Dev January 2011

dev@dynare.org

4 participants
63 discussions

Fwd: Re: Dynare Snapshot 12/19/2010
by Sébastien Villemot 12 Jan '11

12 Jan '11

Hi all, I attach a mail that I received from Johannes Pfeifer, which raises 3 problems and makes 2 suggestions. I pushed a fix for problem #2 (varlist_indices.m) and I can’t reproduce problem #3 (related to USE_DLL) even under Windows. Concerning problem #1 (empirical autocorrelations), Johannes is right in the sense that - with the current code - one can get an autocorrelation that is not within [-1,1], because the covariance on the numerator does not span the same sample than the variances on the denominator; the fix that he suggests would fix this. On the other hand, estimators of the autocorrelation coefficients are known to be biased in finite samples (and there is no easy way of fixing this), so applying Johannes’ change would just consist in moving from a biased estimator to another biased estimator (and I don’t know how the bias is changed). These estimators are only asymptotically consistent, and getting a weird value is the indication that the sample is too small and that more simulations should be done. What is your opinion about this issue, and about the two suggestions (options for no IRF files, and NaN/Inf treatment in estimation) ? Best, -- Sébastien Villemot CEPREMAP - Paris School of Economics Homepage: http://www.dynare.org/sebastien Phone: +33 1 40 77 49 90 PGP Key: 0xA6C029B9D06B2913D71C105EBE37E801FB6EFF8B (http://pgp.mit.edu/)

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[Trac] #75: Fix command "calib" or remove it
by Trac Dynare 04 Jan '11

04 Jan '11

#75: Fix command "calib" or remove it --------------------------+------------------------------------------------- Reporter: sebastien | Owner: Type: bug | Status: new Priority: minor | Milestone: 4.2 Component: Core M-files | Version: Keywords: | --------------------------+------------------------------------------------- The "calib" command (and its associated command "calib_var") are recognized by the preprocessor, but are probably not working, and are not documented in the reference manual. This should be fixed, or the commands be removed. -- Ticket URL: <https://www.dynare.org/trac/ticket/75> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #95: the "simul" option of "stoch_simul" simulates on more periods than required
by Trac Dynare 02 Jan '11

02 Jan '11

#95: the "simul" option of "stoch_simul" simulates on more periods than required --------------------------+------------------------------------------------- Reporter: sebastien | Owner: Type: bug | Status: new Priority: trivial | Milestone: Component: Core M-files | Version: 4.1.0 Keywords: | --------------------------+------------------------------------------------- The point is that the oo_.exo_simul vector has length options_.periods+M_.maximum_lag+M_.maximum_lead (see make_ex_.m). This makes sense in a deterministic context, but in a stochastic context there it should only be of length options_.periods. This makes the oo_.endo_simul of length 2*M_.maximum_lag+options_.periods+M_.maximum_lead (because it adds initial conditions), while it should be of length M_.maximum_lag+options_.periods. This is not a big issue since one can just truncate the extra periods, but this confuses some users. -- Ticket URL: <https://www.dynare.org/trac/ticket/95> Dynare <http://www.dynare.org> The Dynare project

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Dev January 2011