Merge branch 'master' of ssh://kirikou.dynare.org/srv/d_kirikou/git/dynare
commit
cf2e477e58
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@ -1,4 +1,4 @@
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dnl Copyright (C) 2009-2011 Dynare Team
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dnl Copyright (C) 2009-2012 Dynare Team
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dnl
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dnl This file is part of Dynare.
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dnl
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@ -62,7 +62,7 @@ case ${MATLAB_ARCH} in
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ax_mexopts_ok="yes"
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;;
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maci | maci64)
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SDKROOT='/Developer/SDKs/MacOSX10.6.sdk'
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SDKROOT='/Applications/Xcode.app/Contents/Developer/Platforms/MacOSX.platform/Developer/SDKs/MacOSX10.6.sdk'
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MACOSX_DEPLOYMENT_TARGET='10.6'
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if test "${MATLAB_ARCH}" = "maci"; then
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ARCHS='i386'
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@ -35,7 +35,9 @@ function [fval,grad,hess,exit_flag,info,PHI,SIGMAu,iXX,prior] = DsgeVarLikelihoo
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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% Declaration of the persistent variables.
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persistent penalty dsge_prior_weight_idx
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persistent dsge_prior_weight_idx
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penalty = BayesInfo.penalty;
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grad=[];
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hess=[];
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@ -46,16 +48,6 @@ SIGMAu = [];
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iXX = [];
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prior = [];
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% Initialization of the penalty
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if ~nargin || isempty(penalty)
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penalty = 1e8;
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if ~nargin, return, end
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end
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if nargin==1
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penalty = xparam1;
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return
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end
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% Initialization of of the index for parameter dsge_prior_weight in Model.params.
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if isempty(dsge_prior_weight_idx)
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dsge_prior_weight_idx = strmatch('dsge_prior_weight',Model.param_names);
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@ -644,11 +644,11 @@ else % flgresume
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end
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% initialize random number generator
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if ischar(opts.Seed)
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randn('state', eval(opts.Seed)); % random number generator state
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else
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randn('state', opts.Seed);
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end
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% $$$ if ischar(opts.Seed)
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% $$$ randn('state', eval(opts.Seed)); % random number generator state
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% $$$ else
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% $$$ randn('state', opts.Seed);
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% $$$ end
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%qqq
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% load(opts.SaveFilename, 'startseed');
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% randn('state', startseed);
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@ -130,22 +130,7 @@ function [fval,DLIK,Hess,exit_flag,ys,trend_coeff,info,Model,DynareOptions,Bayes
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% AUTHOR(S) stephane DOT adjemian AT univ DASH lemans DOT FR
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% Declaration of the penalty as a persistent variable.
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% Persistent variable 'penalty' is used to compute an endogenous penalty to
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% the value 'fval' when various conditions are encountered. These conditions
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% set also 'exit_flag' equal to 0 instead of 1. It is only when
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% dsge_likelihood() is called by an optimizer called by
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% dynare_estimation_1() that 'exit_flag' is ignored and penalized 'fval' is
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% actually used.
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% In that case, 'penalty' is properly initialized, at the very end of the
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% present function, by a call to dsge_likelihood() made in
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% initial_estimation_checks(). If a condition triggers exit_flag ==
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% 0, initial_estimation_checks() triggers an error.
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% In summary, an initial call to the present function, without triggering
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% any condition, guarantees that 'penalty' is properly initialized when needed.
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persistent penalty
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penalty = BayesInfo.penalty;
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% Initialization of the returned variables and others...
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fval = [];
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@ -568,16 +553,16 @@ if analytic_derivation,
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if full_Hess
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DTj = DT(:,:,j+offset);
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DPj = dum;
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for i=1:j,
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DTi = DT(:,:,i+offset);
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DPi = DP(:,:,i+offset);
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D2Tij = D2T(:,:,i,j);
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D2Omij = D2Om(:,:,i,j);
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for i=1:j+offset,
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DTi = DT(:,:,i);
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DPi = DP(:,:,i);
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D2Tij = D2T(:,:,i,j+offset);
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D2Omij = D2Om(:,:,i,j+offset);
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tmp = D2Tij*Pstar*T' + T*Pstar*D2Tij' + DTi*DPj*T' + DTj*DPi*T' + T*DPj*DTi' + T*DPi*DTj' + DTi*Pstar*DTj' + DTj*Pstar*DTi' + D2Omij;
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dum = lyapunov_symm(T,tmp,DynareOptions.qz_criterium,DynareOptions.lyapunov_complex_threshold);
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dum(abs(dum)<1.e-12) = 0;
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D2P(:,:,i+offset,j+offset) = dum;
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D2P(:,:,j+offset,i+offset) = dum;
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D2P(:,:,i,j+offset) = dum;
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D2P(:,:,j+offset,i) = dum;
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end
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end
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end
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@ -771,9 +756,6 @@ end
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% Update DynareOptions.kalman_algo.
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DynareOptions.kalman_algo = kalman_algo;
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% Update the penalty.
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penalty = fval;
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if analytic_derivation==0 && nargout==2,
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lik=lik(start:end,:);
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DLIK=[-lnprior; lik(:)];
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@ -159,7 +159,7 @@ for i=1:n1
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xx = x(:,m);
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y(:,(i-1)*n1*n2+(j-1)*n2+k) = xx;
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if j ~= i
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y(:,(j-1)*n1*n2+(i-1)*n2+i) = xx;
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y(:,(j-1)*n1*n2+(i-1)*n2+k) = xx;
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end
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end
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end
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@ -0,0 +1,53 @@
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% [err, g_0, g_1, g_2, g_3, derivs] = k_order_perturbation(dr,DynareModel,DynareOptions)
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% computes a k_order_petrubation solution for k=1,2,3
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%
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% INPUTS
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% dr: struct describing the reduced form solution of the model.
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% DynareModel: struct jobs's parameters
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% DynareOptions: struct job's options
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%
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% OUTPUTS
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% err: double err code (currently unused)
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% g_0: vector dynare++ output. Constant effect of future volatility (in
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% dr.order_var order) on the decision rule
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% (=ghs2/2). Contains zero when order of
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% approximation is 1.
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% g_1: matrix dynare++ output. First order Taylor coefficients
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% of decision rule. When order of approximation
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% is 3, the. Contains both the effect of
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% state endogenous variable and shocks. The rows
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% are in dr.order_var order. The columns are in
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% dr.order_var order of state endogenous
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% variables and shocks
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% g_2: matrix dynare++ output. Second order Taylor coefficients of decision
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% rule. Contains both the effect of state endogenous
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% variable and shocks. The rows are in dr.order_var
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% order. Each row corresponds to the vectorized
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% version of the lower triangle of the Hessian
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% matrix. The Taylor coefficient (1/2) is
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% included. The columns of the Hessian matrix are in
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% dr.order_var order of state endogenous variables
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% and shocks
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% g_3: matrix dynare++ output. Third order Taylor coefficients of decision
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% rule. Contains both the effect of state endogenous
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% variable and shocks. The rows are in dr.order_var
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% order. Each row corresponds to the vectorized
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% version of the 3rd order derivatives tensor where each
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% combination of variables appears only once.
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% The Taylor coefficient (1/6) is
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% included. Inside the tensor, the variables are in
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% dr.order_var order of state endogenous variables
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% and shocks
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% derivs struct contains the original derivatives of the
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% decision function (ghx, ghu, ghxx, ghxu, ghuu,
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% ghs2, ghxxx, ghxxu, ghxuu,ghuuu, ghxss, ghuss),
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% keeping the effect of future volatility
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% separate (in ghs2, ghxss and ghuss). The
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% derivatives matrices contain full versions of
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% the Hessian matrices and 3rd order
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% tensor. Symmetric derivatives are repeated. The
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% Taylor coefficients (1/2 and 1/6) aren't
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% included.
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% k_order_peturbation is a compiled MEX function. It's source code is in
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% dynare/mex/sources/k_order_perturbation.cc and it uses code provided by
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% dynare++
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@ -180,9 +180,6 @@ if ~options_.load_mh_file && ~options_.mh_recover
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% separate initializaton for each chain
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JSUM = 0;
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for j=1:nblck,
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JSUM = JSUM + sum(100*clock);
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randn('state',JSUM);
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rand('state',JSUM);
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record.Seeds(j).Normal = randn('state');
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record.Seeds(j).Unifor = rand('state');
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end
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@ -1,6 +1,6 @@
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dnl Process this file with autoconf to produce a configure script.
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dnl Copyright (C) 2009-2011 Dynare Team
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dnl Copyright (C) 2009-2012 Dynare Team
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dnl
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dnl This file is part of Dynare.
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dnl
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@ -17,7 +17,7 @@ dnl
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dnl You should have received a copy of the GNU General Public License
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dnl along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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AC_PREREQ([2.61])
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AC_PREREQ([2.62])
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AC_INIT([dynare], [4.4-unstable])
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AC_CONFIG_SRCDIR([configure.ac])
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AM_INIT_AUTOMAKE([-Wall -Werror foreign])
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@ -1,6 +1,6 @@
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dnl Process this file with autoconf to produce a configure script.
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dnl Copyright (C) 2009-2011 Dynare Team
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dnl Copyright (C) 2009-2012 Dynare Team
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dnl
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dnl This file is part of Dynare.
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dnl
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@ -17,7 +17,7 @@ dnl
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dnl You should have received a copy of the GNU General Public License
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dnl along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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AC_PREREQ([2.61])
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AC_PREREQ([2.62])
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AC_INIT([dynare], [4.4-unstable])
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AC_CONFIG_SRCDIR([configure.ac])
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AM_INIT_AUTOMAKE([-Wall -Werror foreign])
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@ -260,8 +260,6 @@ extern "C" {
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// run stochastic steady
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app.walkStochSteady();
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app.get_rule_ders()->print();
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/* Write derivative outputs into memory map */
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map<string, ConstTwoDMatrix> mm;
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app.getFoldDecisionRule().writeMMap(mm, string());
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Loading…
Reference in New Issue