Dev March 2013

dev@dynare.org

8 participants
69 discussions

Status of testsuite in master branch
by sebastien＠dynare.org 21 Mar '13

21 Mar '13

1 0

Status of testsuite in 4.3 branch
by sebastien＠dynare.org 20 Mar '13

20 Mar '13

4660ec7cb725284b69415060a83e987188b43234 Merge pull request #328 from rattoma/4.3 *************************************** * DYNARE TEST RESULTS * * for make check-matlab * *************************************** 192 tests PASSED out of 192 tests run *************************************** *************************************** * DYNARE TEST RESULTS * * for make check-octave * *************************************** 190 tests PASSED out of 190 tests run *************************************** A full log can be found on karaba in '/tmp/dynare-4.3-check-HFD0geTEqe.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 20 Mar '13

20 Mar '13

1 0

Bug in estimation
by Johannes Pfeifer 19 Mar '13

19 Mar '13

Dear all, I think I found a serious bug in estimation which I think could potentially lead to delivering wrong results. It looks as if both the 4.3 and Master branches are affected. Dynare 4.2.5 is clean as this bug was introduced when we fixed > “When running estimation or identification on models with non-diagonal > structural error covariance matrices while not simultaneously > estimating the correlation between shocks (i.e. calibrating the > correlation) Dynare handles the off-diagonal elements incorrectly or > crashes” The issue is the following: As soon as you estimate a correlation in the covariance matrix, the updating in set_all_parameters was not completely based on the most recent parameter draw. Instead, we used a mixture of the old and new correlation. In the old code we have after updating the variances in Sigma_e based on the current draw the following if ~isempty(M.Correlation_matrix) Sigma_e = diag(sqrt(diag(Sigma_e)))*M.Correlation_matrix*diag(sqrt(diag(Sigma_e))); end Note that this is the Correlation matrix of the last draw. If correlations are estimated, we next update the correlation matrix and Sigma_e. But when doing so, we make use of the Sigma_e just updated based on the old correlation matrix. if ncx corrx = estim_params.corrx; for i=1:ncx k1 = corrx(i,1); k2 = corrx(i,2); M.Correlation_matrix(k1,k2) = xparam1(i+offset); M.Correlation_matrix(k2,k1) = M.Correlation_matrix(k1,k2); Sigma_e(k1,k2) = xparam1(i+offset)*sqrt(Sigma_e(k1,k1)*Sigma_e(k2,k2)); Sigma_e(k2,k1) = Sigma_e(k1,k2); end end If the changes in the correlation are small, the difference might be negligible. Thus, it is hard to tell how serious this is. Nevertheless, if you share my assessment, I think we should issue a fixed version 4.3.3 as soon as possible. The solution is simply to check whether ncx is not 0 and only update then. I pushed a fix for this and several other bugs encountered when fixing this. Best, Johannes -- Johannes Pfeifer Haußerstr. 29 72076 Tübingen Tel.: +49-(0)7071-6396184 Mobil.: +49-(0)170-6936820 Germany -----Ursprüngliche Nachricht----- Von: Sébastien Villemot [mailto:sebastien@dynare.org] Gesendet: Dienstag, 19. März 2013 21:51 An: Johannes Pfeifer Betreff: Re: Bug in estimation I am sorry, I will be travelling tomorrow, so I won’t have the time to look at this before Thursday. I suggest that you discuss this on the dev(a)dynare.org list. What seems important to me is to clearly identify in which case the estimation in broken, so that we can give the relevant information to our users. We will also probably release 4.3.3 soon if this is confirmed. Thanks, Le mardi 19 mars 2013 à 21:44 +0100, Johannes Pfeifer a écrit : > Dear Sébastien, > > > > I think I found a serious bug in estimation which I think could > potentially lead to delivering wrong results. It looks as if both the > 4.3 and Master branches are affected. Dynare 4.2.5 is clean as this > bug was introduced when we fixed > > > > “When running estimation or identification on models with non-diagonal > structural error covariance matrices while not simultaneously > estimating the correlation between shocks (i.e. calibrating the > correlation) Dynare handles the off-diagonal elements incorrectly or > crashes” > > > > How do we proceed in such cases? Issue 4.3.3 as soon as possible? > > > > Best, > > > > Johannes > > > > > > -- > > Johannes Pfeifer > > Haußerstr. 29 > > 72076 Tübingen > > Tel.: +49-(0)7071-6396184 > > Mobil.: +49-(0)170-6936820 > > Germany > > > > -- Sébastien Villemot Researcher in Economics Dynare developer http://www.dynare.org/sebastien

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Status of testsuite in 4.3 branch
by sebastien＠dynare.org 19 Mar '13

19 Mar '13

9d841427fcb0bd81d014e076d8f188f5737a2809 Bugfix in rplot + typo correction (cherry picked from commit 1df8bf15c2ea3fbe145f5dc8dfe6625be51e0a72) *************************************** * DYNARE TEST RESULTS * * for make check-matlab * *************************************** 192 tests PASSED out of 192 tests run *************************************** *************************************** * DYNARE TEST RESULTS * * for make check-octave * *************************************** 190 tests PASSED out of 190 tests run *************************************** A full log can be found on karaba in '/tmp/dynare-4.3-check-kLz3TPtCZC.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 19 Mar '13

19 Mar '13

1 0

Status of testsuite in 4.3 branch
by sebastien＠dynare.org 18 Mar '13

18 Mar '13

21602eb45cb24a728cac8037bc6687f426338a5d Fix dyn_saveas for Octave (cherry picked from commit c58aebd2ef1af574ad14e6186375b8c729ed0e7f) *************************************** * DYNARE TEST RESULTS * * for make check-matlab * *************************************** 192 tests PASSED out of 192 tests run *************************************** *************************************** * DYNARE TEST RESULTS * * for make check-octave * *************************************** 190 tests PASSED out of 190 tests run *************************************** A full log can be found on karaba in '/tmp/dynare-4.3-check-nnGl0Z0RI9.log'.

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 18 Mar '13

18 Mar '13

1 0

Status of testsuite in 4.3 branch
by sebastien＠dynare.org 17 Mar '13

17 Mar '13

1 0

Status of testsuite in master branch
by sebastien＠dynare.org 17 Mar '13

17 Mar '13

1 0

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Dev March 2013