Merge branch 'master' of https://github.com/DynareTeam/dynare

doc/dynare.texi

@@ -4261,7 +4261,7 @@ the data. Default: @code{0}, @i{i.e.} no prefiltering
 @item presample = @var{INTEGER}
 @anchor{presample}
 The number of observations to be skipped before evaluating the
-likelihood. Default: @code{0}
+likelihood. These first observations are used as a training sample. Default: @code{0}
 
 @item loglinear
 @anchor{loglinear}
@@ -5521,12 +5521,22 @@ The parameters to be optimized must be listed with @code{osr_params}.
 
 The quadratic objectives must be listed with @code{optim_weights}.
 
-This problem is solved using a numerical optimizer.
+This problem is solved using the numerical optimizer @code{csminwel} of Chris Sims.
 
 @optionshead
 
-This command accept the same options than @code{stoch_simul}
-(@pxref{Computing the stochastic solution}).
+This command accepts the same options as @code{stoch_simul}
+(@pxref{Computing the stochastic solution}) plus 
+
+@table @code
+
+@item maxit = @var{INTEGER}
+Determines the maximum number of iterations used in the non-linear solver. Default: @code{1000}
+
+@item tolf = @var{DOUBLE}
+Convergence criterion for termination based on the function value. Iteration will 
+cease when it proves impossible to improve the function value by more than tolf. Default: @code{1e-7}
+@end table
 
 The value of the objective is stored in the variable
 @code{oo_.osr.objective_function}, which is described below.
@@ -6406,6 +6416,68 @@ Specifies a Markov chain defined by @ref{markov_switching}. Default:
 @end deffn
 
 
+@deffn Command sbvar (@var{OPTIONS}@dots{});
+@descriptionhead
+
+To be documented. For now, see the wiki: @uref{http://www.dynare.org/DynareWiki/SbvarOptions}
+
+@optionshead
+
+@table @code
+
+@item datafile
+@item freq
+@item initial_year
+@item initial_subperiod
+@item final_year
+@item final_subperiod
+@item data
+@item vlist
+@item vlistlog
+@item vlistper
+@item restriction_fname
+@item nlags
+@item cross_restrictions
+@item contemp_reduced_form
+@item real_pseudo_forecast
+@item no_bayesian_prior
+@item dummy_obs
+@item nstates
+@item indxscalesstates
+@item alpha
+@item beta
+@item gsig2_lmdm
+@item q_diag
+@item flat_prior
+@item ncsk
+@item nstd
+@item ninv
+@item indxparr
+@item indxovr
+@item aband
+@item indxap
+@item apband
+@item indximf
+@item indxfore
+@item foreband
+@item indxgforhat
+@item indxgimfhat
+@item indxestima
+@item indxgdls
+@item eq_ms
+@item cms
+@item ncms
+@item eq_cms
+@item tlindx
+@item tlnumber
+@item cnum
+@item forecast
+@item coefficients_prior_hyperparameters
+
+@end table
+@end deffn
+
+
 @anchor{ms_estimation}
 @deffn Command ms_estimation (@var{OPTIONS}@dots{});
 @descriptionhead

matlab/dynare_config.m

@@ -176,14 +176,14 @@ if strncmp(computer, 'GLNX', 4) || ~isempty(regexpi(computer, '.*linux.*', 'once
         addpath('/usr/share/matlab2tikz');
     end
 elseif strncmp(computer, 'MACI', 4) || ~isempty(regexpi(computer, '.*apple.*', 'once'))
-    if exist([dynareroot '/contrib/matlab2tikz/matlab2tikz.m']) == 2
-        addpath([dynareroot '/contrib/matlab2tikz']);
+    if exist([dynareroot '../contrib/matlab2tikz/matlab2tikz.m']) == 2
+        addpath([dynareroot '../contrib/matlab2tikz']);
     elseif exist('/usr/local/share/matlab2tikz/matlab2tikz.m') == 2
         addpath('/usr/local/share/matlab2tikz');
     end
 else
-    if exist([dynareroot '/contrib/matlab2tikz/matlab2tikz.m']) == 2
-        addpath([dynareroot '/contrib/matlab2tikz']);
+    if exist([dynareroot '../contrib/matlab2tikz/matlab2tikz.m']) == 2
+        addpath([dynareroot '../contrib/matlab2tikz']);
     end
 end
 

matlab/global_initialization.m

@@ -565,6 +565,11 @@ options_.risky_steadystate = 0;
 options_.endogenous_prior = 0;
 options_.endogenous_prior_restrictions.irf={};
 
+% OSR Optimal Simple Rules
+options_.osr.tolf=1e-7;
+options_.osr.maxit=1000;
+options_.osr.verbose=2;
+
 % use GPU
 options_.gpu = 0;
 

matlab/non_linear_dsge_likelihood.m

@@ -296,7 +296,7 @@ ReducedForm.StateVectorVariance = StateVectorVariance;
 %------------------------------------------------------------------------------
 DynareOptions.warning_for_steadystate = 0;
 [s1,s2] = get_dynare_random_generator_state();
-LIK = feval(DynareOptions.particle.algorithm,ReducedForm,Y,[],DynareOptions);
+LIK = feval(DynareOptions.particle.algorithm,ReducedForm,Y,start,DynareOptions);
 set_dynare_random_generator_state(s1,s2);
 if imag(LIK)
     likelihood = objective_function_penalty_base;

matlab/osr1.m

@@ -48,9 +48,9 @@ t0 = M_.params(i_params);
 inv_order_var = oo_.dr.inv_order_var;
 
 H0 = 1e-4*eye(np);
-crit = 1e-7;
-nit = 1000;
-verbose = 2;
+crit=options_.osr.tolf;
+nit=options_.osr.maxit;
+verbose=options_.osr.verbose;
 
 [f,p]=csminwel1('osr_obj',t0,H0,[],crit,nit,options_.gradient_method,options_.gradient_epsilon,i_params,...
                 inv_order_var(i_var),weights(i_var,i_var));

preprocessor/DynareBison.yy

@@ -108,7 +108,7 @@ class ParsingDriver;
 %token <string_val> INT_NUMBER
 %token <string_val> DATE_NUMBER
 %token INV_GAMMA_PDF INV_GAMMA1_PDF INV_GAMMA2_PDF IRF IRF_SHOCKS
-%token KALMAN_ALGO KALMAN_TOL SUBSAMPLES OPTIONS
+%token KALMAN_ALGO KALMAN_TOL SUBSAMPLES OPTIONS TOLF
 %token LABELS LAPLACE LIK_ALGO LIK_INIT LINEAR LOAD_IDENT_FILES LOAD_MH_FILE LOAD_PARAMS_AND_STEADY_STATE LOGLINEAR LYAPUNOV
 %token LYAPUNOV_FIXED_POINT_TOL LYAPUNOV_DOUBLING_TOL LYAPUNOV_SQUARE_ROOT_SOLVER_TOL LOG_DEFLATOR LOG_TREND_VAR LOG_GROWTH_FACTOR MARKOWITZ MARGINAL_DENSITY MAX MAXIT
 %token MFS MH_DROP MH_INIT_SCALE MH_JSCALE MH_MODE MH_NBLOCKS MH_REPLIC MH_RECOVER MIN MINIMAL_SOLVING_PERIODS SOLVE_MAXIT
@@ -1616,13 +1616,23 @@ optim_weights_list : optim_weights_list symbol expression ';'
 
 osr_params : OSR_PARAMS symbol_list ';' { driver.set_osr_params(); };
 
+
+osr_options_list : osr_options_list COMMA osr_options
+                 | osr_options
+                 ;
+
+osr_options : stoch_simul_options
+            | o_osr_maxit
+            | o_osr_tolf
+            ;
+
 osr : OSR ';'
       { driver.run_osr(); }
-    | OSR '(' stoch_simul_options_list ')' ';'
+    | OSR '(' osr_options_list ')' ';'
       { driver.run_osr(); }
     | OSR symbol_list ';'
       { driver.run_osr(); }
-    | OSR '(' stoch_simul_options_list ')' symbol_list ';'
+    | OSR '(' osr_options_list ')' symbol_list ';'
       {driver.run_osr(); }
     ;
 
@@ -2273,6 +2283,8 @@ o_solver_periods : SOLVER_PERIODS EQUAL INT_NUMBER { driver.option_num("ep.perio
 o_extended_path_order : ORDER EQUAL INT_NUMBER { driver.option_num("ep.stochastic.order", $3); };
 o_hybrid : HYBRID { driver.option_num("ep.stochastic.hybrid_order", "2"); };
 o_maxit : MAXIT EQUAL INT_NUMBER { driver.option_num("maxit_", $3); };
+o_osr_maxit : MAXIT EQUAL INT_NUMBER { driver.option_num("osr.maxit", $3); };
+o_osr_tolf : TOLF EQUAL non_negative_number { driver.option_num("osr.tolf", $3); };
 o_solve_maxit : SOLVE_MAXIT EQUAL INT_NUMBER { driver.option_num("solve_maxit", $3); };
 o_cutoff : CUTOFF EQUAL non_negative_number { driver.cutoff($3); };
 o_markowitz : MARKOWITZ EQUAL non_negative_number { driver.option_num("markowitz", $3); };

preprocessor/DynareFlex.ll

@@ -432,7 +432,7 @@ string eofbuff;
 <DYNARE_STATEMENT>max_number_of_stages {return token::MAX_NUMBER_OF_STAGES;}
 <DYNARE_STATEMENT>random_function_convergence_criterion {return token::RANDOM_FUNCTION_CONVERGENCE_CRITERION;}
 <DYNARE_STATEMENT>random_parameter_convergence_criterion {return token::RANDOM_PARAMETER_CONVERGENCE_CRITERION;}
-
+<DYNARE_STATEMENT>tolf {return token::TOLF;}
 <DYNARE_STATEMENT>instruments {return token::INSTRUMENTS;}
 
  /* These four (var, varexo, varexo_det, parameters) are for change_type */

tests/Makefile.am

@@ -240,16 +240,16 @@ EXTRA_DIST = \
 	run_block_byte_tests_octave.m \
 	run_reporting_test_matlab.m \
 	run_reporting_test_octave.m \
-	AnnualTable.m \
-	CommResidTablePage.m \
-	CountryGraphPage.m \
-	CountryTablePage.m \
-	ResidTablePage.m \
-	db_a.mat \
-	db_q.mat \
-	dc_a.mat \
-	dc_q.mat \
-	runDynareReport.m \
+	reporting/AnnualTable.m \
+	reporting/CommResidTablePage.m \
+	reporting/CountryGraphPage.m \
+	reporting/CountryTablePage.m \
+	reporting/ResidTablePage.m \
+	reporting/db_a.csv \
+	reporting/db_q.csv \
+	reporting/dc_a.csv \
+	reporting/dc_q.csv \
+	reporting/runDynareReport.m \
 	homotopy/common.mod \
 	block_bytecode/ls2003.mod \
 	fs2000_ssfile_aux.m \
@@ -396,7 +396,7 @@ clean-local:
 
 	rm -rf block_bytecode/ls2003_tmp*
 
-	rm reporting/report.*
+	rm -f reporting/report.*
 
 	rm -f $(shell find -name wsOct) \
 		$(shell find -name wsMat.mat)

tests/run_reporting_test_matlab.m

@@ -34,10 +34,10 @@ disp('');
 disp(['***  TESTING: run_reporting_test_matlab.m ***']);
 try
     cd([top_test_dir filesep 'reporting']);
-    load db_a.mat;
-    load db_q.mat;
-    load dc_a.mat;
-    load dc_q.mat;
+    db_a = dynSeries('db_a.csv');
+    db_q = dynSeries('db_q.csv');
+    dc_a = dynSeries('dc_a.csv');
+    dc_q = dynSeries('dc_q.csv');
     runDynareReport(dc_a, dc_q, db_a, db_q);
     testFailed = false;
 catch

tests/run_reporting_test_octave.m

@@ -38,10 +38,10 @@ end
 printf("\n***  TESTING:  run_reporting_test_octave.m ***\n");
 try
     cd([top_test_dir filesep 'reporting']);
-    load db_a.mat;
-    load db_q.mat;
-    load dc_a.mat;
-    load dc_q.mat;
+    db_a = dynSeries('db_a.csv');
+    db_q = dynSeries('db_q.csv');
+    dc_a = dynSeries('dc_a.csv');
+    dc_q = dynSeries('dc_q.csv');
     runDynareReport(dc_a, dc_q, db_a, db_q);
     testFailed = false;
 catch