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removing global objective_function_penalty_base
by Michel Juillard 21 Sep '15

21 Sep '15

I have made a new branch 'penalty' where I removed global objective_function_penalty_base Tell me what you think and I will merge it in master. Best -- Michel Juillard

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penalty size
by Michel Juillard 21 Sep '15

21 Sep '15

In dsge_likelihood, there are several instances of penalty set to 100 (or 1) when there is no way to compute an amount proportional to the violation. Such values seem large to me and of nature of creating cliffs in the objective function. It seems that a value such as 0.1 should be sufficient as it is always added to the last accepted value of the objective function. What do you think? -- Michel Juillard

2 1

mode_compute 5
by Michel Juillard 21 Sep '15

21 Sep '15

Dear Marco, I'm trying to remove global variable objective_function_penalty_base that is used by mode_compute 4 and 5. Doing that, I remarked things that I don't understand concerning mode_compute 5 in master: 1) in ./matlab/optimization/dynare_minimize_objective.m, newrat() is called on line 247 with the 6th input argument set to zero. My guess is that it should be newflagrat, otherwise I don't understand what newflgrat is used for. In any case, the current behavior and results seem different from what we had in the stable version 2) looking at the code in ./matlab/optimization/newrat.m, I understand that the final value of the hessian is computed at the end of this function according to user's options. I don't understand the reason for the code in ./matlab/dynare_estimation_1. lines 262-288 3) Is it necessary for newrat() to reset options_.analytic_derivation and have ./matlab/dynare_estimation_1.m lines 241-242? My impression is that we have changed the code without fully understanding how newrat.m is working. Best -- Michel Juillard

2 2

Status of testsuite in master branch
by Dynare Robot 21 Sep '15

21 Sep '15

c598f4dde3675d3b3e1f4ba5be4b4c9abaeed3e9 fixed another bug in col_id computation ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 555 | PASS: 540 | FAIL: 10 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/MH_recover/fs2000_recover.mod | * identification/rbc_ident/rbc_ident_varexo_only.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | * optimizers/fs2000_6.mod - 2268.840000 | * walsh.mod - 1116.430000 | * gsa/ls2003.mod - 869.490000 | * optimizers/fs2000_2.mod - 752.130000 | * estimation/TaRB/fs2000_tarb.mod - 301.800000 | * optimizers/fs2000_10.mod - 257.130000 | * ms-sbvar/test_ms_variances_repeated_runs.mod - 203.010000 | * conditional_forecasts/2/fs2000_est.mod - 188.610000 | * gsa/ls2003a.mod - 156.310000 | * optimal_policy/osr_example_obj_corr_non_stat_vars.mod - 127.110000 Dynare failed to compile or Octave testsuite failed to run A full log can be found at http://www.dynare.org/testsuite/master

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Status of testsuite in master branch
by Dynare Robot 18 Sep '15

18 Sep '15

51ab885e68c929274d8dd5f94187da2831954ba5 test suite: fix naming in graph when a point is highlighted ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 555 | PASS: 540 | FAIL: 10 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/MH_recover/fs2000_recover.mod | * identification/rbc_ident/rbc_ident_varexo_only.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | * optimizers/fs2000_6.mod - 2256.990000 | * walsh.mod - 1170.820000 | * gsa/ls2003.mod - 866.760000 | * optimizers/fs2000_2.mod - 764.270000 | * estimation/TaRB/fs2000_tarb.mod - 298.300000 | * optimizers/fs2000_10.mod - 258.940000 | * ms-sbvar/test_ms_variances_repeated_runs.mod - 203.260000 | * conditional_forecasts/2/fs2000_est.mod - 185.380000 | * gsa/ls2003a.mod - 158.080000 | * gsa/cod_ML_morris/cod_ML_morris.mod - 112.360000 Dynare failed to compile or Octave testsuite failed to run A full log can be found at http://www.dynare.org/testsuite/master

1 0

Status of testsuite in master branch
by Dynare Robot 17 Sep '15

17 Sep '15

ad3d00f0da38452c479c604aaa4ddf34c8f1521f preprocessor: fix bug when printing model variables containing underscores in latex file. closes #1059 ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 555 | PASS: 540 | FAIL: 10 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/MH_recover/fs2000_recover.mod | * identification/rbc_ident/rbc_ident_varexo_only.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | optimizers/fs2000_6.mod - 2387.680000 | gsa/ls2003.mod - 916.030000 | walsh.mod - 892.550000 | optimizers/fs2000_2.mod - 810.930000 | estimation/TaRB/fs2000_tarb.mod - 319.340000 | optimizers/fs2000_10.mod - 275.660000 | ms-sbvar/test_ms_variances_repeated_runs.mod - 208.310000 | conditional_forecasts/2/fs2000_est.mod - 204.320000 | optimal_policy/osr_example_obj_corr_non_stat_vars.mod - 176.630000 | gsa/ls2003a.mod - 153.320000 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 549 | PASS: 529 | FAIL: 15 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/MH_recover/fs2000_recover.mod | * gsa/cod_ML_morris/cod_ML_morris.mod | * fs2000/fs2000a.mod | * fs2000/fs2000_dseries_b.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * optimizers/fs2000_7.mod | * ../matlab/lyapunov_symm.m#1 | * ../matlab/modules/dseries/src/(a)dseries/dseries.m#5 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | optimizers/fs2000_6.mod - 48287.037751 | gsa/ls2003.mod - 17462.043309 | optimizers/fs2000_2.mod - 16804.018185 | optimizers/fs2000_10.mod - 5517.404816 | estimation/TaRB/fs2000_tarb.mod - 5490.983166 | conditional_forecasts/2/fs2000_est.mod - 3839.111930 | ms-sbvar/test_ms_variances_repeated_runs.mod - 3327.375948 | TeX/fs2000_corr_ME.mod - 3046.410390 | measurement_errors/fs2000_corr_me_ml_mcmc/fs2000_corr_ME.mod - 2523.745724 | fs2000/fs2000.mod - 2512.309009 A full log can be found at http://www.dynare.org/testsuite/master

1 0

Status of testsuite in stable branch (4.4)
by Dynare Robot 17 Sep '15

17 Sep '15

28eba237e514205a1a792038c87530ddc0464f25 fixed bug introduced in commit caa04fb251008b0f4dc520b3504afc5eb91a574b ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 439 | PASS: 437 | FAIL: 0 | XFAIL: 2 | XPASS: 0 ================================ DYNARE MAKE CHECK OCTAVE RESULTS ================================ | TOTAL: 433 | PASS: 431 | FAIL: 0 | XFAIL: 2 | XPASS: 0 A full log can be found at http://www.dynare.org/testsuite/stable

1 0

Status of testsuite in master branch
by Dynare Robot 16 Sep '15

16 Sep '15

42d100f8c17ebe1bf2e7b8841a8fd2dc867f8881 test suite: add header to timing files ================================ DYNARE MAKE CHECK MATLAB RESULTS ================================ | TOTAL: 555 | PASS: 540 | FAIL: 10 | XFAIL: 5 | XPASS: 0 | LIST OF FAILED TESTS: | * estimation/MH_recover/fs2000_recover.mod | * identification/rbc_ident/rbc_ident_varexo_only.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME.mod | * kalman/likelihood_from_dynare/fs2000_corr_ME_missing.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME.mod | * kalman/likelihood_from_dynare/fs2000_uncorr_ME_missing.mod | * ep/rbc2.mod | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#21 | * ../matlab/modules/dseries/src/(a)dseries/subsasgn.m#22 | * ../matlab/prior_draw.m#1 | | LIST OF 10 SLOWEST TESTS: | optimizers/fs2000_6.mod - 2273.020000 | walsh.mod - 1117.710000 | gsa/ls2003.mod - 866.610000 | optimizers/fs2000_2.mod - 757.330000 | estimation/TaRB/fs2000_tarb.mod - 298.850000 | optimizers/fs2000_10.mod - 257.000000 | ms-sbvar/test_ms_variances_repeated_runs.mod - 203.400000 | conditional_forecasts/2/fs2000_est.mod - 186.130000 | gsa/ls2003a.mod - 161.270000 | optimal_policy/osr_example_obj_corr_non_stat_vars.mod - 118.000000 Dynare failed to compile or Octave testsuite failed to run A full log can be found at http://www.dynare.org/testsuite/master

2 1

Status of testsuite in stable branch (4.4)
by Dynare Robot 15 Sep '15

15 Sep '15

4 4

Out of sample forecasting
by Johannes Pfeifer 15 Sep '15

15 Sep '15

Hi, Following http://www.dynare.org/phpBB3/posting.php?mode=reply <http://www.dynare.org/phpBB3/posting.php?mode=reply&f=1&t=7287> &f=1&t=7287, what would be the easiest way to do out of sample forecasting, i.e. use say observations 1 to 100 to estimate the model and the run a forecasting exercise on the next 100 observations? The calib_smoother command implicitly has to capability via the filtered_variables, but this would allow point-forecasts. Is there a better way? If not, we should maybe provide the capacities for this. Best, Johannes

2 6

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