Dear Martin,
thank you for the message and the code. Johannes Pfeifer has already implemented your pruning algorithm. It should be released tomorrow in the unstable version. We should definitly look at GMM.
All the best,
Michel
Martin Møller Andreasen writes:
Dear Michel
Thank you for your interest in our pruning paper and the invitation. Yes, I would be very happy to attend the conference and present the paper on pruning in DSGE models.
I was actually also planning on sending you an email. In relation to our pruning paper, we have made a small interface for Dynare which will allow the user to implement all the formulas derived in the paper. I have attached the codes - please have a look (see the attachment). I only need to complete the documentation which will do shortly. Of course, these additional codes for pruning in Dynare are a bit of a "hack" has you will see. So therefore, I hope we can talk about how pruning should be done properly within the Dynare package - perhaps with a bit of help from the Dynare team.
As shown in our paper, GMM estimation is also fairly easy to implement based on our codes, so a natural step would be to also implement this in Dynare. I would love to help out here, but it is also clear to me that I would need a bit of help from the Dynare team to implement it properly - I simply do not know the Dynare package well enough to do the implementation on my own.
All the best
Martin
-----Original Message----- From: Michel Juillard [mailto:michel.juillard@mjui.fr] Sent: 24. april 2013 19:57 To: Martin Møller Andreasen Subject: CFE conference
Dear Martin, Would you be interested in giving a presentation on your recent paper on pruning in an organized session at the Conference on Computational and Financial Econometrics that is going to take place at the Senate House in London on December 14-16, 2013?
All the best,
-- Michel Juillard