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function [y_out,exo_simul] =simult(y0, dr,M_,options_)
% Simulate a DSGE model (perturbation approach).
%@info:
%! @deftypefn {Function File} {[@var{y_}, @var{exo_simul}] =} simult (@var{y0},@var{dr},@var{M_},@var{options_})
%! @anchor{simult}
%! @sp 1
%! Simulate a DSGE model (perturbation approach).
%! @sp 2
%! @strong{Inputs}
%! @sp 1
%! @table @ @var
%! @item y0
%! Vector of doubles, initial conditions.
%! @item dr
%! Matlab's structure describing decision and transition rules.
%! @item M_
%! Matlab's structure describing the model (initialized by dynare, see @ref{M_})
%! @item options_
%! Matlab's structure describing the current options (initialized by dynare, see @ref{options_}).
%! @end table
%! @sp 2
%! @strong{Outputs}
%! @sp 1
%! @table @ @var
%! @item y_out
%! Matrix of doubles, simulated time series for all the endogenous variables (one per row).
%! @item exo_simul
%! Matrix of doubles, random exogenous shocks
%! @end table
%! @sp 2
%! @strong{This function is called by:}
%! @sp 1
%! @ref{non_linear_dsge_likelihood}, @ref{pea/pea_initialization}, @ref{stoch_simul}
%! @sp 2
%! @strong{This function calls:}
%! @sp 1
%! @ref{simult_}
%! @sp 2
%! @strong{Remarks}
%! @sp 1
%! If the routine is called with only one output argument, then field exo_simul (structural innovations) is not updated.
%! @end deftypefn
%@eod:
% Copyright © 2001-2023 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/>.
order = options_.order;
replic = options_.simul_replic;
if replic > 1
if ~exist([M_.dname '/Output'],'dir')
mkdir(M_.dname,'Output');
end
fname = [M_.dname filesep 'Output' filesep 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);
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)
% we fill the shocks row wise to have the same values
% independently of the length of the simulation
exo_simul(:,i_exo_var) = randn(nxs,options_.periods)'*chol_S;
end
y_ = simult_(M_,options_,y0,dr,exo_simul,order);
% elimninating initial value
y_ = y_(:,2:end);
if replic > 1
fwrite(fh,y_,'float64');
end
if i==1
y_out=y_;
end
end
if replic > 1
fclose(fh);
end
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