stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merged master into enterprise. 

Fixed conflict in
 - doc/manual/source/running-dynare.rst
time-shift
Stéphane Adjemian (Charybdis) 2020-09-23 15:28:19 +02:00
parent fcc3a3cec2 202bf913c0
commit 17e6421ea3
Signed by: stepan
GPG Key ID: 295C1FE89E17EB3C
11 changed files with 239 additions and 147 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

9
doc/manual/source/running-dynare.rst
View File

@ -290,6 +290,7 @@ by the ``dynare`` command.
computations.
.. option:: nograph
:noindex:
Activate the ``nograph`` option (see :opt:`nograph`), so that
Dynare will not produce any graph.
@ -503,6 +504,14 @@ by the ``dynare`` command.
equations to exclude then take actions in accord with :ref:`exclude_eqs
<exclude_eqs>`.
.. option:: use_dll
:noindex:
Instructs the preprocessor to create dynamic loadable libraries (DLL)
containing the model equations and derivatives, instead of writing
those in M-files. This is equivalent to the :opt:`use_dll` option of
the ``model`` block.
These options can be passed to the preprocessor by listing them
after the name of the ``.mod`` file. They can alternatively be
defined in the first line of the ``.mod`` file, this avoids typing

24
doc/manual/source/the-model-file.rst
View File

@ -925,11 +925,11 @@ The model is declared inside a ``model`` block:
libraries (DLL) containing the model equations and
derivatives, instead of writing those in M-files. You need a
working compilation environment, i.e. a working ``mex``
command (see :ref:`compil-install` for more details). On
MATLAB for Windows, you will need to also pass the compiler
name at the command line. Using this option can result in
command (see :ref:`compil-install` for more details).
Using this option can result in
faster simulations or estimations, at the expense of some
initial compilation time. [#f2]_
initial compilation time. Alternatively, this option can be
given to the ``dynare`` command (see :ref:`dyn-invoc`). [#f2]_
.. option:: block
@ -7569,11 +7569,12 @@ Shock Decomposition
See :opt:`xls_range <xls_range = RANGE>`.
.. option:: use_shock_groups [= STRING]
.. option:: use_shock_groups [= NAME]
Uses shock grouping defined by the string instead of
individual shocks in the decomposition. The groups of shocks
are defined in the :bck:`shock_groups` block.
are defined in the :bck:`shock_groups` block. If no group name is
given, ``default`` is assumed.
.. option:: colormap = VARIABLE_NAME
@ -7642,7 +7643,8 @@ Shock Decomposition
groups. It is possible to use several ``shock_groups`` blocks
in a model file, each grouping being identified by a different
name. This name must in turn be used in the
``shock_decomposition`` command.
``shock_decomposition`` command. If no name is given, ``default`` is
used.
*Example*
@ -7721,9 +7723,9 @@ Shock Decomposition
See :opt:`nobs <nobs = INTEGER>`.
.. option:: use_shock_groups [= STRING]
.. option:: use_shock_groups [= NAME]
See :opt:`use_shock_groups <use_shock_groups [= STRING]>`.
See :opt:`use_shock_groups <use_shock_groups [= NAME]>`.
.. option:: colormap = VARIABLE_NAME
@ -7864,9 +7866,9 @@ Shock Decomposition
*Options*
.. option:: use_shock_groups [= STRING]
.. option:: use_shock_groups [= NAME]
See :opt:`use_shock_groups <use_shock_groups [= STRING]>`.
See :opt:`use_shock_groups <use_shock_groups [= NAME]>`.
.. option:: colormap = VARIABLE_NAME

23
matlab/histvalf.m
View File

@ -30,29 +30,6 @@ function [endo_histval, exo_histval, exo_det_histval] = histvalf(M, options)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
if ~isfield(options, 'nobs') || isempty(options.nobs)
options.nobs = M.orig_maximum_lag;
end
if ~isfield(options, 'first_obs') || isempty(options.first_obs)
if isfield(options, 'first_simulation_period')
options.first_obs = options.first_simulation_period ...
- options.nobs;
else
options.first_obs = 1;
end
elseif isfield(options, 'first_simulation_period')
nobs = options.first_simulation_period - opions_.first_obs;
if options.nobs ~= nobs
error(sprintf(['HISTVALF: first_obs = %d and', ...
' first_simulation_period = %d', ...
' don''t provide for the number of' ...
' lags in the model.'], ...
options.first_obs, ...
options.first_simulation_period))
end
end
series = histvalf_initvalf('HISTVAL', M, options);
% capture the difference between stochastic and
% perfect foresight setup

200
matlab/histvalf_initvalf.m
View File

@ -41,23 +41,19 @@ end
% file
datafile = '';
if isfield(options, 'filename')
warning([caller, '_FILE: option FILENAME is deprecated, please use', ...
' option DATAFILE'])
warning('%s_FILE: option FILENAME is deprecated, please use option DATAFILE', caller)
if dseries_ispresent
error([caller, '_FILE: you can''t use option FILENAME and option SERIES', ...
' at the same time'])
error('%s_FILE: you can''t use option FILENAME and option SERIES at the same time', caller)
end
if isfield(options, 'datafile')
error([caller, '_FILE: you can''t use option DATAFILE and option FILENAME', ...
' at the same time'])
error('%s_FILE: you can''t use option DATAFILE and option FILENAME at the same time', caller)
end
datafile = options.filename;
end
if isfield(options, 'datafile')
if dseries_ispresent
error([caller, '_FILE: you can''t use option DATAFILE and option SERIES', ...
' at the same time'])
error('%s_FILE: you can''t use option DATAFILE and option SERIES at the same time', caller)
end
datafile = options.datafile;
end
@ -75,10 +71,9 @@ if datafile
elseif exist([basename '.xlsx'],'file')
extension = '.xlsx';
else
error([caller, '_FILE: Can''t find datafile: ' basename '.{m,mat,xls,xlsx}']);
error('%s_FILE: Can''t find datafile: %s.{m,mat,xls,xlsx}', caller, basename);
end
end
fullname = [basename extension];
series = dseries(fullname);
end
@ -87,33 +82,30 @@ end
error_flag = false;
for i = 1:M.orig_endo_nbr
if ~series.exist(M.endo_names{i})
disp(sprintf('%s_FILE: endogenous variable %s is missing', ...
caller, M.endo_names{i}))
dprintf('%s_FILE: endogenous variable %s is missing', caller, M.endo_names{i})
error_flag = true;
end
end
for i = 1:M.exo_nbr
if ~series.exist(M.exo_names{i})
disp(sprintf('%s_FILE: exogenous variable %s is missing', ...
caller, M.exo_names{i}))
dprintf('%s_FILE: exogenous variable %s is missing', caller, M.exo_names{i})
error_flag = true;
end
end
for i = 1:M.exo_det_nbr
if ~series.exist(M.exo_det_names{i})
disp(sprintf('%s_FILE: exo_det variable %s is missing', ...
caller, M.exo_det_names{i}))
dprintf('%s_FILE: exo_det variable %s is missing', caller, M.exo_det_names{i})
error_flag = true;
end
end
if error_flag
error([caller, '_FILE: some variables are missing'])
error('%s_FILE: some variables are missing', caller)
end
if exist(sprintf('+%s/dynamic_set_auxiliary_series', M.fname), 'file')
if exist(sprintf('+%s/dynamic_set_auxiliary_series.m', M.fname), 'file')
series = feval(sprintf('%s.dynamic_set_auxiliary_series', M.fname), series, M.params);
end
@ -129,95 +121,113 @@ nobs0 = series.nobs;
first_obs_ispresent = false;
last_obs_ispresent = false;
if isfield(options, 'first_obs')
i = options.first_obs;
if i < 1
error([caller, '_FILE: the first requested period is before available', ...
' data.'])
elseif i > nobs0
error([caller, '_FILE: the first requested period is after available', ...
' data.'])
end
first_obs = periods(i);
if nobs > 0
last_obs = first_obs + nobs - 1;
last_obs_ispresent = true;
end
first_obs_ispresent = true;
elseif isfield(options, 'firstobs')
first_obs = options.firstobs;
if nobs > 0
last_obs = first_obs + nobs - 1;
last_obs_ispresent = true;
first_obs = periods(1);
if isfield(options, 'first_obs') && ~isempty(options.first_obs)
if options.first_obs < 1
error('%s_FILE: first_obs must be a positive number', caller)
elseif options.first_obs > nobs0
error('%s_FILE: first_obs = %d is larger than the number of observations in the data file (%d)', ...
caller, options.first_obs, nobs0)
elseif isfield(options, 'first_simulation_period')
if options.first_obs == options.first_simulation_period - M.orig_maximum_lag
first_obs = periods(options.first_obs);
else
error('%s_FILE: first_obs = %d and first_simulation_period = %d have values inconsistent with a maximum lag of %d periods', ...
caller, options.first_obs, options.first_simulation_period, M.orig_maximum_lag)
end
elseif isfield(options, 'firstsimulationperiod')
if periods(options.first_obs) == options.firstsimulationperiod - M.orig_maximum_lag
first_obs = periods(options.first_obs);
else
error('%s_FILE: first_obs = %d and first_simulation_period = %s have values inconsistent with a maximum lag of %d periods', ...
caller, options.first_obs, options.firstsimulationperiod, M.orig_maximum_lag)
end
else
first_obs = periods(options.first_obs);
end
first_obs_ispresent = true;
end
if last_obs_ispresent
if isfield(options, 'last_obs')
i = options.last_obs;
if i < 1
error([caller, '_FILE: the last requested period is before available', ...
' data.'])
elseif i > nobs0
error([caller, '_FILE: the last requested period is after available', ...
' data.'])
if isfield(options, 'firstobs') && ~isempty(options.firstobs)
if isfield(options, 'first_simulation_period')
if options.firstobs == periods(options.first_simulation_period) - M.orig_maximum_lag
first_obs = options.firstobs;
else
error('%s_FILE: first_obs = %s and first_simulation_period = %d have values inconsistent with a maximum lag of %d periods', ...
caller, options.firstobs, options.first_simulation_period, M.orig_maximum_lag)
end
if last_obs ~= periods(i)
error([caller, '_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
' inconsistent information. Use only two of these', ...
' options.'])
end
elseif isfield(options, 'lastobs')
if last_obs ~= options.lastobs
error([caller, '_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
' inconsistent information. Use only two of these', ...
' options.'])
end
elseif isfield(options, 'firstsimulationperiod')
if options.firstobs == options.firstsimulationperiod - M.orig_maximum_lag
first_obs = options.firstobs;
else
error('%s_FILE: firstobs = %s and first_simulation_period = %s have values inconsistent with a maximum lag of %d periods', ...
caller, options.firstobs, options.firstsimulationperiod, M.orig_maximum_lag)
end
else
first_obs = options.firstobs;
end
elseif isfield(options, 'last_obs')
i = options.last_obs;
if i < 1
error([caller, '_FILE: the last requested period is before available', ...
' data.'])
elseif i > nobs0
error([caller, '_FILE: the last requested period is after available', ...
' data.'])
end
last_obs = periods(i);
if nobs > 0
first_obs = last_obs - nobs + 1;
first_obs_ispresent = true;
end
last_obs_ispresent = true;
elseif isfield(options, 'lastobs')
last_obs = options.lastobs;
if nobs > 0
first_obs = last_obs - nobs + 1;
first_obs_ispresent = true;
end
last_obs_ispresent = true;
first_obs_ispresent = true;
end
if ~first_obs_ispresent
first_obs = periods(1);
end
if ~last_obs_ispresent
if nobs > 0
last_obs = first_obs + nobs - 1;
else
last_obs = periods(end);
if isfield(options, 'first_simulation_period')
if options.first_simulation_period < M.orig_maximum_lag
error('%s_FILE: first_simulation_period = %d must be larger than the maximum lag (%d)', ...
caller, options.first_simulation_period, M.orig_maximum_lag)
elseif options.first_simulation_period > nobs0
error('%s_FILE: first_simulations_period = %d is larger than the number of observations in the data file (%d)', ...
caller, options.first_obs, nobs0)
else
first_obs = periods(options.first_simulation_period) - M.orig_maximum_lag;
end
first_obs_ispresent = true;
elseif isfield(options, 'firstsimulationperiod')
first_obs = options.firstsimulationperiod - M.orig_maximum_lag;
first_obs_ispresent = true;
end
end
if first_obs < series.init
error([caller, '_FILE: the first requested period is before available', ...
' data.'])
elseif last_obs > series.last
error([caller, '_FILE: the last requested period is after available', ...
' data.'])
if isfield(options, 'last_obs')
if options.last_obs > nobs0
error('%s_FILE: last_obs = %d is larger than the number of observations in the dataset (%d)', ...
caller, options.last_obs, nobs0)
elseif first_obs_ispresent
if nobs > 0 && (periods(options.last_obs) ~= first_obs + nobs - 1)
error('%s_FILE: FIST_OBS, LAST_OBS and NOBS contain inconsistent information. Use only two of these options.', caller)
else
last_obs = periods(options.last_obs);
end
else
last_obs = periods(options.last_obs);
if nobs > 0
first_obs = last_obs - nobs + 1;
else
first_obs = periods(1);
end
end
elseif isfield(options, 'lastobs')
if options.lastobs > series.last
error('%s_FILE: last_obs = %s is larger than the number of observations in the dataset (%s)', ...
caller, options.lastobs, series.last)
elseif first_obs_ispresent
if nobs > 0 && (options.lastobs ~= first_obs + nobs - 1)
error('%s_FILE: FIST_OBS, LAST_OBS and NOBS contain inconsistent information. Use only two of these options.', caller)
else
last_obs = options.lastobs;
end
else
last_obs = options.last_obs;
if nobs > 0
first_obs = last_obs - nobs + 1;
else
first_obs = periods(1);
end
end
elseif nobs > 0
last_obs = first_obs + nobs - 1;
else
series = series(first_obs:last_obs);
last_obs = series.last;
end
series = series(first_obs:last_obs);

18
mex/sources/bytecode/Evaluate.cc
View File

@ -1513,6 +1513,7 @@ Evaluate::evaluate_over_periods(const bool forward)
it_code = begining;
compute_block_time(0, false, false);
}
it_ = periods+y_kmin-1; // Do not leave it_ in inconsistent state
}
else
{
@ -1521,6 +1522,7 @@ Evaluate::evaluate_over_periods(const bool forward)
it_code = begining;
compute_block_time(0, false, false);
}
it_ = y_kmin; // Do not leave it_ in inconsistent state (see #1727)
}
}
}
@ -1596,11 +1598,17 @@ Evaluate::solve_simple_over_periods(const bool forward)
else
{
if (forward)
for (it_ = y_kmin; it_ < periods+y_kmin; it_++)
solve_simple_one_periods();
{
for (it_ = y_kmin; it_ < periods+y_kmin; it_++)
solve_simple_one_periods();
it_= periods+y_kmin-1; // Do not leave it_ in inconsistent state
}
else
for (it_ = periods+y_kmin-1; it_ >= y_kmin; it_--)
solve_simple_one_periods();
{
for (it_ = periods+y_kmin-1; it_ >= y_kmin; it_--)
solve_simple_one_periods();
it_ = y_kmin; // Do not leave it_ in inconsistent state (see #1727)
}
}
mxFree(g1);
mxFree(r);
@ -1665,6 +1673,7 @@ Evaluate::compute_complete_2b(const bool no_derivatives, double *_res1, double *
else
return;
}
it_ = periods+y_kmin-1; // Do not leave it_ in inconsistent state
return;
}
@ -1757,6 +1766,7 @@ Evaluate::compute_complete(double lambda, double *crit)
else
return false;
}
it_ = periods+y_kmin-1; // Do not leave it_ in inconsistent state
}
mexPrintf(" lambda=%e, res2=%e\n", lambda, res2_);
*crit = res2_/2;

4
mex/sources/bytecode/Interpreter.cc
View File

@ -700,8 +700,8 @@ Interpreter::MainLoop(string bin_basename, CodeLoad code, bool evaluate, int blo
else
{
#ifdef DEBUG
mexPrintf("endo in Block_Count=%d, block=%d, type=%d, steady_state=%d, print_it=%d, Block_Count=%d, fb->get_is_linear()=%d, fb->get_endo_nbr()=%d, fb->get_Max_Lag()=%d, fb->get_Max_Lead()=%d, fb->get_u_count_int()=%d\n",
Block_Count, fb->get_size(), fb->get_type(), steady_state, print_it, Block_Count, fb->get_is_linear(), fb->get_endo_nbr(), fb->get_Max_Lag(), fb->get_Max_Lead(), fb->get_u_count_int());
mexPrintf("endo in Block_Count=%d, size=%d, type=%d, steady_state=%d, print_it=%d, fb->get_is_linear()=%d, fb->get_endo_nbr()=%d, fb->get_Max_Lag()=%d, fb->get_Max_Lead()=%d, fb->get_u_count_int()=%d\n",
Block_Count+1, fb->get_size(), fb->get_type(), steady_state, print_it, fb->get_is_linear(), fb->get_endo_nbr(), fb->get_Max_Lag(), fb->get_Max_Lead(), fb->get_u_count_int());
#endif
bool result;
if (sconstrained_extended_path.size())

2
preprocessor

@ -1 +1 @@
Subproject commit 0f268ce70c9c5358447c4d36a0ee50631e852389
Subproject commit 98d01cbbb669b7c5ee37ad6e23b1626ac9cc4dbb

11
tests/block_bytecode/ls2003.mod
View File

@ -1,5 +1,5 @@
var y y_s R pie dq pie_s de A y_obs pie_obs R_obs vv ww;
varexo e_R e_q e_ys e_pies e_A;
var y y_s R pie dq pie_s de A y_obs pie_obs R_obs vv ww pure_forward;
varexo e_R e_q e_ys e_pies e_A e_pure_forward;
parameters psi1 psi2 psi3 rho_R tau alpha rr k rho_q rho_A rho_ys rho_pies;
@ -53,6 +53,10 @@ det = 0.25-0.02 = 0.23
= 1/0.23* = 1/0.23* =
[ww] [0.1 0.5] [2] [1.1] [4.7826]
*/
/* Test a purely forward variable (thus within a block of type “evaluate
backward”). See #1727. */
pure_forward = 0.9*pure_forward(+1) + e_pure_forward;
end;
shocks;
@ -76,6 +80,9 @@ shocks;
var e_q;
periods 1;
values 0.5;
var e_pure_forward;
periods 19;
values 1;
end;
simul(periods=20, markowitz=0, stack_solve_algo = @{stack_solve_algo});

2
tests/histval_initval_file/my_assert.m
View File

@ -1,4 +1,4 @@
function failed_tests = my_assert(failed_tests, success, test_name)
if ~success
failed_tests = cat(1, test_failed, test_name);
failed_tests = cat(1, failed_tests, test_name);
end

77
tests/histval_initval_file/sim_exo_lead_lag_initvalf.mod
View File

@ -24,6 +24,12 @@ model;
end;
initval_file(series = ds);
if oo_.initval_series.dates(1) ~= dates('1Y');
error("Wrong initial date in oo_.initval_series");
end;
if oo_.initval_series{'x'}.data(6) ~= 0.9;
error("Wrond value for x");
end;
perfect_foresight_setup(periods=200);
perfect_foresight_solver(maxit=100);
@ -42,6 +48,13 @@ data1(8, 6) = 0.9; //shock to x in period 2
ds1 = dseries(data1, '1Y', {'c', 'cmav', 'k', 'z_backward', 'z_forward', 'x'});
initval_file(series = ds1, first_obs = 3, last_obs = 210, nobs = 208);
if oo_.initval_series.dates(1) ~= dates('3Y');
error("Wrong initial date in oo_.initval_series");
end;
if oo_.initval_series{'x'}.data(6) ~= 0.9;
error("Wrond value for x");
end;
perfect_foresight_setup(periods=200);
perfect_foresight_solver(maxit=100);
@ -54,3 +67,67 @@ base_results=load('sim_exo_lead_lag_results.mat');
if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
end
initval_file(series = ds1, first_obs = 3Y, last_obs = 210Y, nobs = 208);
if oo_.initval_series.dates(1) ~= dates('3Y');
error("Wrong initial date in oo_.initval_series");
end;
if oo_.initval_series{'x'}.data(6) ~= 0.9;
error("Wrond value for x");
end;
perfect_foresight_setup(periods=200);
perfect_foresight_solver(maxit=100);
if ~oo_.deterministic_simulation.status
error('Perfect foresight simulation failed');
end
base_results=load('sim_exo_lead_lag_results.mat');
if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
end
initval_file(series = ds1, first_simulation_period = 7);
if oo_.initval_series.dates(1) ~= dates('3Y');
error("Wrong initial date in oo_.initval_series");
end;
if oo_.initval_series{'x'}.data(6) ~= 0.9;
error("Wrond value for x");
end;
perfect_foresight_setup(periods=200);
perfect_foresight_solver(maxit=100);
if ~oo_.deterministic_simulation.status
error('Perfect foresight simulation failed');
end
base_results=load('sim_exo_lead_lag_results.mat');
if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
end
initval_file(series = ds1, first_simulation_period = 7Y);
if oo_.initval_series.dates(1) ~= dates('3Y');
error("Wrong initial date in oo_.initval_series");
end;
if oo_.initval_series{'x'}.data(6) ~= 0.9;
error("Wrond value for x");
end;
perfect_foresight_setup(periods=200);
perfect_foresight_solver(maxit=100);
if ~oo_.deterministic_simulation.status
error('Perfect foresight simulation failed');
end
base_results=load('sim_exo_lead_lag_results.mat');
if max(max(abs(base_results.oo_.endo_simul(1:5,:) - oo_.endo_simul(1:5,:)))) > 1e-8
error('Simulation with leads and lags doesn''t match the one with auxiliary variables')
end

16
tests/histval_initval_file_unit_tests.m
View File

@ -16,6 +16,7 @@ M.endo_names = {'Variable_1','Variable_2','Variable_3'};
M.exo_nbr = 1;
M.exo_names = {'Variable_4'};
M.exo_det_nbr = 0;
M.orig_maximum_lag = 2;
caller = 'INITVAL';
@ -88,9 +89,9 @@ try
ds1 = histvalf_initvalf(caller, M, options);
error('This test didn''t catch the error')
catch me
if strcmp(me.message, ['INITVAL_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
' inconsistent information. Use only two of these', ...
' options.']) == false
if ~strcmp(me.message, strcat('INITVAL_FILE: FIST_OBS, LAST_OBS and NOBS contain', ...
' inconsistent information. Use only two of these', ...
' options.'))
failed_tests = cat(1, failed_tests, 'Wrong nobs error message' );
end
end
@ -98,14 +99,13 @@ num_tests = num_tests + 1;
options = struct();
options.series = ds;
options.first_obs = -1;
options.first_obs = 0;
try
ds1 = histvalf_initvalf(caller, M, options);
error('This test didn''t catch the error')
catch me
if strcmp(me.message, [caller, '_FILE: the first requested period is', ...
' before available data.']) == false
if ~strcmp(me.message, strcat(caller, '_FILE: first_obs must be a positive number'))
failed_tests = cat(1, failed_tests, ...
'Wrong first period error message');
end
@ -120,8 +120,8 @@ try
ds1 = histvalf_initvalf(caller, M, options);
error('This test didn''t catch the error')
catch me
if strcmp(me.message, [caller, '_FILE: the last requested period is', ...
' after available data.']) == false
if ~strcmp(me.message, strcat(caller, '_FILE: last_obs = 11 is larger than the number', ...
' of observations in the dataset (10)'))
failed_tests = cat(1, failed_tests, ...
'Wrong last period error message');
end