Dev

dev@dynare.org

3402 discussions

[Trac] #49: User guide: update chapter on installation of Dynare
by Trac Dynare 06 Nov '09

06 Nov '09

#49: User guide: update chapter on installation of Dynare ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: sebastien Type: bug | Status: new Priority: minor | Milestone: 4.1 Component: Documentation | Version: Keywords: | ---------------------------+------------------------------------------------ -- Ticket URL: <https://www.dynare.org/trac/ticket/49> Dynare <http://www.dynare.org> The Dynare project

1 1

[Trac] #39: Make warnings about unitialized params/vars optional
by Trac Dynare 06 Nov '09

06 Nov '09

#39: Make warnings about unitialized params/vars optional --------------------------+------------------------------------------------- Reporter: sebastien | Owner: sebastien Type: bug | Status: new Priority: minor | Milestone: 4.1 Component: Preprocessor | Version: Keywords: | --------------------------+------------------------------------------------- -- Ticket URL: <https://www.dynare.org/trac/ticket/39> Dynare <http://www.dynare.org> The Dynare project

1 1

[Trac] #50: Add dynare_simul_ to build_matlab.m
by Trac Dynare 06 Nov '09

06 Nov '09

#50: Add dynare_simul_ to build_matlab.m --------------------------------------+------------------------------------- Reporter: sebastien | Owner: sebastien Type: feature | Status: new Priority: minor | Milestone: 4.1 Component: Build system / Packaging | Version: Keywords: | --------------------------------------+------------------------------------- -- Ticket URL: <https://www.dynare.org/trac/ticket/50> Dynare <http://www.dynare.org> The Dynare project

1 1

Re: [DynareDev] C++ DsgeLikelihood
by Michel Juillard 04 Nov '09

04 Nov '09

Dear George, thanks for the message. The issue needs to be discussed carefully. 1) We are trying to get rid of most global variables and to pass oo_, options_ and M_ as arguments. There is no good reason, why this has not been done yet in DsgeLikelihood.m 2) Besides a cleaner more robust code, we learned that accessing global variables in Matlab is expensive, and, most likely it is also true for Mex library 3) DsgeLikelihood++ is not primarily meant for calling from Matlab, but from a C++ version of dynare_estimation_1.m 4) There are only two of these variables that are changed in DsgeLikelihood: - M_.params, but a local version of modified params vector should probably be an argument to dynare_resolve - options_.kalman_algo that passes back the choice of Kalman algorithm. We can probably find another mechanism to pass back this information to Matlab. 5) My preference would be to have one C++ class that contains all the parameters from M_, options_ and bayestopt_ (the latter needs to be rethought), needed by the C++ estimation functions. This class should be initialized at the instanciation of the top class (here dynare_estimation++) from M_ and options_ pointers passed as arguments 6) One needs to think about a similar mechanism for output variables. 7) I have three problems with the current structures that we use *M_ contains parameters describing the model (OK) *oo_ contains output. We may want to distinguish output that is only made available to the user and intermediary output that is meant to be used by other routines such as structure dr. It could make accessing these intermediary results faster * options_ contains both real options_ and information on the current state of Dynare computations (such as kalman_algo here), These should probably be separated * bayestopt_ (and estim_params) is currently a mess and should be reconsidered. It is mainly meant to contained parameters describing the priors that are deduced from user input passed by the preprocessor in estim_params 8) In summary, for now, in DsgeLikelihood++, you should simply refer to a C++ version of these objects that we will build later. Best Michel G. Perendia wrote: > Dear Michel > > Regarding design of the interface with Matlab (and Octave?), there are many > variables from global structures that need to be referred to from various > parts of estimation (and some updated too). > > Is it ok if I make DsgeLikelihood++ system refer to options_, oo_ and other > large structures (and some other variable) using mex functions > mexGetVariable (and, if needed, mexPutVariable for updates) rather than > trying to pass whole structures at the call time and creating C++ instances > of all or (large) subsets of their data. > > e.g. > const mxArray *mexExt = mexGetVariable("base", "mexext"); > or > const mxArray *M_ = mexGetVariable("caller", "M_"); > > That will reduce number of variables that need to be passed on call and > writing code on their breaking down and passing around from mexFunction to > the other modules. > > I can optimise access to read-once only to reduce DLL-Matlab traffic too > using a permanent class on the lines of: > > class MexStruct > { > mxArray* mexStruct; > const char *base; // one of: base, caller, global > const char *structName; > MexStruct( char *sBase, char * mexStructName) > : base(sBase), structName(mexStructName) > { > mexStruct=mexGetVariable(base, structName); > } > mxArray * > getMexStructField(char * field) > { > return mxGetField(mexStruct, 0, field); > } > void > putMexStruct(){mexPutVariable(base, structName, mexStruct);} > void > setMexStructField(char * field, mxArray *newVal) > { > mxArray *fp = mxGetField(mexStruct, 0, field); > mxDestroy(fp) > mxSetField(mexStruct,0,field, newVal); > } > } > > Some global variables in those structures also need to be set so the above > class' methods can pass back updated global variables too at the end of the > DsgaLikelihood. Also, as another advantage of this model, they can be passed > back even in real time when if that may be needed for parallelisation. > > Best regards > > George > Mob. +44(0)7951415480 > artilogica(a)btconnect.com > > ----- Original Message ----- > From: "Michel Juillard" <michel.juillard(a)ens.fr> > To: "G. Perendia" <george(a)perendia.orangehome.co.uk> > Sent: Monday, August 24, 2009 11:15 AM > Subject: Re: C++ DsgeLikelihood > > > >> Hi George, >> >>> Dear Michel >>> >>> 1) Re email below, due to problem of code for calling >>> > <model>dynamic.dll, > >>> needed by estimation but being in the same file with mexFunction in >>> k_order_perturbation.cpp >>> >>> Alternatives: >>> a) I can use (a different) literal, e.g. >>> KORDERPERT_MEX_FILE >>> and compile k_order_perturbation.cpp for k_order_perturbation.dll using >>> -DKORDERPERT_MEX_FILE >>> and for DsgeLIkelihood/estimation without, - probably the easiest >>> > solution > >>> to implement and maintain until situation may change, - or, >>> >>> b) I can split k_order_perturbation.cpp in two - >>> > k_order_perturbation.cpp > >>> with mexFunction and another file for calling <model>dynamic.dll which >>> > will > >>> be placed into korderpertlib.a and linked to DsgeLikelihood/estimation >>> > too - > >>> probably the optimal solution. or, >>> >>> c) copy k_order_perturbation.cpp code for calling >>> > <model>dynamic.dll.into > >>> another file and keep it under DsgeLikelihood/estimation and have >>> DsgeLikelihood refer to k-orderpertlib for the rest - this may duplicate >>> effort on maintaining the dynamic.dll call management code but it is a >>> > clear > >>> cut. >>> >>> >>> >> I prefer 1.b) too >> >>> 2) Shall I treat C++ DsgeLIkelihood >>> a) as an extension of KF or KORDERPERT and put its code in one of those >>> > 2 > >>> mex/source directories, or >>> >>> b) create a new one, e.g. estimation, with its makefiile referring to >>> > the > >>> code and objects in the other two? >>> >>> >>> I suggest 1.b and to treat DsgeLIkelihood as a subdirectory of kalman >>> directory which will refer to korderpertlib and kalman src. >>> >>> >>> >> I prefer 2.b, because DsgeLikelihood calls Kalman code and it is weird >> to have it in a subdirectory of kalman >> >> All the best, >> >> Michel >> >>> Please let me know if that is OK with you. >>> >>> Best regards >>> >>> George >>> >>> ----- Original Message ----- >>> From: "G. Perendia" <george(a)perendia.orangehome.co.uk> >>> To: "Michel Juillard" <michel.juillard(a)ens.fr> >>> Sent: Friday, August 21, 2009 3:50 PM >>> Subject: Re: C++ DsgeLikelihood >>> >>> >>> >>> >>>> Dear Michel >>>> >>>> In k-order-perturbation makefile someone(you?) defined literal >>>> -DMATLAB_MEX_FILE >>>> for several cpp files, some of which do not contain mexFunction, e.g. >>>> >>>> k_order_test_main.o: k_order_test_main.cpp >>>> gcc -DMATLAB_MEX_FILE ... >>>> >>>> k_ord_dynare.o: k_ord_dynare.cpp k_ord_dynare.h >>>> gcc -DMATLAB_MEX_FILE .... >>>> >>>> k_order_perturbation.o: k_order_perturbation.cpp k_order_perturbation.h >>>> gcc -DMATLAB_MEX_FILE .... >>>> >>>> nlsolve.o: $(DYNAREPPDIR)/src/nlsolve.cpp >>>> gcc -DMATLAB_MEX_FILE .... >>>> >>>> whereas only k_order_perturbation.cpp contains mexFunction(). >>>> >>>> What is that switch/literal used for? >>>> >>>> I wandered if it is OK to use that literal and set a switch in >>>> k_order_perturbation.cpp to exclude mexFunction from compilation when >>>> > not > >>>> defined so that the file can be used with other mexFunctions such as >>>> > the > >>> one >>> >>> >>>> for DsgeLikelihood., e.g. >>>> >>>> #ifdef MATLAB_MEX_FILE // exclude mexFunction for other applications >>>> extern "C" { >>>> void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const >>>> > mxArray > >>>> *prhs[]) >>>> { >>>> ... here goes mexFunction .: >>>> } >>>> }; // end of extern C >>>> #endif // ifdef MATLAB_MEX_FILE >>>> >>>> Oterwise I can set another literal. >>>> >>>> Best regards >>>> >>>> George >>>> >>>> ----- Original Message ----- >>>> From: "Michel Juillard" <michel.juillard(a)ens.fr> >>>> To: "G. Perendia" <george(a)perendia.orangehome.co.uk> >>>> Sent: Tuesday, August 18, 2009 12:36 PM >>>> Subject: Re: C++ DsgeLikelihood >>>> >>>> >>>> >>>> >>>>> Hi George, >>>>> >>>>> currently there are 3 different cases: >>>>> >>>>> 1) the steady state is not affected by estimation. This is the case >>>>> > that > >>>>> we are implementing now >>>>> 2) A Matlab function is provided by the user to compute the steady >>>>> > state > >>>>> as a function of model's parameters. >>>>> The implementation is cumbersome for the user and should become a >>>>> feature of the preprocessor. As long as the definitive version is not >>>>> done, there is no point in losing time writing a C interface for that >>>>> 3) The steady state must be solved for by calling a nonlinear equation >>>>> solver. We will need to implement this as well, but it is a lower >>>>> priority. I would like to have the entire estimation chain in C++ >>>>> working first with just a constant steady state. >>>>> >>>>> All the best, >>>>> >>>>> Michel >>>>> >>>>> >>>>> G. Perendia wrote: >>>>> >>>>> >>>>>> Dear Michel >>>>>> >>>>>> Regarding steady state, can you remind me why we can not use ss >>>>>> >>>>>> >>>> calculation >>>> >>>> >>>>>> inside the k-order-perturb ? >>>>>> Can we than instead call Dynare Matlab steady state calculation, >>>>>> >>>>>> >>>> currently >>>> >>>> >>>>>> called from resol.m, from estimate_1.m just before calling the new >>>>>> >>>>>> >>> C++ >>> >>> >>>>>> DsgeLikelihood (or from a new Matlab shell DsgeLikelihood_m.m that is >>>>>> >>>>>> >>>> then >>>> >>>> >>>>>> calling C++ DsgeLikelihood) where new C++ resol will not call ss >>>>>> calculation as the Matlab one does? >>>>>> >>>>>> Best regards >>>>>> >>>>>> George >>>>>> >>>>>> ----- Original Message ----- >>>>>> From: "Michel Juillard" <michel.juillard(a)ens.fr> >>>>>> To: "G. Perendia" <george(a)perendia.orangehome.co.uk> >>>>>> Sent: Monday, August 17, 2009 8:37 PM >>>>>> Subject: Re: C++ DsgeLikelihood >>>>>> >>>>>> >>>>>> >>>>>> >>>>>> >>>>>>> Hi George, >>>>>>> >>>>>>> >>>>>>> >>>>>>>> Should I suppose that the C++ DsgeLikelihood would also include >>>>>>>> > C++ > >>>>>>>> versions of: >>>>>>>> resol.m >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>> yes, this mainly calls first order solution in dr1.m >>>>>>> >>>>>>> >>>>>>> >>>>>>> >>>>>>>> kalman_transition_matrix.m >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>> yes >>>>>>> >>>>>>> >>>>>>> >>>>>>>> and >>>>>>>> the 1st order part of the k-ord_pert version of dr1.m that will be >>>>>>>> >>>>>>>> >>>>>>>> >>>>>> calling >>>>>> >>>>>> >>>>>> >>>>>>>> k-order_perturbation for 1st order only, either as a DLL (as it >>>>>>>> >>>>>>>> >>> does >>> >>> >>>>>> now) >>>>>> >>>>>> >>>>>> >>>>>>>> or incorporating it statically? >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>> first order solution should be linked statically >>>>>>> >>>>>>> >>>>>>> >>>>>>> >>>>>>>> May I then also assume that >>>>>>>> >>>>>>>> a) set_state_space.m and the kstate preamble will in future be >>>>>>>> >>>>>>>> >>>> performed >>>> >>>> >>>>>>>> before calling DsgeLikelihood, and not repeatedly within dr1 and >>>>>>>> > its > >>>>>>>> >>>>>> future >>>>>> >>>>>> >>>>>> >>>>>>>> C++ version - as I remember has already been planned? >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>> yes, we will have to implement such a mechanism >>>>>>> >>>>>>> >>>>>>> >>>>>>>> b) Ramsey will not be part of it for now >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>> correct >>>>>>> >>>>>>> >>>>>>> >>>>>>>> c) I need to check but I think I may not need to code >>>>>>>> >>>>>>>> >>>>>>>> >>>>>> transition_matrix.m >>>>>> >>>>>> >>>>>> >>>>>>>> and use the info 3/4 test currently in dr1: >>>>>>>> if nba > nyf info(1) = 3; >>>>>>>> elseif nba < nyf info(1) = 4; >>>>>>>> as a similar test already exist in k-ord-pert. >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>> probably correct >>>>>>> >>>>>>> >>>>>>> >>>>>>>> d) Also, we seem to need a new algorithm to handle exogenous >>>>>>>> >>>>>>>> >>>>>>>> >>>>>> deterministic >>>>>> >>>>>> >>>>>> >>>>>>>> variables i.e. when M_.exo_det_nbr > 0 ? They are not currently >>>>>>>> >>>>>>>> >>>> handled >>>> >>>> >>>>>> for >>>>>> >>>>>> >>>>>> >>>>>>>> k-order perturbation. >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>> no, there is no estimation with exogenous deterministic variables >>>>>>> >>>>>>> >>>>>>> Best >>>>>>> >>>>>>> Michel >>>>>>> >>>>>>> >>>>>>> >>>>>>>> Best regards >>>>>>>> >>>>>>>> George >>>>>>>> >>>>>>>> ----- Original Message ----- >>>>>>>> From: "Michel Juillard" <michel.juillard(a)ens.fr> >>>>>>>> To: "G. Perendia" <george(a)perendia.orangehome.co.uk>; "Joe >>>>>>>> > Pearlman" > >>>>>>>> <j.pearlman(a)londonmet.ac.uk> >>>>>>>> Sent: Friday, July 31, 2009 8:46 AM >>>>>>>> Subject: Re: lyapunov kalman filter options >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>>> Thanks George, >>>>>>>>> >>>>>>>>> >>>>>>>>> >>>>>>>>> >>>>>>>>> >>>>>>>> .... >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>> >>>>>>>>> For the next steps, I think that you have now all elements to code >>>>>>>>> >>>>>>>>> >>> a >>> >>> >>>>>> C++ >>>>>> >>>>>> >>>>>> >>>>>>>>> version of DsgeLikelihood.m Of course you should restrict it to >>>>>>>>> > the > >>>>>>>>> >>>>>> case >>>>>> >>>>>> >>>>>> >>>>>>>>> of stationary models. >>>>>>>>> >>>>>>>>> As we haven't solved yet the issue around computing the steady >>>>>>>>> >>>>>>>>> >>> state, >>> >>> >>>>>>>>> for the time being, limit yourself to the case where the steady >>>>>>>>> >>>>>>>>> >>> state >>> >>> >>>>>>>>> doesn't change throughout estimation. >>>>>>>>> >>>>>>>>> Best >>>>>>>>> >>>>>>>>> Michel >>>>>>>>> >>>>>>>>> >>>>>>>>> >>>>>>>>> >>>>>>>>> >>>>>>>>> >>>>>>>> >>>>>>>> >>>>>> >>>>>> >>>>>> >>> >>> >>> >>> >> > > > > >

3 17

Re: [DynareDev] C++ DsgeLikelihood and Dynare Parameters
by G. Perendia 04 Nov '09

04 Nov '09

Hi Michel Sorry, did you possibly want to keep estim_params separately anyway for some other reason, e.g. due to possible dynamic changes during the estimation process and/or due to the structural changes sub-periods? ----- Original Message ----- From: "G. Perendia" <george(a)perendia.orangehome.co.uk> To: "List for Dynare developers" <dev(a)dynare.org> Sent: Wednesday, November 04, 2009 5:09 PM Subject: Re: [DynareDev] C++ DsgeLikelihood and Dynare Parameters > > See my comments below > Best regards > George > > ----- Original Message ----- > From: "Michel Juillard" <michel.juillard(a)ens.fr> > > > Ho George > > Why don't you keep estim_params_ as an intermediary structure that you > > add to your main structrure ? > > I do not quite understand the notion of "intermediary structure that you > add to your main structrure" and, so far, I am afraid that could complicate > the issue greatly since estim_params is a stand-alone (i.e. not part of > another structure such as dr1 is part of oo_). > > If I create separate structure for estim_params we are going back to many > structures situation. > > E.g. dr1 is special case, handled as a separate "sub-structure" variable > extracted from the main structure as its single field, (initially taken form > oo_). > > In general, I think that it is not good to start making exceptions to policy > agreed after long discussion aimed to achieve the single params structure > and here have one single parameter field which is causing problem which also > appear unused - it is left empty and there appear to be no references to the > estim_params_.param_names in Dynare matlab code! > > > > > Best > > > > Michel Juillard > > > > > > On Nov 4, 2009, at 17:02, "G. Perendia" <george(a)perendia.orangehome.co.uk > > > wrote: > > > > > Hi > > > > > > I am having problem creating single parameters structure for > > > DsgeLikelihood > > > as some names are not unique. > > > > > > I. e. I only encountered a problem with "param_names" field which > > > exists in > > > both, M_ and estim_params_ though it does not seem to be populated > > > and used > > > in the latter - can it be ignored (i.e. unused?), removed from > > > estim_params_ > > > or renamed to enforce name uniqueness? > > > > > > Best regards > > > > > > George > > > > > > > > > > > > > > > _______________________________________________ > > > Dev mailing list > > > Dev(a)dynare.org > > > http://www.dynare.org/cgi-bin/mailman/listinfo/dev > > > > > > > > > _______________________________________________ > > Dev mailing list > > Dev(a)dynare.org > > http://www.dynare.org/cgi-bin/mailman/listinfo/dev >

2 1

Request for feature (for Houtan)
by Sébastien Villemot 04 Nov '09

04 Nov '09

Hi Houtan, We want to add a "predetermined_variables" keyword that let people use predetermined variables at the current period. The problem is the following: currently in Dynare, variables decided at date "t" must be declared with a "t" subscript. The typical case is for capital stock: currently in Dynare, it must be declared using a beginning-of-period basis, which gives the following law of motion: k = i + (1-delta)*k(-1) However, some people want to have it on a end-of-period basis, which would look like: k(+1) = i + (1-delta)*k For the latter case, the user would then just write at the beginning of the MOD file: predetermined_variables k; The idea is that the first law of motion should be strictly equivalent to the second associated to the new keyword. The algorithm is very simple: the preprocessor should simply lag the variables declared as predetermined_variables by one period. I think this should consist in a new substitution pass, which would take place before all the existing substitution passes (expectation operator + Leads/lags). There is no need to create auxiliary variables; just lagging the corresponding variables by one and creating the new corresponding expressions is enough. During the parsing, we should take care that variables declared as predetermined_variables had been previously declared as endogenous in a var statement. The preprocessor should add a list "M_.predetermined_variables" in the generated M-file, for use by MATLAB routines. We need also to thing about the consequences for estimation and which observation period to use when a predetermined_variable is observed, but this is not something to be done from within the preprocessor, so you are not concerned. If possible, it would be great if this feature was implemented before you come to Paris. Don't hesitate to ask for more details. Best, -- Sébastien Villemot

3 3

[Trac] #41: bug in resid.m that reset initial values when used after ENDVAL
by Trac Dynare 29 Oct '09

29 Oct '09

#41: bug in resid.m that reset initial values when used after ENDVAL --------------------------+------------------------------------------------- Reporter: michel | Owner: michel Type: bug | Status: new Priority: critical | Milestone: 4.1 Component: Core M-files | Version: Keywords: | --------------------------+------------------------------------------------- resid shouldn't modify oo_ or any global variables Maybe it should check against <fname>_static rather than <fname>_dynamic -- Ticket URL: <https://www.dynare.org/trac/ticket/41> Dynare <http://www.dynare.org> The Dynare project

1 2

Re: [DynareDev] [Trac] #29: bug with varexo_det
by Trac Dynare 28 Oct '09

28 Oct '09

#29: bug with varexo_det ---------------------------+------------------------------------------------ Reporter: michel | Owner: michel Type: bug | Status: closed Priority: major | Milestone: 4.1 Component: Core M-files | Version: 4.0.4 Resolution: fixed | Keywords: ---------------------------+------------------------------------------------ Changes (by sebastien): * status: accepted => closed * resolution: => fixed Comment: Fixed in r3093. -- Ticket URL: <https://www.dynare.org/trac/ticket/29#comment:5> Dynare <http://www.dynare.org> The Dynare project

1 0

Re: [DynareDev] [Trac] #1: Implement conditional forecasts
by Trac Dynare 23 Oct '09

23 Oct '09

#1: Implement conditional forecasts ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: stepan Type: feature | Status: closed Priority: major | Milestone: 4.1 Component: Core M-files | Version: Resolution: fixed | Keywords: ---------------------------+------------------------------------------------ Changes (by sebastien): * status: assigned => closed * resolution: => fixed -- Ticket URL: <https://www.dynare.org/trac/ticket/1#comment:3> Dynare <http://www.dynare.org> The Dynare project

1 0

Re: [DynareDev] [Trac] #6: Add interface to AIM solver
by Trac Dynare 20 Oct '09

20 Oct '09

#6: Add interface to AIM solver ---------------------------+------------------------------------------------ Reporter: sebastien | Owner: sebastien Type: feature | Status: closed Priority: major | Milestone: 4.1 Component: Preprocessor | Version: Resolution: fixed | Keywords: ---------------------------+------------------------------------------------ Changes (by sebastien): * status: accepted => closed * resolution: => fixed Comment: Implemented in r3059. -- Ticket URL: <https://www.dynare.org/trac/ticket/6#comment:2> Dynare <http://www.dynare.org> The Dynare project

1 0

Jump to page:

2024

2023

2022

2021

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

2010

2009

2008

Dev