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Drop the “Sigma_e” statement

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Sébastien Villemot 2023-01-16 16:15:03 +01:00
parent 1b47c8a5e5
commit e30314e75d
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12 changed files with 3 additions and 132 deletions
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33
doc/manual/source/the-model-file.rst
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@ -110,7 +110,7 @@ While Dynare allows the user to choose their own variable names, there
are some restrictions to be kept in mind. First, variables and
parameters must not have the same name as Dynare commands or built-in
functions. In this respect, Dynare is not case-sensitive. For example,
do not use ``Ln`` or ``Sigma_e`` to name your variable. Not conforming
do not use ``Ln`` or ``shocks`` to name your variable. Not conforming
to this rule might yield hard-to-debug error messages or
crashes. Second, when employing user-defined steady state files it is
recommended to avoid using the name of MATLAB functions as this may cause
@ -2536,8 +2536,7 @@ in each period. In Dynare, these random values follow a normal
distribution with zero mean, but it belongs to the user to specify the
variability of these shocks. The non-zero elements of the matrix of
variance-covariance of the shocks can be entered with the ``shocks``
command. Or, the entire matrix can be directly entered with
``Sigma_e`` (this use is however deprecated).
command.
If the variance of an exogenous variable is set to zero, this variable
will appear in the report on policy and transition functions, but
@ -2799,34 +2798,6 @@ blocks.
end;
.. specvar:: Sigma_e
|br| This special variable specifies directly the covariance
matrix of the stochastic shocks, as an upper (or lower) triangular
matrix. Dynare builds the corresponding symmetric matrix. Each row
of the triangular matrix, except the last one, must be terminated
by a semi-colon ;. For a given element, an arbitrary *EXPRESSION*
is allowed (instead of a simple constant), but in that case you
need to enclose the expression in parentheses. The order of the
covariances in the matrix is the same as the one used in the
``varexo`` declaration.
*Example*
::
varexo u, e;
Sigma_e = [ 0.81 (phi*0.9*0.009);
0.000081];
This sets the variance of ``u`` to 0.81, the variance of ``e`` to
0.000081, and the correlation between ``e`` and ``u`` to ``phi``.
.. warning:: **The use of this special variable is deprecated and
is strongly discouraged**. You should use a
``shocks`` block instead.
.. matcomm:: get_shock_stderr_by_name ('EXOGENOUS_NAME');
|br| Given the name of an exogenous variable, returns its standard

2
preprocessor

@ -1 +1 @@
Subproject commit a7b0a324c9b97ec1bbcf3e3487dcaa176423598a
Subproject commit 8ebd9a9496ecf4a1694e40cde36beaab165c20f0

2
tests/ecb/SUR/panel_var_diff_NB_simulation_test.mod
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@ -152,9 +152,7 @@ NSIMS = 1;
options_.noprint = 1;
calibrated_values = M_.params;
verbatim;
Sigma_e = M_.Sigma_e;
end;
options_.bnlms.set_dynare_seed_to_default = false;
nparampool = length(M_.params);

2
tests/ecb/SUR/panel_var_diff_NB_simulation_zero_eq.mod
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@ -148,9 +148,7 @@ NSIMS = 1;
options_.noprint = 1;
calibrated_values = M_.params;
verbatim;
Sigma_e = M_.Sigma_e;
end;
options_.bnlms.set_dynare_seed_to_default = false;
nparampool = length(M_.params);

2
tests/ecb/SUR/sur_noniterative.mod
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@ -152,9 +152,7 @@ NSIMS = 1;
options_.noprint = 1;
calibrated_values = M_.params;
verbatim;
Sigma_e = M_.Sigma_e;
end;
options_.bnlms.set_dynare_seed_to_default = false;
nparampool = length(M_.params);

2
tests/ecb/SUR/sur_params_noniterative.mod
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@ -152,9 +152,7 @@ NSIMS = 1;
options_.noprint = 1;
calibrated_values = M_.params;
verbatim;
Sigma_e = M_.Sigma_e;
end;
options_.bnlms.set_dynare_seed_to_default = false;
nparampool = length(M_.params);

2
tests/ecb/pooled_fgls/panel_var_diff_NB_simulation_test.mod
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@ -152,9 +152,7 @@ end;
NSIMS = 1;
calibrated_values = M_.params;
verbatim;
Sigma_e = M_.Sigma_e;
end;
options_.bnlms.set_dynare_seed_to_default = false;

2
tests/ecb/pooled_fgls/test_param_names.mod
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@ -152,9 +152,7 @@ end;
NSIMS = 1;
calibrated_values = M_.params;
verbatim;
Sigma_e = M_.Sigma_e;
end;
options_.bnlms.set_dynare_seed_to_default = false;

2
tests/ecb/pooled_ols/panel_var_diff_NB_simulation_test.mod
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@ -152,9 +152,7 @@ end;
NSIMS = 1;
calibrated_values = M_.params;
verbatim;
Sigma_e = M_.Sigma_e;
end;
options_.bnlms.set_dynare_seed_to_default = false;

2
tests/ecb/pooled_ols/test_param_names.mod
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@ -152,9 +152,7 @@ end;
NSIMS = 1;
calibrated_values = M_.params;
verbatim;
Sigma_e = M_.Sigma_e;
end;
options_.bnlms.set_dynare_seed_to_default = false;

40
tests/t_lag2.mod
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@ -1,40 +0,0 @@
// example 1 from Collard's guide to Dynare
var y, c, k, a, h, b;
varexo e,u;
parameters beta, rho, alpha, delta, theta, psi, tau, phi;
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(-2) + e;
b = tau*a(-1)+rho*b(-2) + u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 5;
a = 0;
b = 0;
e = 0;
u = 0;
end;
Sigma_e = [ 0.000081; (phi*0.009*0.009) 0.000081];
stoch_simul(order=2,irf=0,periods=50000);

44
tests/t_periods.mod
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@ -1,44 +0,0 @@
// example 1 from Collard's guide to Dynare
// test options.periods
var y, c, k, a, h, b;
varexo e,u;
parameters beta, rho, alpha, delta, theta, psi, tau, phi;
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(-2) + e;
b = tau*a(-1)+rho*b(-2) + u;
end;
initval;
y = 1.08068253095672;
c = 0.80359242014163;
h = 0.29175631001732;
k = 5;
a = 0;
b = 0;
e = 0;
u = 0;
end;
Sigma_e = [ 0.000081; (phi*0.009*0.009) 0.000081];
check;
stoch_simul(order=2,irf=0,periods=400);