Dev February 2010

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Re: [DynareDev] [Trac] #80: Crashes of Dynare++ under Windows
by Trac Dynare 17 Feb '10

17 Feb '10

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Re: [DynareDev] [Trac] #80: Crashes of Dynare++ under Windows
by Trac Dynare 17 Feb '10

17 Feb '10

#80: Crashes of Dynare++ under Windows ------------------------+--------------------------------------------------- Reporter: sebastien | Owner: Type: bug | Status: new Priority: major | Milestone: Component: Dynare++ | Version: 4.1.0 Resolution: | Keywords: ------------------------+--------------------------------------------------- Comment(by sebastien): This is a compiler issue. When compiled with MinGW GCC 4.4.0 with Dwarf-2 exceptions (bundled with Octave/MinGW 3.2.3), the problem occurs. When compiled with MinGW GCC 4.4.1 with Sjlj exceptions (from TDM - http://www.tdragon.net/recentgcc/ ), the problem does not occur. This should be taken into account when producing Dynare++ in the next Dynare release. Note: For installing TDM GCC, use the bundled installer (check gfortran, uncheck add to the PATH), this will install MinGW in c:\MinGW\. Then run the two commands for compilation (from Octave's MSYS): {{{ export PATH=$PATH:/c/MinGW/bin:/c/Octave/3.2.3_gcc4.4.0/bin ./configure CPPFLAGS="-I/home/user/boost_1_41_0" LDFLAGS="-L/c/Octave/3.2.3_gcc4.4.0/lib" --disable-octave }}} The MinGW with Dwarf-2 exceptions is probably only mandatory for Octave MEX files (this needs to be checked). -- Ticket URL: <https://www.dynare.org/trac/ticket/80#comment:1> Dynare <http://www.dynare.org> The Dynare project

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bsxfun
by George Perendia 17 Feb '10

17 Feb '10

Hi Running fs2000k2a.mod I encountered an error ??? Undefined command/function 'bsxfun'. Error in ==> disp_moments at 48 y = bsxfun(@minus, y, m); any ideas why bsxfun is missing or what was intended? -- Best regards George 07951415480

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options_.diffuse_d
by Michel Juillard 15 Feb '10

15 Feb '10

When we implemented the diffuse filter/smoother, we used options_.diffuse_d to record the number of iterations spent in the diffuse part of the filter. 1) in the filter functions in kalman/likelihood, it is not used anymore except in univariate_diffuse_kalman_filter_corr.m. It is still present in the old (and not yet replaced) smoother functions. 2) in the multivariate case, diffuse_d can be interpreted as the number of periods for which we use the diffuse step. In the univariate case, diffuse_d is incremented inside the variable loop and can't be interpreted this way 3) when there is no missing observations, the number of period iterations spent in the diffuse step is equal to the highest order of integration of the variables of the model. The field name in oo_.smoother reflect this. But hen missing observations are present, its interpretation is much less clear. 4) In the past, we wanted to monitor diffuse_d, to make sure that it didn't change because of numerical issues. Now that we are using the Schur transformation of the transition equation, the numerical instability seems to have disappeared. All that to say that my inclination would be for dropping oo_.diffuse_d entirely. What do you think? Ondra, I know that this will create problems for GPM and its current infrastructure code. But I think that we should handle this problem in a different way, taking into account the number of periods with missing observations at the beginning of the sample and the order of intergation of the GPM model (== 1) that we know by construction. All the best, Michel

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Re: [DynareDev] options_.diffuse_d
by ondra.kamenik＠gmail.com 14 Feb '10

14 Feb '10

I agree. Ondra K. ------Original Message------ From: Michel Juillard To: List for Dynare developers To: Ondra Kamenik To: Benes, Jaromir Sent: Feb 14, 2010 14:21 Subject: options_.diffuse_d When we implemented the diffuse filter/smoother, we used options_.diffuse_d to record the number of iterations spent in the diffuse part of the filter. 1) in the filter functions in kalman/likelihood, it is not used anymore except in univariate_diffuse_kalman_filter_corr.m. It is still present in the old (and not yet replaced) smoother functions. 2) in the multivariate case, diffuse_d can be interpreted as the number of periods for which we use the diffuse step. In the univariate case, diffuse_d is incremented inside the variable loop and can't be interpreted this way 3) when there is no missing observations, the number of period iterations spent in the diffuse step is equal to the highest order of integration of the variables of the model. The field name in oo_.smoother reflect this. But hen missing observations are present, its interpretation is much less clear. 4) In the past, we wanted to monitor diffuse_d, to make sure that it didn't change because of numerical issues. Now that we are using the Schur transformation of the transition equation, the numerical instability seems to have disappeared. All that to say that my inclination would be for dropping oo_.diffuse_d entirely. What do you think? Ondra, I know that this will create problems for GPM and its current infrastructure code. But I think that we should handle this problem in a different way, taking into account the number of periods with missing observations at the beginning of the sample and the order of intergation of the GPM model (== 1) that we know by construction. All the best, Michel Sent from my BlackBerry® wireless device

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Re: [DynareDev] [Dynare Git] Dynare branch, master, updated. a83c0e68c70df4481ab269a1de493eabb804df71
by Michel Juillard 12 Feb '10

12 Feb '10

I wonder whether ierating the product of the transition matrix in forecast is not less accurate than taking the power of the matrix. But I agree that it must be faster for large matrices. Maybe we should decompose the matrix before the loop and only take the power of the eigenvalues. Best Michel Stephane Adjemian wrote: > This is an automated email from the git hooks/post-receive script. It was > generated because a ref change was pushed to the repository containing > the project "Dynare". > > The branch, master has been updated > via a83c0e68c70df4481ab269a1de493eabb804df71 (commit) > from a828c3d2c1edf1bc4465561a425a9591910c0dc3 (commit) > > Those revisions listed above that are new to this repository have > not appeared on any other notification email; so we list those > revisions in full, below. > > - Log ----------------------------------------------------------------- > commit a83c0e68c70df4481ab269a1de493eabb804df71 > Author: Stéphane Adjemian (Charybdis) <stephane.adjemian(a)ens.fr> > Date: Fri Feb 12 12:31:32 2010 +0100 > > Bug fix and efficiency changes in smoothing routines. > > diff --git a/matlab/DiffuseKalmanSmoother1.m b/matlab/DiffuseKalmanSmoother1.m > index 8e624ad..ef64185 100644 > --- a/matlab/DiffuseKalmanSmoother1.m > +++ b/matlab/DiffuseKalmanSmoother1.m > @@ -59,7 +59,7 @@ spstar = size(Pstar1); > v = zeros(pp,smpl); > a = zeros(mm,smpl+1); > atilde = zeros(mm,smpl); > -aK = zeros(nk,mm,smpl+1); > +aK = zeros(nk,mm,smpl+nk); > iF = zeros(pp,pp,smpl); > Fstar = zeros(pp,pp,smpl); > iFinf = zeros(pp,pp,smpl); > @@ -71,11 +71,11 @@ P = zeros(mm,mm,smpl+1); > Pstar = zeros(spstar(1),spstar(2),smpl+1); Pstar(:,:,1) = Pstar1; > Pinf = zeros(spinf(1),spinf(2),smpl+1); Pinf(:,:,1) = Pinf1; > crit = options_.kalman_tol; > -crit1 = 1.e-8; > +crit1 = 1.e-8; > steady = smpl; > rr = size(Q,1); > QQ = R*Q*transpose(R); > -QRt = Q*transpose(R); > +QRt = Q*transpose(R); > alphahat = zeros(mm,smpl); > etahat = zeros(rr,smpl); > r = zeros(mm,smpl+1); > @@ -99,7 +99,7 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl > a(:,t+1) = T*atilde(:,t); > aK(1,:,t+1) = a(:,t+1); > for jnk=2:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > Linf(:,:,t) = T - Kinf(:,:,t)*Z; > Fstar(:,:,t) = Pstar(mf,mf,t); > @@ -129,9 +129,9 @@ while notsteady & t<smpl > K(:,:,t) = T*PZI; > L(:,:,t) = T-K(:,:,t)*Z; > a(:,t+1) = T*atilde(:,t); > - aK(1,:,t+1) = a(:,t+1); > + aK(1,:,t+1) = a(:,t+1); > for jnk=2:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > P(:,:,t+1) = T*P(:,:,t)*transpose(T)-T*P(:,mf,t)*transpose(K(:,:,t)) + QQ; > notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > @@ -154,7 +154,7 @@ while t<smpl > a(:,t+1) = T*a(:,t) + K_s*v(:,t); > aK(1,:,t+1) = a(:,t+1); > for jnk=2:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > end > t = smpl+1; > @@ -174,4 +174,4 @@ if d > alphahat(:,t) = a(:,t) + Pstar(:,:,t)*r0(:,t) + Pinf(:,:,t)*r1(:,t); > etahat(:,t) = QRt*r0(:,t); > end > -end > +end > \ No newline at end of file > diff --git a/matlab/DiffuseKalmanSmoother1_Z.m b/matlab/DiffuseKalmanSmoother1_Z.m > index f5614af..debf47c 100644 > --- a/matlab/DiffuseKalmanSmoother1_Z.m > +++ b/matlab/DiffuseKalmanSmoother1_Z.m > @@ -105,8 +105,8 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl > a(:,t+1) = T*atilde(:,t); > aK(1,:,t+1) = a(:,t+1); > % isn't a meaningless as long as we are in the diffuse part? MJ > - for jnk=2:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > Linf(:,:,t) = T - Kinf(:,:,t)*Z; > Fstar(:,:,t) = Z*Pstar(:,:,t)*Z'; > @@ -138,10 +138,13 @@ while notsteady & t<smpl > L(:,:,t) = T-K(:,:,t)*Z; > a(:,t+1) = T*atilde(:,t); > Pf = P(:,:,t); > + aK(1,:,t+1) = a(:,t+1); > for jnk=1:nk, > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*atilde(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > P(:,:,t+1) = T*P(:,:,t)*T'-T*P(:,:,t)*Z'*K(:,:,t)' + QQ; > notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > @@ -162,10 +165,13 @@ while t<smpl > atilde(:,t) = a(:,t) + PZI*v(:,t); > a(:,t+1) = T*atilde(:,t); > Pf = P(:,:,t); > - for jnk=1:nk, > + aK(1,:,t+1) = a(:,t+1); > + for jnk=1:nk > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*atilde(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > end > t = smpl+1; > diff --git a/matlab/DiffuseKalmanSmoother3.m b/matlab/DiffuseKalmanSmoother3.m > index 1127cf6..514890c 100644 > --- a/matlab/DiffuseKalmanSmoother3.m > +++ b/matlab/DiffuseKalmanSmoother3.m > @@ -165,13 +165,14 @@ while newRank & t < smpl > Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1)); > end > end > - a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + a1(:,t+1) = T*a(:,t); > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ; > Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T); > - P0=Pinf(:,:,t+1); > + P0 = Pinf(:,:,t+1); > if newRank, > %newRank = any(diag(P0(mf,mf))>crit); > newRank = rank(P0,crit1); > @@ -207,12 +208,15 @@ while notsteady & t<smpl > P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1)); > end > end > - a1(:,t+1) = T*a(:,t); > + a1(:,t+1) = T*a(:,t); > Pf = P(:,:,t); > + aK(1,:,t+1) = a1(:,t+1); > for jnk=1:nk, > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ; > notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > @@ -239,10 +243,13 @@ while t<smpl > end > a1(:,t+1) = T*a(:,t); > Pf = P(:,:,t); > - for jnk=1:nk, > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=1:nk > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > end > ri=zeros(mm,1); > diff --git a/matlab/DiffuseKalmanSmoother3_Z.m b/matlab/DiffuseKalmanSmoother3_Z.m > index b30e3b3..c6fa2a2 100644 > --- a/matlab/DiffuseKalmanSmoother3_Z.m > +++ b/matlab/DiffuseKalmanSmoother3_Z.m > @@ -91,7 +91,6 @@ Ki = zeros(mm,pp,smpl); > Kstar = zeros(mm,pp,smpl_diff); > P = zeros(mm,mm,smpl+1); > P1 = P; > -aK = zeros(nk,mm,smpl+nk); > PK = zeros(nk,mm,mm,smpl+nk); > Pstar = zeros(spstar(1),spstar(2),smpl_diff+1); Pstar(:,:,1) = Pstar1; > Pinf = zeros(spinf(1),spinf(2),smpl_diff+1); Pinf(:,:,1) = Pinf1; > @@ -162,9 +161,10 @@ while newRank & t < smpl > Pstar(:,:,t)=tril(Pstar(:,:,t))+tril(Pstar(:,:,t),-1)'; > end > end > - a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + a1(:,t+1) = T*a(:,t); > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squueze(aK(jnk-1,:,t+jnk-1)); > end > Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'+ QQ; > Pinf(:,:,t+1) = T*Pinf(:,:,t)*T'; > @@ -205,11 +205,14 @@ while notsteady & t<smpl > end > end > a1(:,t+1) = T*a(:,t); > - Pf = P(:,:,t); > + Pf = P(:,:,t); > + aK(1,:,t+1) = a1(:,t+1) > for jnk=1:nk, > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > P(:,:,t+1) = T*P(:,:,t)*T' + QQ; > % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > diff --git a/matlab/DiffuseKalmanSmootherH1.m b/matlab/DiffuseKalmanSmootherH1.m > index 362a7a6..8e16023 100644 > --- a/matlab/DiffuseKalmanSmootherH1.m > +++ b/matlab/DiffuseKalmanSmootherH1.m > @@ -98,8 +98,9 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl > atilde(:,t) = a(:,t) + PZI*v(:,t); > Kinf(:,:,t) = T*PZI; > a(:,t+1) = T*atilde(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + aK(1,:,t+1) = a(:,t+1); > + for jnk=1:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > Linf(:,:,t) = T - Kinf(:,:,t)*Z; > Fstar(:,:,t) = Pstar(mf,mf,t) + H; > @@ -118,25 +119,26 @@ Pinf = Pinf(:,:,1:d); > notsteady = 1; > while notsteady & t<smpl > t = t+1; > - v(:,t) = Y(:,t) - a(mf,t) - trend(:,t); > + v(:,t) = Y(:,t) - a(mf,t) - trend(:,t); > P(:,:,t)=tril(P(:,:,t))+transpose(tril(P(:,:,t),-1)); > if rcond(P(mf,mf,t) + H) < crit > - return > - end > + return > + end > iF(:,:,t) = inv(P(mf,mf,t) + H); > PZI = P(:,mf,t)*iF(:,:,t); > atilde(:,t) = a(:,t) + PZI*v(:,t); > K(:,:,t) = T*PZI; > L(:,:,t) = T-K(:,:,t)*Z; > a(:,t+1) = T*atilde(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + aK(1,:,t+1) = a(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > P(:,:,t+1) = T*P(:,:,t)*transpose(T)-T*P(:,mf,t)*transpose(K(:,:,t)) + QQ; > notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > end > if t<smpl > - PZI_s = PZI; > + PZI_s = PZI; > K_s = K(:,:,t); > iF_s = iF(:,:,t); > P_s = P(:,:,t+1); > @@ -151,8 +153,9 @@ while t<smpl > v(:,t) = Y(:,t) - a(mf,t) - trend(:,t); > atilde(:,t) = a(:,t) + PZI_s*v(:,t); > a(:,t+1) = T*atilde(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + aK(1,:,t+1) = a(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > end > t = smpl+1; > diff --git a/matlab/DiffuseKalmanSmootherH1_Z.m b/matlab/DiffuseKalmanSmootherH1_Z.m > index bbcdfd9..65fcd44 100644 > --- a/matlab/DiffuseKalmanSmootherH1_Z.m > +++ b/matlab/DiffuseKalmanSmootherH1_Z.m > @@ -108,8 +108,8 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl > a(:,t+1) = T*atilde(:,t); > aK(1,:,t+1) = a(:,t+1); > % isn't a meaningless as long as we are in the diffuse part? MJ > - for jnk=2:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > Linf(:,:,t) = T - Kinf(:,:,t)*Z; > Fstar(:,:,t) = Z*Pstar(:,:,t)*Z' + H; > @@ -141,10 +141,13 @@ while notsteady & t<smpl > L(:,:,t) = T-K(:,:,t)*Z; > a(:,t+1) = T*atilde(:,t); > Pf = P(:,:,t); > - for jnk=1:nk, > + aK(1,:,t+1) = a(:,t+1); > + for jnk=1:nk > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*atilde(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > P(:,:,t+1) = T*P(:,:,t)*T'-T*P(:,:,t)*Z'*K(:,:,t)' + QQ; > notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > @@ -165,10 +168,13 @@ while t<smpl > atilde(:,t) = a(:,t) + PZI*v(:,t); > a(:,t+1) = T*atilde(:,t); > Pf = P(:,:,t); > - for jnk=1:nk, > + aK(1,:,t+1) = a(:,t+1); > + for jnk=1:nk > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*atilde(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > end > t = smpl+1; > diff --git a/matlab/DiffuseKalmanSmootherH3.m b/matlab/DiffuseKalmanSmootherH3.m > index c7dc47f..afa98b5 100644 > --- a/matlab/DiffuseKalmanSmootherH3.m > +++ b/matlab/DiffuseKalmanSmootherH3.m > @@ -163,9 +163,10 @@ while newRank & t < smpl > Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1)); > end > end > - a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + a1(:,t+1) = T*a(:,t); > + aK(1,:,t+1) = a1(:,t+1) > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ; > Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T); > @@ -206,8 +207,9 @@ while notsteady & t<smpl > end > end > a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ; > notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > @@ -233,8 +235,9 @@ while t<smpl > end > end > a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > end > ri=zeros(mm,1); > diff --git a/matlab/DiffuseKalmanSmootherH3_Z.m b/matlab/DiffuseKalmanSmootherH3_Z.m > index c01b833..5eaf948 100644 > --- a/matlab/DiffuseKalmanSmootherH3_Z.m > +++ b/matlab/DiffuseKalmanSmootherH3_Z.m > @@ -91,7 +91,6 @@ L0 = zeros(mm,mm,pp,smpl_diff); > Kstar = zeros(mm,pp,smpl_diff); > P = zeros(mm,mm,smpl+1); > P1 = P; > -aK = zeros(nk,mm,smpl+nk); > PK = zeros(nk,mm,mm,smpl+nk); > Pstar = zeros(spstar(1),spstar(2),smpl_diff+1); Pstar(:,:,1) = Pstar1; > Pinf = zeros(spinf(1),spinf(2),smpl_diff+1); Pinf(:,:,1) = Pinf1; > @@ -163,9 +162,10 @@ while newRank & t < smpl > Pstar(:,:,t)=tril(Pstar(:,:,t))+tril(Pstar(:,:,t),-1)'; > end > end > - a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + a1(:,t+1) = T*a(:,t); > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'+ QQ; > Pinf(:,:,t+1) = T*Pinf(:,:,t)*T'; > @@ -207,10 +207,13 @@ while notsteady & t<smpl > end > a1(:,t+1) = T*a(:,t); > Pf = P(:,:,t); > + aK(1,:,t+1) = a1(:,t+1); > for jnk=1:nk, > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)) ; > + end > end > P(:,:,t+1) = T*P(:,:,t)*T' + QQ; > notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > @@ -238,11 +241,14 @@ while t<smpl > end > end > a1(:,t+1) = T*a(:,t); > - Pf = P(:,:,t); > + Pf = P(:,:,t); > + aK(1,:,t+1) = a1(:,t+1); > for jnk=1:nk, > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > end > ri=zeros(mm,1); > diff --git a/matlab/DiffuseKalmanSmootherH3corr.m b/matlab/DiffuseKalmanSmootherH3corr.m > index 800362c..cfbd826 100644 > --- a/matlab/DiffuseKalmanSmootherH3corr.m > +++ b/matlab/DiffuseKalmanSmootherH3corr.m > @@ -122,8 +122,9 @@ while newRank & t < smpl > end > end > a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + aK(1,:,t+1) = a1(:,t+1) > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ; > Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T); > @@ -159,8 +160,9 @@ while notsteady & t<smpl > end > end > a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ; > notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > @@ -186,8 +188,9 @@ while t<smpl > end > end > a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > end > > diff --git a/matlab/missing_DiffuseKalmanSmoother1.m b/matlab/missing_DiffuseKalmanSmoother1.m > index da7d840..5d76505 100644 > --- a/matlab/missing_DiffuseKalmanSmoother1.m > +++ b/matlab/missing_DiffuseKalmanSmoother1.m > @@ -60,7 +60,7 @@ spstar = size(Pstar1); > v = zeros(pp,smpl); > a = zeros(mm,smpl+1); > atilde = zeros(mm,smpl); > -aK = zeros(nk,mm,smpl+1); > +aK = zeros(nk,mm,smpl+nk); > iF = zeros(pp,pp,smpl); > Fstar = zeros(pp,pp,smpl); > iFinf = zeros(pp,pp,smpl); > @@ -113,9 +113,9 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl > Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T)-T*Pinf(:,mf1,t)* ... > transpose(Kinf(:,di,t)); > end > - aK(1,:,t+1) = a(:,t+1); > - for jnk=2:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + aK(1,:,t+1) = a(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > end > d = t; > @@ -150,7 +150,7 @@ while notsteady & t<smpl > end > aK(1,:,t+1) = a(:,t+1); > for jnk=2:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > P(:,:,t+1) = T*P(:,:,t)*transpose(T)-T*P(:,mf,t)*transpose(K(:,:,t)) + QQ; > % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > diff --git a/matlab/missing_DiffuseKalmanSmoother1_Z.m b/matlab/missing_DiffuseKalmanSmoother1_Z.m > index 097f1de..e640fa5 100644 > --- a/matlab/missing_DiffuseKalmanSmoother1_Z.m > +++ b/matlab/missing_DiffuseKalmanSmoother1_Z.m > @@ -121,7 +121,7 @@ while rank(Pinf(:,:,t+1),crit1) & t<smpl > aK(1,:,t+1) = a(:,t+1); > % isn't a meaningless as long as we are in the diffuse part? MJ > for jnk=2:nk, > - aK(jnk,:,t+jnk) = T^(jnk-1)*a(:,t+1); > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > end > d = t; > @@ -157,10 +157,13 @@ while notsteady & t<smpl > end > a(:,t+1) = T*atilde(:,t); > Pf = P(:,:,t); > - for jnk=1:nk, > + aK(1,:,t+1) = a(:,t+1); > + for jnk=1:nk > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*atilde(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > end > diff --git a/matlab/missing_DiffuseKalmanSmoother3.m b/matlab/missing_DiffuseKalmanSmoother3.m > index 8f2a041..c4c6df3 100644 > --- a/matlab/missing_DiffuseKalmanSmoother3.m > +++ b/matlab/missing_DiffuseKalmanSmoother3.m > @@ -91,11 +91,11 @@ Pinf = zeros(spinf(1),spinf(2),smpl_diff+1); Pinf(:,:,1) = Pinf1; > Pstar1 = Pstar; > Pinf1 = Pinf; > crit = options_.kalman_tol; > -crit1 = 1.e-6; > +crit1 = 1.e-6; > steady = smpl; > rr = size(Q,1); > QQ = R*Q*transpose(R); > -QRt = Q*transpose(R); > +QRt = Q*transpose(R); > alphahat = zeros(mm,smpl); > etahat = zeros(rr,smpl); > r = zeros(mm,smpl+1); > @@ -167,16 +167,17 @@ while newRank & t < smpl > Pstar(:,:,t)=tril(Pstar(:,:,t))+transpose(tril(Pstar(:,:,t),-1)); > end > end > - a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + a1(:,t+1) = T*a(:,t); > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > Pstar(:,:,t+1) = T*Pstar(:,:,t)*transpose(T)+ QQ; > Pinf(:,:,t+1) = T*Pinf(:,:,t)*transpose(T); > P0=Pinf(:,:,t+1); > if newRank, > %newRank = any(diag(P0(mf,mf))>crit); > - newRank = rank(P0,crit1); > + newRank = rank(P0,crit1); > end > end > > @@ -212,10 +213,13 @@ while notsteady & t<smpl > end > a1(:,t+1) = T*a(:,t); > Pf = P(:,:,t); > + aK(1,:,t+1) = a1(:,t+1); > for jnk=1:nk, > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*a1(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > P(:,:,t+1) = T*P(:,:,t)*transpose(T) + QQ; > % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > diff --git a/matlab/missing_DiffuseKalmanSmoother3_Z.m b/matlab/missing_DiffuseKalmanSmoother3_Z.m > index 88cde2f..8a7313f 100644 > --- a/matlab/missing_DiffuseKalmanSmoother3_Z.m > +++ b/matlab/missing_DiffuseKalmanSmoother3_Z.m > @@ -92,7 +92,6 @@ Ki = zeros(mm,pp,smpl); > Kstar = zeros(mm,pp,smpl_diff); > P = zeros(mm,mm,smpl+1); > P1 = P; > -aK = zeros(nk,mm,smpl+nk); > PK = zeros(nk,mm,mm,smpl+nk); > Pstar = zeros(spstar(1),spstar(2),smpl_diff+1); Pstar(:,:,1) = Pstar1; > Pinf = zeros(spinf(1),spinf(2),smpl_diff+1); Pinf(:,:,1) = Pinf1; > @@ -164,9 +163,10 @@ while newRank & t < smpl > Pstar(:,:,t)=tril(Pstar(:,:,t))+tril(Pstar(:,:,t),-1)'; > end > end > - a1(:,t+1) = T*a(:,t); > - for jnk=1:nk, > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > + a1(:,t+1) = T*a(:,t); > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=2:nk > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > end > Pstar(:,:,t+1) = T*Pstar(:,:,t)*T'+ QQ; > Pinf(:,:,t+1) = T*Pinf(:,:,t)*T'; > @@ -209,10 +209,13 @@ while notsteady & t<smpl > end > a1(:,t+1) = T*a(:,t); > Pf = P(:,:,t); > - for jnk=1:nk, > + aK(1,:,t+1) = a1(:,t+1); > + for jnk=1:nk > Pf = T*Pf*T' + QQ; > - aK(jnk,:,t+jnk) = T^jnk*a(:,t); > PK(jnk,:,:,t+jnk) = Pf; > + if jnk>1 > + aK(jnk,:,t+jnk) = T*squeeze(aK(jnk-1,:,t+jnk-1)); > + end > end > P(:,:,t+1) = T*P(:,:,t)*T' + QQ; > % notsteady = ~(max(max(abs(P(:,:,t+1)-P(:,:,t))))<crit); > > ----------------------------------------------------------------------- > > Summary of changes: > matlab/DiffuseKalmanSmoother1.m | 16 ++++++++-------- > matlab/DiffuseKalmanSmoother1_Z.m | 16 +++++++++++----- > matlab/DiffuseKalmanSmoother3.m | 23 +++++++++++++++-------- > matlab/DiffuseKalmanSmoother3_Z.m | 15 +++++++++------ > matlab/DiffuseKalmanSmootherH1.m | 23 +++++++++++++---------- > matlab/DiffuseKalmanSmootherH1_Z.m | 18 ++++++++++++------ > matlab/DiffuseKalmanSmootherH3.m | 17 ++++++++++------- > matlab/DiffuseKalmanSmootherH3_Z.m | 20 +++++++++++++------- > matlab/DiffuseKalmanSmootherH3corr.m | 15 +++++++++------ > matlab/missing_DiffuseKalmanSmoother1.m | 10 +++++----- > matlab/missing_DiffuseKalmanSmoother1_Z.m | 9 ++++++--- > matlab/missing_DiffuseKalmanSmoother3.m | 18 +++++++++++------- > matlab/missing_DiffuseKalmanSmoother3_Z.m | 15 +++++++++------ > 13 files changed, 131 insertions(+), 84 deletions(-) > > > hooks/post-receive >

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[Trac] #54: Add hp_filter
by Trac Dynare 10 Feb '10

10 Feb '10

#54: Add hp_filter --------------------------+------------------------------------------------- Reporter: stepan | Owner: stepan Type: feature | Status: new Priority: major | Milestone: 4.1 Component: Core M-files | Version: Keywords: | --------------------------+------------------------------------------------- Only theoretical hp filterd moments are available in the current version. We need to add a general function for hp filtering time series and call this new function when displaying simulated moements (with option hp filter). -- Ticket URL: <https://www.dynare.org/trac/ticket/54> Dynare <http://www.dynare.org> The Dynare project

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Re: [DynareDev] [Dynare Git] Dynare branch, 4.1, updated. 4.1.0-30-g7d958d5
by Stéphane Adjemian 08 Feb '10

08 Feb '10

Hi Marco, I understand now. It's true that we have nothing for this. I don't remember the reason why an error message is issued in this case, instead of a warning message. I fix it as soon as possible by adding a trap in the diffuse filter files. Best, Stéphane. > thank you for spotting this. I am guilty for introducing that trap: the > reason was if the model is non-stationary and for some parameter > values the filtver gives the error : "there is not sufficient info to > initialize the filter", this is not trapped in dsgelikelihood and > therefore we get an error break. > Obviously, one solution would be to trap the error in dsgelikelihood, > but I found easier to that there, because it was the only place where > sometimes I got that error. > I'mnot sure if that error is now trapped or we still get the error break. > > Just to let you know what was behind there. > > best wishes, have a nice week end > Marco > -- > Marco Ratto, > Euro-area Economy Modelling Centre > (http://eemc.jrc.ec.europa.eu), > Joint Research Centre > The European Commission, > TP 361, 21027 ISPRA(VA), ITALY > Tel: +39 0332 78 5639 > Fax: +39 0332 78 5733 > marco.ratto(a)jrc.ec.europa.eu

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Migration to Git complete
by Sébastien Villemot 01 Feb '10

01 Feb '10

Hi, The migration to Git is complete, the wiki page has been updated with installation instructions: http://www.dynare.org/DynareWiki/GitMigration The procedure has been tested on both Linux and Windows and works smoothly (though it is possible that the documentation still needs some clarifications). You need to send me an SSH key (as described on the page) to get write access to your personal public repository. As you have seen, a new mailing list has been created for receiving information about changes merged in the central repository. Have a nice week-end, -- Sébastien Villemot

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