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[Trac] #92: Add erf() and normpdf() as primitives
by Trac Dynare 16 Apr '10

16 Apr '10

#92: Add erf() and normpdf() as primitives --------------------------+------------------------------------------------- Reporter: sebastien | Owner: sebastien Type: feature | Status: new Priority: minor | Milestone: 4.2 Component: Preprocessor | Version: Keywords: | --------------------------+------------------------------------------------- -- Ticket URL: <https://www.dynare.org/trac/ticket/92> Dynare <http://www.dynare.org> The Dynare project

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Kalman Filters conversion
by George Perendia 16 Apr '10

16 Apr '10

Hi 1) In the present Matlab kalman_filter.m suite, the steady state conversion is checked as notsteady = max(max(abs(K-oldK))) > riccati_tol; where K = P(:,mf)*inv(F); is the gain matrix and the first Kold=0; One problem with that is that, however unlikely, the first K may be sufficiently small, close to 0, leading to a wrong inference that the conversion to steady state occurred in the first step. To avoid that (unlikely) situation, Kold may be set to Inf or some other very large value instead or, the check should take place only if t>1, though setting the first Kold=Inf is a more straight forward change in Matlab kalman_filter.m. 2) Though Harvey (1989) and some other authors assumes convergence when the whole P matrix converges (and the whole P convergence was checked in the initial C++ Kalmn Filte implementations) I wander if we should implement the above gain matrix convergence as a sufficient criteria in the new C++ KalmnFilter instead. If so, I can make checks work for t>0 only. -- Best regards George

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problem with struct2local
by Michel Juillard 14 Apr '10

14 Apr '10

Hi there, struct2local.m is a function that make local variables out of the fields of a structure. This function creates a problem in some circumstances (details below) at least with Matlab R2010a. I had replaced it in a previous commit, but I should have sent a message to this list rather than relay only on the commit message in GIT. As illustrated with the 2 functions attached, if one of the fieldname is also the name of a function present in the path, an 'if' statement calls the function instead of the local variable. This is in contradiction with the priorities for searching symbol names stated by Matlab documentation and it looks like a Matlab bug, maybe it affects only R2010a, but I didn't get a chance to try with other Matlab versions. In any case, we can't use struct2local and it is safer to unroll the fieldnames by hand. In addition, we may create only the local variables actually needed by the function rather than all the fields of the structure. All the best, Michel -------- Original Message -------- Subject: Re: commits Date: Fri, 09 Apr 2010 11:38:51 +0200 From: Sébastien Villemot <sebastien.villemot(a)ens.fr> To: Marco Ratto <marco.ratto(a)jrc.ec.europa.eu> CC: Stéphane Adjemian <stephane.adjemian(a)gmail.com>, Michel Juillard <michel.juillard(a)ens.fr> References: <4BBDF623.3060701(a)jrc.ec.europa.eu> Hi Marco, Le jeudi 08 avril 2010 à 17:28 +0200, Marco Ratto a écrit : > I did a number of commits related to parallel dynare. Thanks for that. I have a problem with your commit 320266412... dated 08 april 2010 17:15:15: it reverts to the use of struct2local(), which was removed by Michel in his commit 2679e190e8... dated 02 april 2010 21:37:43. It seems that Michel had problems with struct2local() on MATLAB R2010a, so he purposedly removed the use of that function. I guess Michel and you have to find an agreement on what is the best solution there. -- Sébastien Villemot

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Proposal for simplification in dr1.m and implementation of stoch_simul and estimation with a block decomposed model
by fmihoubi＠univ-evry.fr 10 Apr '10

10 Apr '10

Hi everyone, In order to implement the check command, stochastic simulation and estimation with a block decomposed model, I have to modify the dr1.m file at least to include a loop on each block. I have the feeling that it will be time saving (especially during the estimation) to reduce the amount of work done in dr1.m and set_state_space.m files and to do it once for all during the preprocessing step. For example: - The Jacobian matrix could be reordered during the preprocessing step. The variables are already reordered in the block decomposition, so for each block the variables could be reordered one more time (first the pure static variables, second the predetermined variables, third both forward and backward variables and fourth the purely forward variables). - The model reduction step could be done using the computation of feedback variables instead of a QR decomposition in dr1. The block should be correctly reduced as soon only static variables could belong to the recursive part of the block. - Since the endogenous variables with more than one lag or one lead are replaced with intermediate variables, the lead_lag_incidence matrix could be considered as a matrix with three rows and the way to build the E and D matrices could be simplified. In addition those matrices could be computed only for blocks containing both lead and lag endogenous variables and they could be defined once for all during the preprocessing step, and simply evaluated during the estimation. The estimation step could be carried on with the C++ implementation of Dsge Likelihood using the DLL-file bytecode to evaluate the block decomposed model. Best, Ferhat ---------------------------------------------------------------- This message was sent using IMP, the Internet Messaging Program.

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Release of 4.1.1
by Sébastien Villemot 06 Apr '10

06 Apr '10

Hi, I just released Dynare 4.1.1. This is a bugfix release. The new source tarball, the Windows package, and the updated reference manual have been put on the website. I will wait until the Mac package is ready before making the official announcement. Best -- Sébastien Villemot

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Re: [DynareDev] [Trac] #80: Crashes of Dynare++ under Windows
by Trac Dynare 06 Apr '10

06 Apr '10

#80: Crashes of Dynare++ under Windows ------------------------+--------------------------------------------------- Reporter: sebastien | Owner: Type: bug | Status: closed Priority: major | Milestone: Component: Dynare++ | Version: 4.1.0 Resolution: fixed | Keywords: ------------------------+--------------------------------------------------- Changes (by sebastien): * status: new => closed * resolution: => fixed Comment: The official MinGW of GCC 4.4 (which uses Dwarf-2) also has the bug. So the only solution for the GCC 4.4 series is to use SJLJ unwinding, which is provided by TDM build. Issue fixed in Windows package of Dynare 4.1.1. -- Ticket URL: <https://www.dynare.org/trac/ticket/80#comment:3> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #88: smoother is computed for auxiliary variables
by Trac Dynare 06 Apr '10

06 Apr '10

#88: smoother is computed for auxiliary variables --------------------------+------------------------------------------------- Reporter: michel | Owner: michel Type: bug | Status: new Priority: critical | Milestone: Component: Core M-files | Version: Keywords: | --------------------------+------------------------------------------------- The smoother is currently computed for all variables, including auxiliary variables. The smoother should be computed only for requested variables -- Ticket URL: <https://www.dynare.org/trac/ticket/88> Dynare <http://www.dynare.org> The Dynare project

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Re: [DynareDev] [Trac] #9: Add derivatives of external functions in the model
by Trac Dynare 06 Apr '10

06 Apr '10

#9: Add derivatives of external functions in the model ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: houtanb Type: feature | Status: reopened Priority: minor | Milestone: 4.2 Component: Preprocessor | Version: Resolution: | Keywords: ---------------------------+------------------------------------------------ Changes (by sebastien): * priority: major => minor * status: closed => reopened * resolution: fixed => Comment: External functions need to be implemented with USE_DLL and bytecode. -- Ticket URL: <https://www.dynare.org/trac/ticket/9#comment:8> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #91: Univariate smoother with missing observations needs corrections.
by Trac Dynare 03 Apr '10

03 Apr '10

#91: Univariate smoother with missing observations needs corrections. --------------------------+------------------------------------------------- Reporter: stepan | Owner: Type: bug | Status: new Priority: major | Milestone: Component: Core M-files | Version: 4.1.0 Keywords: | --------------------------+------------------------------------------------- The last block (if nargout>7) is wrong and cause dynare to crash. Variable iF is not defined in this function (should be Fi i think). There is also a problem with the selection matrix Z. -- Ticket URL: <https://www.dynare.org/trac/ticket/91> Dynare <http://www.dynare.org> The Dynare project

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[Trac] #74: Variance decomposition gives dummy results in the presence of non-stationary vars
by Trac Dynare 03 Apr '10

03 Apr '10

#74: Variance decomposition gives dummy results in the presence of non- stationary vars --------------------------+------------------------------------------------- Reporter: sebastien | Owner: Type: bug | Status: new Priority: major | Milestone: Component: Core M-files | Version: 4.1.0 Keywords: | --------------------------+------------------------------------------------- In the attached MOD file, the variance decomposition is clearly bogus: some lines don't sum to 100% (some percentages are even negative). The problem does not occur with Dynare 4.0.4. This is probably related to the fact that this model contains a non-stationary variable. The file {{{th_autocovariances.m}}} has changed between versions 4.0.4 and 4.1.0 with respect to the treatment of stationary variables. Also note that the problem does not come from the fact that some shocks are switched off (with a zero variance) in the attached MOD file. Activating all the shocks still gives dummy results. -- Ticket URL: <https://www.dynare.org/trac/ticket/74> Dynare <http://www.dynare.org> The Dynare project

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