Dev May 2012

dev@dynare.org

5 participants
151 discussions

Status of testsuite in 4.2 branch
by Sébastien Villemot 14 May '12

14 May '12

*************************************** * DYNARE TEST RESULTS * * for make check-matlab * *************************************** 150 tests PASSED out of 150 tests run *************************************** *************************************** * DYNARE TEST RESULTS * * for make check-octave * *************************************** 148 tests PASSED out of 148 tests run *************************************** A full log can be found on karaba in '/var/tmp/dynare-4.2-check-S5YMsbf8bL.log'.

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Status of testsuite in master branch
by Sébastien Villemot 13 May '12

13 May '12

*************************************** * DYNARE TEST RESULTS * * for make check-matlab * *************************************** 171 tests PASSED out of 171 tests run *************************************** *************************************** * DYNARE TEST RESULTS * * for make check-octave * *************************************** 169 tests PASSED out of 169 tests run *************************************** A full log can be found on karaba in '/var/tmp/dynare-master-check-5iaMQI1zHl.log'.

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Status of testsuite in 4.2 branch
by Sébastien Villemot 13 May '12

13 May '12

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Status of testsuite in master branch
by Sébastien Villemot 12 May '12

12 May '12

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Status of testsuite in 4.2 branch
by Sébastien Villemot 12 May '12

12 May '12

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Bug in dynare_estimation_init in 4.2.5
by Johannes Pfeifer 11 May '12

11 May '12

Dear all, dynare_estimation_init.m in 4.2.5 currently reads if options_.prefilter == 1 if options_.missing_data bayestopt_.mean_varobs = zeros(n_varobs,1); for variable=1:n_varobs rdx = find(~isnan(rawdata(:,variable))); m = mean(rawdata(rdx,variable)); rawdata(rdx,variable) = rawdata(rdx,variable)-m; bayestopt_.mean_varobs(variable) = m; end else bayestopt_.mean_varobs = mean(rawdata,1)'; rawdata = rawdata-repmat(bayestopt_.mean_varobs',gend,1); end end % Transpose the dataset array. data = transpose(rawdata); Hence, rawdata is overwritten with the demeaned data. This leads to wrong smoother plots. The corresponding part should be: if options_.prefilter == 1 if options_.missing_data data=rawdata; bayestopt_.mean_varobs = zeros(n_varobs,1); for variable=1:n_varobs rdx = find(~isnan(rawdata(:,variable))); m = mean(rawdata(rdx,variable)); data(rdx,variable) = rawdata(rdx,variable)-m; bayestopt_.mean_varobs(variable) = m; end else bayestopt_.mean_varobs = mean(rawdata,1)'; data = rawdata-repmat(bayestopt_.mean_varobs',gend,1); end end % Transpose the dataset array. data = transpose(data); I tried to push a fix for cherrypicking to 4.2 but I am not sure I succeeded. Best, Johannes -------- Johannes Pfeifer Haußerstr. 29 72076 Tübingen Tel.: +49-(0)7071-6396184 Mobil: +49-(0)170-6936820 jpfeifer(a)gmx.de

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Problem in estimation
by Johannes Pfeifer 11 May '12

11 May '12

Dear all, Could someone have a look at the mod-file in http://www.dynare.org/phpBB3/viewtopic.php?f=1 <http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=3700> &t=3700 In estimation, it sets prefilter=1 and hence options_.noconstant gets set to 1. dynare_estimation_1.m lines 1135 following in Dynare 4.2.5 and the current source read: if options_.noconstant yf = zeros(n_varobs,gend); else if options_.prefilter == 1 yf = atT(bayestopt_.mf,:)+repmat(bayestopt_.mean_varobs,1,gend); elseif options_.loglinear == 1 yf = atT(bayestopt_.mf,:)+repmat(log(ys(bayestopt_.mfys)),1,gend)+... trend_coeff*[1:gend]; else yf = atT(bayestopt_.mf,:)+repmat(ys(bayestopt_.mfys),1,gend)+... trend_coeff*[1:gend]; end end As a consequence, the filtered variables in yf, which are then plotted, are always 0. My guess is that this is a bug and the treatment of noconstant and prefilter is not consistent. Moreover, I am not sure why we save atT to the results eval(['oo_.SmoothedVariables.' deblank(M_.endo_names(i1,:)) ' = atT(i,:)'';']); but plot yf, which is a transformation of atT. Best, Johannes -- Johannes Pfeifer Haußerstr. 29 72076 Tübingen Tel.: +49-(0)7071-6396184 Mobil.: +49-(0)170-6936820 Germany

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Bug in steady state computation
by Johannes Pfeifer 11 May '12

11 May '12

Dear all, I pushed a fix dealing with a typo in the steady state computation to my personal repository. Could someone please commit it. Best, Johannes -- Johannes Pfeifer Haußerstr. 29 72076 Tübingen Tel.: +49-(0)7071-6396184 Mobil.: +49-(0)170-6936820 Germany

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Bug in estimation/identification
by Johannes Pfeifer 11 May '12

11 May '12

Dear all, there is a serious issue in both the current snapshot and Dynare 4.2.5 when the covariance matrix of the structural errors is not diagonal. I attached a mod-file showing the issue. The situation is as follows: The model specifies a correlation between two shocks using shocks; var e_g; stderr 1; var e_R; stderr 1; corr e_R, e_g = 0.5; end; The preprocessor then sets M_.Sigma_e to [1 0.5; 0.5 1]. In a next step, I want to estimate the standard errors of e_R and e_g estimated_params; stderr e_R, inv_gamma_pdf, 0.01, inf; stderr e_g, inv_gamma_pdf, 0.01, inf; end; The problem is that I wanted to specify a predefined correlation between the two shocks. However, when the estimation updates the standard deviation of the shocks only the diagonal is updated, but not the off-diagonal elements, which stay at 0.5. As a result M_.Sigma_e becomes [0.01^2 0.5; 0.5 0.01^2] when the prior mean is used as initial values for estimation. But given a correlation of 0.5 it should be [0.01^2 0.5*0.01^2; 0.5*0.01^2 0.01^2] The reason is that the preprocessor sees no need for updating the off-diagonal and sets estim_params_.corrx0[]. Hence, in set_all_parameters.m the covariances are not set. This bug is the reason the attached mod-file crashes with a warning that the SS-matrix is not positive definite when you comment out the "corr..."-statement in estimated_params that leads to the crash in identification. The same problem also occurs if I use "var e_R, e_g = 0.5*1*1;" instead of "corr e_R, e_g=0.5". I am not sure what is the best level to fix this bug as it both involves the estimation routines as the preprocessor. Best, Johannes -- Johannes Pfeifer Haußerstr. 29 72076 Tübingen Tel.: +49-(0)7071-6396184 Mobil.: +49-(0)170-6936820 Germany

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Status of testsuite in master branch
by Sébastien Villemot 11 May '12

11 May '12

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Dev May 2012