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Willi Mutschler 2020-01-15 14:57:28 +01:00
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20
license.txt
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@ -100,8 +100,24 @@ Copyright: 1997 Tom Minka <minka@microsoft.com>
License: GPL-3+
Files: matlab/allVL1.m
Copyright: 2009 Bruno Luong
License: BSD-2-clause
Copyright: 2007-2010 Bruno Luong <brunoluong@yahoo.com>
2019 Dynare Team
License: GPL-3+
Files: matlab/uperm.m
Copyright: 2014 Bruno Luong <brunoluong@yahoo.com>
2019 Dynare Team
License: GPL-3+
Files: matlab/prodmom.m matlab/bivmom.m
Copyright: 2008-2015 Raymond Kan <kan@chass.utoronto.ca>
2019-2020 Dynare Team
License: GPL-3+
The author would appreciate acknowledgement of the source by
citation of the following paper:
Kan, R.: "From moments of sum to moments of product."
Journal of Multivariate Analysis, 2008, vol. 99, issue 3,
pages 542-554.
Files: matlab/gsa/Morris_Measure_Groups.m
matlab/gsa/Sampling_Function_2.m

46
matlab/allVL1.m
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@ -29,7 +29,7 @@ function v = allVL1(n, L1, L1ops, MaxNbSol)
% This function can be used to generate all orders of all
% multivariable polynomials of degree p in R^n:
% Order = allVL1(n, p)
% Author: Bruno Luong
% Author: Bruno Luong (brunoluong@yahoo.com)
% Original, 30/nov/2007
% Version 1.1, 30/apr/2008: Add H1 line as suggested by John D'Errico
% 1.2, 17/may/2009: Possibility to get the number of permutations
@ -38,31 +38,25 @@ function v = allVL1(n, L1, L1ops, MaxNbSol)
% 1.4, 18/Dec/2010: + non-recursive engine
% Retrieved from https://www.mathworks.com/matlabcentral/fileexchange/17818-all-permutations-of-integers-with-sum-criteria
% Copyright (c) 2009 Bruno Luong
%
% Redistribution and use in source and binary forms, with or without
% modification, are permitted provided that the following conditions are
% met:
%
% * Redistributions of source code must retain the above copyright
% notice, this list of conditions and the following disclaimer.
% * Redistributions in binary form must reproduce the above copyright
% notice, this list of conditions and the following disclaimer in
% the documentation and/or other materials provided with the distribution
%
% THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
% AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
% IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE
% ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE
% LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
% CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF
% SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
% INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN
% CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
% ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
% POSSIBILITY OF SUCH DAMAGE.
% =========================================================================
% Copyright (C) 2007-2010 Bruno Luong <brunoluong@yahoo.com>
% Copyright (C) 2020 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/>.
% =========================================================================
global MaxCounter;
if nargin<3 || isempty(L1ops)

23
matlab/bivmom.m
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@ -10,6 +10,29 @@
% of the equation.
% Usage: bivmom(p,rho)
%
% Retrieved from http://www-2.rotman.utoronto.ca/~kan/papers/prodmom.zip
% This function is part of replication codes of the following paper:
% Kan, R.: "From moments of sum to moments of product." Journal of
% Multivariate Analysis, 2008, vol. 99, issue 3, pages 542-554.
% =========================================================================
% Copyright (C) 2008-2015 Raymond Kan <kan@chass.utoronto.ca>
% Copyright (C) 2019-2020 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/>.
% =========================================================================
function [y,dy] = bivmom(p,rho)
s1 = p(1);
s2 = p(2);

23
matlab/prodmom.m
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@ -15,6 +15,29 @@
% Usage: prodmom(V,[i1 i2 ... ir],[nu1 nu2 ... nur])
% Example: To get E[X_2X_4^3X_7^2], use prodmom(V,[2 4 7],[1 3 2])
%
% Retrieved from http://www-2.rotman.utoronto.ca/~kan/papers/prodmom.zip
% This function is part of replication codes of the following paper:
% Kan, R.: "From moments of sum to moments of product." Journal of
% Multivariate Analysis, 2008, vol. 99, issue 3, pages 542-554.
% =========================================================================
% Copyright (C) 2008-2015 Raymond Kan <kan@chass.utoronto.ca>
% Copyright (C) 2019-2020 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/>.
% =========================================================================
function y = prodmom(V,ii,nu);
if nargin<3
nu = ones(size(ii));

39
matlab/prodmom_deriv.m
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@ -1,21 +1,28 @@
function dy = prodmom_deriv(V,ii,nu,dV,dC)
% This function builds upon and extends prodmom.m to compute the
% derivatives of product moments of normally distributed variables with
% respect to standard errors and correlation parameters.
% prodmom.m is part of replication codes of the following paper:
% Kan, R.: "From moments of sum to moments of product." Journal of
% Multivariate Analysis, 2008, vol. 99, issue 3, pages 542-554.
% =========================================================================
% Copyright (C) 2019-2020 Dynare Team
%
% prodmom.m Date: 4/29/2006
% This Matlab program computes the product moment of X_{i_1}^{nu_1}X_{i_2}^{nu_2}...X_{i_m}^{nu_m},
% where X_{i_j} are elements from X ~ N(0_n,V).
% V only needs to be positive semidefinite.
% V: variance-covariance matrix of X
% ii: vector of i_j
% nu: power of X_{i_j}
% Reference: Triantafyllopoulos (2003) On the Central Moments of the Multidimensional
% Gaussian Distribution, Mathematical Scientist
% Kotz, Balakrishnan, and Johnson (2000), Continuous Multivariate
% Distributions, Vol. 1, p.261
% Note that there is a typo in Eq.(46.25), there should be an extra rho in front
% of the equation.
% Usage: prodmom(V,[i1 i2 ... ir],[nu1 nu2 ... nur])
% Example: To get E[X_2X_4^3X_7^2], use prodmom(V,[2 4 7],[1 3 2])
% This file is part of Dynare.
%
function dy = prodmom_deriv(V,ii,nu,dV,dC);
% 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/>.
% =========================================================================
if nargin<3
nu = ones(size(ii));
end

25
matlab/uperm.m
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@ -1,9 +1,30 @@
% By Bruno Luong
function p = uperm(a)
% =========================================================================
% Copyright (C) 2014 Bruno Luong <brunoluong@yahoo.com>
% Copyright (C) 2020 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/>.
% =========================================================================
% Original author: Bruno Luong <brunoluong@yahoo.com>, April 20, 2014
% https://groups.google.com/d/msg/comp.soft-sys.matlab/yQKVPTYrv6Q/gw1MzNd9sYkJ
% https://stackoverflow.com/a/42810388
[u, ~, J] = unique(a);
p = u(up(J, length(a)));
function p = up(J, n)
ktab = histc(J,1:max(J));
l = n;

2
tests/analytic_derivatives/BrockMirman_PertParamsDerivs.mod
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@ -3,7 +3,7 @@
% Created by @wmutschl (Willi Mutschler, willi@mutschler.eu)
% =========================================================================
% Copyright (C) 2019 Dynare Team
% Copyright (C) 2019-2020 Dynare Team
%
% This file is part of Dynare.
%

2
tests/analytic_derivatives/burnside_3_order_PertParamsDerivs.mod
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@ -1,5 +1,5 @@
% =========================================================================
% Copyright (C) 2019 Dynare Team
% Copyright (C) 2019-2020 Dynare Team
%
% This file is part of Dynare.
%

21
tests/identification/BrockMirman/BrockMirman.mod
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@ -1,7 +1,22 @@
% =========================================================================
% Stochastic growth model of Brock and Mirman (1972) with technology shock
% Willi Mutschler, January 2018
% willi@mutschler.eu
% created by Willi Mutschler (@wmutschl, willi@mutschler.eu)
% =========================================================================
% Copyright (C) 2019-2020 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/>.
% =========================================================================
var

21
tests/identification/LindeTrabandt/LindeTrabandt2019_xfail.mod
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@ -1,8 +1,25 @@
% Original model by: J. Linde, M. Trabandt (2019: Should We Use Linearized Models to Calculate Fiscal Multipliers?
% Journal of Applied Econometrics, 2018, 33: 937-965. http://dx.doi.org/10.1002/jae.2641
% This version has some additional dynamics for capital and investment
% Created by @wmutschl (Willi Mutschler, willi@mutschler.eu)
% Created by Willi Mutschler (@wmutschl, willi@mutschler.eu)
% =========================================================================
% Copyright (C) 2019-2020 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/>.
% =========================================================================
% =========================================================================
% Declare endogenous variables
% =========================================================================

21
tests/identification/as2007/as2007.mod
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@ -1,3 +1,24 @@
% Model of An and Schorfheide (2007)
% Created by Marco Ratto (@rattoma, marco.ratto@ec.europa.eu)
% =========================================================================
% Copyright (C) 2010-2020 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/>.
% =========================================================================
var pie y R g z YGR INFL INT;
varexo e_R e_g e_z;
parameters tau kap psi1 psi2 rhoR rhog rhoz rr_steady pi_steady gam_steady std_R std_g std_z;

21
tests/identification/as2007/as2007_QT.mod
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@ -1,7 +1,26 @@
% this is the exact model Qu and Tkachenk (2012, Quantitative Economics)
% used in their replication file.
% This file is used to check whether the G matrix is computed correctly.
% Created by Willi Mutschler (willi@mutschler.eu)
% Created by Willi Mutschler (@wmutschl, willi@mutschler.eu)
% =========================================================================
% Copyright (C) 2019-2020 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/>.
% =========================================================================
@#define TOL_RANK = 1e-10
var z g R y pie c piep yp;

20
tests/identification/as2007/as2007_kronflags.mod
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@ -1,7 +1,25 @@
%this is the mod file used in replication files of An and Schorfheide (2007)
% modified to include some obvious and artificial identification failures
% and to check whether all kronflags are working
% created by Willi Mutschler (willi@mutschler.eu)
% created by Willi Mutschler (@wmutschl, willi@mutschler.eu)
% =========================================================================
% Copyright (C) 2019-2020 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/>.
% =========================================================================
var y R g z c dy p YGR INFL INT;
varobs y R p;

20
tests/identification/as2007/as2007_order_1_2_3.mod
View File

@ -1,7 +1,25 @@
%this is the mod file used in replication files of An and Schorfheide (2007)
% modified to include some obvious and artificial identification failures
% and to check whether all kronflags are working
% created by Willi Mutschler (willi@mutschler.eu)
% created by Willi Mutschler (@wmutschl, willi@mutschler.eu)
% =========================================================================
% Copyright (C) 2019-2020 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/>.
% =========================================================================
var y R g z c dy p YGR INFL INT;
varobs y R g z c dy p YGR INFL INT;

21
tests/identification/cgg/cgg_criteria_differ.mod
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@ -1,7 +1,26 @@
% This is the Clarida, Gali and Gertler Basic New Keynesian model
% This mod file illustrates that due to numerical errors and numerical
% settings the identification criteria might differ
% created by Willi Mutschler (willi@mutschler.eu)
% created by Willi Mutschler (@wmutschl, willi@mutschler.eu)
% =========================================================================
% Copyright (C) 2019-2020 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/>.
% =========================================================================
var
y ${y}$ (long_name='output')
c ${c}$ (long_name='consumption')

2
tests/identification/correlated_errors/fs2000_corr.mod
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@ -14,7 +14,7 @@
*/
/*
* Copyright (C) 2004-2013 Dynare Team
* Copyright (C) 2004-2020 Dynare Team
*
* This file is part of Dynare.
*

22
tests/identification/ident_unit_root/ident_unit_root.mod
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@ -1,5 +1,23 @@
//Tests Identification command with ML and unit roots/diffuse filter option
% Tests Identification command with ML and unit roots/diffuse filter option
% Created by Johannes Pfeifer (@JohannesPfeifer, jpfeifer@gmx.de)
% =========================================================================
% Copyright (C) 2015-2020 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/>.
% =========================================================================
var y delta_y x z;
varexo eps_x eps_z;

24
tests/identification/ident_unit_root/ident_unit_root_xfail.mod
View File

@ -1,6 +1,24 @@
//Tests Identification command with ML and unit roots/diffuse filter option;
//Should not work because of observed unit root variable
% Tests Identification command with ML and unit roots/diffuse filter option;
% Should not work because of observed unit root variable
% Created by Johannes Pfeifer (@JohannesPfeifer, jpfeifer@gmx.de)
% =========================================================================
% Copyright (C) 2015-2020 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/>.
% =========================================================================
var y x z delta_y;
varexo eps_x eps_z;

20
tests/identification/kim/kim2.mod
View File

@ -1,3 +1,23 @@
% Created by Marco Ratto (@rattoma, marco.ratto@ec.europa.eu)
% =========================================================================
% Copyright (C) 2010-2020 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/>.
% =========================================================================
var c k i a lam;
varexo ea;

19
tests/identification/rbc_ident/rbc_ident_std_as_structural_par.mod
View File

@ -1,4 +1,23 @@
% Real Business Cycle Model
% Created by Johannes Pfeifer (@JohannesPfeifer, jpfeifer@gmx.de)
% =========================================================================
% Copyright (C) 2015-2020 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/>.
% =========================================================================
close all;

19
tests/identification/rbc_ident/rbc_ident_varexo_only.mod
View File

@ -1,4 +1,23 @@
% Real Business Cycle Model
% Created by Johannes Pfeifer (@JohannesPfeifer, jpfeifer@gmx.de)
% =========================================================================
% Copyright (C) 2015-2020 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/>.
% =========================================================================
close all;