Very Large Models

The growing size of models that people want to solve or estimate with Dynare regularily put in evidence new limitations in Dynare and points toward parts of the code that should be improved upon.

Currently very large models can encounter the following limitations or bugs:

1. second order approximation: there is a bug in computing the second order approximation of very large models (more than 100 equations ?) with leads and lags on more than one period. This should be fixed now. Please report any remaining problem. -- MichelJuillard 2008-02-02 18:34:36

2. estimation: Dynare will crash in computing the smoother after estimation proper. This is due to a fault in design where we compute the smoother for all variables in the model which is generally not needed. This requires currently the creation of 3 arrays with dimensions (nb of variables)*(nb of variables)*(nb of periods). Very roughly on a system with 1GB one couldn't estimate a model larger than 400 variables and 200 observations. With 2GB, this could be 600 variables and 200 observations.

Details on Matlab's memory management can be found at http://www.mathworks.com/support/tech-notes/1100/1106.html. Note in particular the command feature('memstat') available in Windows. -- MichelJuillard 2007-04-29 13:58:13