ep_residuals

 Inversion of the extended path simulation approach. This routine computes the innovations needed to
 reproduce the time path of a subset of endogenous variables.    
    
 INPUTS
  o x    [double]   n*1 vector, time t innovations.    
  o y    [double]   n*1 vector, time t restricted endogenous variables.
  o ix   [integer]  index of control innovations in the full vector of innovations.
  o iy   [integer]  index of controlled variables in the full vector of endogenous variables.    
  o s    [double]   m*1 vector, endogenous variables at time t-1. 
    
 
 OUTPUTS
  o r    [double]  n*1 vector of residuals.
    
 ALGORITHM
  
 SPECIAL REQUIREMENTS

0001 function r = ep_residuals(x, y, ix, iy, steadystate, dr, maximum_lag, endo_nbr)
0002 % Inversion of the extended path simulation approach. This routine computes the innovations needed to
0003 % reproduce the time path of a subset of endogenous variables.
0004 %
0005 % INPUTS
0006 %  o x    [double]   n*1 vector, time t innovations.
0007 %  o y    [double]   n*1 vector, time t restricted endogenous variables.
0008 %  o ix   [integer]  index of control innovations in the full vector of innovations.
0009 %  o iy   [integer]  index of controlled variables in the full vector of endogenous variables.
0010 %  o s    [double]   m*1 vector, endogenous variables at time t-1.
0011 %
0012 %
0013 % OUTPUTS
0014 %  o r    [double]  n*1 vector of residuals.
0015 %
0016 % ALGORITHM
0017 %
0018 % SPECIAL REQUIREMENTS
0019 
0020 % Copyright (C) 2010 Dynare Team.
0021 %
0022 % This file is part of Dynare.
0023 %
0024 % Dynare is free software: you can redistribute it and/or modify
0025 % it under the terms of the GNU General Public License as published by
0026 % the Free Software Foundation, either version 3 of the License, or
0027 % (at your option) any later version.
0028 %
0029 % Dynare is distributed in the hope that it will be useful,
0030 % but WITHOUT ANY WARRANTY; without even the implied warranty of
0031 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
0032 % GNU General Public License for more details.
0033 %
0034 % You should have received a copy of the GNU General Public License
0035 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
0036 
0037 global oo_
0038 
0039 persistent k1 k2 weight
0040 
0041 if isempty(k1)
0042     k1 = [maximum_lag:-1:1];
0043     k2 = dr.kstate(find(dr.kstate(:,2) <= maximum_lag+1),[1 2]);
0044     k2 = k2(:,1)+(maximum_lag+1-k2(:,2))*endo_nbr;
0045     weight = 0.0;
0046 end
0047 
0048 verbose = 0;
0049 
0050 % Copy the shocks in exo_simul.
0051 oo_.exo_simul(maximum_lag+1,ix) = exp(transpose(x));
0052 exo_simul = log(oo_.exo_simul);
0053 
0054 % Compute the initial solution path for the endogenous variables using a first order approximation.
0055 if verbose
0056     disp('ep_residuals:: Set initial condition for endogenous variable paths.')
0057 end
0058 initial_path = oo_.endo_simul;
0059 for i = maximum_lag+1:size(oo_.exo_simul)
0060     tempx1 = oo_.endo_simul(dr.order_var,k1);
0061     tempx2 = bsxfun(@minus,tempx1,dr.ys(dr.order_var));
0062     tempx = tempx2(k2);
0063     initial_path(dr.order_var,i) = dr.ys(dr.order_var)+dr.ghx*tempx2(k2)+dr.ghu*transpose(exo_simul(i,:));
0064     k1 = k1+1;
0065 end
0066 oo_.endo_simul = weight*initial_path + (1-weight)*oo_.endo_simul;
0067 
0068 info = perfect_foresight_simulation(dr,steadystate);
0069 if verbose>1
0070     info
0071     info.iterations.errors
0072 end
0073 
0074 r = y-transpose(oo_.endo_simul(maximum_lag+1,iy));
0075 
0076 %(re)Set k1 (indices for the initial conditions)
0077 k1 = [maximum_lag:-1:1];