Proposal for simplification in dr1.m and implementation of stoch_simul and estimation with a block decomposed model
Hi everyone,
In order to implement the check command, stochastic simulation and estimation with a block decomposed model, I have to modify the dr1.m file at least to include a loop on each block. I have the feeling that it will be time saving (especially during the estimation) to reduce the amount of work done in dr1.m and set_state_space.m files and to do it once for all during the preprocessing step. For example: - The Jacobian matrix could be reordered during the preprocessing step. The variables are already reordered in the block decomposition, so for each block the variables could be reordered one more time (first the pure static variables, second the predetermined variables, third both forward and backward variables and fourth the purely forward variables). - The model reduction step could be done using the computation of feedback variables instead of a QR decomposition in dr1. The block should be correctly reduced as soon only static variables could belong to the recursive part of the block. - Since the endogenous variables with more than one lag or one lead are replaced with intermediate variables, the lead_lag_incidence matrix could be considered as a matrix with three rows and the way to build the E and D matrices could be simplified. In addition those matrices could be computed only for blocks containing both lead and lag endogenous variables and they could be defined once for all during the preprocessing step, and simply evaluated during the estimation.
The estimation step could be carried on with the C++ implementation of Dsge Likelihood using the DLL-file bytecode to evaluate the block decomposed model.
Best,
Ferhat
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Thanks Ferhat,
it is a very good idea but I think that it is the occasion to restructure entirely dr1.m. I will start a Wiki page and we should meet next Friday to talk about it.
All the best,
Michel
fmihoubi@univ-evry.fr wrote:
Hi everyone,
In order to implement the check command, stochastic simulation and estimation with a block decomposed model, I have to modify the dr1.m file at least to include a loop on each block. I have the feeling that it will be time saving (especially during the estimation) to reduce the amount of work done in dr1.m and set_state_space.m files and to do it once for all during the preprocessing step. For example:
- The Jacobian matrix could be reordered during the preprocessing step. The
variables are already reordered in the block decomposition, so for each block the variables could be reordered one more time (first the pure static variables, second the predetermined variables, third both forward and backward variables and fourth the purely forward variables).
- The model reduction step could be done using the computation of feedback
variables instead of a QR decomposition in dr1. The block should be correctly reduced as soon only static variables could belong to the recursive part of the block.
- Since the endogenous variables with more than one lag or one lead are replaced
with intermediate variables, the lead_lag_incidence matrix could be considered as a matrix with three rows and the way to build the E and D matrices could be simplified. In addition those matrices could be computed only for blocks containing both lead and lag endogenous variables and they could be defined once for all during the preprocessing step, and simply evaluated during the estimation.
The estimation step could be carried on with the C++ implementation of Dsge Likelihood using the DLL-file bytecode to evaluate the block decomposed model.
Best,
Ferhat
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Michel Juillard