M-files and preprocessor:
* removed "options_.simul", and instead test if "options_.periods" is non-zero * test for the incompatibility of options "periods" and "hp_filter" in "stoch_simul.m", instead of in the preprocessor Reference manual: * removed "simul" options, updated "periods" * updated "order" option (for 3rd order) * added "k_order_solver" option * give some hints for installing a compiler for users of MATLAB for Windows git-svn-id: https://www.dynare.org/svn/dynare/trunk@3188 ac1d8469-bf42-47a9-8791-bf33cf982152time-shift
sebastien
parent
59ca45e4f4
commit
ee3ceb7db6
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@ -98,7 +98,7 @@ Currently the development team of Dynare is composed of S. Adjemian, H. Bastani,
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<chapter><title>Installation and configuration</title>
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<sect1><title>Software requirements</title>
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<sect1 id="software-requirements"><title>Software requirements</title>
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<para>
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Packaged versions of Dynare are available for <trademark class="registered">Windows</trademark> XP/Vista, <ulink url="http://www.debian.org">Debian GNU/Linux</ulink> and <ulink url="http://www.ubuntu.com/">Ubuntu</ulink>.
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Dynare should work on other systems, but some compilation steps are necessary in that case.
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@ -109,13 +109,10 @@ Dynare should work on other systems, but some compilation steps are necessary in
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<listitem><para>GNU Octave version 3.0.0 or above.</para></listitem>
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</itemizedlist>
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</para>
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</sect1>
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<sect1><title>Installation of GNU Octave</title>
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<para>Some installation instructions for GNU Octave can be found on <ulink url="http://www.dynare.org/DynareWiki/DynareOctave">Dynare Wiki</ulink>.</para>
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<para>You can skip this step if you are planning to use only <trademark class="registered">MATLAB</trademark> with Dynare.</para>
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<para>Please refer to <ulink url="http://www.dynare.org/DynareWiki/DynareOctave">Dynare Wiki</ulink> for detailed instructions.</para>
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<para>If you are using MATLAB for Windows, and if you plan to use options <xref linkend="use_dll"/> or <xref linkend="k_order_solver"/>, you will need to install a C++ compiler on your machine. The easiest solution is to install <ulink url="http://www.microsoft.com/Express/VC/"><trademark class="registered">Microsoft</trademark> Visual C++ 2008 Express Edition</ulink>, and then to type <literal>mex -setup</literal> on the MATLAB prompt (it should autodetect the compiler). For users of MATLAB 64-bit, please refer to <ulink url="http://www.mathworks.fr/support/solutions/en/data/1-6IJJ3L/index.html?solution=1-6IJJ3L">these instructions</ulink>. Users of MATLAB under Linux and MacOS, and users of GNU Octave normally need to do nothing, since a working compilation environment is available by default.</para>
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</sect1>
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@ -840,9 +837,9 @@ Inside the model block, Dynare allows the creation of <emphasis>model-local vari
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<term><option>linear</option></term>
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<listitem><para>Declares the model as being linear. It spares oneself from having to declare initial values for computing the steady state, and it sets automatically <option>order</option><literal>=1</literal> in <xref linkend="stoch_simul" />.</para></listitem>
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</varlistentry>
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<varlistentry>
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<varlistentry id="use_dll">
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<term><option>use_dll</option></term>
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<listitem><para>Instructs the preprocessor to create dynamic loadable libraries (DLL) containing the model equations and derivatives, instead of writing those in <filename class="extension">M</filename>-files. You need to having a working compilation environment (<foreignphrase>i.e.</foreignphrase> the <command>mex</command> command of <trademark class="registered">MATLAB</trademark> or Octave must be operational). Using this option can result in faster simulations or estimations, at the expense of some initial compilation time.<footnote><para>In particular, for big models, the compilation step can be very time-consuming, and use of this option may be counter-productive in those cases.</para></footnote></para></listitem>
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<listitem><para>Instructs the preprocessor to create dynamic loadable libraries (DLL) containing the model equations and derivatives, instead of writing those in <filename class="extension">M</filename>-files. You need a working compilation environment, <foreignphrase>i.e.</foreignphrase> a working <literal>mex</literal> command (see <xref linkend="software-requirements"/> for more details). Using this option can result in faster simulations or estimations, at the expense of some initial compilation time.<footnote><para>In particular, for big models, the compilation step can be very time-consuming, and use of this option may be counter-productive in those cases.</para></footnote></para></listitem>
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</varlistentry>
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</variablelist>
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</refsect1>
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@ -1032,7 +1029,7 @@ For models with lags on more than one period, the command <xref linkend='histval
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<para>This steady state will be used as the initial condition at all the periods preceeding the first simulation period for the two possible types of simulations in stochastic mode:</para>
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<itemizedlist>
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<listitem><para>in <xref linkend="stoch_simul"/>, if the <option>simul</option> or <option>periods</option> options are specified</para></listitem>
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<listitem><para>in <xref linkend="stoch_simul"/>, if the <option>periods</option> options is specified</para></listitem>
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<listitem><para>in <xref linkend="forecast"/> (in this case, note that it is still possible to modify some of these initial values with <xref linkend="histval"/>)</para></listitem>
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</itemizedlist>
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@ -1789,7 +1786,7 @@ The simulated endogenous variables are available in global matrix <varname>oo_.e
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</varlistentry>
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<varlistentry>
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<term><option>hp_filter</option> = <replaceable>INTEGER</replaceable></term>
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<listitem><para>Uses HP filter with λ = <replaceable>INTEGER</replaceable> before computing moments. Default: no filter</para></listitem>
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<listitem><para>Uses HP filter with λ = <replaceable>INTEGER</replaceable> before computing moments. Note that this option is currently not available when computing empirical moments (see <option>periods</option> option). Default: no filter</para></listitem>
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</varlistentry>
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<varlistentry>
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<term><option>hp_ngrid</option> = <replaceable>INTEGER</replaceable></term>
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@ -1833,11 +1830,15 @@ The simulated endogenous variables are available in global matrix <varname>oo_.e
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</varlistentry>
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<varlistentry id="order" xreflabel="order">
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<term><option>order = <replaceable>INTEGER</replaceable></option></term>
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<listitem><para>Order of Taylor approximation. Acceptable values are <literal>1</literal> and <literal>2</literal>. Default: <literal>2</literal></para></listitem>
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<listitem><para>Order of Taylor approximation. Acceptable values are <literal>1</literal>, <literal>2</literal> and <literal>3</literal>. Note that for third order, <option>k_order_solver</option> option is implied, and only empirical moments are available (you must provide a value for <option>periods</option> option). Default: <literal>2</literal></para></listitem>
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</varlistentry>
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<varlistentry id="k_order_solver">
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<term><option>k_order_solver</option></term>
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<listitem><para>Use a k-order solver, implemented in C++, instead of the default Dynare solver. You need a working compilation environment, <foreignphrase>i.e.</foreignphrase> a working <literal>mex</literal> command (see <xref linkend="software-requirements"/> for more details). Default: disabled for order 1 and 2, enabled otherwise</para></listitem>
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</varlistentry>
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<varlistentry>
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<term><option>periods</option> = <replaceable>INTEGER</replaceable></term>
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<listitem><para>Specifies the number of periods to use in simulations. If <option>order</option>=<literal>1</literal>, no simulation is necessary to compute theoretical moments and IRFs. A number of periods larger than one triggers automatically option <option>simul</option>. Default: <literal>0</literal></para></listitem>
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<listitem><para>If different from zero, empirical moments will be computed instead of theoretical moments. The value of the option specifies the number of periods to use in the simulations. Values of the <xref linkend='initval'/> block, possibly recomputed by <xref linkend='steady'/>, will be used as starting point for the simulation. The simulated endogenous variables are made available to the user in a vector for each variable and in the global matrix <varname>oo_.endo_simul</varname>. The variables in the <varname>oo_.endo_simul</varname> matrix, in their order of declaration (as in <varname>M_.endo_names</varname>) Default: <literal>0</literal></para></listitem>
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</varlistentry>
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<varlistentry>
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<term><option>qz_criterium</option> = <replaceable>DOUBLE</replaceable></term>
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@ -1847,10 +1848,6 @@ The simulated endogenous variables are available in global matrix <varname>oo_.e
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<term><option>replic</option> = <replaceable>INTEGER</replaceable></term>
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<listitem><para>Number of simulated series used to compute the IRFs. Default: <literal>1</literal> if <option>order</option>=<literal>1</literal>, and <literal>50</literal> otherwise</para></listitem>
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</varlistentry>
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<varlistentry>
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<term><option>simul</option></term>
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<listitem><para>Computes a stochastic simulation of the model for the number of periods specified in the <option>periods</option> option. Uses <xref linkend='initval'/> values, possibly recomputed by <xref linkend='steady'/>, as initial values for the simulation. The simulated endogenous variables are made available to the user in a vector for each variable and in the global matrix <varname>oo_.endo_simul</varname>. The variables in the <varname>oo_.endo_simul</varname> matrix, in their order of declaration (as in <varname>M_.endo_names</varname>). Default: no simulation</para></listitem>
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</varlistentry>
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<varlistentry>
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<term><option>simul_seed</option> = <replaceable>INTEGER</replaceable></term>
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<listitem><para>Specifies a seed for the random generator so as to obtain the same random sample at each run of the program. Otherwise a different sample is used for each run. Default: seed not specified</para></listitem>
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@ -23,6 +23,10 @@ function disp_moments(y,var_list)
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warning_old_state = warning;
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warning off
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if options_.hp_filter
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error('STOCH_SIMUL: HP filter is not yet implemented for empirical moments')
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end
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if size(var_list,1) == 0
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var_list = M_.endo_names(1:M_.orig_endo_nbr, :);
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end
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@ -90,7 +90,6 @@ function global_initialization()
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options_.nocorr = 0;
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options_.periods = 0;
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options_.noprint = 0;
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options_.simul = 0;
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options_.SpectralDensity = 0;
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% TeX output
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@ -32,12 +32,6 @@ function osr(var_list,params,i_var,W)
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options_ = set_default_option(options_,'hp_ngrid',512);
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options_ = set_default_option(options_,'simul',0);
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options_ = set_default_option(options_,'periods',1);
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if options_.simul & ~isempty(options_.periods) & options_.periods == 0
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options_.periods = options_.periods;
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end
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options_.periods = max(options_.periods,1);
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options_.periods = options_.periods;
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make_ex_;
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@ -37,14 +37,10 @@ if size(M_.lead_lag_incidence,2)-nnz(M_.lead_lag_incidence(M_.maximum_endo_lag+1
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error (mess) ;
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end
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if ~isfield(options_,'periods') & ~isempty(options_.periods)
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options_.periods = options_.periods
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end
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options_ = set_default_option(options_,'periods',0);
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if options_.periods == 0
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error('SIMUL: number of periods for the simulation isn''t specified')
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end
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options_.periods = options_.periods;
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if ~ options_.initval_file
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if ~isfield(options_,'datafile')
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@ -39,7 +39,6 @@ if replic == 0
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replic = 1;
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end
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seed = options_.simul_seed;
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options_.periods = options_.periods;
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it_ = M_.maximum_lag + 1 ;
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@ -26,7 +26,6 @@ function info=stoch_simul(var_list)
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if options_.order == 1
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options_.replic = 1;
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elseif options_.order == 3
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options_.simul = 1;
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options_.k_order_solver = 1;
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end
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@ -70,12 +69,9 @@ function info=stoch_simul(var_list)
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end
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end
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if options_.simul == 0 & options_.nomoments == 0
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if options_.periods == 0 && options_.nomoments == 0
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disp_th_moments(oo_.dr,var_list);
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elseif options_.simul == 1
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if options_.periods == 0
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error('STOCH_SIMUL error: number of periods for the simulation isn''t specified')
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end
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elseif options_.periods ~= 0
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if options_.periods < options_.drop
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disp(['STOCH_SIMUL error: The horizon of simulation is shorter' ...
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' than the number of observations to be DROPed'])
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@ -73,12 +73,9 @@ function info=stoch_simul_sparse(var_list)
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disp_dr_sparse(oo_.dr,options_.order,var_list);
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end
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if options_.simul == 0 & options_.nomoments == 0
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if options_.periods == 0 && options_.nomoments == 0
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disp_th_moments(oo_.dr,var_list);
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elseif options_.simul == 1
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if options_.periods == 0
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error('STOCH_SIMUL error: number of periods for the simulation isn''t specified')
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end
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elseif options_.periods ~= 0
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if options_.periods < options_.drop
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disp(['STOCH_SIMUL error: The horizon of simulation is shorter' ...
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' than the number of observations to be DROPed'])
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@ -118,14 +118,6 @@ StochSimulStatement::checkPass(ModFileStructure &mod_file_struct)
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it = options_list.num_options.find("partial_information");
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if (it != options_list.num_options.end() && it->second == "1")
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mod_file_struct.partial_information = true;
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// This (temporary) check is present in stoch_simul, osr and ramsey_policy
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if (options_list.num_options.find("simul") != options_list.num_options.end()
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&& options_list.num_options.find("hp_filter") != options_list.num_options.end())
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{
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cerr << "ERROR: stoch_simul: HP filter is not yet implemented when computing empirical simulations" << endl;
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exit(EXIT_FAILURE);
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}
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}
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void
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@ -182,14 +174,6 @@ RamseyPolicyStatement::checkPass(ModFileStructure &mod_file_struct)
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it = options_list.num_options.find("partial_information");
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if (it != options_list.num_options.end() && it->second == "1")
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mod_file_struct.partial_information = true;
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// This (temporary) check is present in stoch_simul, osr and ramsey_policy
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if (options_list.num_options.find("simul") != options_list.num_options.end()
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&& options_list.num_options.find("hp_filter") != options_list.num_options.end())
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{
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cerr << "ERROR: ramsey_policy: HP filter is not yet implemented when computing empirical simulations" << endl;
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exit(EXIT_FAILURE);
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}
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}
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void
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@ -316,7 +300,6 @@ void
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PeriodsStatement::writeOutput(ostream &output, const string &basename) const
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{
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output << "options_.periods = " << periods << ";" << endl;
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output << "options_.simul = 1;" << endl;
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}
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DsampleStatement::DsampleStatement(int val1_arg) : val1(val1_arg), val2(-1)
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@ -747,14 +730,6 @@ OsrStatement::checkPass(ModFileStructure &mod_file_struct)
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it = options_list.num_options.find("partial_information");
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if (it != options_list.num_options.end() && it->second == "1")
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mod_file_struct.partial_information = true;
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// This (temporary) check is present in stoch_simul, osr and ramsey_policy
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if (options_list.num_options.find("simul") != options_list.num_options.end()
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&& options_list.num_options.find("hp_filter") != options_list.num_options.end())
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{
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cerr << "ERROR: osr: HP filter is not yet implemented when computing empirical simulations" << endl;
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exit(EXIT_FAILURE);
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}
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}
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void
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@ -1655,13 +1655,12 @@ o_nomoments : NOMOMENTS { driver.option_num("nomoments", "1"); };
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o_irf : IRF EQUAL INT_NUMBER { driver.option_num("irf", $3); };
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o_hp_filter : HP_FILTER EQUAL INT_NUMBER { driver.option_num("hp_filter", $3); };
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o_hp_ngrid : HP_NGRID EQUAL INT_NUMBER { driver.option_num("hp_ngrid", $3); };
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o_periods : PERIODS EQUAL INT_NUMBER
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{ driver.option_num("periods", $3); driver.option_num("simul", "1"); };
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o_periods : PERIODS EQUAL INT_NUMBER { driver.option_num("periods", $3); };
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o_cutoff : CUTOFF EQUAL number { driver.cutoff($3); }
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o_markowitz : MARKOWITZ EQUAL number { driver.option_num("markowitz", $3); };
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o_minimal_solving_periods : MINIMAL_SOLVING_PERIODS EQUAL number { driver.option_num("minimal_solving_periods", $3); };
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o_mfs : MFS EQUAL INT_NUMBER { driver.mfs($3); };
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o_simul : SIMUL { driver.option_num("simul", "1"); };
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o_simul : SIMUL; // Do nothing, only here for backward compatibility
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o_simul_seed : SIMUL_SEED EQUAL INT_NUMBER { driver.option_num("simul_seed", $3); } ;
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o_qz_criterium : QZ_CRITERIUM EQUAL number { driver.option_num("qz_criterium", $3); };
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o_datafile : DATAFILE EQUAL filename { driver.option_str("datafile", $3); };
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@ -648,9 +648,7 @@ ParsingDriver::option_num(const string &name_option, string *opt)
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void
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ParsingDriver::option_num(const string &name_option, const string &opt)
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{
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// Since "periods" option automatically sets "simul" option, we don't want to fail if user explicitly sets both "simul" and "periods"
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if (name_option != "simul"
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&& (options_list.num_options.find(name_option) != options_list.num_options.end()))
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if (options_list.num_options.find(name_option) != options_list.num_options.end())
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error("option " + name_option + " declared twice");
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if ((name_option == "periods") && mod_file->block)
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Reference in New Issue