diff --git a/matlab/evaluate_planner_objective.m b/matlab/evaluate_planner_objective.m
index 7ded2837e750b450ad7741f171940aafbae9f57f..162953a37d7294acf15a35dc86ac63671685c30b 100644
--- a/matlab/evaluate_planner_objective.m
+++ b/matlab/evaluate_planner_objective.m
@@ -120,20 +120,7 @@ if options_.ramsey_policy
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,:)';
+ [yhat_L_SS,yhat_L_0, u]=get_initial_state(ys,M_,dr,oo_);
W_L_SS = Wbar+Wy*yhat_L_SS+Wu*u;
W_L_0 = Wbar+Wy*yhat_L_0+Wu*u;
@@ -212,20 +199,7 @@ if options_.ramsey_policy
Wss = (Uy*gss + beta*(Wy*Gss + Wuu*M_.Sigma_e(:)))/(1-beta);
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,:)';
+ [yhat_L_SS,yhat_L_0, u]=get_initial_state(ys,M_,dr,oo_);
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);
@@ -310,20 +284,7 @@ elseif options_.discretionary_policy
Wss = beta*Wuu*M_.Sigma_e(:)/(1-beta);
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,:)';
+ [yhat_L_SS,yhat_L_0, u]=get_initial_state(ys,M_,dr,oo_);
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);
@@ -356,3 +317,46 @@ if ~options_.noprint
fprintf(' - with initial Lagrange multipliers set to steady state: %10.8f\n\n', planner_objective_value.conditional.steady_initial_multiplier)
end
end
+
+function [yhat_L_SS,yhat_L_0, u]=get_initial_state(ys,M_,dr,oo_)
+
+% 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_.aux_vars)
+mult_indicator=([M_.aux_vars(:).type]==6);
+mult_indices=[M_.aux_vars(mult_indicator).endo_index];
+else
+ mult_indices=[];
+end
+non_mult_indices=~ismember(1:M_.endo_nbr,mult_indices);
+if ~isempty(M_.endo_histval)
+ % initialize endogenous state variable to histval if necessary
+ yhat_L_SS(non_mult_indices) = M_.endo_histval(non_mult_indices);
+ yhat_L_0(non_mult_indices) = M_.endo_histval(non_mult_indices);
+else
+ yhat_L_0(non_mult_indices) = ys(non_mult_indices);
+end
+yhat_L_0 = yhat_L_0(dr.order_var(M_.nstatic+(1:M_.nspred)),1)-ys(dr.order_var(M_.nstatic+(1:M_.nspred)));
+yhat_L_SS = yhat_L_SS(dr.order_var(M_.nstatic+(1:M_.nspred)),1)-ys(dr.order_var(M_.nstatic+(1:M_.nspred)));
+if ~isempty(M_.det_shocks)
+ if ~all(oo_.exo_simul(1,:)==0)
+ fprintf(['\nevaluate_planner_objective: oo_.exo_simul contains simulated values for the initial period.\n'...
+ 'evaluate_planner_objective: Dynare will ignore them and use the provided initial condition.\n'])
+ end
+ u =oo_.exo_steady_state;
+ periods=[M_.det_shocks(:).periods];
+ if ~all(periods==0)
+ fprintf(['\nevaluate_planner_objective: Shock values for periods other than the intial period 0 have been provided.\n' ...
+ 'evaluate_planner_objective: Note that they will be ignored.\n'])
+ end
+ shock_indices=find(periods==0);
+ if any([M_.det_shocks(shock_indices).multiplicative])
+ fprintf(['\nevaluate_planner_objective: Shock values need to be specified as additive.\n'])
+ end
+ u([M_.det_shocks(shock_indices).exo_id])=[M_.det_shocks(shock_indices).value];
+else
+ u = oo_.exo_simul(1,:)'; %first value of simulation series (set by simult.m if periods>0), 1 otherwise
+end
+
diff --git a/tests/optimal_policy/Ramsey/ramsey_histval.mod b/tests/optimal_policy/Ramsey/ramsey_histval.mod
index 4c61ba60bf79efe5a7b6e14f8169a26566a4165e..d237f0cea69397538da533ab15b8ec075ef62025 100644
--- a/tests/optimal_policy/Ramsey/ramsey_histval.mod
+++ b/tests/optimal_policy/Ramsey/ramsey_histval.mod
@@ -12,7 +12,7 @@ phi=1;
rho=0.95;
model;
-a = rho*a(-1)+u;
+a = rho*a(-1)+u+u(-1);
1/c = beta*r/(c(+1)*pai(+1));
pai*(pai-1)/c = beta*pai(+1)*(pai(+1)-1)/c(+1)+epsilon*phi*n^(gamma+1)/omega -exp(a)*n*(epsilon-1)/(omega*c);
exp(a)*n = c+(omega/2)*(pai-1)^2;
@@ -23,6 +23,7 @@ r=1;
end;
histval;
+u(0)=1;
a(0)=-1;
end;
@@ -36,11 +37,30 @@ end;
shocks;
var u; stderr 0.008;
var u;
-periods 1;
+periods 0;
values 1;
end;
options_.dr_display_tol=0;
planner_objective(ln(c)-phi*((n^(1+gamma))/(1+gamma)));
ramsey_model(planner_discount=0.99,instruments=(r));
stoch_simul(order=1);
-evaluate_planner_objective;
\ No newline at end of file
+evaluate_planner_objective;
+stoch_simul(order=2);
+evaluate_planner_objective;
+
+
+
+initval;
+r=1;
+end;
+
+histval;
+u(0)=0;
+a(0)=0;
+end;
+
+shocks(overwrite);
+var u; stderr 0.008;
+end;
+stoch_simul(order=1);
+evaluate_planner_objective;