February 2014 - Dev - dynare.org

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'.

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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'.

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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'.

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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-----

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

18 Feb '14

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

18 Feb '14

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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'.

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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'.

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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

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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'.

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