File: simul_backward_linear_model_.m

package info (click to toggle)
dynare 5.3-1
  • links: PTS, VCS
  • area: main
  • in suites: bookworm
  • size: 77,852 kB
  • sloc: cpp: 94,481; ansic: 28,551; pascal: 14,532; sh: 5,453; objc: 4,671; yacc: 4,442; makefile: 2,923; lex: 1,612; python: 677; ruby: 469; lisp: 156; xml: 22
file content (61 lines) | stat: -rw-r--r-- 2,853 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
function [ysim, xsim] = simul_backward_linear_model_(initialconditions, samplesize, DynareOptions, DynareModel, DynareOutput, innovations, nx, ny1, iy1, jdx, model_dynamic)

% Simulates a stochastic linear backward looking model.
%
% INPUTS
% - initialconditions   [double]      n*1 vector, initial conditions for the endogenous variables.
% - samplesize          [integer]     scalar, number of periods for the simulation.
% - DynareOptions       [struct]      Dynare's options_ global structure.
% - DynareModel         [struct]      Dynare's M_ global structure.
% - DynareOutput        [struct]      Dynare's oo_ global structure.
% - innovations         [double]      T*q matrix, innovations to be used for the simulation.
%
% OUTPUTS
% - DynareOutput        [struct]      Dynare's oo_ global structure.
%
% REMARKS
% [1] The innovations used for the simulation are saved in DynareOutput.exo_simul, and the resulting paths for the endogenous
%     variables are saved in DynareOutput.endo_simul.
% [2] The last input argument is not mandatory. If absent we use random draws and rescale them with the informations provided
%     through the shocks block.
% [3] If the first input argument is empty, the endogenous variables are initialized with 0, or if available with the informations
%     provided thrtough the histval block.

% Copyright (C) 2017 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 <https://www.gnu.org/licenses/>.

if ~isempty(innovations)
    DynareOutput.exo_simul(initialconditions.nobs+(1:samplesize),:) = innovations;
end

% Get coefficients
[cst, jacob] = model_dynamic(zeros(DynareModel.endo_nbr+ny1,1), ...
                             zeros(DynareModel.orig_maximum_lag+1,DynareModel.exo_nbr), ...
                             DynareModel.params, ...
                             DynareOutput.steady_state, DynareModel.orig_maximum_lag+1);

A0inv = inv(jacob(:,jdx));
A1 = jacob(:,nonzeros(DynareModel.lead_lag_incidence(1,:)));
B = jacob(:,end-nx+1:end);

% Simulations
for it = initialconditions.nobs+(1:samplesize)
    DynareOutput.endo_simul(:,it) = -A0inv*(cst + A1*DynareOutput.endo_simul(iy1,it-1) + B*DynareOutput.exo_simul(it,:)');
end

ysim = DynareOutput.endo_simul(1:DynareModel.orig_endo_nbr,:);
xsim = DynareOutput.exo_simul;