undoing r2110 and r2111 changesets

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2112 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
sebastien 2008-09-25 12:29:35 +00:00
parent 464e29706f
commit a03af050af
25 changed files with 333 additions and 518 deletions

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@ -1,44 +1,51 @@
// example 1 from Collard's guide to Dynare
var y, c, k, a, h, b;
varexo e,u;
{\rtf1\mac\ansicpg10000\cocoartf824\cocoasubrtf420
{\fonttbl\f0\fswiss\fcharset77 Helvetica;}
{\colortbl;\red255\green255\blue255;}
\paperw11900\paperh16840\margl1440\margr1440\vieww9000\viewh8400\viewkind0
\pard\tx566\tx1133\tx1700\tx2267\tx2834\tx3401\tx3968\tx4535\tx5102\tx5669\tx6236\tx6803\ql\qnatural\pardirnatural
parameters beta, rho, beta, alpha, delta, theta, psi, tau;
alpha = 0.36;
rho = 0.95;
tau = 0.025;
beta = 0.99;
delta = 0.025;
psi = 0;
theta = 2.95;
phi = 0.1;
model;
c*theta*h^(1+psi)=(1-alpha)*y;
k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
*(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
k = exp(b)*(y-c)+(1-delta)*k(-1);
a = rho*a(-1)+tau*b(-1) + e;
b = tau*a(-1)+rho*b(-1) + u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 5;
a = 0;
b = 0;
e = 0;
u = 0;
end;
shocks;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.009*0.009;
end;
stoch_simul(periods=2100);
\f0\fs24 \cf0 // example 1 from Collard's guide to Dynare \
var y, c, k, a, h, b; \
varexo e,u; \
\
parameters beta, rho, beta, alpha, delta, theta, psi, tau; \
\
alpha = 0.36; \
rho = 0.95; \
tau = 0.025; \
beta = 0.99; \
delta = 0.025; \
psi = 0; \
theta = 2.95; \
\
phi = 0.1; \
\
model; \
c*theta*h^(1+psi)=(1-alpha)*y; \
k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1))) \
*(exp(b(+1))*alpha*y(+1)+(1-delta)*k)); \
y = exp(a)*(k(-1)^alpha)*(h^(1-alpha)); \
k = exp(b)*(y-c)+(1-delta)*k(-1); \
a = rho*a(-1)+tau*b(-1) + e; \
b = tau*a(-1)+rho*b(-1) + u; \
end; \
\
initval; \
y = 1.08068253095672; \
c = 0.80359242014163; \
h = 0.29175631001732; \
k = 5; \
a = 0; \
b = 0; \
e = 0; \
u = 0; \
end; \
\
shocks; \
var e; stderr 0.009; \
var u; stderr 0.009; \
var e, u = phi*0.009*0.009; \
end; \
\
stoch_simul(periods=2100); \
}

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@ -1,40 +1,40 @@
var y c k i l y_l w r z;
varexo e;
parameters beta psi delta alpha rho epsilon;
model;
(1/c) = beta*(1/c(+1))*(1+r(+1)-delta);
psi*c/(1-l) = w;
c+i = y;
y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha);
w = y*((epsilon-1)/epsilon)*(1-alpha)/l;
r = y*((epsilon-1)/epsilon)*alpha/k(-1);
i = k-(1-delta)*k(-1);
y_l = y/l;
z = rho*z(-1)+e;
var y c k i l y_l w r z;
varexo e;
parameters beta psi delta alpha rho epsilon;
model;
(1/c) = beta*(1/c(+1))*(1+r(+1)-delta);
psi*c/(1-l) = w;
c+i = y;
y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha);
w = y*((epsilon-1)/epsilon)*(1-alpha)/l;
r = y*((epsilon-1)/epsilon)*alpha/k(-1);
i = k-(1-delta)*k(-1);
y_l = y/l;
z = rho*z(-1)+e;
end;
varobs y;
initval;
k = 9;
c = 0.76;
l = 0.3;
w = 2.07;
r = 0.03;
z = 0;
e = 0;
end;
estimated_params;
alpha, beta_pdf, 0.35, 0.02;
beta, beta_pdf, 0.99, 0.002;
delta, beta_pdf, 0.025, 0.003;
psi, gamma_pdf, 1.75, 0.02;
rho, beta_pdf, 0.95, 0.05;
epsilon, gamma_pdf, 10, 0.003;
stderr e, inv_gamma_pdf, 0.01, inf;
end;
estimation(datafile=simuldataRBC,nobs=200,first_obs=500,mh_replic=2000,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.8);
varobs y;
initval;
k = 9;
c = 0.76;
l = 0.3;
w = 2.07;
r = 0.03;
z = 0;
e = 0;
end;
estimated_params;
alpha, beta_pdf, 0.35, 0.02;
beta, beta_pdf, 0.99, 0.002;
delta, beta_pdf, 0.025, 0.003;
psi, gamma_pdf, 1.75, 0.02;
rho, beta_pdf, 0.95, 0.05;
epsilon, gamma_pdf, 10, 0.003;
stderr e, inv_gamma_pdf, 0.01, inf;
end;
estimation(datafile=simuldataRBC,nobs=200,first_obs=500,mh_replic=2000,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.8);

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@ -1,47 +1,133 @@
// Adapted from Jesus Fernandez-Villaverde, Basic RBC Model with Monopolistic Competion Philadelphia, March 3, 2005
var y c k i l y_l w r z;
varexo e;
parameters beta psi delta alpha rho gamma sigma epsilon;
alpha = 0.33;
beta = 0.99;
delta = 0.023;
psi = 1.75;
rho = 0.95;
sigma = (0.007/(1-alpha));
epsilon = 10;
model;
(1/c) = beta*(1/c(+1))*(1+r(+1)-delta);
psi*c/(1-l) = w;
c+i = y;
y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha);
w = y*((epsilon-1)/epsilon)*(1-alpha)/l;
r = y*((epsilon-1)/epsilon)*alpha/k(-1);
i = k-(1-delta)*k(-1);
y_l = y/l;
z = rho*z(-1)+e;
end;
initval;
k = 9;
c = 0.76;
l = 0.3;
w = 2.07;
r = 0.03;
z = 0;
e = 0;
end;
// Adapted from Jesus Fernandez-Villaverde, Basic RBC Model with Monopolistic Competion Philadelphia, March 3, 2005
var y c k i l y_l w r z;
varexo e;
parameters beta psi delta alpha rho gamma sigma epsilon;
alpha = 0.33;
beta = 0.99;
delta = 0.023;
psi = 1.75;
rho = 0.95;
sigma = (0.007/(1-alpha));
epsilon = 10;
model;
(1/c) = beta*(1/c(+1))*(1+r(+1)-delta);
psi*c/(1-l) = w;
c+i = y;
y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha);
w = y*((epsilon-1)/epsilon)*(1-alpha)/l;
r = y*((epsilon-1)/epsilon)*alpha/k(-1);
i = k-(1-delta)*k(-1);
y_l = y/l;
z = rho*z(-1)+e;
end;
initval;
k = 9;
c = 0.76;
l = 0.3;
w = 2.07;
r = 0.03;
z = 0;
e = 0;
end;
steady;
check;
shocks;
var e = sigma^2;
end;
stoch_simul(periods=2100);
check;
shocks;
var e = sigma^2;
end;
steady;
stoch_simul(periods=2100);

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@ -31,8 +31,6 @@ function CutSample(M_, options_, estim_params_)
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
global M_ options_ estim_params_
npar = estim_params_.np+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.nvx;
DirectoryName = CheckPath('metropolis');

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@ -1,9 +1,7 @@
function moments=compute_model_moments(dr,SelectVariables,M_,options_)
%function moments=compute_model_moments(dr,M_,options_)
function moments=compute_model_moments(dr,M_,options,_)
%
% INPUTS
% dr: structure describing model solution
% SelectVariables: indices of selected variables
% M_: structure of Dynare options
% options_
%
@ -30,4 +28,4 @@ function moments=compute_model_moments(dr,SelectVariables,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/>.
moments = th_autocovariances(dr,SelectVariables,M_,options_);
moments = th_autocovariances(dr,options_.varlist,M_,options_);

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@ -99,19 +99,6 @@ if ~(exist('stab_map_','file')==6 | exist('stab_map_','file')==2),
end
end
if ~(exist('gsa_sdp','file')==6 | exist('gsa_sdp','file')==2),
dynare_root = strrep(which('dynare.m'),'dynare.m','');
ss_anova_path = [dynare_root 'gsa/ss_anova_recurs'];
if exist(ss_anova_path)
addpath(ss_anova_path,path)
else
disp('Download Dynare sensitivity routines at:')
disp('http://eemc.jrc.ec.europa.eu/softwareDYNARE-Dowload.htm')
disp(' ' )
error('Mapping routines missing!')
end
end
if options_gsa.morris,
options_gsa.redform=1;

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@ -1,144 +0,0 @@
function PosteriorOddsTable = model_comparison(ModelNames,ModelPriors,oo,options_,fname)
% Bayesian model comparison. This function computes Odds ratios and
% estimate a posterior density over a colletion of models.
%
% INPUTS
% ModelNames [string] m*1 cell array of string.
% ModelPriors [double] m*1 vector of prior probabilities
%
% OUTPUTS
% none
%
% SPECIAL REQUIREMENTS
% none
% Copyright (C) 2007-2008 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 <http://www.gnu.org/licenses/>.
NumberOfModels = size(ModelNames,2);
disp(' ')
disp(' ')
if isempty(ModelPriors)
prior_flag = 0;% empty_prior=0
ModelPriors = ones(NumberOfModels,1)/NumberOfModels;
else % The prior density has to sum up to one.
prior_flag = 1;
improper = abs(sum(ModelPriors)-1)>1e-6;
if improper
disp('model_comparison:: The user supplied prior distribution over models is improper...')
disp('model_comparison:: The distribution is automatically rescaled!')
ModelPriors=ModelPriors/sum(ModelPriors);
end
end
% The marginal densities are based on Laplace approxiations (default) or
% modified harmonic mean estimators.
if isfield(options_,'model_comparison_approximation')
type = options_.model_comparison_approximation;
if strcmp(type,'Laplace')
type = 'LaplaceApproximation';
end
else
type = 'LaplaceApproximation';
end
% Get the estimated logged marginal densities.
MarginalLogDensity = zeros(NumberOfModels,1);
ShortModelNames = get_short_names(ModelNames);
iname = strmatch(fname,ShortModelNames,'exact');
for i=1:NumberOfModels
if i==iname
mstruct.oo_ = oo;
else
if strcmpi(ModelNames{i}(end-3:end),'.mod') | strcmpi(ModelNames{i}(end-3:end),'.dyn')
mstruct = load([ModelNames{i}(1:end-4) '_results.mat' ],'oo_');
else
mstruct = load([ModelNames{i} '_results.mat' ],'oo_');
end
end
try
eval(['MarginalLogDensity(i) = mstruct.oo_.MarginalDensity.' type ';'])
catch
if strcmpi(type,'LaplaceApproximation')
disp(['MODEL_COMPARISON: I cant''t find the Laplace approximation associated to model ' ModelNames{i}])
return
elseif strcmpi(type,'ModifiedHarmonicMean')
disp(['MODEL_COMPARISON: I cant''t find the modified harmonic mean estimate associated to model ' ModelNames{i}])
return
end
end
end
% In order to avoid overflow, we divide the numerator and the denominator
% of the Posterior Odds Ratio by the largest Marginal Posterior Density
lmpd = log(ModelPriors)+MarginalLogDensity;
[maxval,k] = max(lmpd);
elmpd = exp(lmpd-maxval);
% Now I display the posterior probabilities.
title = 'Model Comparison';
headers = strvcat('Model',ShortModelNames{:});
if prior_flag
labels = strvcat('Priors','Log Marginal Density','Bayes Ratio', ...
'Posterior Model Probability');
values = [ModelPriors';MarginalLogDensity';exp(lmpd-lmpd(1))'; ...
elmpd'/sum(elmpd)];
else
labels = strvcat('Priors','Log Marginal Density','Bayes Ratio','Posterior Odds Ratio', ...
'Posterior Model Probability');
values = [ModelPriors';MarginalLogDensity'; exp(MarginalLogDensity-MarginalLogDensity(1))'; ...
exp(lmpd-lmpd(1))'; elmpd'/sum(elmpd)];
end
table(title,headers,labels,values, 0, 15, 6);
function name = get_model_name_without_path(modelname)
idx = strfind(modelname,'\');
if isempty(idx)
idx = strfind(modelname,'/');
end
if isempty(idx)
name = modelname;
return
end
name = modelname(idx(end)+1:end);
function name = get_model_name_without_extension(modelname)
idx = strfind(modelname,'.mod');
if isempty(idx)
idx = strfind(modelname,'.dyn')
end
if isempty(idx)
name = modelname;
return
end
name = modelname(1:end-4);
function modellist = get_short_names(modelnames)
n = length(modelnames);
modellist = {};
for i=1:n
name = get_model_name_without_extension(modelnames{i});
name = get_model_name_without_path(name);
modellist = {modellist{:} name};
end

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@ -46,10 +46,10 @@ for k=1:size(s1,1)
y = [y; oo_.endo_simul(strmatch(s1(k,:),M_.endo_names,'exact'),:)] ;
end
if options_.dsample == 0
if options_.smpl == 0
i = [M_.maximum_lag:size(oo_.endo_simul,2)]' ;
else
i = [options_.dsample(1)+M_.maximum_lag:options_.dsample(2)+M_.maximum_lag]' ;
i = [options_.smpl(1)+M_.maximum_lag:options_.smpl(2)+M_.maximum_lag]' ;
end
t = ['Plot of '] ;
@ -86,6 +86,9 @@ elseif rplottype == 2
end
end
% 02/28/01 MJ replaced bseastr by MATLAB's strmatch
% 06/19/01 MJ added 'exact' to strmatch calls
% 06/25/03 MJ correction when options_.smpl ~= 0

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@ -49,19 +49,7 @@ function steady()
homotopy3(options_.homotopy_values, options_.homotopy_steps);
end
if options_.homotopy_mode == 1
homotopy1(options_.homotopy_param,options_.homotopy_exo, ...
options_.homotopy_exodet,options_.homotopy_steps);
elseif options_.homotopy_mode == 2
homotopy2(options_.homotopy_param,options_.homotopy_exo, ...
options_.homotopy_exodet,options_.homotopy_steps);
elseif options_.homotopy_mode == 3
homotopy3(options_.homotopy_param,options_.homotopy_exo, ...
options_.homotopy_exodet,options_.homotopy_steps);
else
steady_;
end
steady_;
disp(' ')
disp('STEADY-STATE RESULTS:')

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@ -827,16 +827,16 @@ ModelComparisonStatement::writeOutput(ostream &output, const string &basename) c
{
options_list.writeOutput(output);
output << "ModelNames_ = {};" << endl;
output << "ModelPriors_ = [];" << endl;
output << "ModelNames_ = {};\n";
output << "ModelPriors_ = {};\n";
for(filename_list_type::const_iterator it = filename_list.begin();
it != filename_list.end(); it++)
{
output << "ModelNames_ = { ModelNames_{:} '" << it->first << "'};" << endl;
output << "ModelPriors_ = [ ModelPriors_ ; " << it->second << "];" << endl;
output << "ModelNames_ = { ModelNames_{:} '" << it->first << "};\n";
output << "ModelPriors_ = { ModelPriors_{:} '" << it->second << "};\n";
}
output << "model_comparison(ModelNames_,ModelPriors_,oo_,options_,M_.fname);" << endl;
output << "model_comparison(ModelNames_,ModelPriors_);\n";
}
PlannerObjectiveStatement::PlannerObjectiveStatement(ModelTree *model_tree_arg) :

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@ -87,8 +87,7 @@ class ParsingDriver;
%token CALIB CALIB_VAR CHECK CONF_SIG CONSTANT CORR COVAR CUTOFF
%token DATAFILE DR_ALGO DROP DSAMPLE DYNASAVE DYNATYPE
%token END ENDVAL EQUAL ESTIMATION ESTIMATED_PARAMS ESTIMATED_PARAMS_BOUNDS ESTIMATED_PARAMS_INIT
%token <string_val> FILENAME
%token FILENAME_KEYWORD FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS
%token FILENAME FILTER_STEP_AHEAD FILTERED_VARS FIRST_OBS
%token <string_val> FLOAT_NUMBER
%token FORECAST
%token GAMMA_PDF GAUSSIAN_ELIMINATION GCC_COMPILER GMRES GRAPH
@ -97,11 +96,10 @@ class ParsingDriver;
%token <string_val> INT_NUMBER
%token INV_GAMMA1_PDF INV_GAMMA2_PDF IRF
%token KALMAN_ALGO KALMAN_TOL
%token LAPLACE LCC_COMPILER LIK_ALGO LIK_INIT LINEAR LOAD_MH_FILE LOGLINEAR LU
%token MARKOWITZ MARGINAL_DENSITY MAX
%token LAPLACE LCC_COMPILER LIK_ALGO LIK_INIT LINEAR LOAD_MH_FILE LOGLINEAR LU MARKOWITZ MAX
%token METHOD MH_DROP MH_INIT_SCALE MH_JSCALE MH_MODE MH_NBLOCKS MH_REPLIC MH_RECOVER MIN
%token MODE_CHECK MODE_COMPUTE MODE_FILE MODEL MODEL_COMPARISON MODEL_INFO MSHOCKS
%token MODIFIEDHARMONICMEAN MOMENTS_VARENDO DIFFUSE_FILTER
%token MODEL_COMPARISON_APPROXIMATION MODIFIEDHARMONICMEAN MOMENTS_VARENDO DIFFUSE_FILTER
%token <string_val> NAME
%token NO_COMPILER NOBS NOCONSTANT NOCORR NODIAGNOSTIC NOFUNCTIONS
%token NOGRAPH NOMOMENTS NOPRINT NORMAL_PDF
@ -137,7 +135,7 @@ class ParsingDriver;
%type <node_val> expression
%type <node_val> equation hand_side model_var
%type <string_val> signed_float signed_integer prior
%type <string_val> value value1 vec_int_elem vec_int_1 vec_int
%type <string_val> value value1 filename filename_elem vec_int_elem vec_int_1 vec_int
%type <string_val> vec_value_1 vec_value
%type <string_val> calib_arg2 range number
@ -372,7 +370,7 @@ comma_expression : expression
initval : INITVAL ';' initval_list END
{ driver.end_initval(); }
initval_file : INITVAL_FILE '(' FILENAME_KEYWORD EQUAL NAME ')' ';'
initval_file : INITVAL_FILE '(' FILENAME EQUAL NAME ')' ';'
{ driver.initval_file($5); }
;
@ -1119,25 +1117,44 @@ dynasave : DYNASAVE '(' NAME ')'';'
{ driver.run_dynasave($2, $4); }
;
model_comparison : MODEL_COMPARISON mc_filename_list ';'
{ driver.run_model_comparison(); }
| MODEL_COMPARISON '(' o_marginal_density ')' mc_filename_list ';'
{ driver.run_model_comparison(); }
;
model_comparison : MODEL_COMPARISON '(' model_comparison_options ')' filename_list ';'
{ driver.run_model_comparison(); };
mc_filename_list : FILENAME
{ driver.add_mc_filename($1); }
| FILENAME '(' value ')'
{ driver.add_mc_filename($1, $3); }
| mc_filename_list FILENAME
{ driver.add_mc_filename($2); }
| mc_filename_list FILENAME '(' value ')'
{ driver.add_mc_filename($2, $4); }
| mc_filename_list COMMA FILENAME
{ driver.add_mc_filename($3); }
| mc_filename_list COMMA FILENAME '(' value ')'
{ driver.add_mc_filename($3, $5); }
;
model_comparison_options : model_comparison_options COMMA model_comparison_option
| model_comparison_option
;
model_comparison_option : o_model_comparison_approximation
| o_print
| o_noprint
;
filename_list : filename
{ driver.add_mc_filename($1); }
| filename_list COMMA filename
{ driver.add_mc_filename($3); }
| filename '(' value ')'
{ driver.add_mc_filename($1, $3); }
| filename_list COMMA filename '(' value ')'
{ driver.add_mc_filename($3, $5); }
;
filename : filename_elem
{ $$ = $1; }
| filename filename_elem
{ $1->append(*$2); delete $2; $$ = $1; }
;
filename_elem : NAME
| '\\'
{ $$ = new string("\\"); }
| DIVIDE
{ $$ = new string("/"); }
| ':'
{ $$ = new string(":"); }
| '.'
{ $$ = new string("."); }
;
planner_objective : PLANNER_OBJECTIVE { driver.begin_planner_objective(); }
hand_side { driver.end_planner_objective($3); } ';';
@ -1358,11 +1375,11 @@ o_filtered_vars : FILTERED_VARS { driver.option_num("filtered_vars", "1"); };
o_relative_irf : RELATIVE_IRF { driver.option_num("relative_irf", "1"); };
o_kalman_algo : KALMAN_ALGO EQUAL INT_NUMBER { driver.option_num("kalman_algo", $3); };
o_kalman_tol : KALMAN_TOL EQUAL INT_NUMBER { driver.option_num("kalman_tol", $3); };
o_marginal_density : MARGINAL_DENSITY EQUAL LAPLACE
{ driver.option_str("mc_marginal_density", "laplace"); }
| MARGINAL_DENSITY EQUAL MODIFIEDHARMONICMEAN
{ driver.option_str("mc_marginal_density", "modifiedharmonicmean"); }
;
o_model_comparison_approximation : MODEL_COMPARISON_APPROXIMATION EQUAL LAPLACE
{ driver.option_str("model_comparison_approximation", "Laplace"); }
| MODEL_COMPARISON_APPROXIMATION EQUAL MODIFIEDHARMONICMEAN
{ driver.option_str("model_comparison_approximation", "MODIFIEDHARMONICMEAN"); }
;
o_print : PRINT { driver.option_num("noprint", "0"); };
o_noprint : NOPRINT { driver.option_num("noprint", "1"); };
o_xls_sheet : XLS_SHEET EQUAL NAME { driver.option_str("xls_sheet", $3); };

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@ -204,13 +204,13 @@ int sigma_e = 0;
<DYNARE_STATEMENT>periods {return token::PERIODS;}
<DYNARE_STATEMENT>cutoff {return token::CUTOFF;}
<DYNARE_STATEMENT>markowitz {return token::MARKOWITZ;}
<DYNARE_STATEMENT>marginal_density {return token::MARGINAL_DENSITY;}
<DYNARE_STATEMENT>model_comparison_approximation {return token::MODEL_COMPARISON;}
<DYNARE_STATEMENT>laplace {return token::LAPLACE;}
<DYNARE_STATEMENT>modifiedharmonicmean {return token::MODIFIEDHARMONICMEAN;}
<DYNARE_STATEMENT>constant {return token::CONSTANT;}
<DYNARE_STATEMENT>noconstant {return token::NOCONSTANT;}
<DYNARE_STATEMENT>covar {return token::COVAR;}
<DYNARE_STATEMENT>filename {return token::FILENAME_KEYWORD;}
<DYNARE_STATEMENT>filename {return token::FILENAME;}
<DYNARE_STATEMENT>diffuse_filter {return token::DIFFUSE_FILTER;}
<DYNARE_STATEMENT>bvar_prior_tau { return token::BVAR_PRIOR_TAU; }
@ -380,11 +380,6 @@ int sigma_e = 0;
return token::INT_NUMBER;
}
<DYNARE_STATEMENT,DYNARE_BLOCK>[A-Za-z0-9_/:\\\.]+ {
yylval->string_val = new string(yytext);
return token::FILENAME;
}
/* an instruction starting with a recognized symbol (which is not a modfile local variable)
is passed as NAME,
otherwise it is a native statement until the end of the line

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@ -292,7 +292,7 @@ public:
class ModelComparisonStatement : public Statement
{
public:
typedef map<string, string> filename_list_type;
typedef map<string, string, less<string> > filename_list_type;
private:
filename_list_type filename_list;
OptionsList options_list;

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@ -3,11 +3,11 @@ varexo e_x e_y;
parameters rho_x rho_y;
rho_x = 0.5; // comment 1
rho_x = 0.5;
rho_y = -0.3;
model;
dx = rho_x*dx(-1)+e_x; // comment 2
dx = rho_x*dx(-1)+e_x;
dy = rho_y*dy(-1)+e_y;
end;
@ -20,4 +20,4 @@ end;
varobs dx dy;
check;
estimation(datafile=data1,nobs=1000,mh_replic=2000,mh_jscale=1.2);
estimation(datafile=data1,nobs=1000,mh_replic=2000);

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@ -24,4 +24,4 @@ end;
varobs x y;
unit_root_vars x y;
estimation(datafile=data1,nobs=1000,mh_replic=2000,diffuse_filter);
estimation(datafile=data1,nobs=1000,mh_replic=2000,lik_init=2);

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@ -30,4 +30,4 @@ end;
varobs dx dy;
unit_root_vars x y;
estimation(datafile=data2,nobs=100,mh_replic=0,diffuse_filter);
estimation(datafile=data2,nobs=100,mh_replic=0,lik_init=2);

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@ -29,4 +29,5 @@ end;
varobs x y;
estimation(datafile=data2,nobs=100,mh_replic=0,mh_nblocks=1);
unit_root_vars x y;
estimation(datafile=data2,nobs=100,mh_replic=0,lik_init=2);

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@ -1,6 +1,6 @@
// example 1 from Collard's guide to Dynare
var y, c, k, a, h, b;
varexo u, e;
varexo e,u;
parameters beta, rho, alpha, delta, theta, psi, tau, phi;
@ -36,13 +36,9 @@ u = 0;
end;
shocks;
var e; stderr 0.018;
var e; stderr 0.009;
var u; stderr 0.009;
var e, u = phi*0.018*0.009;
var e, u = phi*0.009*0.009;
end;
rhos = 0.8:0.05:0.8;
for i=1:length(rhos);
rho = rhos(i);
stoch_simul(order=2);
end;
stoch_simul;

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@ -72,8 +72,6 @@ var e_a; stderr 0.014;
var e_m; stderr 0.005;
end;
unit_root_vars P_obs Y_obs;
steady;
check;
@ -97,7 +95,8 @@ P_obs (log(mst)-gam);
Y_obs (gam);
end;
unit_root_vars P_obs Y_obs;
//stoch_simul(order=1,nomoments,irf=0);
estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=2000,mh_nblocks=2,mh_jscale=0.8,mode_compute=0,mode_file=fs2000b_mode,kalman_algo=4);
estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=0,mh_nblocks=2,mh_drop=0.45,mode_compute=0,mode_file=fs2000b_mode,load_mh_file);
stab_map_;

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@ -1,17 +1,13 @@
global options_ M_
load test
% $$$ Y = Y(1:2,:);
% $$$ mf = mf(1:2);
% $$$ H=H(1:2,1:2);
% $$$ pp = pp-1;
% $$$ trend =trend(1:2,:);
M_.fname = ' ';
global_initialization;
options_.nk = 1;
Pinf1(1,1) = 1;
Pstar1(1,1) = 0;
Pstar1(5,1) = 0;
Pstar1(1,5) = 0;
Pstar1(4,1) = 0;
Pstar1(1,4) = 0;
[alphahat1,epsilonhat1,etahat1,a11, aK1] = DiffuseKalmanSmootherH1(T,R,Q,H, ...
Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH3(T,R,Q,H, ...
@ -22,7 +18,21 @@ max(max(abs(epsilonhat1-epsilonhat2)))
max(max(abs(etahat1-etahat2)))
max(max(abs(a11-a12)))
max(max(abs(aK1-aK2)))
return
[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
[alphahat2,etahat2,a12, aK2] = DiffuseKalmanSmoother3(T,R,Q, ...
Pinf1,Pstar1,Y,trend, ...
pp,mm,smpl,mf);
max(max(abs(alphahat1-alphahat2)))
max(max(abs(etahat1-etahat2)))
max(max(abs(a11-a12)))
%max(max(abs(aK1-aK2)))
H = zeros(size(H));
[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
@ -44,29 +54,3 @@ max(max(abs(alphahat1-alphahat2)))
max(max(abs(etahat1-etahat2)))
max(max(abs(a11-a12)))
%max(max(abs(aK1-aK2)))
Pinf1 = zeros(5,5);
Pinf1(1,1) = 1;
a=0.3*randn(4,4);
Pstar1 = [zeros(1,5); [zeros(4,1) a'*a]];
T = 0.8*eye(5);
T(1,1) = 1;
Y = Y(1,:);
mf = 1;
pp = 1;
trend = trend(1,:);
options_.diffuse_d = 1;
[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
[alphahat2,etahat2,a12, aK2] = DiffuseKalmanSmoother3(T,R,Q, ...
Pinf1,Pstar1,Y,trend, ...
pp,mm,smpl,mf);
max(max(abs(alphahat1-alphahat2)))
max(max(abs(etahat1-etahat2)))
max(max(abs(a11-a12)))
%max(max(abs(aK1-aK2)))
return

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@ -53,8 +53,8 @@ oc = c;
oh = h;
end;
//steady;
//check;
steady;
check;
estimated_params;
theta , 0.22, 0.1, 0.5;
@ -87,5 +87,4 @@ oy (log(eta));
oc (log(eta));
end;
//options_.debug=1;
estimation(datafile=idata,mode_compute=4,nograph);
estimation(datafile=idata,mode_compute=1,nograph);

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@ -87,5 +87,4 @@ oy (log(eta));
oc (log(eta));
end;
warning off;
estimation(datafile=idata,mode_compute=4,nograph);
estimation(datafile=idata,nograph);

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@ -26,7 +26,7 @@ check;
shocks;
var x;
periods 10;
periods 1;
values 1.2;
end;

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@ -1,137 +1,39 @@
function run_test()
test_files = {
'.' 'ramst';
'.' 'ramst_a';
'.' 'ramst';
'.' 'ramst_a';
'.' 'example1';
%'.' 'example2';
'.' 't_sgu_ex1';
'arima' 'mod1';
'arima' 'mod1a';
'arima' 'mod1b';
'arima' 'mod1c';
'arima' 'mod2';
'arima' 'mod2a';
'arima' 'mod2b';
'arima' 'mod2c';
'fs2000' 'fs2000';
'fs2000' 'fs2000a';
'estimation_options','fs2000A';
'estimation_options','fs2000B';
}
'.' 'example2';
'.' 't_sgu_ex1';
'arima' 'mod1';
'arima' 'mod1a';
'arima' 'mod1b';
'arima' 'mod1c';
'arima' 'mod2';
'arima' 'mod2a';
'arima' 'mod2b';
'arima' 'mod2c';
'fs2000' 'fs2000';
'fs2000' 'fs2000a';
}
results = cell(length(test_files),1);
for i=1:length(test_files)
tic;
rand('state',1);
randn('state',1);
results{i}= run_test1(test_files{i,1},test_files{i,2});
toc;
end
for i=1:length(test_files)
disp(test_files{i,2})
disp(results{i})
disp(toc)
end
end
function msg=run_test1(path1,mod_file)
global options_ oo_
options_=struct('trick',1);
oo_=struct('trick',1);
global options_
clear options_
old_path = pwd;
cd(path1);
msg = 'OK';
expr = ['disp(''error in ' mod_file ''');msg=lasterr;disp(msg)'];
try
old_results=load([mod_file '_results']);
catch
eval(['dynare ' mod_file ' noclearall'],'eval(expr)');
msg = 'no previous results'
cd(old_path)
return
end
eval(['dynare ' mod_file ' noclearall'],'eval(expr)');
msg = strvcat(msg, comparison(oo_,old_results.oo_,0, 'oo_'));
cd(old_path)
end
function msg=comparison(A,B,tol,parent)
msg = '';
mca = my_class(A);
mcb = my_class(B);
if size(mca,2) ~= size(mcb,2) || any(mca ~= mcb)
msg = ['Types differ in ' parent];
return
end
switch my_class(A)
case 'numeric'
if size(A)==size(B)
if ~all(all(abs(A-B)<tol))
msg = ['Difference greater than tolerance in ' parent];
end
else
msg = ['Sizes differ in ' parent];
end
case 'char'
if A~=B
msg = ['Strings differ in ' parent];
end
case 'cell'
if size(A) == size(B)
[M,N] = size(A);
for i = 1:M
for j = 1:N
msg = strvcat(msg, comparison(A{i,j}, B{i,j}, tol, sprintf('%s{%d,%d}', parent, i, j)))
end
end
else
msg = [ 'Cell sizes differ in ' parent ];
end
case 'struct'
namesA=fieldnames(A);
namesB=fieldnames(B);
if length(namesA)~=length(namesB)
msg = [ 'Number of fields differ in ' parent ]
return
end
namesA = sort(namesA);
namesB = sort(namesB);
for i=1:length(namesA)
if namesA{i}==namesB{i}
msg = strvcat(msg, comparison(A.(namesA{i}),B.(namesB{i}),tol, sprintf('%s.%s', parent, namesA{i})));
else
msg = strvcat(msg, sprintf('Field %s.%s in 1st arg does not exist in 2nd arg', parent, namesA{i}));
end
end
otherwise
msg = ['Unsupported type in ' parent ];
end
end
function t = my_class(a)
c = class(a);
if isequal(c, 'double') | isequal(c, 'single') | isequal(c, 'int8')| isequal(c, 'uint8') | ...
isequal(c, 'int16') | isequal(c, 'uint16') | isequal(c, 'int32') | isequal(c, 'uint32') | ...
isequal(c, 'int64') | isequal(c, 'uint64')
t = 'numeric';
else
t = c;
end
end