time | Calls | line |
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| | 7 | function [result_map] = ff_iwkz_ds_vecsv(varargin)
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| | 8 | %% FF_IWKZ_DS finds the stationary asset distributions
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| | 9 | % Building on the Two Assets Two-Step Interpolated Dynamic Programming
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| | 10 | % Problem
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| | 11 | % <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_vf_vecsv.html
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| | 12 | % ff_iwkz_vf_vecsv>, here we solve for the asset distribution. This version
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| | 13 | % of the program is semi-analytical.
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| | 14 | %
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| | 15 | % This is the two-stage with interpolation version of
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| | 16 | % <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_akz_ds_vecsv.html
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| | 17 | % ff_akz_ds_vecsv>. See that file for additional descriptions and
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| | 18 | % comparisons. These two functions are nearly identical
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| | 19 | %
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| | 20 | % The code here works when we are looking for the distribution of f(a,z),
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| | 21 | % where a'(a,z,z'), meaning that the a next period is determined by a last
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| | 22 | % period and some shock last period as well as shock this period. a here is
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| | 23 | % cash-on-hand. This contrasts with
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| | 24 | % <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds_vecsv.html
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| | 25 | % ff_az_ds_vecsv>, which works for a'(a,z), a' can not be a function of z'.
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| | 26 | %
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| | 27 | % @example
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| | 28 | %
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| | 29 | % % Get Default Parameters
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| | 30 | % it_param_set = 6;
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| | 31 | % [param_map, support_map] = ffs_az_set_default_param(it_param_set);
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| | 32 | % % Change Keys in param_map
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| | 33 | % param_map('it_w_n') = 750;
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| | 34 | % param_map('it_ak_n') = param_map('it_w_n');
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| | 35 | % param_map('it_z_n') = 11;
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| | 36 | % param_map('fl_a_max') = 100;
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| | 37 | % param_map('fl_w') = 1.3;
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| | 38 | % % Change Keys support_map
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| | 39 | % support_map('bl_display') = false;
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| | 40 | % support_map('bl_post') = true;
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| | 41 | % support_map('bl_display_final') = false;
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| | 42 | % % Call Program with external parameters that override defaults
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| | 43 | % ff_iwkz_ds_vecsv(param_map, support_map);
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| | 44 | %
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| | 45 | % @include
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| | 46 | %
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| | 47 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_vf_vecsv.html ff_wkz_vf_vecsv>
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| | 48 | % * <https://fanwangecon.github.io/CodeDynaAsset/m_az/solvepost/html/ff_az_ds_post_stats.html ff_az_ds_post_stats>
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| | 49 | % * <https://fanwangecon.github.io/CodeDynaAsset/tools/html/fft_disc_rand_var_stats.html fft_disc_rand_var_stats>
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| | 50 | % * <https://fanwangecon.github.io/CodeDynaAsset/tools/html/fft_disc_rand_var_mass2outcomes.html fft_disc_rand_var_mass2outcomes>
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| | 51 | %
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| | 52 | % @seealso
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| | 53 | %
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| | 54 | % * derive distribution f(y'(y,z)) one asset *loop*: <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds.html ff_az_ds>
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| | 55 | % * derive distribution f(y'({x,y},z)) two assets *loop*: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_akz_ds.html ff_akz_ds>
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| | 56 | % * derive distribution f(y'({x,y},z, *z'*)) two assets *loop*: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_ds.html ff_iwkz_ds>
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| | 57 | % * derive distribution f(y'({y},z)) or f(y'({x,y},z)) *vectorized*: <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds_vec.html ff_az_ds_vec>
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| | 58 | % * derive distribution f(y'({y},z, *z'*)) or f(y'({x,y},z, *z'*)) *vectorized*: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_ds_vec.html ff_iwkz_ds_vec>
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| | 59 | % * derive distribution f(y'({y},z)) or f(y'({x,y},z)) *semi-analytical*: <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds_vecsv.html ff_az_ds_vecsv>
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| | 60 | % * derive distribution f(y'({y},z, *z'*)) or f(y'({x,y},z, *z'*)) *semi-analytical*: <https://fanwangecon.github.io/CodeDynaAsset/m_akz/solve/html/ff_iwkz_ds_vecsv.html ff_iwkz_ds_vecsv>
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| | 61 | %
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| | 62 |
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| | 63 | %% Default
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| | 64 | % Program can be externally invoked with _az_, _abz_ or various other
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| | 65 | % programs. By default, program invokes using _az_ model programs:
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| | 66 | %
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| | 67 | % # it_subset = 5 is basic invoke quick test
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| | 68 | % # it_subset = 6 is invoke full test
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| | 69 | % # it_subset = 7 is profiling invoke
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| | 70 | % # it_subset = 8 is matlab publish
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| | 71 | % # it_subset = 9 is invoke operational (only final stats) and coh graph
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| | 72 | %
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| | 73 |
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| | 74 | if (~isempty(varargin))
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| | 75 |
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| | 76 | % if invoked from outside override fully
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| | 77 | [param_map, support_map, armt_map, func_map, result_map] = varargin{:};
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| | 78 |
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| | 79 | else
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| | 80 |
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| | 81 | % default invoke
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| | 82 | close all;
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| | 83 |
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| | 84 | it_param_set = 7;
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| | 85 | st_akz_or_iwkz = 'iwkz';
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| | 86 |
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| | 87 | % 1. Generate Parameters
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| | 88 | [param_map, support_map] = ffs_akz_set_default_param(it_param_set);
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| | 89 |
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| | 90 | % Note: param_map and support_map can be adjusted here or outside to override defaults
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| | 91 | % param_map('it_w_n') = 50;
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| | 92 | % param_map('it_z_n') = 15;
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| | 93 |
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| | 94 | param_map('st_analytical_stationary_type') = 'eigenvector';
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| | 95 |
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| | 96 | % 2. Generate function and grids
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| | 97 | [armt_map, func_map] = ffs_akz_get_funcgrid(param_map, support_map); % 1 for override
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| | 98 |
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| | 99 | % 3. Solve value and policy function using ff_iwkz_vf_vecsv
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| | 100 | if (strcmp(st_akz_or_iwkz, 'iwkz'))
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| | 101 | [result_map] = ff_iwkz_vf_vecsv(param_map, support_map, armt_map, func_map);
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| | 102 | end
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| | 103 | end
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| | 104 |
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| | 105 | %% Parse Parameters
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| | 106 |
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| | 107 | % append function name
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| | 108 | st_func_name = 'ff_iwkz_ds_vecsv';
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| | 109 | support_map('st_profile_name_main') = [st_func_name support_map('st_profile_name_main')];
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| | 110 | support_map('st_mat_name_main') = [st_func_name support_map('st_mat_name_main')];
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| | 111 | support_map('st_img_name_main') = [st_func_name support_map('st_img_name_main')];
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| | 112 |
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| | 113 | % result_map
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| | 114 | % ar_st_pol_names is from section _Process Optimal Choices_ in the value
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| | 115 | % function code.
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| | 116 | params_group = values(result_map, {'cl_mt_pol_a', 'cl_mt_pol_k'});
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| | 117 | [cl_mt_pol_a, cl_mt_pol_k] = params_group{:};
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| | 118 | [mt_pol_a, mt_pol_k] = deal(cl_mt_pol_a{1}, cl_mt_pol_k{1});
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| | 119 |
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| | 120 | % Get Model Name
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| | 121 | params_group = values(param_map, {'st_model'});
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| | 122 | [st_model] = params_group{:};
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| | 123 | % param_map
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| | 124 | params_group = values(param_map, {'it_z_n'});
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| | 125 | [it_z_n] = params_group{:};
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| | 126 |
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| | 127 | % func_map
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| | 128 | params_group = values(func_map, {'f_coh'});
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| | 129 | [f_coh] = params_group{:};
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| | 130 |
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| | 131 | % armt_map
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| | 132 | params_group = values(armt_map, {'mt_z_trans', 'ar_interp_coh_grid'});
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| | 133 | [mt_z_trans, ar_interp_coh_grid] = params_group{:};
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| | 134 | if (ismember(st_model, ["ipwkbzr"]))
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| | 135 | params_group = values(armt_map, {'ar_z_r_borr_mesh_wage_w1r2', 'ar_z_wage_mesh_r_borr_w1r2'});
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| | 136 | [ar_z_r_borr_mesh_wage_w1r2, ar_z_wage_mesh_r_borr_w1r2] = params_group{:};
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| | 137 | params_group = values(param_map, {'it_z_wage_n', 'fl_z_r_borr_n'});
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| | 138 | [it_z_wage_n, fl_z_r_borr_n] = params_group{:};
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| | 139 | elseif (ismember(st_model, ["ipwkbzr_fibs"]))
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| | 140 | params_group = values(armt_map, {'ar_z_r_infbr_mesh_wage_w1r2', 'ar_z_wage_mesh_r_infbr_w1r2'});
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| | 141 | [ar_z_r_borr_mesh_wage_w1r2, ar_z_wage_mesh_r_borr_w1r2] = params_group{:};
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| | 142 | params_group = values(param_map, {'it_z_wage_n', 'fl_z_r_infbr_n'});
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| | 143 | [it_z_wage_n, fl_z_r_borr_n] = params_group{:};
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| | 144 | else
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| | 145 | params_group = values(armt_map, {'ar_z'});
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| | 146 | [ar_z] = params_group{:};
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| | 147 | end
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| | 148 |
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| | 149 | % param_map
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| | 150 | params_group = values(param_map, {'st_analytical_stationary_type'});
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| | 151 | [st_analytical_stationary_type] = params_group{:};
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| | 152 |
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| | 153 | % support_map
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| | 154 | params_group = values(support_map, {'bl_profile_dist', 'st_profile_path', ...
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| | 155 | 'st_profile_prefix', 'st_profile_name_main', 'st_profile_suffix',...
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| | 156 | 'bl_time'});
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| | 157 | [bl_profile_dist, st_profile_path, ...
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| | 158 | st_profile_prefix, st_profile_name_main, st_profile_suffix, ...
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| | 159 | bl_time] = params_group{:};
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| | 160 |
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| | 161 | %% Start Profiler and Timer
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| | 162 |
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| | 163 | % Start Profile
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| | 164 | if (bl_profile_dist)
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| | 165 | close all;
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| | 166 | profile off;
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| | 167 | profile on;
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< 0.001 | 1 | 168 | end
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| | 169 |
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| | 170 | % Start Timer
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< 0.001 | 1 | 171 | if (bl_time)
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< 0.001 | 1 | 172 | tic;
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< 0.001 | 1 | 173 | end
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| | 174 |
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| | 175 | %% A. Get Size of Endogenous and Exogenous State
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| | 176 |
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< 0.001 | 1 | 177 | it_endostates_n = length(ar_interp_coh_grid);
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< 0.001 | 1 | 178 | it_exostates_n = it_z_n;
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| | 179 |
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| | 180 | %% B. Solve for Index
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| | 181 | % The model is solved by interpolating over cash-on-hand. The optimal
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| | 182 | % choices do not map to specific points on the cash-on-hand grid. Find the
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| | 183 | % index of the cash-on-hand vector that is the closest to the
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| | 184 | % coh'(a'(coh,z),k'(coh,z),z').
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| | 185 | %
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| | 186 | % Since we have *z_n* elements of shocks, and *coh_n* elements of the
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| | 187 | % cash-on-hand grid, there are (coh_n x z_n) possible combinations of
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| | 188 | % states at period t. In period t+1, there are (coh_n x z_n) by (z_n)
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| | 189 | % possible/reachable cash-on-hand points. We find the index of all these
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| | 190 | % reachable coh' points on the interpolation cash-on-hand grid.
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| | 191 | %
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| | 192 |
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| | 193 | % 1. *mt_coh_prime* is (coh_n x z_n) by (z_n)
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| | 194 | % coh'(z', a'(coh,z), k'(coh,z))
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0.006 | 1 | 195 | if (ismember(st_model, ["ipwkbzr"]))
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| | 196 | mt_coh_prime = f_coh(ar_z_r_borr_mesh_wage_w1r2, ar_z_wage_mesh_r_borr_w1r2, ...
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| | 197 | mt_pol_a(:), mt_pol_k(:));
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< 0.001 | 1 | 198 | elseif (ismember(st_model, ["ipwkbzr_fibs"]))
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| | 199 | % mt_pol_a includes interest rates
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| | 200 | mt_coh_prime = f_coh(ar_z_wage_mesh_r_borr_w1r2, mt_pol_a(:), mt_pol_k(:));
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< 0.001 | 1 | 201 | else
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0.003 | 1 | 202 | mt_coh_prime = f_coh(ar_z, mt_pol_a(:), mt_pol_k(:));
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< 0.001 | 1 | 203 | end
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| | 204 |
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| | 205 |
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| | 206 | % 2. *mt_coh_prime_on_grid_idx* is (coh_n x z_n) by (z_n):
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| | 207 | % index for coh'(a,k,z')
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| | 208 | % to reduce potential size, loop over future states
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< 0.001 | 1 | 209 | mt_coh_prime_on_grid_idx = zeros(size(mt_coh_prime));
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< 0.001 | 1 | 210 | for it_zprime_ctr=1:size(mt_coh_prime, 2)
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< 0.001 | 15 | 211 | ar_coh_prime = mt_coh_prime(:,it_zprime_ctr);
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0.184 | 15 | 212 | [~, ar_coh_prime_on_grid_idx] = min(abs(ar_coh_prime(:)' - ar_interp_coh_grid'));
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< 0.001 | 15 | 213 | mt_coh_prime_on_grid_idx(:,it_zprime_ctr) = ar_coh_prime_on_grid_idx;
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< 0.001 | 15 | 214 | end
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| | 215 |
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| | 216 | %% C. Expand Index so Matches Full States Index Dimension
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| | 217 | % The index above matches the index in the cash-on-hand grid, but now, the
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| | 218 | % state space is cash-on-hand jointly with shocks, that is the full states
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| | 219 | % markov's states. So if there are two shocks and two cash-on-hand grid
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| | 220 | % points, the cash-on-hand grid points would have been [1,2] and [1,2], but
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| | 221 | % depending on which z' they match up to, they would now be [1,2] if
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| | 222 | % matching to the first z', and [3,4] if matching to the second z'.
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| | 223 |
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| | 224 | % mt_pol_idx_mesh_max is (NxM) by M, mt_pol_idx is N by M
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< 0.001 | 1 | 225 | mt_pol_idx_mesh_max = mt_coh_prime_on_grid_idx + (0:1:(it_exostates_n-1))*it_endostates_n;
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| | 226 |
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| | 227 | %% D. Transition Probabilities from (M by M) to (NxM) by M
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| | 228 | % Probability comes from the shock transition matrix, which is now
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| | 229 | % duplicated for all cash-on-hand grid elements
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| | 230 |
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< 0.001 | 1 | 231 | mt_trans_prob = reshape(repmat(mt_z_trans(:)', ...
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| 1 | 232 | [it_endostates_n, 1]), [it_endostates_n*it_exostates_n, it_exostates_n]);
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| | 233 |
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| | 234 | %% E. Fill mt_pol_idx_mesh_idx to mt_full_trans_mat SPARSE
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| | 235 | % Try to always use sparse matrix, unless grid sizes very small, keeping
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| | 236 | % non-sparse code here for comparison. Sparse matrix is important for
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| | 237 | % allowing the code to be fast and memory efficient. Otherwise this method
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| | 238 | % is much slower than iterative method.
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| | 239 |
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< 0.001 | 1 | 240 | i = mt_pol_idx_mesh_max(:);
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< 0.001 | 1 | 241 | j = repmat((1:1:it_endostates_n*it_exostates_n),[1,it_exostates_n])';
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< 0.001 | 1 | 242 | v = mt_trans_prob(:);
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< 0.001 | 1 | 243 | m = it_endostates_n*it_exostates_n;
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< 0.001 | 1 | 244 | n = it_endostates_n*it_exostates_n;
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0.011 | 1 | 245 | mt_full_trans_mat = sparse(i, j, v, m, n);
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| | 246 |
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| | 247 | %% F. Stationary Distribution *Method A*, Eigenvector Approach
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| | 248 | % Given that markov chain we have constructured for all state-space
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| | 249 | % elements, we can now find the stationary distribution using standard
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| | 250 | % <https://en.wikipedia.org/wiki/Markov_chain#Stationary_distribution_relation_to_eigenvectors_and_simplices
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| | 251 | % eigenvector> approach. See
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| | 252 | % <https://fanwangecon.github.io/CodeDynaAsset/m_az/solve/html/ff_az_ds_vecsv.html
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| | 253 | % ff_az_ds_vecsv> for additional methods using the full states markov
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| | 254 | % structure.
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| | 255 |
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< 0.001 | 1 | 256 | if (strcmp(st_analytical_stationary_type, 'eigenvector'))
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0.159 | 1 | 257 | [V, ~] = eigs(mt_full_trans_mat,1,1);
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< 0.001 | 1 | 258 | ar_stationary = V/sum(V);
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< 0.001 | 1 | 259 | end
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| | 260 |
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| | 261 | %% G. Stationary Vector to Stationary Matrix in Original Dimensions
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| | 262 |
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< 0.001 | 1 | 263 | mt_dist_akz = reshape(ar_stationary, size(mt_pol_a));
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| | 264 |
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| | 265 |
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| | 266 | %% End Time and Profiler
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| | 267 |
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| | 268 | % End Timer
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< 0.001 | 1 | 269 | if (bl_time)
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< 0.001 | 1 | 270 | toc;
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< 0.001 | 1 | 271 | end
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| | 272 |
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| | 273 | % End Profile
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< 0.001 | 1 | 274 | if (bl_profile_dist)
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0.004 | 1 | 275 | profile off
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| | 276 | profile viewer
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| | 277 | st_file_name = [st_profile_prefix st_profile_name_main st_profile_suffix];
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| | 278 | profsave(profile('info'), strcat(st_profile_path, st_file_name));
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| | 279 | end
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| | 280 |
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| | 281 |
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| | 282 | %% *f(y), f(c), f(a), f(k)*: Generate Key Distributional Statistics for Each outcome
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| | 283 | % Having derived f({a,k},z) the probability mass function of the joint discrete
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| | 284 | % random variables, we now obtain distributional statistics. Note that we
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| | 285 | % know f({a,k},z), and we also know relevant policy functions a'(a,z), c(a,z),
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| | 286 | % or other policy functions. We can simulate any choices that are a
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| | 287 | % function of the random variables (a,z), using f({a,k},z). We call function
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| | 288 | % <https://fanwangecon.github.io/CodeDynaAsset/m_az/solvepost/html/ff_az_ds_post_stats.html
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| | 289 | % ff_az_ds_post_stats> which uses
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| | 290 | % <https://fanwangecon.github.io/CodeDynaAsset/tools/html/fft_disc_rand_var_stats.html
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| | 291 | % fft_disc_rand_var_stats> and
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| | 292 | % <https://fanwangecon.github.io/CodeDynaAsset/tools/html/fft_disc_rand_var_mass2outcomes.html
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| | 293 | % fft_disc_rand_var_mass2outcomes> to compute various statistics of
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| | 294 | % interest.
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| | 295 |
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| | 296 | result_map = ff_az_ds_post_stats(support_map, result_map, mt_dist_akz);
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| | 297 |
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| | 298 | end
|
Other subfunctions in this file are not included in this listing.