghu;
+
+ %% Unconditional welfare
+
+ EW = U/(1-beta);
+
+ planner_objective_value.unconditional = EW;
+
+ %% Conditional welfare starting from the non-stochastic steady-state (i) with Lagrange multipliers set to their steady-state value (ii) with Lagrange multipliers set to 0
+
+ Wbar = U/(1-beta);
+ Wy = Uy*gy/(eye(nspred)-beta*Gy);
+ Wu = Uy*gu + beta*Wy*Gu;
+
+ % initialize Lagrange multipliers to their steady-state values in yhat_L_SS
+ yhat_L_SS = ys;
+ % initialize Lagrange multipliers to 0 in yhat_L_0
+ yhat_L_0 = zeros(M_.endo_nbr,1);
+ if ~isempty(M_.endo_histval)
+ % initialize endogenous state variable to histval if necessary
+ yhat_L_SS(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
+ yhat_L_0(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
+ else
+ yhat_L_0(1:M_.orig_endo_nbr) = ys(1:M_.orig_endo_nbr);
+ end
+ yhat_L_0 = yhat_L_0(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
+ yhat_L_SS = yhat_L_SS(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
+ u = oo_.exo_simul(1,:)';
+
+ W_L_SS = Wbar+Wy*yhat_L_SS+Wu*u;
+ W_L_0 = Wbar+Wy*yhat_L_0+Wu*u;
+
+ planner_objective_value.conditional.steady_initial_multiplier = W_L_SS;
+ planner_objective_value.conditional.zero_initial_multiplier = W_L_0;
+
elseif options_.order == 2 && ~M_.hessian_eq_zero
[U,Uy,Uyy] = feval([M_.fname '.objective.static'],ys,zeros(1,exo_nbr), M_.params);
@@ -127,6 +162,7 @@ if options_.ramsey_policy
Uyygygy = A_times_B_kronecker_C(Uyy,gy,gy);
Uyygugu = A_times_B_kronecker_C(Uyy,gu,gu);
+ Uyygugy = A_times_B_kronecker_C(Uyy,gu,gy);
%% Unconditional welfare
@@ -157,10 +193,13 @@ if options_.ramsey_policy
EU = U + Uy*gy*Eyhat + 0.5*((Uyygygy + Uy*gyy)*Eyhatyhat + (Uyygugu + Uy*guu)*Euu + Uy*gss);
EW = EU/(1-beta);
- %% Conditional welfare starting from the non-stochastic steady-state
-
+ planner_objective_value.unconditional = EW;
+
+ %% Conditional welfare starting from the non-stochastic steady-state (i) with Lagrange multipliers set to their steady-state value (ii) with Lagrange multipliers set to 0
+
Wbar = U/(1-beta);
Wy = Uy*gy/(eye(nspred)-beta*Gy);
+ Wu = Uy*gu + beta*Wy*Gu;
if isempty(options_.qz_criterium)
options_.qz_criterium = 1+1e-6;
@@ -168,23 +207,55 @@ if options_.ramsey_policy
%solve Lyapunuv equation Wyy=gy'*Uyy*gy+Uy*gyy+beta*Wy*Gyy+beta*Gy'Wyy*Gy
Wyy = reshape(lyapunov_symm(sqrt(beta)*Gy',reshape(Uyygygy + Uy*gyy + beta*Wy*Gyy,nspred,nspred),options_.lyapunov_fixed_point_tol,options_.qz_criterium,options_.lyapunov_complex_threshold, 3, options_.debug),1,nspred*nspred);
Wyygugu = A_times_B_kronecker_C(Wyy,Gu,Gu);
+ Wyygugy = A_times_B_kronecker_C(Wyy,Gu,Gy);
Wuu = Uyygugu + Uy*guu + beta*(Wyygugu + Wy*Guu);
Wss = (Uy*gss + beta*(Wy*Gss + Wuu*M_.Sigma_e(:)))/(1-beta);
- W = Wbar + 0.5*Wss;
-
- planner_objective_value(1) = EW;
- planner_objective_value(2) = W;
+ Wyu = Uyygugy + Uy*gyu + beta*(Wyygugy + Wy*Gyu);
+
+ % initialize Lagrange multipliers to their steady-state values in yhat_L_SS
+ yhat_L_SS = ys;
+ % initialize Lagrange multipliers to 0 in yhat_L_0
+ yhat_L_0 = zeros(M_.endo_nbr,1);
+ if ~isempty(M_.endo_histval)
+ % initialize endogenous state variable to histval if necessary
+ yhat_L_SS(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
+ yhat_L_0(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
+ else
+ yhat_L_0(1:M_.orig_endo_nbr) = ys(1:M_.orig_endo_nbr);
+ end
+ yhat_L_0 = yhat_L_0(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
+ yhat_L_SS = yhat_L_SS(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
+ u = oo_.exo_simul(1,:)';
+
+ Wyu_yu_L_SS = A_times_B_kronecker_C(Wyu,yhat_L_SS,u);
+ Wyy_yy_L_SS = A_times_B_kronecker_C(Wyy,yhat_L_SS,yhat_L_SS);
+ Wuu_uu_L_SS = A_times_B_kronecker_C(Wuu,u,u);
+ W_L_SS = Wbar+Wy*yhat_L_SS+Wu*u+Wyu_yu_L_SS+0.5*(Wss+Wyy_yy_L_SS+Wuu_uu_L_SS);
+
+ Wyu_yu_L_0 = A_times_B_kronecker_C(Wyu,yhat_L_0,u);
+ Wyy_yy_L_0 = A_times_B_kronecker_C(Wyy,yhat_L_0,yhat_L_0);
+ Wuu_uu_L_0 = A_times_B_kronecker_C(Wuu,u,u);
+ W_L_0 = Wbar+Wy*yhat_L_0+Wu*u+Wyu_yu_L_0+0.5*(Wss+Wyy_yy_L_0+Wuu_uu_L_0);
+
+ planner_objective_value.conditional.steady_initial_multiplier = W_L_SS;
+ planner_objective_value.conditional.zero_initial_multiplier = W_L_0;
else
%Order k code will go here!
- fprintf('\nevaluate_planner_objective: order>2 unconditional welfare calculation not yet supported\n')
- planner_objective_value(1) = k_order_welfare(dr, M_, options_);
- planner_objective_value(2) = NaN;
+ if ~isempty(M_.endo_histval)
+ fprintf('\nevaluate_planner_objective: order>2 conditional and unconditional welfare calculations not yet supported when an histval block is provided\n')
+ else
+ fprintf('\nevaluate_planner_objective: order>2 conditional welfare with initial Lagrange multipliers set to zero and unconditional welfare calculations not yet supported\n')
+ planner_objective_value.conditional.steady_initial_multiplier = k_order_welfare(dr, M_, options_);
+ planner_objective_value.conditional.zero_initial_multiplier = NaN;
+ planner_objective_value.unconditional = NaN;
+ end
return
end
end
elseif options_.discretionary_policy
ys = oo_.dr.ys;
-
+ planner_objective_value = struct("conditional", struct("zero_initial_multiplier", 0., "steady_initial_multiplier", 0.), "unconditional", 0.);
+
[U,Uy,Uyy] = feval([M_.fname '.objective.static'],ys,zeros(1,exo_nbr), M_.params);
Gy = dr.ghx(nstatic+(1:nspred),:);
@@ -196,6 +267,7 @@ elseif options_.discretionary_policy
Uyygygy = A_times_B_kronecker_C(Uyy,gy,gy);
Uyygugu = A_times_B_kronecker_C(Uyy,gu,gu);
+ Uyygugy = A_times_B_kronecker_C(Uyy,gu,gy);
%% Unconditional welfare
@@ -222,34 +294,65 @@ elseif options_.discretionary_policy
EU = U + Uy*gy*Eyhat + 0.5*(Uyygygy*Eyhatyhat + Uyygugu*Euu);
EW = EU/(1-beta);
-
-
+ planner_objective_value.unconditional = EW;
+
%% Conditional welfare starting from the non-stochastic steady-state
Wbar = U/(1-beta);
Wy = Uy*gy/(eye(nspred)-beta*Gy);
-
+ Wu = Uy*gu + beta*Wy*Gu;
+
%solve Lyapunuv equation Wyy=gy'*Uyy*gy+beta*Gy'Wyy*Gy
Wyy = reshape(lyapunov_symm(sqrt(beta)*Gy',reshape(Uyygygy,nspred,nspred),options_.lyapunov_fixed_point_tol,options_.qz_criterium,options_.lyapunov_complex_threshold, 3, options_.debug),1,nspred*nspred);
Wyygugu = A_times_B_kronecker_C(Wyy,Gu,Gu);
+ Wyygugy = A_times_B_kronecker_C(Wyy,Gu,Gy);
Wuu = Uyygugu + beta*Wyygugu;
Wss = beta*Wuu*M_.Sigma_e(:)/(1-beta);
- W = Wbar + 0.5*Wss;
-
- planner_objective_value(1) = EW;
- planner_objective_value(2) = W;
+ Wyu = Uyygugy + beta*Wyygugy;
+
+ % initialize Lagrange multipliers to their steady-state values in yhat_L_SS
+ yhat_L_SS = ys;
+ % initialize Lagrange multipliers to 0 in yhat_L_0
+ yhat_L_0 = zeros(M_.endo_nbr,1);
+ if ~isempty(M_.endo_histval)
+ % initialize endogenous state variable to histval if necessary
+ yhat_L_SS(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
+ yhat_L_0(1:M_.orig_endo_nbr) = M_.endo_histval(1:M_.orig_endo_nbr);
+ else
+ yhat_L_0(1:M_.orig_endo_nbr) = ys(1:M_.orig_endo_nbr);
+ end
+ yhat_L_0 = yhat_L_0(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
+ yhat_L_SS = yhat_L_SS(dr.order_var(nstatic+(1:nspred)),1)-ys(dr.order_var(nstatic+(1:nspred)));
+ u = oo_.exo_simul(1,:)';
+
+ Wyu_yu_L_SS = A_times_B_kronecker_C(Wyu,yhat_L_SS,u);
+ Wyy_yy_L_SS = A_times_B_kronecker_C(Wyy,yhat_L_SS,yhat_L_SS);
+ Wuu_uu_L_SS = A_times_B_kronecker_C(Wuu,u,u);
+ W_L_SS = Wbar+Wy*yhat_L_SS+Wu*u+Wyu_yu_L_SS+0.5*(Wss+Wyy_yy_L_SS+Wuu_uu_L_SS);
+
+ Wyu_yu_L_0 = A_times_B_kronecker_C(Wyu,yhat_L_0,u);
+ Wyy_yy_L_0 = A_times_B_kronecker_C(Wyy,yhat_L_0,yhat_L_0);
+ Wuu_uu_L_0 = A_times_B_kronecker_C(Wuu,u,u);
+ W_L_0 = Wbar+Wy*yhat_L_0+Wu*u+Wyu_yu_L_0+0.5*(Wss+Wyy_yy_L_0+Wuu_uu_L_0);
+
+ planner_objective_value.conditional.steady_initial_multiplier = W_L_SS;
+ planner_objective_value.conditional.zero_initial_multiplier = W_L_0;
end
if ~options_.noprint
if options_.ramsey_policy
if oo_.gui.ran_perfect_foresight
- fprintf('\nSimulated value of unconditional welfare: %10.8f\n', planner_objective_value(1))
- fprintf('\nSimulated value of conditional welfare: %10.8f\n', planner_objective_value(2))
+ fprintf('\nSimulated value of unconditional welfare: %10.8f\n', planner_objective_value.unconditional)
+ fprintf('\nSimulated value of conditional welfare: %10.8f\n', planner_objective_value.conditional)
else
- fprintf('\nApproximated value of unconditional welfare: %10.8f\n', planner_objective_value(1))
- fprintf('\nApproximated value of conditional welfare: %10.8f\n', planner_objective_value(2))
+ fprintf('\nApproximated value of unconditional welfare: %10.8f\n', planner_objective_value.unconditional)
+ fprintf('\nApproximated value of conditional welfare:\n')
+ fprintf(' - with initial Lagrange multipliers set to 0: %10.8f\n', planner_objective_value.conditional.zero_initial_multiplier)
+ fprintf(' - with initial Lagrange multipliers set to steady state: %10.8f\n\n', planner_objective_value.conditional.steady_initial_multiplier)
end
elseif options_.discretionary_policy
- fprintf('\nApproximated value of unconditional welfare with discretionary policy: %10.8f\n', planner_objective_value(1))
- fprintf('\nApproximated value of conditional welfare with discretionary policy: %10.8f\n', planner_objective_value(2))
+ fprintf('\nApproximated value of unconditional welfare with discretionary policy: %10.8f\n', planner_objective_value.unconditional)
+ fprintf('\nApproximated value of conditional welfare with discretionary policy:\n')
+ fprintf(' - with initial Lagrange multipliers set to 0: %10.8f\n', planner_objective_value.conditional.zero_initial_multiplier)
+ fprintf(' - with initial Lagrange multipliers set to steady state: %10.8f\n\n', planner_objective_value.conditional.steady_initial_multiplier)
end
end
diff --git a/tests/discretionary_policy/Gali_2015_chapter_3_nonlinear.mod b/tests/discretionary_policy/Gali_2015_chapter_3_nonlinear.mod
index ca76e30335cb134998dbc868a2d3d0433b0f8e72..3cc7bb6497312ad857882b25dd3fd04f37672ddd 100644
--- a/tests/discretionary_policy/Gali_2015_chapter_3_nonlinear.mod
+++ b/tests/discretionary_policy/Gali_2015_chapter_3_nonlinear.mod
@@ -1,5 +1,5 @@
/*
- * This file implements the baseline New Keynesian model of Jordi Gal� (2015): Monetary Policy, Inflation,
+ * This file implements the baseline New Keynesian model of Jordi Gal� (2015): Monetary Policy, Inflation,
* and the Business Cycle, Princeton University Press, Second Edition, Chapter 3
*
* Note that this mod-file implements the non-linear first order conditions and that the IRFs show the log-deviations
@@ -220,8 +220,10 @@ planner_objective 0.5*((siggma+(varphi+alppha)/(1-alppha))*y_hat^2+epsilon/0.021
discretionary_policy(order=1,instruments=(R),irf=20,planner_discount=betta, periods=0) y_hat pi_ann log_y log_N log_W_real log_P;
temp=load(['Gali_2015_chapter_3' filesep 'Output' filesep 'Gali_2015_chapter_3_results.mat']);
-if abs(oo_.planner_objective_value-temp.oo_.planner_objective_value)>1e-6
- warning('Planner objective does not match linear model')
+if abs(oo_.planner_objective_value.unconditional-temp.oo_.planner_objective_value.unconditional)>1e-6 ...
+ || abs(oo_.planner_objective_value.conditional.zero_initial_multiplier-temp.oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-6 ...
+ || abs(oo_.planner_objective_value.conditional.steady_initial_multiplier-temp.oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-6 ...
+ warning('Planner objective does not match linear model')
end
if max(max(abs([temp.oo_.irfs.y_eps_a; temp.oo_.irfs.w_real_eps_a; temp.oo_.irfs.n_eps_a; temp.oo_.irfs.pi_ann_eps_a]-...
[oo_.irfs.log_y_eps_a; oo_.irfs.log_W_real_eps_a; oo_.irfs.log_N_eps_a; oo_.irfs.pi_ann_eps_a])))>1e-6
diff --git a/tests/discretionary_policy/Gali_discretion.mod b/tests/discretionary_policy/Gali_discretion.mod
index a368462b175ead1bf392b273018e68c62db85e6e..d04dea02ea72bea62d4728ef5689ad483b276603 100644
--- a/tests/discretionary_policy/Gali_discretion.mod
+++ b/tests/discretionary_policy/Gali_discretion.mod
@@ -130,7 +130,7 @@ end
%Compute theoretical objective function
V=betta/(1-betta)*(var_pi_theoretical+alpha_x*var_y_gap_theoretical); %evaluate at steady state in first period
-if any( [ isnan(oo_.planner_objective_value(2)), abs(V-oo_.planner_objective_value(2))>1e-10 ] )
+if any( [ isnan(oo_.planner_objective_value.conditional.zero_initial_multiplier), abs(V-oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-10 ] )
error('Computed welfare deviates from theoretical welfare')
end
end;
@@ -144,6 +144,6 @@ end;
V=var_pi_theoretical+alpha_x*var_y_gap_theoretical+ betta/(1-betta)*(var_pi_theoretical+alpha_x*var_y_gap_theoretical); %evaluate at steady state in first period
discretionary_policy(instruments=(i),irf=20,discretionary_tol=1e-12,planner_discount=betta) y_gap pi p u;
-if any( [ isnan(oo_.planner_objective_value(1)), abs(V-oo_.planner_objective_value(1))>1e-10 ] )
+if any( [ isnan(oo_.planner_objective_value.conditional.steady_initial_multiplier), abs(V-oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-10 ] )
error('Computed welfare deviates from theoretical welfare')
end
diff --git a/tests/optimal_policy/Ramsey/ramsey_ex.mod b/tests/optimal_policy/Ramsey/ramsey_ex.mod
index 04e124462638f8527c70184ad60e40ee6ba1fea6..ba00dcacfefd9accc97a783b176c6b0bcd6b5811 100644
--- a/tests/optimal_policy/Ramsey/ramsey_ex.mod
+++ b/tests/optimal_policy/Ramsey/ramsey_ex.mod
@@ -47,7 +47,9 @@ if max(abs((oo_ramsey_policy_steady_state_file.steady_state-oo_.steady_state)))>
|| max(max(abs(oo_ramsey_policy_steady_state_file.dr.ghx-oo_.dr.ghx)))>1e-5 ...
|| max(max(abs(oo_ramsey_policy_steady_state_file.dr.ghu-oo_.dr.ghu)))>1e-5 ...
|| max(max(abs(oo_ramsey_policy_steady_state_file.dr.Gy-oo_.dr.Gy)))>1e-5 ...
- || max(abs((oo_ramsey_policy_steady_state_file.planner_objective_value-oo_.planner_objective_value)))>1e-5
+ || abs(oo_ramsey_policy_steady_state_file.planner_objective_value.unconditional-oo_.planner_objective_value.unconditional)>1e-5 ...
+ || abs(oo_ramsey_policy_steady_state_file.planner_objective_value.conditional.zero_initial_multiplier-oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-5 ...
+ || abs(oo_ramsey_policy_steady_state_file.planner_objective_value.conditional.steady_initial_multiplier-oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-5
error('Running stoch_simul after ramsey_policy leads to inconsistent results')
end
@@ -58,6 +60,8 @@ if any( [ max(abs((oo_ramsey_policy_initval.steady_state-oo_.steady_state)))>1e-
max(max(abs(oo_ramsey_policy_initval.dr.ghx-oo_.dr.ghx)))>1e-5, ...
max(max(abs(oo_ramsey_policy_initval.dr.ghu-oo_.dr.ghu)))>1e-5, ...
max(max(abs(oo_ramsey_policy_initval.dr.Gy-oo_.dr.Gy)))>1e-5, ...
- max(abs((oo_ramsey_policy_initval.planner_objective_value-oo_.planner_objective_value)))>1e-5 ] )
+ abs(oo_ramsey_policy_initval.planner_objective_value.unconditional-oo_.planner_objective_value.unconditional)>1e-5, ...
+ abs(oo_ramsey_policy_initval.planner_objective_value.conditional.zero_initial_multiplier-oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-5, ...
+ abs(oo_ramsey_policy_initval.planner_objective_value.conditional.steady_initial_multiplier-oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-5] )
error('Initval and steady state file yield different results')
end
diff --git a/tests/optimal_policy/Ramsey/ramsey_ex_initval.mod b/tests/optimal_policy/Ramsey/ramsey_ex_initval.mod
index 9f0d8e1326b6a7f28ad949345b9b44d3e510ae27..27f51628d953958276a87417688351b69dca727d 100644
--- a/tests/optimal_policy/Ramsey/ramsey_ex_initval.mod
+++ b/tests/optimal_policy/Ramsey/ramsey_ex_initval.mod
@@ -47,6 +47,8 @@ if max(abs((oo_ramsey_policy_initval.steady_state-oo_.steady_state)))>1e-5 ...
|| max(max(abs(oo_ramsey_policy_initval.dr.ghx-oo_.dr.ghx)))>1e-5 ...
|| max(max(abs(oo_ramsey_policy_initval.dr.ghu-oo_.dr.ghu)))>1e-5 ...
|| max(max(abs(oo_ramsey_policy_initval.dr.Gy-oo_.dr.Gy)))>1e-5 ...
- || max(abs((oo_ramsey_policy_initval.planner_objective_value-oo_.planner_objective_value)))>1e-5
+ || abs(oo_ramsey_policy_initval.planner_objective_value.unconditional-oo_.planner_objective_value.unconditional)>1e-5 ...
+ || abs(oo_ramsey_policy_initval.planner_objective_value.conditional.zero_initial_multiplier-oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-5 ...
+ || abs(oo_ramsey_policy_initval.planner_objective_value.conditional.steady_initial_multiplier-oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-5
error('Running stoch_simul after ramsey_policy leads to inconsistent results')
end
diff --git a/tests/optimal_policy/Ramsey/ramsey_ex_initval_AR2.mod b/tests/optimal_policy/Ramsey/ramsey_ex_initval_AR2.mod
index c10204922724e360e6076f046a0195defdadcde1..0c522f57f03862ef759f669dc519b52f3fe19e0e 100644
--- a/tests/optimal_policy/Ramsey/ramsey_ex_initval_AR2.mod
+++ b/tests/optimal_policy/Ramsey/ramsey_ex_initval_AR2.mod
@@ -45,6 +45,8 @@ if max(abs((oo_ramsey_policy_initval_AR2.steady_state-oo_.steady_state)))>1e-5 .
|| max(max(abs(oo_ramsey_policy_initval_AR2.dr.ghx-oo_.dr.ghx)))>1e-5 ...
|| max(max(abs(oo_ramsey_policy_initval_AR2.dr.ghu-oo_.dr.ghu)))>1e-5 ...
|| max(max(abs(oo_ramsey_policy_initval_AR2.dr.Gy-oo_.dr.Gy)))>1e-5 ...
- || max(abs((oo_ramsey_policy_initval_AR2.planner_objective_value-oo_.planner_objective_value)))>1e-5
+ || abs(oo_ramsey_policy_initval_AR2.planner_objective_value.unconditional-oo_.planner_objective_value.unconditional)>1e-5 ...
+ || abs(oo_ramsey_policy_initval_AR2.planner_objective_value.conditional.zero_initial_multiplier-oo_.planner_objective_value.conditional.zero_initial_multiplier)>1e-5 ...
+ || abs(oo_ramsey_policy_initval_AR2.planner_objective_value.conditional.steady_initial_multiplier-oo_.planner_objective_value.conditional.steady_initial_multiplier)>1e-5
error('Running stoch_simul after ramsey_policy leads to inconsistent results')
end
\ No newline at end of file
diff --git a/tests/optimal_policy/neo_growth_ramsey.mod b/tests/optimal_policy/neo_growth_ramsey.mod
index 8185ca2f4428fe9183bb5a812fd49a95fb2596ce..09ef3b9e46a1fdea7df87293ca3a9d79072d7910 100644
--- a/tests/optimal_policy/neo_growth_ramsey.mod
+++ b/tests/optimal_policy/neo_growth_ramsey.mod
@@ -45,11 +45,20 @@ unc_W_hand = oo1.oo_.mean(strmatch('W',M1.M_.endo_names,'exact'));
initial_condition_states = repmat(oo1.oo_.dr.ys,1,M1.M_.maximum_lag);
shock_matrix = zeros(1,M1.M_.exo_nbr);
y_sim = simult_(M1.M_,options1.options_,initial_condition_states,oo1.oo_.dr,shock_matrix,options1.options_.order);
-cond_W_hand=y_sim(strmatch('W',M1.M_.endo_names,'exact'),2);
+cond_W_hand_L_SS=y_sim(strmatch('W',M1.M_.endo_names,'exact'),2);
-if abs((unc_W_hand - planner_objective_value(1))/unc_W_hand) > 1e-6;
+if abs((unc_W_hand - planner_objective_value.unconditional)/unc_W_hand) > 1e-6;
error('Inaccurate unconditional welfare assessment');
end;
-if abs((cond_W_hand - planner_objective_value(2))/cond_W_hand) > 1e-6;
- error('Inaccurate conditional welfare assessment');
+if abs(cond_W_hand_L_SS - planner_objective_value.conditional.steady_initial_multiplier) > 1e-6;
+ error('Inaccurate conditional welfare with Lagrange multiplier set to its steady-state value');
+end;
+
+initial_condition_states = zeros(M1.M_.endo_nbr,M1.M_.maximum_lag);
+initial_condition_states(1:M1.M_.orig_endo_nbr,:) = repmat(oo1.oo_.dr.ys(1:M1.M_.orig_endo_nbr),1,M1.M_.maximum_lag);
+shock_matrix = zeros(1,M1.M_.exo_nbr);
+y_sim = simult_(M1.M_,options1.options_,initial_condition_states,oo1.oo_.dr,shock_matrix,options1.options_.order);
+cond_W_hand_L_0=y_sim(strmatch('W',M1.M_.endo_names,'exact'),2);
+if abs(cond_W_hand_L_0 - planner_objective_value.conditional.zero_initial_multiplier) > 1e-6;
+ error('Inaccurate conditional welfare with zero Lagrange multiplier');
end;
diff --git a/tests/optimal_policy/neo_growth_ramsey_foresight.mod b/tests/optimal_policy/neo_growth_ramsey_foresight.mod
index b4175f58f4ce519426ba79a3555f2483fcf6e57f..ef32f9b17ff29e77296950a5f290f1321d6ba769 100644
--- a/tests/optimal_policy/neo_growth_ramsey_foresight.mod
+++ b/tests/optimal_policy/neo_growth_ramsey_foresight.mod
@@ -45,9 +45,9 @@ options1 = load(['neo_growth_foresight' filesep 'Output' filesep 'neo_growth_for
cond_W_hand = oo1.oo_.endo_simul(strmatch('W',M1.M_.endo_names,'exact'),2);
unc_W_hand = oo1.oo_.endo_simul(strmatch('W',M1.M_.endo_names,'exact'),end);
-if abs((unc_W_hand - planner_objective_value(1))/unc_W_hand) > 1e-6;
+if abs((unc_W_hand - planner_objective_value.unconditional)/unc_W_hand) > 1e-6;
error('Inaccurate unconditional welfare assessment');
end;
-if abs((cond_W_hand - planner_objective_value(2))/cond_W_hand) > 1e-6;
+if abs((cond_W_hand - planner_objective_value.conditional)/cond_W_hand) > 1e-6;
error('Inaccurate conditional welfare assessment');
end;
diff --git a/tests/optimal_policy/neo_growth_ramsey_k_order.mod b/tests/optimal_policy/neo_growth_ramsey_k_order.mod
index 02a82d48b70275d72094bf615bef829d368b4cae..8e62a43992043180633e059aa9c30c4d2a6c2bf4 100644
--- a/tests/optimal_policy/neo_growth_ramsey_k_order.mod
+++ b/tests/optimal_policy/neo_growth_ramsey_k_order.mod
@@ -35,8 +35,8 @@ evaluate_planner_objective;
[condWelfare, U_dynpp, W_dynpp, U_dyn, W_dyn] = k_order_welfare(oo_.dr, M_, options_);
-if condWelfare~=oo_.planner_objective_value(1)
- error('Values do not match');
+if condWelfare~=oo_.planner_objective_value.conditional.steady_initial_multiplier
+ error('Inaccurate conditional welfare with Lagrange multiplier set to its steady-state value');
end
if ~exist(['neo_growth_k_order' filesep 'Output' filesep 'neo_growth_k_order_results.mat'],'file');
error('neo_growth_k_order must be run first');
diff --git a/tests/optimal_policy/nk_ramsey_expectation_a.mod b/tests/optimal_policy/nk_ramsey_expectation_a.mod
index 4a0f85aaf2a56fa00e3bd263abca7e3a080c7979..d8eaf468479b67ae53ff35b764ea59b102c466ce 100644
--- a/tests/optimal_policy/nk_ramsey_expectation_a.mod
+++ b/tests/optimal_policy/nk_ramsey_expectation_a.mod
@@ -100,7 +100,9 @@ end
if (norm(o1.oo_.dr.ghu-oo_.dr.ghu,inf) > 1e-12)
error('ghu doesn''t match')
end
-if (abs(o1.oo_.planner_objective_value(1)-oo_.planner_objective_value(1)) > 1e-12)
+if (abs(o1.oo_.planner_objective_value.conditional.zero_initial_multiplier-oo_.planner_objective_value.conditional.zero_initial_multiplier) > 1e-12 ...
+ || abs(o1.oo_.planner_objective_value.conditional.steady_initial_multiplier-oo_.planner_objective_value.conditional.steady_initial_multiplier) > 1e-12 ...
+ || abs(o1.oo_.planner_objective_value.unconditional-oo_.planner_objective_value.unconditional) > 1e-12)
error('planner objective value doesn''t match')
end