Dev November 2015

dev@dynare.org

4 participants
22 discussions

Fast Kalman algorithm
by Michel Juillard 17 Dec '15

17 Dec '15

I just pushed an implementation of Ed Herbst fast Kalman filter. It is available with option fast_kalman_filter For large models, it gives huge speed improvement. Even for fs2000, it gives some speed improvement. After more of us experiment with it, we could probably make it the default. I'm not entirely convinced by the syntax of the option. There is no way currently to turn it off. I thought about another value for kalman_algo but the the organisation of that option, too complex, should be revised. Tell me what you think Best -- Michel Juillard

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Status of testsuite in master branch
by Dynare Robot 30 Nov '15

30 Nov '15

ad81129a9b90dab50799bd4589b635420918cf1f preprocessor: write auxiliary variable definitions to matlab function ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 571 | PASS: 531 | FAIL: 35 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/MH_recover/fs2000_recover.mod | * moments/example1_bp_test.mod | * optimal_policy/ramsey_.mod | * optimal_policy/nk_ramsey.mod | * optimal_policy/nk_ramsey_model.mod | * optimal_policy/nk_ramsey_det.mod | * optimal_policy/nk_ramsey_expectation.mod | * optimal_policy/nk_ramsey_expectation_a.mod | * optimal_policy/mult_elimination_test.mod | * optimal_policy/Ramsey/ramsey_ex_initval.mod | * optimal_policy/Ramsey/ramsey_ex.mod | * optimal_policy/Ramsey/ramsey_ex_initval_AR2.mod | * optimal_policy/Ramsey/ramsey_ex_aux.mod | * optimal_policy/Ramsey/Gali_commitment.mod | * optimal_policy/RamseyConstraints/test1.mod | * discretionary_policy/Gali_discretion.mod | * example1_varexo_det.mod | * conditional_forecasts/3/fs2000_conditional_forecast_initval.mod | * conditional_forecasts/4/fs2000_conditional_forecast_histval.mod | * recursive/ls2003.mod | * kalman_filter_smoother/fs2000a.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod | * forecast/Hansen_exo_det_forecast.mod | * filter_step_ahead/fs2000_filter_step_ahead_ML.mod | * smoother2histval/fs2000_smooth_stoch_simul.mod | * TeX/fs2000_corr_ME.mod | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | * walsh.mod - 1027.420000 | * moments/example1_hp_test.mod - 984.640000 | * optimizers/fs2000_2.mod - 980.070000 | * gsa/ls2003.mod - 919.660000 | * optimizers/fs2000_6.mod - 877.840000 | * moments/example1_bp_test.mod - 520.730000 | * estimation/TaRB/fs2000_tarb.mod - 426.800000 | * optimizers/fs2000_10.mod - 374.900000 | * optimizers/fs2000_9.mod - 350.670000 | * conditional_forecasts/2/fs2000_est.mod - 255.710000 A full log can be found at http://www.dynare.org/testsuite/master/matlab

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Status of testsuite in master branch
by Dynare Robot 29 Nov '15

29 Nov '15

717967f31fe52e07fb1b909c41d140b6f936de78 adding forgotten test file ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 571 | PASS: 544 | FAIL: 22 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/MH_recover/fs2000_recover.mod | * moments/example1_bp_test.mod | * discretionary_policy/Gali_discretion.mod | * example1_varexo_det.mod | * conditional_forecasts/3/fs2000_conditional_forecast_initval.mod | * conditional_forecasts/4/fs2000_conditional_forecast_histval.mod | * recursive/ls2003.mod | * kalman_filter_smoother/fs2000a.mod | * kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod | * forecast/Hansen_exo_det_forecast.mod | * filter_step_ahead/fs2000_filter_step_ahead_ML.mod | * smoother2histval/fs2000_smooth_stoch_simul.mod | * TeX/fs2000_corr_ME.mod | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | * moments/example1_hp_test.mod - 1425.250000 | * optimizers/fs2000_2.mod - 973.560000 | * walsh.mod - 950.950000 | * gsa/ls2003.mod - 920.730000 | * optimizers/fs2000_6.mod - 878.960000 | * moments/example1_bp_test.mod - 514.070000 | * estimation/TaRB/fs2000_tarb.mod - 428.970000 | * optimizers/fs2000_10.mod - 370.780000 | * optimizers/fs2000_9.mod - 350.290000 | * conditional_forecasts/2/fs2000_est.mod - 253.800000 A full log can be found at http://www.dynare.org/testsuite/master/matlab

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Status of testsuite in master branch
by Dynare Robot 28 Nov '15

28 Nov '15

fb3f9a6475ced38aac4285233238a9915b0f77af fixing the reference to Herbst Dynare failed to compile or MATLAB testsuite failed to run A full log can be found at http://www.dynare.org/testsuite/master/matlab

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Status of testsuite in master branch
by Dynare Robot 28 Nov '15

28 Nov '15

88467aa275cbef9aa48df4eb7c64e2d9179af450 Merge pull request #1108 from FerhatMihoubi/Branch_basic_plan ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 564 | PASS: 540 | FAIL: 19 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_model_comparison.mod | * estimation/MH_recover/fs2000_recover.mod | * gsa/cod_ML_morris/cod_ML_morris.mod | * discretionary_policy/Gali_discretion.mod | * data/mod1a.mod | * ms-sbvar/test_ms_variances_repeated_runs.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * optimizers/fs2000_7.mod | * ../matlab/modules/dseries/src/(a)dseries/dseries.m#9 | * ../matlab/modules/dseries/src/(a)dseries/dseries.m#10 | * ../matlab/modules/dseries/src/(a)dseries/dseries.m#11 | * ../matlab/modules/dseries/src/(a)dseries/dseries.m#12 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | * walsh.mod - 22723.720144 | * optimizers/fs2000_2.mod - 18164.575215 | * optimizers/fs2000_6.mod - 16464.736981 | * gsa/ls2003.mod - 15575.913434 | * estimation/TaRB/fs2000_tarb.mod - 6994.257113 | * optimizers/fs2000_10.mod - 6029.528822 | * measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod - 5468.617768 | * optimizers/fs2000_9.mod - 5335.145425 | * TeX/fs2000_corr_ME.mod - 5099.418694 | * conditional_forecasts/2/fs2000_est.mod - 3947.394697 A full log can be found at http://www.dynare.org/testsuite/master/octave

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Status of testsuite in master branch
by Dynare Robot 27 Nov '15

27 Nov '15

88467aa275cbef9aa48df4eb7c64e2d9179af450 Merge pull request #1108 from FerhatMihoubi/Branch_basic_plan ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 570 | PASS: 555 | FAIL: 10 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/MH_recover/fs2000_recover.mod | * discretionary_policy/Gali_discretion.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | * walsh.mod - 1122.100000 | * optimizers/fs2000_2.mod - 976.110000 | * gsa/ls2003.mod - 926.630000 | * optimizers/fs2000_6.mod - 884.090000 | * moments/example1_bp_test.mod - 663.540000 | * estimation/TaRB/fs2000_tarb.mod - 433.870000 | * moments/example1_hp_test.mod - 408.700000 | * optimizers/fs2000_10.mod - 370.220000 | * optimizers/fs2000_9.mod - 349.260000 | * conditional_forecasts/2/fs2000_est.mod - 254.740000 A full log can be found at http://www.dynare.org/testsuite/master/matlab

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Status of testsuite in master branch
by Dynare Robot 26 Nov '15

26 Nov '15

83a6963286128e8cd22c7d7c8905acb493aa18d3 Rewrote get_file_extension. ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 570 | PASS: 555 | FAIL: 10 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/MH_recover/fs2000_recover.mod | * discretionary_policy/Gali_discretion.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | * walsh.mod - 1174.930000 | * optimizers/fs2000_2.mod - 986.260000 | * gsa/ls2003.mod - 927.520000 | * optimizers/fs2000_6.mod - 882.870000 | * moments/example1_bp_test.mod - 651.540000 | * estimation/TaRB/fs2000_tarb.mod - 434.440000 | * moments/example1_hp_test.mod - 410.360000 | * optimizers/fs2000_10.mod - 372.010000 | * optimizers/fs2000_9.mod - 349.980000 | * conditional_forecasts/2/fs2000_est.mod - 255.320000 A full log can be found at http://www.dynare.org/testsuite/master/matlab

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Status of testsuite in master branch
by Dynare Robot 20 Nov '15

20 Nov '15

73313dc5b7df9f9e86eb865372eb5483fa02ae8a Merge pull request #1107 from FerhatMihoubi/Branch_bytecode_display_and_exogenous_in_extended_path ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 564 | PASS: 540 | FAIL: 19 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/fs2000_model_comparison.mod | * estimation/MH_recover/fs2000_recover.mod | * gsa/cod_ML_morris/cod_ML_morris.mod | * discretionary_policy/Gali_discretion.mod | * data/mod1a.mod | * ms-sbvar/test_ms_variances_repeated_runs.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * optimizers/fs2000_7.mod | * ../matlab/modules/dseries/src/(a)dseries/dseries.m#9 | * ../matlab/modules/dseries/src/(a)dseries/dseries.m#10 | * ../matlab/modules/dseries/src/(a)dseries/dseries.m#11 | * ../matlab/modules/dseries/src/(a)dseries/dseries.m#12 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | * walsh.mod - 23229.591758 | * optimizers/fs2000_2.mod - 18264.541462 | * optimizers/fs2000_6.mod - 16524.652727 | * gsa/ls2003.mod - 15676.243705 | * estimation/TaRB/fs2000_tarb.mod - 7065.029536 | * optimizers/fs2000_10.mod - 6081.712083 | * measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod - 5512.268495 | * optimizers/fs2000_9.mod - 5405.965852 | * TeX/fs2000_corr_ME.mod - 5139.885223 | * conditional_forecasts/2/fs2000_est.mod - 3978.808659 A full log can be found at http://www.dynare.org/testsuite/master/octave

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Status of testsuite in master branch
by Dynare Robot 19 Nov '15

19 Nov '15

73313dc5b7df9f9e86eb865372eb5483fa02ae8a Merge pull request #1107 from FerhatMihoubi/Branch_bytecode_display_and_exogenous_in_extended_path ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 570 | PASS: 555 | FAIL: 10 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/MH_recover/fs2000_recover.mod | * discretionary_policy/Gali_discretion.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | * walsh.mod - 1206.960000 | * optimizers/fs2000_2.mod - 984.180000 | * moments/example1_hp_test.mod - 969.120000 | * gsa/ls2003.mod - 929.180000 | * optimizers/fs2000_6.mod - 884.620000 | * moments/example1_bp_test.mod - 657.710000 | * estimation/TaRB/fs2000_tarb.mod - 426.120000 | * optimizers/fs2000_10.mod - 371.870000 | * optimizers/fs2000_9.mod - 348.480000 | * conditional_forecasts/2/fs2000_est.mod - 256.840000 A full log can be found at http://www.dynare.org/testsuite/master/matlab

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Problem in identification
by Johannes Pfeifer 17 Nov '15

17 Nov '15

Hi Marco, I am facing a problem with the attached mod-file. The problem is that after identification_analysis resets the number of autocorrelations, we have the line evalin('caller',['options_ident.ar=',int2str(nlags),';']); that is, only in the original caller, which is dynare_identification.m, is it reset. But there it is not global. When the mod-file now reaches simulated_moment_uncertainty.m the variable accessed is options and not options_ident where ar is still at the old value. I am not sure what is the best design choice to solve this issue. That is why I would leave it to you. Best, Johannes -- ------ Johannes Pfeifer Department of Economics University of Mannheim L7, 3-5, Room 242 68131 Mannheim Germany +49 (0)621 181-3430

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Dev November 2015