Merge branch 'master' into ecb-master

.gitlab-ci.yml

@@ -45,6 +45,8 @@ testsuite_matlab:
       - tests/*.m.trs
       - tests/*/*.m.log
       - tests/*/*.m.trs
+      - tests/*/*/*.m.log
+      - tests/*/*/*.m.trs
       - tests/run_test_matlab_output.txt
     when: always
   dependencies:
@@ -64,6 +66,8 @@ testsuite_matlab:
       - tests/*.o.trs
       - tests/*/*.o.log
       - tests/*/*.o.trs
+      - tests/*/*/*.o.log
+      - tests/*/*/*.o.trs
       - tests/run_test_octave_output.txt
     when: always
   dependencies:

doc/dynare.texi

@@ -4637,7 +4637,7 @@ The variables are arranged in declaration order.
 @end defvr
 
 @defvr {MATLAB/Octave variable} oo_.kurtosis
-After a run of @code{stoch_simul} contains the kurtosis (standardized fourth moment)
+After a run of @code{stoch_simul} contains the excess kurtosis (standardized fourth moment)
 of the simulated variables if the @code{periods} option is present. 
 The variables are arranged in declaration order.
 @end defvr
@@ -8278,6 +8278,14 @@ variables between the first and last specified period. If an intermediate period
 is not specified, a value of 0 is assumed. That is, if you specify only 
 values for periods 1 and 3, the values for period 2 will be 0. Currently, it is not 
 possible to have uncontrolled intermediate periods.
+
+It is however possible to
+have different number of controlled periods for different variables. In that
+case, the order of declaration of endogenenous controlled variables and of
+controlled_varexo matters: if the second endogenous variable is controlled for
+less periods than the first one, the second controlled_varexo isn't set for
+the last periods.
+
 In case of the presence of @code{observation_trends}, the specified controlled path for 
 these variables needs to include the trend component. When using the @ref{loglinear} option, 
 it is necessary to specify the logarithm of the controlled variables.

license.txt

@@ -1,6 +1,6 @@
 Format: https://www.debian.org/doc/packaging-manuals/copyright-format/1.0/
 Upstream-Name: Dynare
-Upstream-Contact: Dynare Team, whose members in 2017 are:
+Upstream-Contact: Dynare Team, whose members in 2018 are:
                   Stéphane Adjemian <stephane.adjemian@univ-lemans.fr>
                   Houtan Bastani <houtan@dynare.org>
                   Michel Juillard <michel.juillard@mjui.fr>
@@ -13,7 +13,7 @@ Upstream-Contact: Dynare Team, whose members in 2017 are:
 Source: http://www.dynare.org
 
 Files: *
-Copyright: 1996-2017 Dynare Team
+Copyright: 1996-2018 Dynare Team
 License: GPL-3+
 
 Files: matlab/AIM/SP*
@@ -117,8 +117,8 @@ Files: matlab/gsa/cumplot.m
        matlab/gsa/tcrit.m
        matlab/gsa/teff.m
        matlab/gsa/trank.m
-Copyright: 2011-2017 European Commission
+Copyright: 2011-2018 European Commission
-           2011-2017 Dynare Team
+           2011-2018 Dynare Team
 License: GPL-3+
 
 Files: matlab/gsa/pick.m
@@ -196,7 +196,7 @@ Copyright: 2005-2010 Pascal Getreuer
 License: BSD-2-clause
 
 Files: doc/dynare.texi doc/*.tex doc/*.svg doc/*.pdf doc/*.bib
-Copyright: 1996-2017 Dynare Team
+Copyright: 1996-2018 Dynare Team
 License: GFDL-NIV-1.3+
 
 Files: doc/macroprocessor/*
@@ -204,7 +204,7 @@ Copyright: 2008-2015 Dynare Team
 License: CC-BY-SA-4.0
 
 Files: doc/preprocessor/*
-Copyright: 2007-2017 Dynare Team
+Copyright: 2007-2018 Dynare Team
 License: CC-BY-SA-4.0
 
 Files: doc/dr.tex doc/bvar_a_la_sims.tex

m4/ax_matlab_version.m4

@@ -22,6 +22,9 @@ AC_REQUIRE([AX_MATLAB])
 AC_MSG_CHECKING([for MATLAB version])
 if test "x$MATLAB_VERSION" != "x"; then
   case $MATLAB_VERSION in
+    *2018b | *2018B)
+      MATLAB_VERSION="9.5"
+      ;;
     *2018a | *2018A)
       MATLAB_VERSION="9.4"
       ;;

matlab/imcforecast.m

@@ -1,30 +1,32 @@
 function imcforecast(constrained_paths, constrained_vars, options_cond_fcst)
+
 % Computes conditional forecasts.
 %
 % INPUTS
-%  o constrained_paths    [double]      m*p array, where m is the number of constrained endogenous variables and p is the number of constrained periods.
+% - consnstrained_paths  [double]      m*p array, where m is the number of constrained endogenous variables and p is the number of constrained periods.
-%  o constrained_vars     [char]        m*x array holding the names of the controlled endogenous variables.
+% - constrained_vars     [integer]     m*1 array, indices in M_.endo_names of the constrained variables.
-%  o options_cond_fcst    [structure]   containing the options. The fields are:
+% - options_cond_fcst    [structure]   containing the options. The fields are:
-%                                                             + replic              [integer]   scalar, number of monte carlo simulations.
+%
-%                                                             + parameter_set       [char]      values of the estimated parameters:
+%                                      + replic              [integer]   scalar, number of monte carlo simulations.
-%                                                                                               "posterior_mode",
+%                                      + parameter_set       [char]      values of the estimated parameters:
-%                                                                                               "posterior_mean",
+%                                                                                               'posterior_mode',
-%                                                                                               "posterior_median",
+%                                                                                               'posterior_mean',
-%                                                                                               "prior_mode" or
+%                                                                                               'posterior_median',
-%                                                                                               "prior mean".
+%                                                                                               'prior_mode' or
-%                                                                                   [double]     np*1 array, values of the estimated parameters.
+%                                                                                               'prior mean'.
-%                                                             + controlled_varexo   [char]       m*x array, list of controlled exogenous variables.
+%                                                            [double]     np*1 array, values of the estimated parameters.
-%                                                             + conf_sig            [double]     scalar in [0,1], probability mass covered by the confidence bands.
+%                                      + controlled_varexo   [cell]       m*1 cell of row char array, list of controlled exogenous variables.
+%                                      + conf_sig            [double]     scalar in [0,1], probability mass covered by the confidence bands.
 %
 % OUTPUTS
-%  None.
+% None.
 %
 % SPECIAL REQUIREMENTS
-%  This routine has to be called after an estimation statement or an estimated_params block.
+% This routine has to be called after an estimation statement or an estimated_params block.
 %
 % REMARKS
-%  [1] Results are stored in a structure which is saved in a mat file called conditional_forecasts.mat.
+% [1] Results are stored in a structure which is saved in a mat file called conditional_forecasts.mat.
-%  [2] Use the function plot_icforecast to plot the results.
+% [2] Use the function plot_icforecast to plot the results.
 
 % Copyright (C) 2006-2018 Dynare Team
 %
@@ -124,7 +126,8 @@ if estimated_model
     qz_criterium_old=options_.qz_criterium;
     options_=select_qz_criterium_value(options_);
     options_smoothed_state_uncertainty_old = options_.smoothed_state_uncertainty;
-    [atT,innov,measurement_error,filtered_state_vector,ys,trend_coeff,aK,T,R,P,PK,decomp,trend_addition,state_uncertainty,M_,oo_,options_,bayestopt_] = DsgeSmoother(xparam,gend,data,data_index,missing_value,M_,oo_,options_,bayestopt_,estim_params_);
+    [atT, ~, ~, ~,ys, ~, ~, ~, ~, ~, ~, ~, ~, ~,M_,oo_,options_,bayestopt_] = ...
+        DsgeSmoother(xparam, gend, data, data_index, missing_value, M_, oo_, options_, bayestopt_, estim_params_);
     options_.smoothed_state_uncertainty = options_smoothed_state_uncertainty_old;
     %get constant part
     if options_.noconstant
@@ -146,7 +149,7 @@ if estimated_model
     end
     % add trend to constant
     for obs_iter=1:length(options_.varobs)
-        j = strmatch(options_.varobs{obs_iter}, M_.endo_names, 'exact');
+        j = strcmp(options_.varobs{obs_iter}, M_.endo_names);
         constant(j,:) = constant(j,:) + trend_addition(obs_iter,:);
     end
     trend = constant(oo_.dr.order_var,:);
@@ -168,7 +171,7 @@ if options_.logged_steady_state %if steady state was previously logged, undo thi
     options_.logged_steady_state=0;
 end
 
-[T,R,ys,info,M_,options_,oo_] = dynare_resolve(M_,options_,oo_);
+[T, R, ys, ~, M_, options_, oo_] = dynare_resolve(M_, options_, oo_);
 
 if options_.loglinear && isfield(oo_.dr,'ys') && options_.logged_steady_state==0 %log steady state
     oo_.dr.ys=log_variable(1:M_.endo_nbr,oo_.dr.ys,M_);
@@ -214,25 +217,21 @@ ExoSize = M_.exo_nbr;
 
 n1 = size(constrained_vars,1);
 n2 = size(options_cond_fcst.controlled_varexo,1);
-constrained_vars(:,1)=oo_.dr.inv_order_var(constrained_vars); % must be in decision rule order
+
+constrained_vars = oo_.dr.inv_order_var(constrained_vars); % must be in decision rule order
 
 if n1 ~= n2
-    error(['imcforecast:: The number of constrained variables doesn''t match the number of controlled shocks'])
+    error('imcforecast:: The number of constrained variables doesn''t match the number of controlled shocks')
 end
 
-idx = [];
+% Get indices of controlled varexo.
-jdx = [];
+[~, controlled_varexo] =  ismember(options_cond_fcst.controlled_varexo,M_.exo_names);
 
-for i = 1:n1
+mv = zeros(n1, NumberOfStates);
-    idx = [idx ; constrained_vars(i,:)];
+mu = zeros(ExoSize, n2);
-    %     idx = [idx ; oo_.dr.inv_order_var(constrained_vars(i,:))];
-    jdx = [jdx ; strmatch(options_cond_fcst.controlled_varexo{i},M_.exo_names,'exact')];
-end
-mv = zeros(n1,NumberOfStates);
-mu = zeros(ExoSize,n2);
 for i=1:n1
-    mv(i,idx(i)) = 1;
+    mv(i,constrained_vars(i)) = 1;
-    mu(jdx(i),i) = 1;
+    mu(controlled_varexo(i),i) = 1;
 end
 
 % number of periods with constrained values
@@ -241,7 +240,7 @@ cL = size(constrained_paths,2);
 %transform constrained periods into deviations from steady state; note that
 %trend includes last actual data point and therefore we need to start in
 %period 2
-constrained_paths = bsxfun(@minus,constrained_paths,trend(idx,2:1+cL));
+constrained_paths = bsxfun(@minus,constrained_paths,trend(constrained_vars,2:1+cL));
 
 FORCS1_shocks = zeros(n1,cL,options_cond_fcst.replic);
 
@@ -249,7 +248,7 @@ FORCS1_shocks = zeros(n1,cL,options_cond_fcst.replic);
 
 for b=1:options_cond_fcst.replic %conditional forecast using cL set to constrained values
     shocks = sQ*randn(ExoSize,options_cond_fcst.periods);
-    shocks(jdx,:) = zeros(length(jdx),options_cond_fcst.periods);
+    shocks(controlled_varexo,:) = zeros(n1, options_cond_fcst.periods);
     [FORCS1(:,:,b), FORCS1_shocks(:,:,b)] = mcforecast3(cL,options_cond_fcst.periods,constrained_paths,shocks,FORCS1(:,:,b),T,R,mv, mu);
     FORCS1(:,:,b)=FORCS1(:,:,b)+trend; %add trend
 end
@@ -281,11 +280,9 @@ clear FORCS1 mFORCS1_shocks;
 FORCS2 = zeros(NumberOfStates,options_cond_fcst.periods+1,options_cond_fcst.replic);
 FORCS2(:,1,:) = repmat(InitState,1,options_cond_fcst.replic); %set initial steady state to deviations from steady state in first period
 
-%randn('state',0);
-
 for b=1:options_cond_fcst.replic %conditional forecast using cL set to 0
     shocks = sQ*randn(ExoSize,options_cond_fcst.periods);
-    shocks(jdx,:) = zeros(length(jdx),options_cond_fcst.periods);
+    shocks(controlled_varexo,:) = zeros(n1, options_cond_fcst.periods);
     FORCS2(:,:,b) = mcforecast3(0,options_cond_fcst.periods,constrained_paths,shocks,FORCS2(:,:,b),T,R,mv, mu)+trend;
 end
 
@@ -296,8 +293,8 @@ for i = 1:EndoSize
     tmp = sort(squeeze(FORCS2(i,:,:))');
     forecasts.uncond.ci.(M_.endo_names{oo_.dr.order_var(i)}) = [tmp(t1,:)' ,tmp(t2,:)' ]';
 end
-forecasts.graph.title=graph_title;
+forecasts.graph.title = graph_title;
-forecasts.graph.fname=M_.fname;
+forecasts.graph.fname = M_.fname;
 
 %reset qz_criterium
 options_.qz_criterium=qz_criterium_old;

matlab/mcforecast3.m

@@ -27,6 +27,10 @@ function [forcs, e]= mcforecast3(cL,H,mcValue,shocks,forcs,T,R,mv,mu)
 %   This is then solved to get:
 %       shocks_controlled_t=(y_t(controlled_vars_index)-(T*y_{t-1}(controlled_vars_index)+R(controlled_vars_index,uncontrolled_shocks_index)*shocks_uncontrolled_t)/R(controlled_vars_index,controlled_shocks_index)
 %
+%   Variable number of controlled vars are allowed in different
+%   periods. Missing control information are indicated by NaN in
+%   y_t(controlled_vars_index). 
+%
 %   After obtaining the shocks, and for uncontrolled periods, the state-space representation
 %       y_t=T*y_{t-1}+R*shocks(:,t)
 %   is used for forecasting
@@ -51,8 +55,10 @@ function [forcs, e]= mcforecast3(cL,H,mcValue,shocks,forcs,T,R,mv,mu)
 if cL
     e = zeros(size(mcValue,1),cL);
     for t = 1:cL
-        e(:,t) = inv(mv*R*mu)*(mcValue(:,t)-mv*T*forcs(:,t)-mv*R*shocks(:,t));
+        % missing conditional values are indicated by NaN
-        forcs(:,t+1) = T*forcs(:,t)+R*(mu*e(:,t)+shocks(:,t));
+        k = find(isfinite(mcValue(:,t)));
+        e(k,t) = inv(mv(k,:)*R*mu(:,k))*(mcValue(k,t)-mv(k,:)*T*forcs(:,t)-mv(k,:)*R*shocks(:,t));
+        forcs(:,t+1) = T*forcs(:,t)+R*(mu(:,k)*e(k,t)+shocks(:,t));
     end
 end
 for t = cL+1:H

matlab/optimization/dynare_minimize_objective.m

@@ -295,14 +295,14 @@ switch minimizer_algorithm
               case 'InitialSimplexSize'
                 simplexOptions.delta_factor = options_list{i,2};
               case 'verbosity'
-                simplexOptions.verbose = options_list{i,2};
+                simplexOptions.verbosity = options_list{i,2};
               otherwise
                 warning(['simplex: Unknown option (' options_list{i,1} ')!'])
             end
         end
     end
     if options_.silent_optimizer
-        simplexOptions.verbose = options_list{i,2};
+        simplexOptions.verbosity = 0;
     end
     [opt_par_values,fval,exitflag] = simplex_optimization_routine(objective_function,start_par_value,simplexOptions,parameter_names,varargin{:});
   case 9

matlab/optimization/simplex_optimization_routine.m

@@ -197,8 +197,10 @@ if ~nopenalty
     error('simplex_optimization_routine:: Initial condition is wrong!')
 else
     [v,fv,delta] = simplex_initialization(objective_function,initial_point,initial_score,delta,zero_delta,1,varargin{:});
-    disp('Done!')
+    if verbose
-    skipline()
+        disp('Done!')
+        skipline()
+    end
     func_count = number_of_variables + 1;
     iter_count = 1;
     if verbose

mex/sources/bytecode/ErrorHandling.hh

@@ -146,20 +146,6 @@ public:
 };
 #endif
 
-#ifdef __MINGW32__
-# define __CROSS_COMPILATION__
-#endif
-
-#ifdef __MINGW64__
-# define __CROSS_COMPILATION__
-#endif
-
-#ifdef __CROSS_COMPILATION__
-# define M_PI 3.14159265358979323846
-# define M_SQRT2 1.41421356237309504880
-# define finite(x) !std::isfinite(x)
-#endif
-
 //#define DEBUG
 using namespace std;
 

mex/sources/k_order_perturbation/dynamic_dll.cc

@@ -35,21 +35,45 @@ DynamicModelDLL::DynamicModelDLL(const string &modName) throw (DynareException)
       dynamicHinstance = LoadLibrary(fName.c_str());
       if (dynamicHinstance == NULL)
         throw 1;
-      Dynamic = (DynamicDLLFn) GetProcAddress(dynamicHinstance, "Dynamic");
+      ntt = (int *) GetProcAddress(dynamicHinstance, "ntt");
-      if (Dynamic == NULL)
+      dynamic_resid_tt = (dynamic_tt_fct) GetProcAddress(dynamicHinstance, "dynamic_resid_tt");
+      dynamic_resid = (dynamic_resid_fct) GetProcAddress(dynamicHinstance, "dynamic_resid");
+      dynamic_g1_tt = (dynamic_tt_fct) GetProcAddress(dynamicHinstance, "dynamic_g1_tt");
+      dynamic_g1 = (dynamic_g1_fct) GetProcAddress(dynamicHinstance, "dynamic_g1");
+      dynamic_g2_tt = (dynamic_tt_fct) GetProcAddress(dynamicHinstance, "dynamic_g2_tt");
+      dynamic_g2 = (dynamic_g2_fct) GetProcAddress(dynamicHinstance, "dynamic_g2");
+      dynamic_g3_tt = (dynamic_tt_fct) GetProcAddress(dynamicHinstance, "dynamic_g3_tt");
+      dynamic_g3 = (dynamic_g3_fct) GetProcAddress(dynamicHinstance, "dynamic_g3");
+      if (ntt == NULL
+          || dynamic_resid_tt == NULL || dynamic_resid == NULL
+          || dynamic_g1_tt == NULL || dynamic_g1 == NULL
+          || dynamic_g2_tt == NULL || dynamic_g2 == NULL
+          || dynamic_g3_tt == NULL || dynamic_g3 == NULL)
         {
           FreeLibrary(dynamicHinstance); // Free the library
           throw 2;
         }
 #else // Linux or Mac
       dynamicHinstance = dlopen(fName.c_str(), RTLD_NOW);
-      if ((dynamicHinstance == NULL) || dlerror())
+      if (dynamicHinstance == NULL)
         {
           cerr << dlerror() << endl;
           throw 1;
         }
-      Dynamic = (DynamicDLLFn) dlsym(dynamicHinstance, "Dynamic");
+      ntt = (int *) dlsym(dynamicHinstance, "ntt");
-      if ((Dynamic  == NULL) || dlerror())
+      dynamic_resid_tt = (dynamic_tt_fct) dlsym(dynamicHinstance, "dynamic_resid_tt");
+      dynamic_resid = (dynamic_resid_fct) dlsym(dynamicHinstance, "dynamic_resid");
+      dynamic_g1_tt = (dynamic_tt_fct) dlsym(dynamicHinstance, "dynamic_g1_tt");
+      dynamic_g1 = (dynamic_g1_fct) dlsym(dynamicHinstance, "dynamic_g1");
+      dynamic_g2_tt = (dynamic_tt_fct) dlsym(dynamicHinstance, "dynamic_g2_tt");
+      dynamic_g2 = (dynamic_g2_fct) dlsym(dynamicHinstance, "dynamic_g2");
+      dynamic_g3_tt = (dynamic_tt_fct) dlsym(dynamicHinstance, "dynamic_g3_tt");
+      dynamic_g3 = (dynamic_g3_fct) dlsym(dynamicHinstance, "dynamic_g3");
+      if (ntt == NULL
+          || dynamic_resid_tt == NULL || dynamic_resid == NULL
+          || dynamic_g1_tt == NULL || dynamic_g1 == NULL
+          || dynamic_g2_tt == NULL || dynamic_g2 == NULL
+          || dynamic_g3_tt == NULL || dynamic_g3 == NULL)
         {
           dlclose(dynamicHinstance); // Free the library
           cerr << dlerror() << endl;
@@ -65,13 +89,13 @@ DynamicModelDLL::DynamicModelDLL(const string &modName) throw (DynareException)
       if (i == 1)
         msg << "can't dynamically load the file";
       if (i == 2)
-        msg << "can't locate the 'Dynamic' symbol";
+        msg << "can't locate the relevant dynamic symbols within the MEX file";
       msg << ")";
       throw DynareException(__FILE__, __LINE__, msg.str());
     }
   catch (...)
     {
-      throw DynareException(__FILE__, __LINE__, string("Can't find Dynamic function in ") + fName);
+      throw DynareException(__FILE__, __LINE__, string("Can't find the relevant dynamic symbols in ") + fName);
     }
 }
 
@@ -90,6 +114,21 @@ void
 DynamicModelDLL::eval(const Vector &y, const Vector &x, const Vector &modParams, const Vector &ySteady,
                       Vector &residual, TwoDMatrix *g1, TwoDMatrix *g2, TwoDMatrix *g3) throw (DynareException)
 {
-  Dynamic(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, residual.base(), g1->base(),
+  double *T = (double *) malloc(sizeof(double) * (*ntt));
-          g2 == NULL ? NULL : g2->base(), g3 == NULL ? NULL : g3->base());
+  dynamic_resid_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T);
+  dynamic_resid(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T, residual.base());
+  if (g1 || g2 || g3)
+    dynamic_g1_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T);
+  if (g1)
+    dynamic_g1(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T, g1->base());
+  if (g2 || g3)
+    dynamic_g2_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T);
+  if (g2)
+    dynamic_g2(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T, g2->base());
+  if (g3)
+    {
+      dynamic_g3_tt(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T);
+      dynamic_g3(y.base(), x.base(), 1, modParams.base(), ySteady.base(), 0, T, g3->base());
+    }
+  free(T);
 }

mex/sources/k_order_perturbation/dynamic_dll.hh

@@ -34,9 +34,11 @@
 #include "dynamic_abstract_class.hh"
 #include "dynare_exception.h"
 
-// <model>_Dynamic DLL pointer
+typedef void (*dynamic_tt_fct)(const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, double *T);
-typedef void (*DynamicDLLFn)(const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state,
+typedef void (*dynamic_resid_fct) (const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, const double *T, double *residual);
-                             int it_, double *residual, double *g1, double *g2, double *g3);
+typedef void (*dynamic_g1_fct)(const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, const double *T, double *g1);
+typedef void (*dynamic_g2_fct)(const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, const double *T, double *v2);
+typedef void (*dynamic_g3_fct)(const double *y, const double *x, int nb_row_x, const double *params, const double *steady_state, int it_, const double *T, double *v3);
 
 /**
  * creates pointer to Dynamic function inside <model>_dynamic.dll
@@ -45,7 +47,12 @@ typedef void (*DynamicDLLFn)(const double *y, const double *x, int nb_row_x, con
 class DynamicModelDLL : public DynamicModelAC
 {
 private:
-  DynamicDLLFn Dynamic; // pointer to the Dynamic function in DLL
+  int *ntt;
+  dynamic_tt_fct dynamic_resid_tt, dynamic_g1_tt, dynamic_g2_tt, dynamic_g3_tt;
+  dynamic_resid_fct dynamic_resid;
+  dynamic_g1_fct dynamic_g1;
+  dynamic_g2_fct dynamic_g2;
+  dynamic_g3_fct dynamic_g3;
 #if defined(_WIN32) || defined(__CYGWIN32__)
   HINSTANCE dynamicHinstance;  // DLL instance pointer in Windows
 #else

mex/sources/sobol/gaussian.hh

@@ -40,18 +40,6 @@ using namespace std;
 #endif
 #define DEBUG_OMP 0
 
-#ifdef __MINGW32__
-# define __CROSS_COMPILATION__
-#endif
-
-#ifdef __MINGW64__
-# define __CROSS_COMPILATION__
-#endif
-
-#ifdef __CROSS_COMPILATION__
-# define M_PI 3.14159265358979323846
-#endif
-
 template<typename T>
 T
 icdf(const T uniform)

preprocessor

@@ -1 +1 @@
-Subproject commit 55b625b0168a200ee9ceb7cc7241ef3ed204fc25
+Subproject commit bef7c2a1938f1201cffbddc8d597b2a486fd36c6

tests/Makefile.am

@@ -189,10 +189,12 @@ MODFILES = \
 	simul/simul_ZLB_purely_forward_no_solution.mod \
 	simul/Irreversible_investment.mod \
 	simul/linear_state_space_arma.mod \
+	conditional_forecasts/1/fs2000_cal.mod \
 	conditional_forecasts/2/fs2000_est.mod \
 	conditional_forecasts/3/fs2000_conditional_forecast_initval.mod \
 	conditional_forecasts/4/fs2000_conditional_forecast_histval.mod \
 	conditional_forecasts/5/fs2000_cal.mod \
+	conditional_forecasts/6/fs2000_cal.mod \
 	recursive/ls2003.mod \
 	recursive/ls2003_bayesian.mod \
 	recursive/ls2003_bayesian_xls.mod \
@@ -994,7 +996,7 @@ check-octave: $(O_XFAIL_TRS_FILES) $(O_TRS_FILES)
 %.m.tls : %.m
 	@echo "`tput bold``tput setaf 8`MATLAB: $(CURDIR)/$*... `tput sgr0`"
 	@TOP_TEST_DIR="$(CURDIR)" FILESTEM="$*" \
-		$(MATLAB)/bin/matlab -nosplash -nodisplay -r run_m_script 2> /dev/null
+		$(MATLAB)/bin/matlab -nosplash -nodisplay -r run_m_script >/dev/null 2>&1
 	@touch $*.m.tls
 	@echo "`tput bold`MATLAB`tput setaf 8`: $(CURDIR)/$* Done!`tput sgr0`"
 

tests/analytic_derivatives/fs2000_analytic_derivation.mod

@@ -81,7 +81,7 @@ varobs gp_obs gy_obs;
 
 options_.solve_tolf = 1e-12;
 
-estimation(order=1,mode_compute=5,analytic_derivation,kalman_algo=1,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
+estimation(order=1,mode_compute=9,analytic_derivation,kalman_algo=1,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
 estimation(order=1,mode_compute=5,mode_file=fs2000_analytic_derivation_mode,analytic_derivation,kalman_algo=2,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
 estimation(order=1,mode_compute=4,mode_file=fs2000_analytic_derivation_mode,analytic_derivation,kalman_algo=1,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);
 estimation(order=1,mode_compute=4,mode_file=fs2000_analytic_derivation_mode,analytic_derivation,kalman_algo=2,datafile=fsdat_simul,nobs=192,mh_replic=0,mh_nblocks=2,mh_jscale=0.8);

tests/conditional_forecasts/6/fs2000_cal.mod

@@ -0,0 +1,82 @@
+// See fs2000.mod in the examples/ directory for details on the model
+
+var m P c e W R k d n l gy_obs gp_obs y dA;
+varexo e_a e_m;
+
+parameters alp bet gam mst rho psi del;
+
+alp = 0.33;
+bet = 0.99;
+gam = 0.003;
+mst = 1.011;
+rho = 0.7;
+psi = 0.787;
+del = 0.02;
+
+model;
+dA = exp(gam+e_a);
+log(m) = (1-rho)*log(mst) + rho*log(m(-1))+e_m;
+-P/(c(+1)*P(+1)*m)+bet*P(+1)*(alp*exp(-alp*(gam+log(e(+1))))*k^(alp-1)*n(+1)^(1-alp)+(1-del)*exp(-(gam+log(e(+1)))))/(c(+2)*P(+2)*m(+1))=0;
+W = l/n;
+-(psi/(1-psi))*(c*P/(1-n))+l/n = 0;
+R = P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(-alp)/W;
+1/(c*P)-bet*P*(1-alp)*exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)/(m*l*c(+1)*P(+1)) = 0;
+c+k = exp(-alp*(gam+e_a))*k(-1)^alp*n^(1-alp)+(1-del)*exp(-(gam+e_a))*k(-1);
+P*c = m;
+m-1+d = l;
+e = exp(e_a);
+y = k(-1)^alp*n^(1-alp)*exp(-alp*(gam+e_a));
+gy_obs = dA*y/y(-1);
+gp_obs = (P/P(-1))*m(-1)/dA;
+end;
+
+steady_state_model;
+  dA = exp(gam);
+  gst = 1/dA;
+  m = mst;
+  khst = ( (1-gst*bet*(1-del)) / (alp*gst^alp*bet) )^(1/(alp-1));
+  xist = ( ((khst*gst)^alp - (1-gst*(1-del))*khst)/mst )^(-1);
+  nust = psi*mst^2/( (1-alp)*(1-psi)*bet*gst^alp*khst^alp );
+  n  = xist/(nust+xist);
+  P  = xist + nust;
+  k  = khst*n;
+
+  l  = psi*mst*n/( (1-psi)*(1-n) );
+  c  = mst/P;
+  d  = l - mst + 1;
+  y  = k^alp*n^(1-alp)*gst^alp;
+  R  = mst/bet;
+  W  = l/n;
+  ist  = y-c;
+  q  = 1 - d;
+
+  e = 1;
+  
+  gp_obs = m/dA;
+  gy_obs = dA;
+end;
+
+shocks;
+var e_a; stderr 0.014;
+var e_m; stderr 0.005;
+end;
+
+steady;
+
+check;
+
+stoch_simul(irf=0);
+
+conditional_forecast_paths;
+var gy_obs;
+periods  1  2  3:5;
+values   0.01 -0.02 0;
+var gp_obs;
+periods 1:7;
+values  0.05;
+end;
+
+conditional_forecast(parameter_set=calibration, controlled_varexo=(e_a,e_m));
+
+plot_conditional_forecast(periods=10) gy_obs gp_obs;
+

tests/estimation/tune_mh_jscale/fs2000.mod

@@ -100,6 +100,6 @@ estimation(order=1, datafile='../fsdat_simul', nobs=192, loglinear, mh_replic=20
 
 mhdata = load('fs2000/metropolis/fs2000_mh_history_0.mat');
 
-if any(abs(mhdata.record.AcceptanceRatio-options_.mh_tune_jscale.target)>options_.mh_tune_jscale.c1)
+if any(abs(mhdata.record.AcceptanceRatio-options_.mh_tune_jscale.target)>options_.mh_tune_jscale.c2)
     error('Automagic tuning of the MCMC proposal scale parameter did not work as expected!')
 end

tests/kalman/likelihood_from_dynare/fs2000_estimation_check.inc

@@ -52,15 +52,15 @@ SmoothedShocks(:,:,6)=cell2mat(struct2cell(oo_.SmoothedShocks));
 SmoothedVariables(:,:,6)=cell2mat(struct2cell(oo_.SmoothedVariables));
 
 
-if max(max(abs(SmoothedMeasurementErrors-repmat(SmoothedMeasurementErrors(:,:,1),[1,1,6]))))>1e-8
+if max(max(abs(SmoothedMeasurementErrors-repmat(SmoothedMeasurementErrors(:,:,1),[1,1,6]))))>1e-6
     error('SmoothedMeasurementErrors do not match')
 end
 
-if max(max(abs(SmoothedShocks-repmat(SmoothedShocks(:,:,1),[1,1,6]))))>1e-8
+if max(max(abs(SmoothedShocks-repmat(SmoothedShocks(:,:,1),[1,1,6]))))>1e-6
     error('SmoothedShocks do not match')
 end
 
-if max(max(abs(SmoothedVariables-repmat(SmoothedVariables(:,:,1),[1,1,6]))))>1e-8
+if max(max(abs(SmoothedVariables-repmat(SmoothedVariables(:,:,1),[1,1,6]))))>1e-6
     error('SmoothedVariables do not match')
 end
 

windows/dynare.nsi

@@ -103,9 +103,9 @@ Section "MEX files for MATLAB 64-bit, version 7.8 to 9.3 (R2009a to R2017b)"
  File ..\mex\matlab\win64-7.8-9.3\*.mexw64
 SectionEnd
 
-Section "MEX files for MATLAB 64-bit, version 9.4 (R2018a)"
+Section "MEX files for MATLAB 64-bit, version 9.4 to 9.5 (R2018a to R2018b)"
- SetOutPath $INSTDIR\mex\matlab\win64-9.4
+ SetOutPath $INSTDIR\mex\matlab\win64-9.4-9.5
- File ..\mex\matlab\win64-9.4\*.mexw64
+ File ..\mex\matlab\win64-9.4-9.5\*.mexw64
 SectionEnd
 
 SectionGroupEnd