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4.12 Deterministic simulation

When the framework is deterministic, Dynare can be used for models with the assumption of perfect foresight. Typically, the system is supposed to be in a state of equilibrium before a period ‘1’ when the news of a contemporaneous or of a future shock is learned by the agents in the model. The purpose of the simulation is to describe the reaction in anticipation of, then in reaction to the shock, until the system returns to the old or to a new state of equilibrium. In most models, this return to equilibrium is only an asymptotic phenomenon, which one must approximate by an horizon of simulation far enough in the future. Another exercise for which Dynare is well suited is to study the transition path to a new equilibrium following a permanent shock. For deterministic simulations, Dynare uses a Newton-type algorithm, first proposed by Laffargue (1990) and Boucekkine (1995), instead of a first order technique like the one proposed by Fair and Taylor (1983), and used in earlier generation simulation programs. We believe this approach to be in general both faster and more robust. The details of the algorithm can be found in Juillard (1996).

Command: simul ;
Command: simul (OPTIONS…);

Description

Triggers the computation of a deterministic simulation of the model for the number of periods set in the option periods.

Options

periods = INTEGER

Number of periods of the simulation

maxit = INTEGER

Determines the maximum number of iterations used in the non-linear solver. The default value of maxit is 10. The maxit option is shared with the steady command. So a change in maxit in a simul command will also be considered in the following steady commands.

stack_solve_algo = INTEGER

Algorithm used for computing the solution. Possible values are:

0

Newton method to solve simultaneously all the equations for every period, using sparse matrices (Default).

1

Use a Newton algorithm with a sparse LU solver at each iteration (requires bytecode and/or block option, see section Model declaration).

2

Use a Newton algorithm with a Generalized Minimal Residual (GMRES) solver at each iteration (requires bytecode and/or block option, see section Model declaration; not available under Octave)

3

Use a Newton algorithm with a Stabilized Bi-Conjugate Gradient (BICGSTAB) solver at each iteration (requires bytecode and/or block option, see section Model declaration).

4

Use a Newton algorithm with a optimal path length at each iteration (requires bytecode and/or block option, see section Model declaration).

5

Use a Newton algorithm with a sparse Gaussian elimination (SPE) solver at each iteration (requires bytecode option, see section Model declaration).

6

Use the historical algorithm proposed in Juillard (1996): it is slower than stack_solve_algo=0, but may be less memory consuming on big models (not available with bytecode and/or block options).

markowitz = DOUBLE

Value of the Markowitz criterion, used to select the pivot. Only used when stack_solve_algo = 5. Default: 0.5.

minimal_solving_periods = INTEGER

Specify the minimal number of periods where the model has to be solved, before using a constant set of operations for the remaining periods. Only used when stack_solve_algo = 5. Default: 1.

datafile = FILENAME

If the variables of the model are not constant over time, their initial values, stored in a text file, could be loaded, using that option, as initial values before a deteministic simulation.

Output

The simulated endogenous variables are available in global matrix oo_.endo_simul.

MATLAB/Octave variable: oo_.endo_simul

This variable stores the result of a deterministic simulation (computed by simul) or of a stochastic simulation (computed by stoch_simul with the periods option or by extended_path).

The variables are arranged row by row, in order of declaration (as in M_.endo_names). Note that this variable also contains initial and terminal conditions, so it has more columns than the value of periods option.

MATLAB/Octave variable: oo_.exo_simul

This variable stores the path of exogenous variables during a simulation (computed by simul, stoch_simul or extended_path).

The variables are arranged in columns, in order of declaration (as in M_.endo_names). Periods are in rows. Note that this convention regarding columns and rows is the opposite of the convention for oo_.endo_simul!


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