This commit only introduce new elements in the Dynare language (adding the
possibility to decompose the target into stationary and non stationary
components) and insure that all the former codes (ie without decomposition of
the target) are still working as expected.
The preprocessor has been modified to allow linear combinations in the growth
parameter (see Dynare/preprocessor@a0f74f5c16 and
Dynare/preprocessor@d873414728).
This commit restores the previous functionality (i.e. it fixes the simple case
where only one parameter/variable is provided for the growth parameter).
The code still needs to be adapted to really handle linear combinations.
Fixes the iterative_ols estimation of PAC equation when the Rule of Thumbs (non
optimizing) part of the equations contains endogenous and/or exogenous variables.
PAC equation has to be written as
diff(x) = a0*(xstar(-1)-x(-1)) + a1*diff(x(-1)) + ... + ap*diff(x(-p)) + PAC_EXPECTATION(pacmodelname) + ...;
In the error correction term, a0*(xstar(-1)-x(-1)), we must have the difference
between the target (the trend xstar(-1)) and the level of the endogenous
variable (x(-1)). To ensure stability around the trend, the parameter a0 needs
to be positive.
REMARKS
[1] In the TREND_COMPONENT_MODEL the error correction terms are written in
reverse order, ie as the difference betwwen the level of the endogenous
variable and the trend variable.
[2] In the estimation routine we do not constrain a0 to be positive, but is
would surely help to satisfy this condition in the initial condition.
Data matrices were not correcty lagged for lags>1. This commit fixes the
inconsistencies (in terms of residuals) between Iterative OLS and NLS routines.
Stéphane Adjemian (Ryûk)
Sébastien Villemot
Dóra Kocsis
Stéphane Adjemian (Charybdis)
Stéphane Adjemia (Scylla)
Stéphane Adjemian(Charybdis)