From 40994e1e6df8884c4e34377b51b2f0315b0380e5 Mon Sep 17 00:00:00 2001 From: sebastien Date: Mon, 14 Dec 2009 13:20:14 +0000 Subject: [PATCH] reference manual: * for MATLAB 64-bit under Windows, indicate where to download the required MS Visual C++ runtime for MEX files * added a few explanations on auxiliary variables * fixed mode_compute option of estimation * indicate that only first order supported by ramsey_policy git-svn-id: https://www.dynare.org/svn/dynare/trunk@3238 ac1d8469-bf42-47a9-8791-bf33cf982152 --- doc/manual.xml | 29 ++++++++++++++++++++++------- 1 file changed, 22 insertions(+), 7 deletions(-) diff --git a/doc/manual.xml b/doc/manual.xml index 231bec91f..157e0aa4e 100644 --- a/doc/manual.xml +++ b/doc/manual.xml @@ -130,7 +130,9 @@ After installation, Dynare can be used in any directory on your computer. It is The installer will also add an entry in your Start Menu with a shortcut to documentation files and to the uninstaller. -You can have several versions of Dynare coexisting (for example in c:\dynare), as long as you correctly adjust your path settings (see ). +Users of MATLAB 64-bit also need to install Microsoft Visual C++ runtime libraries in order to have functional MEX files. + +Note that you can have several versions of Dynare coexisting (for example in c:\dynare), as long as you correctly adjust your path settings (see ). @@ -372,6 +374,7 @@ In the description of Dynare commands, the following conventions are observed: VARIABLE_NAME indicates a variable name starting with an alphabetical character and can't contain ()+-*/^=!;:@#. or accentuated characters PARAMETER_NAME indicates a parameter name starting with an alphabetical character and can't contain ()+-*/^=!;:@#. or accentuated characters LATEX_NAME indicates a valid LaTeX expression in math mode (not including the dollar signs) +FUNCTION_NAME indicates a valid MATLAB function name FILENAME indicates a filename valid in the underlying operating system; it is necessary to put it between double quotes when specifying the extension or if the filename contains a non-alphanumeric character @@ -739,7 +742,7 @@ end; The following operators are allowed in MODEL_EXPRESSION: steady state operator: STEADY_STATE(MODEL_EXPRESSION). This operator is used to take the value of the enclosed expression at the steady state. A typical usage is in the Taylor rule, where you may want to use the value of GDP at steady state to compute the output gap. - expectation operator: EXPECTATION(INTEGER)(MODEL_EXPRESSION). This operator is used to take the expectation of some expression using a different information set than the information available at current period. For example, EXPECTATION(-1)(x(+1)) is equal to the expected value of variable x at next period, using the information set available at the previous period. In practice, Dynare solves this by creating an auxiliary variable equal to AUX = x(+2), and by replacing the expectation operator by AUX(-1). Note that a value of 0 for the time shift component is reserved for partial information models (not yet fully implemented). + expectation operator: EXPECTATION(INTEGER)(MODEL_EXPRESSION). This operator is used to take the expectation of some expression using a different information set than the information available at current period. For example, EXPECTATION(-1)(x(+1)) is equal to the expected value of variable x at next period, using the information set available at the previous period. In practice, Dynare solves this by creating an auxiliary variable equal to AUX_EXPECT_LAG_1 = x(+2), and by replacing the expectation operator by AUX_EXPECT_LAG_1(-1). Note that a value of 0 for the time shift component is reserved for partial information models (not yet fully implemented). @@ -1917,6 +1920,14 @@ When a list of VARIABLE_NAME is specified, results ar + + Auxiliary variables for leads and lags + For a stochastic model, Dynare will perform a transformation of the model so that there is only one lead and one lag on endogenous, and no lead/lag on exogenous. + This transformation is achieved by the creation of auxiliary variables, and corresponding equations. For example, if x(+2) exists in the model, Dynare will create one auxiliary variable AUX_ENDO_LEAD = x(+1), and replace x(+1) by AUX_ENDO_LEAD(+1). + A similar transformation is done for lags greater than 2 on endogenous (auxiliary variables will have a name beginning with AUX_ENDO_LAG), and for exogenous with leads and lags (auxiliary variables will have a name beginning with AUX_EXO_LEAG or AUX_EXO_LAG respectively). + Once created, all auxiliary variables are included in the set of endogenous variables. The output of decision rules (see below) is such that auxiliary variable names are replaced by the original variables they refer to. + + Decision rules The approximated solution of a model takes the form of a set of decision rules or transition equations expressing the current value of the endogenous variables of the model as function of the previous state of the model and shocks oberved at the beginning of the period. @@ -2525,17 +2536,19 @@ end; Name of the file containing previous value for the mode. When computing the mode, Dynare stores the mode (xparam1) and the hessian (hh) in a file called MODEL_FILENAME_mode.mat - = INTEGER + = INTEGER | FUNCTION_NAME Specifies the optimizer for the mode computation: - 0: the mode isn't computed. mode_file must be specified + 0: the mode isn't computed. option must be specified 1: uses MATLAB's fmincon 2: value no longer used 3: uses MATLAB's fminunc - 4: uses Chris Sim's csminwel - 5: uses a routine by Marco Ratto - 6: uses a simulated annealing-like algorithm + 4: uses Chris Sims' csminwel + 5: uses Marco Ratto's newrat + 6: uses a Monte-Carlo based optimization routine (see Dynare wiki for more details) 7: uses MATLAB's fminsearch (a simplex based routine) + It is also possible to give a FUNCTION_NAME to this option, instead of an INTEGER. In that case, Dynare takes the return value of that function as the posterior mode. + Default value is 4. @@ -3363,6 +3376,8 @@ This problem is solved using a numerical optimizer. Declares the discount factor of the central planner. Default: 1.0 + +Note that only first order approximation is available (i.e. order=1 must be specified).