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Re: [DynareDev] Fwd: kalman filter
by stephane.adjemian＠gmail.com 26 Jan '12

26 Jan '12

Hi Houtan, We do not plan to implement the EM algorithm... As far as I know, we don't need it for the Estimation of DSGE models. We do also estimate matrices F, H and Q, but in our case we have a large number of restrictions (given by the rational expectation model) on these matrices which help al lot for the estimation. Best, Stéphane. Houtan Bastani <houtanb(a)gmail.com> writes: > Perhaps you can help Pablo.... > > Begin forwarded message: > >> From: Pablo Cruz D. <pcruz(a)bcentral.cl> >> Subject: RE: kalman filter >> Date: 26 January 2012 7:50:15 AM GMT-05:00 >> To: Houtan Bastani <houtanb(a)gmail.com> >> >> Thanks Houtan, I have just looked at the code but I guess this is not exactly what I'm looking for. What I want to do is to estimate the KF when matrix F, H, and Q are unknown, so I need a code that also estimates the EM algorithm for the KF. This is for an elaboration of a Dynamic Factor Model. If you have something like that will be of great help. >> >> Best Regards, >> Pablo >> >> -----Mensaje original----- >> De: Houtan Bastani [mailto:houtanb@gmail.com] >> Enviado el: martes, 24 de enero de 2012 12:52 >> Para: Pablo Cruz D. >> Asunto: kalman filter >> >> Hey Pablo, >> >> There's a kalman filter in the Dynare source distribution under the matlab/kalman/likelihood folder. You can download it here: http://www.dynare.org/snapshot/source/ >> >> Otherwise, here are the filters I programmed with my old boss a while ago... >> >> Best, >> Houtan >> >> ADVERTENCIA: La informacion contenida en esta transmision, y en cualquier archivo adjunto, esta sujeta a reserva legal conforme a la normativa aplicable al Banco Central de Chile, y no puede ser usada o difundida por personas distintas de su o sus destinatarios. Si usted ha recibido esta transmisión por error, por favor notifique inmediatamente al remitente respondiendo por este mismo medio y eliminela de su sistema. >> El Banco Central de Chile no se hara responsable de la exactitud y veracidad de la informacion contenida en este mensaje, así como de su modificacion, copia, divulgacion o reenvio, total o parcial. Su uso no autorizado puede ser sancionado de conformidad con las leyes chilenas. >> El Banco Central de Chile transmite sus decisiones a través de comunicados oficiales, los que pone a disposición del publico en su página de Internet: www.bcentral.cl >> >> >> DISCLAIMER: The information contained in this email or any attached file, is subject to legal privilege pursuant to the laws and regulations applicable to the Central Bank of Chile , and may not be used or disseminated by any person other than its intended recipients. If you have received this transmission in error, please notify the sender immediately by reply to this email address and delete it from your system. >> The Central Bank of Chile shall not be liable for the accuracy or authenticity of the contents of this message, whether amended, copied, forwarded or disclosed in any form, in whole or in part. Please note that unauthorized use may be penalized in conformity with the Chilean law. >> The Central Bank of Chile communicates its decisions by official releases, and >> makes them available to the public in its WebPages: www.bcentral.cl > -- Stéphane Adjemian Université du Maine, Gains et Cepremap Tel(Gains): +33(0)2 43 83 31 35 Tel(Cepremap): +33(0)1 40 77 84 19

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Status of testsuite in master branch
by Sébastien Villemot 26 Jan '12

26 Jan '12

*************************************** * DYNARE TEST RESULTS * * for make check-matlab * *************************************** 168 tests PASSED out of 168 tests run *************************************** *************************************** * DYNARE TEST RESULTS * * for make check-octave * *************************************** 165 tests PASSED out of 166 tests run *************************************** List of 1 tests FAILED: * ep/linear.mod *************************************** A full log can be found on karaba in '/tmp/dynare-master-check-E3qkRiysfP.log'.

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Status of testsuite in 4.2 branch
by Sébastien Villemot 26 Jan '12

26 Jan '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 '/tmp/dynare-4.2-check-qA3Aj8cIUA.log'.

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Re: [DynareDev] Output from running Dynare Models
by Michel Juillard 25 Jan '12

25 Jan '12

I think it would be an improvement, but requires some work. Best Michel On 01/24/2012 11:45 PM, Anderson, Derek wrote: > > Sebastien and Michel, > > Is there any way to get the output files from Dynare (.bin, .cod, > .txt) to be saved in a subdirectory instead of the current working > directory? When running GIMF in Dynare, there are many output files > that are not necessary for users to access and it becomes harder to > find the files that they need to use in order to run the model. This > would be very helpful for all users. > > Thanks, > > Derek > > Derek Anderson > > Research Assistant, Economic Modeling Division > > International Monetary Fund > > W: (202) 623-5306 > > C: (703) 887-6317 >

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Status of testsuite in master branch
by Sébastien Villemot 25 Jan '12

25 Jan '12

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Status of testsuite in 4.2 branch
by Sébastien Villemot 25 Jan '12

25 Jan '12

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Status of testsuite in master branch
by Sébastien Villemot 24 Jan '12

24 Jan '12

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Status of testsuite in 4.2 branch
by Sébastien Villemot 24 Jan '12

24 Jan '12

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persistent variables
by Michel Juillard 23 Jan '12

23 Jan '12

I'm worried about the use of persistent variables in Dynare. In several instances, they are only re-initialized if the variable is empty, meaning the first time that the function is used at the beginning of a session or after "clear all" This behavior is wrong if the function with persistent variables is used twice in different contexts in the same *.mod file (identification_analysis and estimation, for example, or two successive estimations). Also, it creates hard to understand errors when debugging with option noclearall Because, the initialization must sometimes take place far away from the function itself, it is even hard to check whether there is proper initialization or not. I suggest 1) to unify the interface to initialize the persistent variables: either passing additional arguments, or calling the function without any input arguments 2) write in the header of a function using persistent variable which functions are calling it and where initialization takes place. 3) See if using classes with could avoid the use of persistent variables What do you think? Best Michel

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Status of testsuite in 4.2 branch
by Sébastien Villemot 23 Jan '12

23 Jan '12

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