stepan
/
preprocessor
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach

issue#70
Michel Juillard 2015-11-28 17:36:51 +01:00
parent bdc7f83f18
commit 1a12a3de0f
2 changed files with 4 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

4
DynareBison.yy
View File

@ -101,7 +101,7 @@ class ParsingDriver;
%token IDENTIFICATION INF_CONSTANT INITVAL INITVAL_FILE BOUNDS JSCALE INIT INFILE INVARS
%token <string_val> INT_NUMBER
%token INV_GAMMA_PDF INV_GAMMA1_PDF INV_GAMMA2_PDF IRF IRF_SHOCKS IRF_PLOT_THRESHOLD IRF_CALIBRATION
%token KALMAN_ALGO KALMAN_TOL DIFFUSE_KALMAN_TOL SUBSAMPLES OPTIONS TOLF
%token FAST_KALMAN_FILTER KALMAN_ALGO KALMAN_TOL DIFFUSE_KALMAN_TOL SUBSAMPLES OPTIONS TOLF
%token LAPLACE LIK_ALGO LIK_INIT LINEAR LOAD_IDENT_FILES LOAD_MH_FILE LOAD_PARAMS_AND_STEADY_STATE LOGLINEAR LOGDATA LYAPUNOV LINEAR_APPROXIMATION
%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_CONF_SIG MH_DROP MH_INIT_SCALE MH_JSCALE MH_MODE MH_NBLOCKS MH_REPLIC MH_RECOVER POSTERIOR_MAX_SUBSAMPLE_DRAWS MIN MINIMAL_SOLVING_PERIODS
@ -1698,6 +1698,7 @@ estimation_options : o_datafile
| o_moments_varendo
| o_contemporaneous_correlation
| o_filtered_vars
| o_fast_kalman_filter
| o_kalman_algo
| o_kalman_tol
| o_diffuse_kalman_tol
@ -2746,6 +2747,7 @@ o_moments_varendo : MOMENTS_VARENDO { driver.option_num("moments_varendo", "1");
o_contemporaneous_correlation : CONTEMPORANEOUS_CORRELATION { driver.option_num("contemporaneous_correlation", "1"); };
o_filtered_vars : FILTERED_VARS { driver.option_num("filtered_vars", "1"); };
o_relative_irf : RELATIVE_IRF { driver.option_num("relative_irf", "1"); };
o_fast_kalman_filter : FAST_KALMAN_FILTER { driver.option_num("fast_kalman_filter", "1"); };
o_kalman_algo : KALMAN_ALGO EQUAL INT_NUMBER { driver.option_num("kalman_algo", $3); };
o_kalman_tol : KALMAN_TOL EQUAL non_negative_number { driver.option_num("kalman_tol", $3); };
o_diffuse_kalman_tol : DIFFUSE_KALMAN_TOL EQUAL non_negative_number { driver.option_num("diffuse_kalman_tol", $3); };

1
DynareFlex.ll
View File

@ -295,6 +295,7 @@ DATE -?[0-9]+([YyAa]|[Mm]([1-9]|1[0-2])|[Qq][1-4]|[Ww]([1-9]{1}|[1-4][0-9]|5[0-2
<DYNARE_STATEMENT>logdata {return token::LOGDATA;}
<DYNARE_STATEMENT>nodiagnostic {return token::NODIAGNOSTIC;}
<DYNARE_STATEMENT>kalman_algo {return token::KALMAN_ALGO;}
<DYNARE_STATEMENT>fast_kalman_filter {return token::FAST_KALMAN_FILTER;}
<DYNARE_STATEMENT>kalman_tol {return token::KALMAN_TOL;}
<DYNARE_STATEMENT>diffuse_kalman_tol {return token::DIFFUSE_KALMAN_TOL;}
<DYNARE_STATEMENT>forecast {return token::FORECAST;}