April 2012 - Dev - dynare.org

[Trac] #35: Putting "shocks" before "endval" leads to wrong results
by Trac Dynare 30 Jul '12

30 Jul '12

#35: Putting "shocks" before "endval" leads to wrong results --------------------------+------------------------------------------------- Reporter: sebastien | Owner: Type: bug | Status: new Priority: major | Milestone: 4.1 Component: Core M-files | Version: 4.0.4 Keywords: | --------------------------+------------------------------------------------- In a deterministic setup with both temporary and permanent shocks, the order of the {{{shocks}}} and {{{endval}}} blocks matter. Actually, putting {{{shocks}}} before {{{endval}}} leads to wrong results. {{{shocks}}} uses {{{set_shocks.m}}}, which fills in {{{oo_.exo_simul}}}; the point is that, if {{{endval}}} has not been used, this structure is empty, so {{{set_shocks}}} fills it, at date of shocks, for ''all'' the exogenous, and using the ''initial'' steady state value. When {{{simul}}} is finally called, it completes {{{oo_.exo_simul}}} with the ''final'' exogenous steady state, but only for those periods which have no temporary shocks. So at the dates with temporary shocks, the value of exogenous which are permanently shocked is wrong. A quick fix is to forbid the use of {{{shocks}}} before {{{endval}}}. A cleaner fix is to modify {{{set_shocks.m}}} so that it only sets values for the exogenous which are temporarily shocked, and leaves {{{NaN}}} for other exogenous. It would be {{{simul}}}'s job to fill in the holes. -- Ticket URL: <https://www.dynare.org/trac/ticket/35> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #102: forecast graphs in manual
by Trac Dynare 15 Jun '12

15 Jun '12

#102: forecast graphs in manual ---------------------------+------------------------------------------------ Reporter: michel | Owner: michel Type: bug | Status: new Priority: minor | Milestone: Component: Documentation | Version: Keywords: | ---------------------------+------------------------------------------------ The graphs of forecasts with uncertainty about the parameters have changed but we didn't modify the user manual and the user guide -- Ticket URL: <https://www.dynare.org/trac/ticket/102> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #149: Block decomposed version of Kalman filter
by Trac Dynare 15 Jun '12

15 Jun '12

#149: Block decomposed version of Kalman filter --------------------------+------------------------------------------------- Reporter: sebastien | Owner: ferhat Type: feature | Status: new Priority: major | Milestone: 4.3 Component: Core M-files | Version: Keywords: | --------------------------+------------------------------------------------- -- Ticket URL: <https://www.dynare.org/trac/ticket/149> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #163: Finish first version of internal documentation
by Trac Dynare 15 Jun '12

15 Jun '12

#163: Finish first version of internal documentation ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: Type: enhancement | Status: new Priority: major | Milestone: 4.3 Component: Documentation | Version: Keywords: | ---------------------------+------------------------------------------------ See doc/internals/dynare-internals.org for the first draft. For the IMF. -- Ticket URL: <https://www.dynare.org/trac/ticket/163> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #133: datafile option in simul
by Trac Dynare 15 Jun '12

15 Jun '12

#133: datafile option in simul --------------------------+------------------------------------------------- Reporter: michel | Owner: ferhat Type: enhancement | Status: new Priority: major | Milestone: 4.3 Component: Core M-files | Version: Keywords: | --------------------------+------------------------------------------------- this option is very similar to initval_file but it requires two different files for endogenous and exogenous variables. The entry in the manual doesn't describe the required files. It may be interesting to use it for loading only trajectories for the exogenous variables. -- Ticket URL: <https://www.dynare.org/trac/ticket/133> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #106: Document prior distributions
by Trac Dynare 15 Jun '12

15 Jun '12

#106: Document prior distributions ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: stepan Type: enhancement | Status: new Priority: major | Milestone: 4.2 Component: Documentation | Version: Keywords: | ---------------------------+------------------------------------------------ The document from Stéphane is probably the one to use. It should be added to the doc/ subdirectory, then to the build-system and to the packaging. -- Ticket URL: <https://www.dynare.org/trac/ticket/106> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #59: add errors to print_info.m
by Trac Dynare 14 Jun '12

14 Jun '12

#59: add errors to print_info.m --------------------------+------------------------------------------------- Reporter: michel | Owner: Type: bug | Status: new Priority: critical | Milestone: Component: Core M-files | Version: Keywords: | --------------------------+------------------------------------------------- info(1) == 43 (covariance matrix of shocks is not positive definite) should be added to print_info.m We need to check that all error numbers that can be present in info(1) are taken care of. We need to check with grep info *.m -- Ticket URL: <https://www.dynare.org/trac/ticket/59> Dynare <http://www.dynare.org> The Dynare project

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estimation with analytic scores and hessian
by Marco Ratto 13 Jun '12

13 Jun '12

Dear Friends, I just completed the first tests with estimation of DYNARE with analytic scores and hessian and everything seems to work. I have implemented it so far for stationary models both for univariate and multivariate KF. Before committing the changes, I would like to anticipate you some decisions I took: I particular I had to change the list of output of dsge_likelihood (and similarly for consistency of dsgevar_likelihood). We had discussed this a bit some time ago and I envisaged the possibility to keep the current list simply changing the type of output LIK = scalar for numerical derivs LIK= cell = {LIK, GRAD, HESS} Stephan in particular supported this last option. However, the standard form of objective functions in matlab is [fval, grad, hess] = func( ... ) and this form would allow, for example, a direct use of mode_compute=1 or 3. This means I have adapted all fval calls, e.g. in csminwel1, so that now the exit_flag is 4th output of dsge_likelihood. This will also allow to use Sims optimizer with analytic derivatives The same for mode_compute=5. By the way, this will also allow to eliminate the annoying dsge_likelihood_hh. I have also thought of a way to adapt mode_compute=5 for dsge-var as well. what do you think? best Marco -- Marco Ratto, 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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[Trac] #228: document functions for which we have changed the calling sequence in unstable
by Trac Dynare 11 Jun '12

11 Jun '12

#228: document functions for which we have changed the calling sequence in unstable ---------------------------+------------------------------------------------ Reporter: michel | Owner: Type: feature | Status: new Priority: major | Milestone: 4.3 Component: Documentation | Version: Keywords: | ---------------------------+------------------------------------------------ The changes that we have made to several functions in unstable will break the code of people who are calling these functions directly. This will make a big mess when we release 4.3 We need to document those changes on the wiki -- Ticket URL: <https://www.dynare.org/trac/ticket/228> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #247: add a new option for replications in the computation of IRFs
by Trac Dynare 11 Jun '12

11 Jun '12

#247: add a new option for replications in the computation of IRFs ---------------------+------------------------------------------------------ Reporter: michel | Owner: michel Type: feature | Status: new Priority: major | Milestone: 4.3 Component: General | Version: Keywords: | ---------------------+------------------------------------------------------ Currently options_.replic controls both the replications for IRF and for simulations. The needs are different and the defaults should be different. When fixing this ticket attention must be paid to possible use in sensitivity toolbox. Documentation must be clarified -- Ticket URL: <https://www.dynare.org/trac/ticket/247> Dynare <http://www.dynare.org> The Dynare project

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