From bbfa62a3d2ad583ebeeabee2280b671a5deb73d6 Mon Sep 17 00:00:00 2001
From: Michel Juillard <michel.juillard@mjui.fr>
Date: Sat, 14 May 2016 10:48:39 +0200
Subject: [PATCH] extended_path: adding calibrated shocks
---
matlab/ep/extended_path.m | 3 ++-
matlab/ep/extended_path_shocks.m | 8 +++++++-
2 files changed, 9 insertions(+), 2 deletions(-)
diff --git a/matlab/ep/extended_path.m b/matlab/ep/extended_path.m
index f8e1f852cf..5205db5943 100644
--- a/matlab/ep/extended_path.m
+++ b/matlab/ep/extended_path.m
@@ -37,7 +37,8 @@ function [ts, DynareResults] = extended_path(initialconditions, samplesize, exog
[initialconditions, innovations, pfm, ep, verbosity, DynareOptions] = ...
extended_path_initialization(initialconditions, samplesize, exogenousvariables, DynareOptions, DynareModel, DynareResults);
-[shocks, spfm_exo_simul, innovations, DynareResults] = extended_path_shocks(innovations, ep, exogenousvariables, samplesize, DynareResults);
+[shocks, spfm_exo_simul, innovations, DynareResults] = ...
+ extended_path_shocks(innovations, ep, exogenousvariables, samplesize, DynareModel, DynareResults);
% Initialize the matrix for the paths of the endogenous variables.
endogenous_variables_paths = NaN(DynareModel.endo_nbr,samplesize+1);
diff --git a/matlab/ep/extended_path_shocks.m b/matlab/ep/extended_path_shocks.m
index ab0b8a1842..878f93b0fe 100644
--- a/matlab/ep/extended_path_shocks.m
+++ b/matlab/ep/extended_path_shocks.m
@@ -1,4 +1,5 @@
-function [shocks, spfm_exo_simul, innovations, DynareResults] = extended_path_shocks(innovations, ep, exogenousvariables, sample_size, DynareResults);
+function [shocks, spfm_exo_simul, innovations, DynareResults] = ...
+ extended_path_shocks(innovations, ep, exogenousvariables, sample_size, DynareModel, DynareResults);
% Copyright (C) 2016 Dynare Team
%
@@ -23,6 +24,11 @@ if isempty(exogenousvariables)
case 'gaussian'
shocks = transpose(transpose(innovations.covariance_matrix_upper_cholesky)*randn(innovations.effective_number_of_shocks,sample_size));
shocks(:,innovations.positive_var_indx) = shocks;
+ case 'calibrated'
+ options.periods = sample_size;
+ DynareResults = make_ex_(DynareModel,options,DynareResults);
+ shocks = DynareResults.exo_simul(2:end,:);
+ innovations.positive_var_indx = find(sum(abs(shocks)>0));
otherwise
error(['extended_path:: ' ep.innovation_distribution ' distribution for the structural innovations is not (yet) implemented!'])
end
--
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