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 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 354 355 356
|
function time_series = extended_path(initial_conditions,sample_size)
% Stochastic simulation of a non linear DSGE model using the Extended Path method (Fair and Taylor 1983). A time
% series of size T is obtained by solving T perfect foresight models.
%
% INPUTS
% o initial_conditions [double] m*nlags array, where m is the number of endogenous variables in the model and
% nlags is the maximum number of lags.
% o sample_size [integer] scalar, size of the sample to be simulated.
%
% OUTPUTS
% o time_series [double] m*sample_size array, the simulations.
%
% ALGORITHM
%
% SPECIAL REQUIREMENTS
% Copyright (C) 2009-2013 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_
options_.verbosity = options_.ep.verbosity;
verbosity = options_.ep.verbosity+options_.ep.debug;
% Prepare a structure needed by the matlab implementation of the perfect foresight model solver
pfm = setup_stochastic_perfect_foresight_model_solver(M_,options_,oo_,'Tensor-Gaussian-Quadrature');
exo_nbr = M_.exo_nbr;
periods = options_.periods;
ep = options_.ep;
steady_state = oo_.steady_state;
dynatol = options_.dynatol;
% Set default initial conditions.
if isempty(initial_conditions)
initial_conditions = oo_.steady_state;
end
% Set maximum number of iterations for the deterministic solver.
options_.simul.maxit = options_.ep.maxit;
% Set the number of periods for the perfect foresight model
periods = options_.ep.periods;
pfm.periods = options_.ep.periods;
pfm.i_upd = pfm.ny+(1:pfm.periods*pfm.ny);
% keep a copy of pfm.i_upd
i_upd = pfm.i_upd;
% Set the algorithm for the perfect foresight solver
options_.stack_solve_algo = options_.ep.stack_solve_algo;
% Set check_stability flag
do_not_check_stability_flag = ~options_.ep.check_stability;
% Compute the first order reduced form if needed.
%
% REMARK. It is assumed that the user did run the same mod file with stoch_simul(order=1) and save
% all the globals in a mat file called linear_reduced_form.mat;
dr = struct();
if options_.ep.init
options_.order = 1;
[dr,Info,M_,options_,oo_] = resol(1,M_,options_,oo_);
end
% Do not use a minimal number of perdiods for the perfect foresight solver (with bytecode and blocks)
options_.minimal_solving_period = 100;%options_.ep.periods;
% Initialize the exogenous variables.
make_ex_;
% Initialize the endogenous variables.
make_y_;
% Initialize the output array.
time_series = zeros(M_.endo_nbr,sample_size);
% Set the covariance matrix of the structural innovations.
variances = diag(M_.Sigma_e);
positive_var_indx = find(variances>0);
effective_number_of_shocks = length(positive_var_indx);
stdd = sqrt(variances(positive_var_indx));
covariance_matrix = M_.Sigma_e(positive_var_indx,positive_var_indx);
covariance_matrix_upper_cholesky = chol(covariance_matrix);
% (re)Set exo_nbr
%exo_nbr = effective_number_of_shocks;
% Set seed.
if options_.ep.set_dynare_seed_to_default
set_dynare_seed('default');
end
% Set bytecode flag
bytecode_flag = options_.ep.use_bytecode;
% Simulate shocks.
switch options_.ep.innovation_distribution
case 'gaussian'
oo_.ep.shocks = randn(sample_size,effective_number_of_shocks)*covariance_matrix_upper_cholesky;
otherwise
error(['extended_path:: ' options_.ep.innovation_distribution ' distribution for the structural innovations is not (yet) implemented!'])
end
% Initializes some variables.
t = 0;
% Set waitbar (graphic or text mode)
hh = dyn_waitbar(0,'Please wait. Extended Path simulations...');
set(hh,'Name','EP simulations.');
% hybrid correction
pfm.hybrid_order = options_.ep.stochastic.hybrid_order;
if pfm.hybrid_order
oo_.dr = set_state_space(oo_.dr,M_,options_);
options = options_;
options.order = pfm.hybrid_order;
pfm.dr = resol(0,M_,options,oo_);
else
pfm.dr = [];
end
% Main loop.
while (t<sample_size)
if ~mod(t,10)
dyn_waitbar(t/sample_size,hh,'Please wait. Extended Path simulations...');
end
% Set period index.
t = t+1;
shocks = oo_.ep.shocks(t,:);
% Put it in oo_.exo_simul (second line).
oo_.exo_simul(2,positive_var_indx) = shocks;
periods1 = periods;
exo_simul_1 = zeros(periods1+2,exo_nbr);
exo_simul_1(2,:) = oo_.exo_simul(2,:);
pfm1 = pfm;
info_convergence = 0;
if ep.init% Compute first order solution (Perturbation)...
ex = zeros(size(endo_simul_1,2),size(exo_simul_1,2));
ex(1:size(exo_simul_1,1),:) = exo_simul_1;
exo_simul_1 = ex;
initial_path = simult_(initial_conditions,dr,exo_simul_1(2:end,:),1);
endo_simul_1(:,1:end-1) = initial_path(:,1:end-1)*ep.init+endo_simul_1(:,1:end-1)*(1-ep.init);
else
if t==1
endo_simul_1 = repmat(steady_state,1,periods1+2);
end
end
% Solve a perfect foresight model.
increase_periods = 0;
% Keep a copy of endo_simul_1
endo_simul = endo_simul_1;
while 1
if ~increase_periods
if bytecode_flag && ~options_.ep.stochastic.order
[flag,tmp] = bytecode('dynamic',endo_simul_1,exo_simul_1);
else
flag = 1;
end
if flag
if options_.ep.stochastic.order == 0
[flag,tmp,err] = solve_perfect_foresight_model(endo_simul_1,exo_simul_1,pfm1);
else
switch(options_.ep.stochastic.algo)
case 0
[flag,tmp] = ...
solve_stochastic_perfect_foresight_model(endo_simul_1,exo_simul_1,pfm1,options_.ep.stochastic.quadrature.nodes,options_.ep.stochastic.order);
case 1
[flag,tmp] = ...
solve_stochastic_perfect_foresight_model_1(endo_simul_1,exo_simul_1,pfm1,options_.ep.stochastic.quadrature.nodes,options_.ep.stochastic.order);
end
end
end
info_convergence = ~flag;
end
if verbosity
if info_convergence
if t<10
disp(['Time: ' int2str(t) '. Convergence of the perfect foresight model solver!'])
elseif t<100
disp(['Time: ' int2str(t) '. Convergence of the perfect foresight model solver!'])
elseif t<1000
disp(['Time: ' int2str(t) '. Convergence of the perfect foresight model solver!'])
else
disp(['Time: ' int2str(t) '. Convergence of the perfect foresight model solver!'])
end
else
if t<10
disp(['Time: ' int2str(t) '. No convergence of the perfect foresight model solver!'])
elseif t<100
disp(['Time: ' int2str(t) '. No convergence of the perfect foresight model solver!'])
elseif t<1000
disp(['Time: ' int2str(t) '. No convergence of the perfect foresight model solver!'])
else
disp(['Time: ' int2str(t) '. No convergence of the perfect foresight model solver!'])
end
end
end
if do_not_check_stability_flag
% Exit from the while loop.
endo_simul_1 = tmp;
break
else
% Test if periods is big enough.
% Increase the number of periods.
periods1 = periods1 + ep.step;
pfm1.periods = periods1;
pfm1.i_upd = pfm1.ny+(1:pfm1.periods*pfm1.ny);
% Increment the counter.
increase_periods = increase_periods + 1;
if verbosity
if t<10
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(periods1) '.'])
elseif t<100
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(periods1) '.'])
elseif t<1000
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(periods1) '.'])
else
disp(['Time: ' int2str(t) '. I increase the number of periods to ' int2str(periods1) '.'])
end
end
if info_convergence
% If the previous call to the perfect foresight model solver exited
% announcing that the routine converged, adapt the size of endo_simul_1
% and exo_simul_1.
endo_simul_1 = [ tmp , repmat(steady_state,1,ep.step) ];
exo_simul_1 = [ exo_simul_1 ; zeros(ep.step,exo_nbr)];
tmp_old = tmp;
else
% If the previous call to the perfect foresight model solver exited
% announcing that the routine did not converge, then tmp=1... Maybe
% should change that, because in some circonstances it may usefull
% to know where the routine did stop, even if convergence was not
% achieved.
endo_simul_1 = [ endo_simul_1 , repmat(steady_state,1,ep.step) ];
exo_simul_1 = [ exo_simul_1 ; zeros(ep.step,exo_nbr)];
end
% Solve the perfect foresight model with an increased number of periods.
if bytecode_flag && ~options_.ep.stochastic.order
[flag,tmp] = bytecode('dynamic',endo_simul_1,exo_simul_1);
else
flag = 1;
end
if flag
if options_.ep.stochastic.order == 0
[flag,tmp,err] = solve_perfect_foresight_model(endo_simul_1,exo_simul_1,pfm1);
else
[flag,tmp] = solve_stochastic_perfect_foresight_model(endo_simul_1,exo_simul_1,pfm1,options_.ep.stochastic.nodes,options_.ep.stochastic.order);
end
end
info_convergence = ~flag;
if info_convergence
% If the solver achieved convergence, check that simulated paths did not
% change during the first periods.
% Compute the maximum deviation between old path and new path over the
% first periods
delta = max(max(abs(tmp(:,2)-tmp_old(:,2))));
if delta < dynatol.x
% If the maximum deviation is close enough to zero, reset the number
% of periods to ep.periods
periods1 = ep.periods;
pfm1.periods = periods1;
pfm1.i_upd = pfm1.ny+(1:pfm1.periods*pfm1.ny);
% Cut exo_simul_1 and endo_simul_1 consistently with the resetted
% number of periods and exit from the while loop.
exo_simul_1 = exo_simul_1(1:(periods1+2),:);
endo_simul_1 = endo_simul_1(:,1:(periods1+2));
break
end
else
% The solver did not converge... Try to solve the model again with a bigger
% number of periods, except if the number of periods has been increased more
% than 10 times.
if increase_periods==10;
if verbosity
if t<10
disp(['Time: ' int2str(t) '. Even with ' int2str(periods1) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
elseif t<100
disp(['Time: ' int2str(t) '. Even with ' int2str(periods1) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
elseif t<1000
disp(['Time: ' int2str(t) '. Even with ' int2str(periods1) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
else
disp(['Time: ' int2str(t) '. Even with ' int2str(periods1) ', I am not able to solve the perfect foresight model. Use homotopy instead...'])
end
end
% Exit from the while loop.
break
end
end% if info_convergence
end
end% while
if ~info_convergence% If exited from the while loop without achieving convergence, use an homotopic approach
if ~do_not_check_stability_flag
periods1 = ep.periods;
pfm1.periods = periods1;
pfm1.i_upd = i_upd;
exo_simul_1 = exo_simul_1(1:(periods1+2),:);
endo_simul_1 = endo_simul_1(:,1:(periods1+2));
end
[INFO,tmp] = homotopic_steps(endo_simul,exo_simul_1,.5,.01,pfm1);
if isstruct(INFO)
info_convergence = INFO.convergence;
else
info_convergence = 0;
end
if ~info_convergence
[INFO,tmp] = homotopic_steps(endo_simul,exo_simul_1,0,.01,pfm1);
if isstruct(INFO)
info_convergence = INFO.convergence;
else
info_convergence = 0;
end
if ~info_convergence
disp('Homotopy:: No convergence of the perfect foresight model solver!')
error('I am not able to simulate this model!');
else
endo_simul_1 = tmp;
if verbosity && info_convergence
disp('Homotopy:: Convergence of the perfect foresight model solver!')
end
end
else
info_convergence = 1;
endo_simul_1 = tmp;
if verbosity && info_convergence
disp('Homotopy:: Convergence of the perfect foresight model solver!')
end
end
end
% Save results of the perfect foresight model solver.
time_series(:,t) = endo_simul_1(:,2);
endo_simul_1(:,1:end-1) = endo_simul_1(:,2:end);
endo_simul_1(:,1) = time_series(:,t);
endo_simul_1(:,end) = oo_.steady_state;
end% (while) loop over t
dyn_waitbar_close(hh);
if ~nargout
oo_.endo_simul = [initial_conditions, time_series];
dyn2vec;
end
|