File: simult.m

package info (click to toggle)
dynare 4.3.0-2
  • links: PTS, VCS
  • area: main
  • in suites: wheezy
  • size: 40,640 kB
  • sloc: fortran: 82,231; cpp: 72,734; ansic: 28,874; pascal: 13,241; sh: 4,300; objc: 3,281; yacc: 2,833; makefile: 1,288; lex: 1,162; python: 162; lisp: 54; xml: 8
file content (63 lines) | stat: -rw-r--r-- 1,733 bytes parent folder | download
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
function y_=simult(y0, dr)
% function y_=simult(y0, dr)
% Recursive Monte Carlo simulations
%
% INPUTS
%    y0:    vector of variables in initial period of the simulation
%    dr:    structure of decisions rules for stochastic simulations
%
% OUTPUTS
%    y_:    stochastic simulations results
%
% SPECIAL REQUIREMENTS
%    none
%  

% Copyright (C) 2001-2011 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.

global M_ options_ oo_

order = options_.order;
replic = options_.simul_replic;

if replic > 1
    fname = [M_.fname,'_simul'];
    fh = fopen(fname,'w+');
end

% eliminate shocks with 0 variance
i_exo_var = setdiff([1:M_.exo_nbr],find(diag(M_.Sigma_e) == 0));
nxs = length(i_exo_var);
oo_.exo_simul = zeros(options_.periods,M_.exo_nbr);
chol_S = chol(M_.Sigma_e(i_exo_var,i_exo_var));

for i=1:replic
    if ~isempty(M_.Sigma_e)
        oo_.exo_simul(:,i_exo_var) = randn(options_.periods,nxs)*chol_S;
    end
    y_ = simult_(y0,dr,oo_.exo_simul,order);
    % elimninating initial value
    y_ = y_(:,2:end);
    if replic > 1
        fwrite(fh,y_,'float64');
    end
end

if replic > 1
    fclose(fh);
end