February 2014 - Dev - dynare.org

Trust-region nonlinear solver
by Sébastien Villemot 10 Mar '14

10 Mar '14

Hi, I just added a new nonlinear solver for the steady command: it is a trust-region solver, available under solve_algo=4 (it replaces the old value of that option, which was a Newton without the correction for singular Jacobian; I had added that variant a long time ago, and it was neither really useful nor theoretically grounded). The implementation of the solver is essentially the fsolve.m from Octave, that I have adapted for MATLAB compatibility and that I have also slightly simplified. I am wondering whether we may want to use this new solver as the default, since trust-region algorithms are nowadays considered to be the state of the art for solving systems of nonlinear equations. Said otherwise, should we modify the default to be solve_algo=4 instead of solve_algo=2 ? Since I have not thoroughly tested the new solver, a first step would probably to test it on various relevant examples. Best, -- Sébastien Villemot Researcher in Economics Dynare developer http://www.dynare.org/sebastien

4 5

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 27 Feb '14

27 Feb '14

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 27 Feb '14

27 Feb '14

1 0

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 26 Feb '14

26 Feb '14

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 26 Feb '14

26 Feb '14

99ca97919019345aab3eec5282ee92ad11b8fdfe build: texi2dvi on os x is too old, modify build instructions accordingly ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 433 | PASS: 431 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 431 | PASS: 429 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-master-check-pGqKCf2orS.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 25 Feb '14

25 Feb '14

858a1b9b2a277765a116b9127cd6a3db08a11a61 Add a warning if some endogenous is not present in steady_state_model block. ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 433 | PASS: 427 | FAIL: 4 | XFAIL: 2 | XPASS: 0 | LIST OF FAILED TESTS: | * external_function/example1_1st_and_2nd_deriv_functions_provided.mod | * external_function/example1_1st_and_2nd_deriv_functions_provided_dll.mod | * external_function/example1_1st_deriv_function_provided.mod | * external_function/example1_1st_deriv_function_provided_dll.mod Dynare failed to compile or Octave testsuite failed to run A full log can be found on karaba in '/tmp/dynare-master-check-L5fOfPUR5y.log'.

1 0

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 25 Feb '14

25 Feb '14

eef446a6b327cff483403c4e69c98c31a555ccca Fix capitalization error in dynare_estimation_1.m that leads to crashes if reached (cherry picked from commit 221660dfeac30f44bfbd312dc1a4d9037f6640b3) ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 423 | PASS: 421 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 421 | PASS: 419 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-4.4-check-0rHlwUGmqa.log'.

1 0

Preparing for the release of 4.4.2
by Sébastien Villemot 24 Feb '14

24 Feb '14

Hi, I think we have accumulated several important bugfixes on the 4.4 branch, so I'm thinking about making a 4.4.2 release. If you have some bug that you would like to see fixed in that release, please let me know soon. Best, -- Sébastien Villemot Researcher in Economics Dynare developer http://www.dynare.org/sebastien

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 24 Feb '14

24 Feb '14

daf6189e9c181c62a228f9f9c9b694d4588e5902 reporting: add option 'ALL' to xTickLabels ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 432 | PASS: 430 | FAIL: 0 | XFAIL: 2 | XPASS: 0 Dynare failed to compile or Octave testsuite failed to run A full log can be found on karaba in '/tmp/dynare-master-check-hLZ2A4muQQ.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 24 Feb '14

24 Feb '14

c09d45c44d825d4cab19b25936b49accd45c8574 New smoother2histval function. ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 432 | PASS: 430 | FAIL: 0 | XFAIL: 2 | XPASS: 0 Dynare failed to compile or Octave testsuite failed to run A full log can be found on karaba in '/tmp/dynare-master-check-Av4q8OIyL6.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 24 Feb '14

24 Feb '14

82a7d54d9dbc72a271002531b4e912e4a83be6e0 Merge pull request #620 from JohannesPfeifer/master ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 432 | PASS: 430 | FAIL: 0 | XFAIL: 2 | XPASS: 0 Dynare failed to compile or Octave testsuite failed to run A full log can be found on karaba in '/tmp/dynare-master-check-z50FpZU7hW.log'.

1 0

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 22 Feb '14

22 Feb '14

78d28848fac72292b31b81b056af0aa5c518cbf7 Add the GPL text (cherry picked from commit f086359a9c6cc2729a0d668fd9be0d33354e6cff) ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 423 | PASS: 421 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 421 | PASS: 419 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-4.4-check-y4Ehgq2shO.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 20 Feb '14

20 Feb '14

fee1f9442f1cf2c5de26bf03dec1c0c7027fd023 reporting: change figName option to graphName; change figDirName option to graphDirName ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 432 | PASS: 430 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 430 | PASS: 428 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-master-check-erJPPVazUi.log'.

1 0

Re: [DynareDev] mixed frequency filtering and smoothing in Dynare
by Stéphane Adjemian 19 Feb '14

19 Feb '14

-----BEGIN PGP SIGNED MESSAGE----- Hash: SHA256 Hi, I never had a chance to the read the book mentioned by Sébastien... And I won't buy it. So I do not know if we follow the methodology described by Durbin and Koopman (kalman filters with missing observations were implemented in Dynare in 2010 or even before I do not remember, and there is an old literature about this problem). Adding NaNs in the datafile is not the whole story if you want to mix frequencies. You also need to adapt the model. For instance, if your model is quaterly but you also have yearly observed data, you need to add an equation to relate the yearly data to the quaterly variables (except if the yearly variable is a stock which is not the case in general). More generally you need to write the model in the highest frequency and add measurement equations in order link the variables with different frequencies. Best, Stéphane. On 19/02/2014 10:43, Sébastien Villemot wrote: > Hi Tobias, > > Le mardi 18 février 2014 à 17:48 +0000, Tobias Cwik a écrit : > >> I hope this email finds you well. I don’t know if you remember me, I >> was working for Prof. Wieland in Frankfurt. I heard that the Dynare >> team is working on mixed frequency filtering and smoothing in Dynare. >> Do you know if there is anything implemented in Dynare already? > > Yes, Dynare can handle missing observations in the dataset. Which means > that if you have a quarterly series and a annual series, you can mix > them, by putting missing observations for the annual series in Q2, Q3 an > d Q4. Dynare will be able to run the filter, using the methodology > described in Durbin and Koopman (2012): "Time Series Analysis by State > Space Methods", second edition, Ch. 4.10. > > I put Stéphane in CC, he is the one who programmed this. > > Best, > - -- Dynare Team -----BEGIN PGP SIGNATURE----- Version: GnuPG v1 Comment: Using GnuPG with Icedove - http://www.enigmail.net/ iF4EAREIAAYFAlMEgzIACgkQrQOaeEU5AZe7WAD/SYc2SvLAqUCzxJfnkO5TudRv Ld26aIWc4Q5GhK02ISAA/R+bmQsxavC5l34BUFkALFOGbN0MljZNuvzYhPcqnUlo =8Vok -----END PGP SIGNATURE-----

5 7

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 18 Feb '14

18 Feb '14

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 18 Feb '14

18 Feb '14

1 0

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 17 Feb '14

17 Feb '14

01fc6d5225dbdf90f2c479018f514e0e9c55ff77 make_y.m: replaced max_lead and max_lag by 1, as the model is now always transformed with leads and lags on one period only. Close issue #613 ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 423 | PASS: 421 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 421 | PASS: 419 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-4.4-check-DvwXdpi2yl.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 17 Feb '14

17 Feb '14

052faa2f93643a15ea1a94218209c74e753ee29a make_y.m: replaced max_lead and max_lag by 1, as the model is now always transformed with leads and lags on one period only. Close issue #613 ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 432 | PASS: 430 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 430 | PASS: 428 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-master-check-d99YAaiVZv.log'.

1 0

Re: [DynareDev] Ticket 613
by Michel Juillard 16 Feb '14

16 Feb '14

Thanks Johannes, it seems that deterministic models with several leads and lags and various combinations of initval, histval and endval have never been properly tested. In addition, since the addition of histval, the meaning of endval has become ambiguous. The reason to exclude histval and endval in the same *.mod file is that initval is free to declare the terminal condition but I agree that it is extremely confusing Best Michel Johannes Pfeifer writes: > Dear Michel, > > > > your commit did not fully solve the issue. See the two attached mod-files. > Please ignore the fact that the results will return NaN due to histval not > being fully initialized. > > > > > For the ramst.mod due to histval being present, there are more than two lags > added to the vectors, again leading to a crash in the reshape. > > > > For the retp1 the length of endo_val and exo_val is not even conformable. > > > > I have an additional question: why can one not use endval and histval > simultaneously (enforced in make_y_ )? I thought the first one specifies the > lags and the other one leads? This restriction makes it hard to enter a > permanent shock while providing values for lags. Moreover, we should > document this restriction in the manual. > > > > Best, > > > > Johannes > > > > > > -- > > Johannes Pfeifer > > Haußerstr. 29 > > 72076 Tübingen > > Tel.: +49-(0)7071-6396184 > > Mobil.: +49-(0)170-6936820 > > Germany > > -- Michel Juillard

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 15 Feb '14

15 Feb '14

b3bcf37cca926d34c2bfcbf82f20c25d2608e81a reporting: remove unused package and consolidate fprintf statements ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 432 | PASS: 430 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 430 | PASS: 428 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-master-check-5QVsWbp3qw.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 14 Feb '14

14 Feb '14

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 13 Feb '14

13 Feb '14

be1819b282a8a0e26f9d269926ade07b67386355 reporting: make graph line markers work with tikz ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 432 | PASS: 430 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 430 | PASS: 428 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-master-check-10ifEFYFAg.log'.

1 0

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 12 Feb '14

12 Feb '14

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 12 Feb '14

12 Feb '14

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 11 Feb '14

11 Feb '14

3c1271f5c25e8a46af208195f4b8b9631cac02c3 Implement syntaxes for moment_calibration and irf_calibration. ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 432 | PASS: 430 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 430 | PASS: 428 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-master-check-dgsARqo7c8.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 08 Feb '14

08 Feb '14

1 0

Stochastic EP
by Johannes Pfeifer 07 Feb '14

07 Feb '14

Dear Stéphane, could you please take a look at http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=5220 It seems as if stochastic extended path only works with the parallel-computing toolbox as solve_stochastic_perfect_foresight_model uses a parfor-loop. If this is desired, we should at least try to condition the use of EP on the presence of the toolbox and add this requirement to the manual. Best, Johannes

2 1

Status of testsuite in master branch
by sebastien＠dynare.org 07 Feb '14

07 Feb '14

1 0

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 05 Feb '14

05 Feb '14

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 05 Feb '14

05 Feb '14

1 0

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 04 Feb '14

04 Feb '14

c77933646817f5f12becaab33003f7f3ec68a379 Exit gracefully if an external function name is used as a model local variable. ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 423 | PASS: 421 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 421 | PASS: 419 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-4.4-check-be7XY7q9yK.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 04 Feb '14

04 Feb '14

535af2d536bda159d3b3820b77e94c9f07ceaf88 Exit gracefully if an external function name is used as a model local variable. ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 431 | PASS: 429 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 429 | PASS: 427 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-master-check-hXgzRCQHzU.log'.

1 0

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 02 Feb '14

02 Feb '14

28054c46dc2f379a502a7c9f82d4d897f4513b48 removed useless test with exist() that is very expensive in Octave (but apparently not in Matlab) ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 417 | PASS: 415 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 415 | PASS: 413 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-4.4-check-J9B5bzzclt.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 02 Feb '14

02 Feb '14

c1e0d68351527153960a988087abcc316e2b17ff removed useless test with exist() that is very expensive in Octave (but apparently not in Matlab) ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 430 | PASS: 428 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 428 | PASS: 426 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found on karaba in '/tmp/dynare-master-check-J8gmeTU9TB.log'.

1 0

Status of testsuite in 4.4 branch
by sebastien＠dynare.org 01 Feb '14

01 Feb '14

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 01 Feb '14

01 Feb '14

1 0

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Dev February 2014