Marco Ratto marco.ratto@jrc.ec.europa.eu writes:
- You may remember the issue about overly large params_derivs files descending
from elaborated parameterizations. This specially affects the second order derivs w.r.t. model params. I just had an exchange with Jasper Linde who is using a model where he uses pond syntax to define a complicated parametrization, which then implies such a problem.
I think for the next 4.2.5 dynare bug fix release we could simply drop second order derivs w.r.t. parameters in the official distribution, since such derivatives are not used for the moment (this feature maybe useful in the future when I will have the time to preceed further with some diagnostics for global identification). This would make the release of dynare totally compatible with such complicated cases.
I guess you are referring to ticket #172: https://www.dynare.org/trac/ticket/172
I have just realized that we were not computing temporary terms for 2nd deriv of residuals and jacobian wrt to params (rpp and gpp) and for 1st deriv of hessian wrt params (hpp).
I pushed a fix for this in master and 4.2. Tell me if that improves your problem.
If it does not, I will do what you asked for. Do you want me to also remove hpp from the output of the dynamic file, or only rpp and gpp?
- In the case of sensitivity analysis, on the other hand, there is a problem
when models have unit roots. We should allow for 4.3 version to add the option kalman_algo to dynare_sensitivity and identification. In such a case, the qz_criterium would be kept 1+1.e-6. Otherwise, the call to dynare_estimation_init, with the default kalman_algo=1, resets qz_criterium to 1-1.e-6 and the blanchard kahn are always violated for any parameter value in the Monte Carlo search for stability mapping, when the model has unit roots.
I added this option to the preprocessor and ref. manual. I leave you the job to add the necessary logic in MATLAB (including setting the default for qz_criterium).
Best,