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adding cova_compute option for estimation: when cova_compute=0, the covariance matrix of estimated parameters is not computed.

time-shift
Michel Juillard 2011-01-18 19:31:59 +01:00
parent 1db24b3107
commit 89c332fdd6
3 changed files with 10 additions and 1 deletions
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4
doc/manual.xml
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@ -3361,6 +3361,10 @@ end;
<term><option>selected_variables_only</option></term>
<listitem><para>Only run the smoother on the variables listed just after the <command>estimation</command> command. Default: run the smoother on all the declared endogenous variables.</para></listitem>
</varlistentry>
<varlistentry>
<term><option>cova_compute</option> = <replaceable>INTEGER</replaceable></term>
<listitem><para>When 0, the covariance matrix of estimated parameters is not computed after the computation of posterior mode (or maximum likelihood). This increases speed of computation in large models during development, when this information is not always necessary. Of course, it will break all successive computations that would require this covariance matrix. Default is 1.</para></listitem>
</varlistentry>
<varlistentry>
<term><option>solve_algo</option> = <replaceable>INTEGER</replaceable></term>
<listitem><para>See <link linkend="solve_algo">there</link></para></listitem>

6
preprocessor/DynareBison.yy
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@ -159,7 +159,7 @@ class ParsingDriver;
%token MARKOV_SWITCHING CHAIN STATE DURATION NUMBER_OF_STATES
%token SVAR COEFFICIENTS VARIANCES CONSTANTS EQUATIONS
%token EXTERNAL_FUNCTION EXT_FUNC_NAME EXT_FUNC_NARGS FIRST_DERIV_PROVIDED SECOND_DERIV_PROVIDED
%token SELECTED_VARIABLES_ONLY
%token SELECTED_VARIABLES_ONLY COVA_COMPUTE
%type <node_val> expression expression_or_empty
%type <node_val> equation hand_side
@ -1172,6 +1172,7 @@ estimation_options : o_datafile
| o_filter_decomposition
| o_selected_variables_only
| o_conditional_variance_decomposition
| o_cova_compute
;
list_optim_option : QUOTED_STRING COMMA QUOTED_STRING
@ -1930,6 +1931,9 @@ o_filter_decomposition : FILTER_DECOMPOSITION
o_selected_variables_only : SELECTED_VARIABLES_ONLY
{ driver.option_num("selected_variables_only","1");}
;
o_cova_compute : COVA_COMPUTE EQUAL INT_NUMBER
{ driver.option_num("cova_compute",$3);}
;
range : symbol ':' symbol
{

1
preprocessor/DynareFlex.ll
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@ -362,6 +362,7 @@ string eofbuff;
<DYNARE_STATEMENT>pruning {return token::PRUNING; }
<DYNARE_STATEMENT>deflator {return token::DEFLATOR;}
<DYNARE_STATEMENT>growth_factor {return token::GROWTH_FACTOR;}
<DYNARE_STATEMENT>cova_compute {return token::COVA_COMPUTE;}
<DYNARE_STATEMENT>[\$][^$]*[\$] {
strtok(yytext+1, "$");