diff --git a/matlab/DsgeSmoother.m b/matlab/DsgeSmoother.m index 309f2d9ab..f59236c69 100644 --- a/matlab/DsgeSmoother.m +++ b/matlab/DsgeSmoother.m @@ -17,18 +17,20 @@ function [alphahat,etahat,epsilonhat,ahat,SteadyState,trend_coeff,aK,T,R,P,PK,de % o trend_coeff [double] (n*1) vector, parameters specifying the slope of the trend associated to each observed variable. % o aK [double] (K,n,T+K) array, k (k=1,...,K) steps ahead filtered (endogenous) variables. % o T and R [double] Matrices defining the state equation (T is the (m*m) transition matrix). -% P: 3D array of one-step ahead forecast error variance -% matrices -% PK: 4D array of k-step ahead forecast error variance -% matrices (meaningless for periods 1:d) -% +% o P: 3D array of one-step ahead forecast error variance +% matrices +% o PK: 4D array of k-step ahead forecast error variance +% matrices (meaningless for periods 1:d) +% o decomp 4D array of shock decomposition of k-step ahead +% filtered variables +% % ALGORITHM % Diffuse Kalman filter (Durbin and Koopman) % % SPECIAL REQUIREMENTS % None -% Copyright (C) 2006-2012 Dynare Team +% Copyright (C) 2006-2014 Dynare Team % % This file is part of Dynare. % diff --git a/matlab/dynare_estimation_1.m b/matlab/dynare_estimation_1.m index 111a11814..cb43ca3f1 100644 --- a/matlab/dynare_estimation_1.m +++ b/matlab/dynare_estimation_1.m @@ -201,7 +201,7 @@ end if isequal(options_.mode_compute,0) && isempty(options_.mode_file) && options_.mh_posterior_mode_estimation==0 if options_.smoother == 1 - [atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp] = DsgeSmoother(xparam1,gend,data,data_index,missing_value); + [atT,innov,measurement_error,updated_variables,ys,trend_coeff,aK,T,R,P,PK,decomp] = DsgeSmoother(xparam1,gend,transpose(data),data_index,missing_value); oo_.Smoother.SteadyState = ys; oo_.Smoother.TrendCoeffs = trend_coeff; if options_.filter_covariance diff --git a/matlab/dynare_estimation_init.m b/matlab/dynare_estimation_init.m index 454375def..e54618a7b 100644 --- a/matlab/dynare_estimation_init.m +++ b/matlab/dynare_estimation_init.m @@ -321,6 +321,8 @@ if isempty(estim_params_)% If estim_params_ is empty (e.g. when running the smoo estim_params_.ncx = 0; estim_params_.ncn = 0; estim_params_.np = 0; + bounds.lb = []; + bounds.ub = []; end % storing prior parameters in results diff --git a/tests/Makefile.am b/tests/Makefile.am index b13370853..3ea8e4364 100644 --- a/tests/Makefile.am +++ b/tests/Makefile.am @@ -154,6 +154,7 @@ MODFILES = \ kalman_filter_smoother/fs2000_1.mod \ kalman_filter_smoother/fs2000_2.mod \ kalman_filter_smoother/fs2000a.mod \ + kalman_filter_smoother/fs2000_smoother_only.mod \ kalman_filter_smoother/check_variable_dimensions/fs2000.mod \ kalman_filter_smoother/check_variable_dimensions/fs2000_ML.mod \ second_order/burnside_1.mod \ diff --git a/tests/kalman_filter_smoother/fs2000_smoother_only.mod b/tests/kalman_filter_smoother/fs2000_smoother_only.mod new file mode 100644 index 000000000..f46f06e2c --- /dev/null +++ b/tests/kalman_filter_smoother/fs2000_smoother_only.mod @@ -0,0 +1,132 @@ +/* + * This file replicates the estimation of the cash in advance model described + * Frank Schorfheide (2000): "Loss function-based evaluation of DSGE models", + * Journal of Applied Econometrics, 15(6), 645-670. + * + * The data are in file "fsdat_simul.m", and have been artificially generated. + * They are therefore different from the original dataset used by Schorfheide. + * + * The equations are taken from J. Nason and T. Cogley (1994): "Testing the + * implications of long-run neutrality for monetary business cycle models", + * Journal of Applied Econometrics, 9, S37-S70. + * Note that there is an initial minus sign missing in equation (A1), p. S63. + * + * This implementation was written by Michel Juillard. Please note that the + * following copyright notice only applies to this Dynare implementation of the + * model. + */ + +/* + * Copyright (C) 2004-2010 Dynare Team + * + * This file is part of Dynare. + * + * Dynare is free software: you can redistribute it and/or modify + * it under the terms of the GNU General Public License as published by + * the Free Software Foundation, either version 3 of the License, or + * (at your option) any later version. + * + * Dynare is distributed in the hope that it will be useful, + * but WITHOUT ANY WARRANTY; without even the implied warranty of + * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the + * GNU General Public License for more details. + * + * You should have received a copy of the GNU General Public License + * along with Dynare. If not, see . + */ + +var m P c e W R k d n l gy_obs gp_obs y dA; +varexo e_a e_m; + +parameters alp bet gam mst rho psi del; + +alp = 0.33; +bet = 0.99; +gam = 0.003; +mst = 1.011; +rho = 0.7; +psi = 0.787; +del = 0.02; + +model; +dA = exp(gam+e_a); +log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m; +-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0; +W = l/n; +-(psi/(1-psi))*(c*P/(1-n))+l/n = 0; +R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W; +1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0; +c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1); +P*c = m; +m-1+d = l; +e = exp(e_a); +y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a)); +gy_obs = dA*y/y(-1); +gp_obs = (P/P(-1))*m(-1)/dA; +end; + +initval; +k = 6; +m = mst; +P = 2.25; +c = 0.45; +e = 1; +W = 4; +R = 1.02; +d = 0.85; +n = 0.19; +l = 0.86; +y = 0.6; +gy_obs = exp(gam); +gp_obs = exp(-gam); +dA = exp(gam); +end; + +shocks; +var e_a; stderr 0.014; +var e_m; stderr 0.005; +end; + +steady_state_model; + dA = exp(gam); + gst = 1/dA; + m = mst; + khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1)); + xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1); + nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp ); + n = xist/(nust+xist); + P = xist + nust; + k = khst*n; + + l = psi*mst*n/( (1-psi)*(1-n) ); + c = mst/P; + d = l - mst + 1; + y = k^alp*n^(1-alp)*gst^alp; + R = mst/bet; + W = l/n; + ist = y-c; + q = 1 - d; + + e = 1; + + gp_obs = m/dA; + gy_obs = dA; +end; + +steady; + +check; + +varobs gp_obs gy_obs; + +estimation(order=1, datafile=fsdat_simul, mode_compute=0,nobs=192, loglinear, smoother) m P c e W R k d n l gy_obs gp_obs y dA; + + +/* + * The following lines were used to generate the data file. If you want to + * generate another random data file, comment the "estimation" line and uncomment + * the following lines. + */ + +//stoch_simul(periods=200, order=1); +//datatomfile('fsdat_simul', char('gy_obs', 'gp_obs'));