simult

 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

0001 function y_=simult(y0, dr)
0002 % function y_=simult(y0, dr)
0003 % Recursive Monte Carlo simulations
0004 %
0005 % INPUTS
0006 %    y0:    vector of variables in initial period of the simulation
0007 %    dr:    structure of decisions rules for stochastic simulations
0008 %
0009 % OUTPUTS
0010 %    y_:    stochastic simulations results
0011 %
0012 % SPECIAL REQUIREMENTS
0013 %    none
0014 %
0015 
0016 % Copyright (C) 2001-2011 Dynare Team
0017 %
0018 % This file is part of Dynare.
0019 %
0020 % Dynare is free software: you can redistribute it and/or modify
0021 % it under the terms of the GNU General Public License as published by
0022 % the Free Software Foundation, either version 3 of the License, or
0023 % (at your option) any later version.
0024 %
0025 % Dynare is distributed in the hope that it will be useful,
0026 % but WITHOUT ANY WARRANTY; without even the implied warranty of
0027 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
0028 % GNU General Public License for more details.
0029 %
0030 % You should have received a copy of the GNU General Public License
0031 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
0032 
0033 global M_ options_ oo_
0034 
0035 order = options_.order;
0036 replic = options_.replic;
0037 
0038 if replic == 0
0039     replic = 1;
0040 end
0041 
0042 if replic > 1
0043     fname = [M_.fname,'_simul'];
0044     fh = fopen(fname,'w+');
0045 end
0046 
0047 % eliminate shocks with 0 variance
0048 i_exo_var = setdiff([1:M_.exo_nbr],find(diag(M_.Sigma_e) == 0));
0049 nxs = length(i_exo_var);
0050 oo_.exo_simul = zeros(options_.periods,M_.exo_nbr);
0051 chol_S = chol(M_.Sigma_e(i_exo_var,i_exo_var));
0052 
0053 for i=1:replic
0054     if ~isempty(M_.Sigma_e)
0055         oo_.exo_simul(:,i_exo_var) = randn(options_.periods,nxs)*chol_S;
0056     end
0057     y_ = simult_(y0,dr,oo_.exo_simul,order);
0058     % elimninating initial value
0059     y_ = y_(:,2:end);
0060     if replic > 1
0061         fwrite(fh,y_,'float64');
0062     end
0063 end
0064 
0065 if replic > 1
0066     fclose(fh);
0067 end