Merge pull request #1152 from JohannesPfeifer/headers
Cosmetic changes to various function headerstime-shift
Stéphane Adjemian
commit
056548ba76
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@ -6329,8 +6329,11 @@ Posterior probability of the respective model
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@descriptionhead
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This command computes and displays shock decomposition according to
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the model for a given sample.
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This command computes the historical shock decomposition for a given sample based on
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the Kalman smoother, i.e. it decomposes the historical deviations of the endogenous
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variables from their respective steady state values into the contribution coming
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from the various shocks. The @code{variable_names} provided govern for which
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variables the decomposition is plotted.
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Note that this command must come after either @code{estimation} (in case
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of an estimated model) or @code{stoch_simul} (in case of a calibrated
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@ -6356,12 +6359,13 @@ calibrated model.
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@vindex oo_.shock_decomposition
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The results are stored in the field @code{oo_.shock_decomposition}, which is a three
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dimensional array. The first dimension contains the endogenous variables for
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which the shock decomposition has been requested. The second dimension stores
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dimensional array. The first dimension contains the @code{M_.endo_nbr} endogenous variables.
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The second dimension stores
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in the first @code{M_.exo_nbr} columns the contribution of the respective shocks.
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Column @code{M_.exo_nbr+1} stores the contribution of the initial conditions,
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while column @code{M_.exo_nbr+2} stores the smoothed value of the respective
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endogenous variable. The third dimension stores the time periods. Both the variables
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endogenous variable in deviations from their steady state, i.e. the mean and trends are
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subtracted. The third dimension stores the time periods. Both the variables
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and shocks are stored in the order of declaration, i.e. @code{M_.endo_names} and
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@code{M_.exo_names}, respectively.
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@ -1,6 +1,6 @@
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/*
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* This file implements the Baseline New Keynesian DSGE model described in
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* much detail in Jesús Fernández-Villaverde (2006): "A Baseline DSGE
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* much detail in Jesús Fernández-Villaverde and Juan F. Rubio-Ramírez (2006): "A Baseline DSGE
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* Model", available at http://economics.sas.upenn.edu/~jesusfv/benchmark_DSGE.pdf
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*
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* The parametrization is based on the estimated version of this model in
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@ -1,6 +1,6 @@
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function [dataset_, dataset_info, xparam1, hh, M_, options_, oo_, estim_params_,bayestopt_, bounds] = dynare_estimation_init(var_list_, dname, gsa_flag, M_, options_, oo_, estim_params_, bayestopt_)
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% function dynare_estimation_init(var_list_, gsa_flag)
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% function [dataset_, dataset_info, xparam1, hh, M_, options_, oo_, estim_params_,bayestopt_, bounds] = dynare_estimation_init(var_list_, dname, gsa_flag, M_, options_, oo_, estim_params_, bayestopt_)
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% performs initialization tasks before estimation or
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% global sensitivity analysis
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%
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@ -14,7 +14,6 @@ function [dataset_, dataset_info, xparam1, hh, M_, options_, oo_, estim_params_,
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% estim_params_: structure storing information about estimated
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% parameters
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% bayestopt_: structure storing information about priors
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% optim: structure storing optimization bounds
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% OUTPUTS
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% dataset_: the dataset after required transformation
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@ -28,6 +27,7 @@ function [dataset_, dataset_info, xparam1, hh, M_, options_, oo_, estim_params_,
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% estim_params_: structure storing information about estimated
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% parameters
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% bayestopt_: structure storing information about priors
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% bounds: structure containing prior bounds
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%
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% SPECIAL REQUIREMENTS
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% none
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@ -1,7 +1,7 @@
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function [residuals,check1,jacob] = evaluate_static_model(ys,exo_ss,params,M,options)
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% function [ys,info] = evaluate_steady_state(M,options,oo)
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% Computes the steady state
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% function [residuals,check1,jacob] = evaluate_static_model(ys,exo_ss,params,M,options)
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% Evaluates the static model
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%
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% INPUTS
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% ys vector initial values used to compute the steady
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@ -20,7 +20,7 @@ function [residuals,check1,jacob] = evaluate_static_model(ys,exo_ss,params,M,opt
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2001-2012 Dynare Team
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% Copyright (C) 2001-2016 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -1,8 +1,38 @@
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function [H, dA, dOm, Hss, gp, d2A, d2Om, H2ss] = getH(A, B, M_,oo_,options_,kronflag,indx,indexo,iv)
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% function [H, dA, dOm, Hss, gp, d2A, d2Om, H2ss] = getH(A, B, M_,oo_,options_,kronflag,indx,indexo,iv)
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% computes derivative of reduced form linear model w.r.t. deep params
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%
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% Copyright (C) 2010-2012 Dynare Team
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% Inputs:
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% A: Transition matrix of lagged states from Kalman filter
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% B: Matrix in state transition equation mapping shocks today to
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% states today
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% M_: structure storing the model information
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% oo_: structure storing the results
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% options_: structure storing the options
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% kronflag: Indicator whether to rely on Kronecker products (1) or
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% not (-1 or -2)
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% indx: Index of estimated parameters in M_.params
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% indexo: Index of estimated standard deviations in M_.exo_names
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% iv: Index of considered variables
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%
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% Outputs:
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% H: dTAU/dTHETA: Jacobian of TAU, vectorized form of
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% linearized reduced form state space model, given ys [steady state],
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% A [transition matrix], B [matrix of shocks], Sigma [covariance of shocks]
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% TAU = [ys; vec(A); dyn_vech(B*Sigma*B')].
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% dA: [endo_nbr by endo_nbr by (indx+indexo)] Jacobian of transition matrix A
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% dOm: [endo_nbr by endo_nbr by (indx+indexo)] Jacobian of Omega = (B*Sigma*B')
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% Hss: [endo_nbr by (indx)] Jacobian of steady state with respect to estimated
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% structural parameters only (indx)
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% gp: Jacobian of linear rational expectation matrices [i.e.
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% Jacobian of dynamic model] with respect to estimated
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% structural parameters only (indx)
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% d2A: Hessian of transition matrix A
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% d2Om: Hessian of Omega
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% H2s: Hessian of steady state with respect to estimated
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% structural parameters only (indx)
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% Copyright (C) 2010-2016 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -1,6 +1,43 @@
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function [JJ, H, gam, gp, dA, dOm, dYss] = getJJ(A, B, M_,oo_,options_,kronflag,indx,indexo,mf,nlags,useautocorr)
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% function [JJ, H, gam, gp, dA, dOm, dYss] = getJJ(A, B, M_,oo_,options_,kronflag,indx,indexo,mf,nlags,useautocorr)
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% computes derivatives of 1st and 2nd order moments of observables with
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% respect to estimated parameters
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%
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% Inputs:
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% A: Transition matrix of lagged states from Kalman filter
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% B: Matrix in state transition equation mapping shocks today to
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% states today
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% M_: structure storing the model information
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% oo_: structure storing the results
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% options_: structure storing the options
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% kronflag: Indicator whether to rely on Kronecker products (1) or
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% not (-1 or -2)
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% indx: Index of estimated parameters in M_.params
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% indexo: Index of estimated standard deviations in M_.exo_names
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% mf: Index of observed variables
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% nlags: Number of lags to consider for covariances and
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% correlations
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% useautocorr: Indicator on whether to use correlations (1) instead of
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% covariances (0)
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%
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% Outputs:
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% JJ: Jacobian of 1st and 2nd order moments of observables, i.e. dgam/dTHETA
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% (see below for definition of gam)
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% H: dTAU/dTHETA: Jacobian of TAU, vectorized form of
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% linearized reduced form state space model, given ys [steady state],
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% A [transition matrix], B [matrix of shocks], Sigma [covariance of shocks]
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% TAU = [ys; vec(A); dyn_vech(B*Sigma*B')].
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% gam: vector of theoretical moments of observed variables mf [JJ is the Jacobian of gam].
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% gam = [ys(mf); dyn_vech(GAM{1}); vec(GAM{j+1})]; for j=1:ar and where
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% GAM is the first output of th_autocovariances
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% gp: Jacobian of linear rational expectation matrices [i.e.
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% Jacobian of dynamic model] with respect to estimated
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% structural parameters only (indx)
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% dA: [endo_nbr by endo_nbr by (indx+indexo)] Jacobian of transition matrix A
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% dOm: Jacobian of Omega = (B*Sigma*B')
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% dYss Jacobian of steady state with respect to estimated structural parameters only (indx)
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% Copyright (C) 2010-2012 Dynare Team
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% Copyright (C) 2010-2016 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -7,11 +7,12 @@ function [ide_hess, ide_moments, ide_model, ide_lre, derivatives_info, info] = i
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% o indx [array] index of estimated parameters
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% o indexo [array] index of estimated shocks
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% o options_ident [structure] identification options
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% o data_info [structure] data info for Kalman Filter
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% o dataset_ [structure] the dataset after required transformation
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% o dataset_info [structure] Various informations about the dataset (descriptive statistics and missing observations) info for Kalman Filter
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% o prior_exist [integer]
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% =1 when prior exists and indentification is checked only for estimated params and shocks
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% =0 when prior is not defined and indentification is checked for all params and shocks
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% o nem_tex [char] list of tex names
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% o name_tex [char] list of tex names
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% o init [integer] flag for initialization of persistent vars
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%
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% OUTPUTS
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@ -25,7 +26,7 @@ function [ide_hess, ide_moments, ide_model, ide_lre, derivatives_info, info] = i
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% SPECIAL REQUIREMENTS
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% None
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% Copyright (C) 2008-2013 Dynare Team
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% Copyright (C) 2008-2016 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -1,5 +1,5 @@
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function DynareResults = initial_estimation_checks(objective_function,xparam1,DynareDataset,DatasetInfo,Model,EstimatedParameters,DynareOptions,BayesInfo,BoundsInfo,DynareResults)
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% function initial_estimation_checks(xparam1,gend,data,data_index,number_of_observations,no_more_missing_observations)
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% function DynareResults = initial_estimation_checks(objective_function,xparam1,DynareDataset,DatasetInfo,Model,EstimatedParameters,DynareOptions,BayesInfo,BoundsInfo,DynareResults)
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% Checks data (complex values, ML evaluation, initial values, BK conditions,..)
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%
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% INPUTS
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@ -11,6 +11,7 @@ function DynareResults = initial_estimation_checks(objective_function,xparam1,Dy
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% EstimatedParameters [structure] characterizing parameters to be estimated
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% DynareOptions [structure] describing the options
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% BayesInfo [structure] describing the priors
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% BoundsInfo [structure] containing prior bounds
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% DynareResults [structure] storing the results
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%
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% OUTPUTS
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@ -1536,6 +1536,7 @@ DynamicModel::writeDynamicMFile(const string &dynamic_basename) const
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<< "% in M_.lead_lag_incidence; see the Manual" << endl
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<< "% x [nperiods by M_.exo_nbr] double matrix of exogenous variables (in declaration order)" << endl
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<< "% for all simulation periods" << endl
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<< "% steady_state [M_.endo_nbr by 1] double vector of steady state values" << endl
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<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
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<< "% it_ scalar double time period for exogenous variables for which to evaluate the model" << endl
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<< "%" << endl
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@ -3980,6 +3981,46 @@ DynamicModel::writeParamsDerivativesFile(const string &basename, bool julia) con
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if (!julia)
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paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = " << basename << "_params_derivs(y, x, params, steady_state, it_, ss_param_deriv, ss_param_2nd_deriv)" << endl
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<< "%" << endl
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<< "% Compute the derivatives of the dynamic model with respect to the parameters" << endl
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<< "% Inputs :" << endl
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<< "% y [#dynamic variables by 1] double vector of endogenous variables in the order stored" << endl
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<< "% in M_.lead_lag_incidence; see the Manual" << endl
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<< "% x [nperiods by M_.exo_nbr] double matrix of exogenous variables (in declaration order)" << endl
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<< "% for all simulation periods" << endl
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<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
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<< "% steady_state [M_.endo_nbr by 1] double vector of steady state values" << endl
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<< "% it_ scalar double time period for exogenous variables for which to evaluate the model" << endl
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<< "% ss_param_deriv [M_.eq_nbr by #params] Jacobian matrix of the steady states values with respect to the parameters" << endl
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<< "% ss_param_2nd_deriv [M_.eq_nbr by #params by #params] Hessian matrix of the steady states values with respect to the parameters" << endl
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<< "%" << endl
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<< "% Outputs:" << endl
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<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of dynamic model equations with respect to parameters " << endl
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<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
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<< "% gp [M_.endo_nbr by #dynamic variables by #params] double Derivative of the Jacobian matrix of the dynamic model equations with respect to the parameters" << endl
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<< "% rows: equations in order of declaration" << endl
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<< "% columns: variables in order stored in M_.lead_lag_incidence" << endl
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<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: number of the first parameter in derivative" << endl
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<< "% 3rd column: number of the second parameter in derivative" << endl
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<< "% 4th column: value of the Hessian term" << endl
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<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: column number of variable in Jacobian of the dynamic model" << endl
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<< "% 3rd column: number of the first parameter in derivative" << endl
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<< "% 4th column: number of the second parameter in derivative" << endl
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<< "% 5th column: value of the Hessian term" << endl
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<< "% hp [#first_order_Hessian_terms by 5] double Jacobian matrix of derivatives of the dynamic Hessian with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: column number of first variable in Hessian of the dynamic model" << endl
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<< "% 3rd column: column number of second variable in Hessian of the dynamic model" << endl
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<< "% 4th column: number of the parameter in derivative" << endl
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<< "% 5th column: value of the Hessian term" << endl
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<< "%" << endl
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<< "%" << endl
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<< "% Warning : this file is generated automatically by Dynare" << endl
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<< "% from model file (.mod)" << endl << endl;
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else
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@ -1179,7 +1179,7 @@ StaticModel::writeStaticMFile(const string &func_name) const
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<< "% Outputs:" << endl
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<< "% residual [M_.endo_nbr by 1] double vector of residuals of the static model equations " << endl
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<< "% in order of declaration of the equations." << endl
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<< "% Dynare may prepend auxiliary equations, see M_.aux_vars" << endl
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<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
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<< "% g1 [M_.endo_nbr by M_.endo_nbr] double Jacobian matrix of the static model equations;" << endl
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<< "% columns: variables in declaration order" << endl
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<< "% rows: equations in order of declaration" << endl
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@ -2166,6 +2166,34 @@ StaticModel::writeParamsDerivativesFile(const string &basename, bool julia) cons
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if (!julia)
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paramsDerivsFile << "function [rp, gp, rpp, gpp, hp] = " << basename << "_static_params_derivs(y, x, params)" << endl
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<< "%" << endl
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<< "% Status : Computes derivatives of the static model with respect to the parameters" << endl
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<< "%" << endl
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<< "% Inputs : " << endl
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<< "% y [M_.endo_nbr by 1] double vector of endogenous variables in declaration order" << endl
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<< "% x [M_.exo_nbr by 1] double vector of exogenous variables in declaration order" << endl
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<< "% params [M_.param_nbr by 1] double vector of parameter values in declaration order" << endl
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<< "%" << endl
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<< "% Outputs:" << endl
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<< "% rp [M_.eq_nbr by #params] double Jacobian matrix of static model equations with respect to parameters " << endl
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<< "% Dynare may prepend or append auxiliary equations, see M_.aux_vars" << endl
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<< "% gp [M_.endo_nbr by M_.endo_nbr by #params] double Derivative of the Jacobian matrix of the static model equations with respect to the parameters" << endl
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<< "% rows: variables in declaration order" << endl
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<< "% rows: equations in order of declaration" << endl
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<< "% rpp [#second_order_residual_terms by 4] double Hessian matrix of second derivatives of residuals with respect to parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: number of the first parameter in derivative" << endl
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<< "% 3rd column: number of the second parameter in derivative" << endl
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<< "% 4th column: value of the Hessian term" << endl
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<< "% gpp [#second_order_Jacobian_terms by 5] double Hessian matrix of second derivatives of the Jacobian with respect to the parameters;" << endl
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<< "% rows: respective derivative term" << endl
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<< "% 1st column: equation number of the term appearing" << endl
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<< "% 2nd column: column number of variable in Jacobian of the static model" << endl
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<< "% 3rd column: number of the first parameter in derivative" << endl
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<< "% 4th column: number of the second parameter in derivative" << endl
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<< "% 5th column: value of the Hessian term" << endl
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<< "%" << endl
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<< "%" << endl
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<< "% Warning : this file is generated automatically by Dynare" << endl
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<< "% from model file (.mod)" << endl << endl;
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else
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