reverted r2010 because of problem with FILENAME token

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2111 ac1d8469-bf42-47a9-8791-bf33cf982152

doc/userguide/models/Alt_Ex1.mod

-{\rtf1\mac\ansicpg10000\cocoartf824\cocoasubrtf420
-{\fonttbl\f0\fswiss\fcharset77 Helvetica;}
-{\colortbl;\red255\green255\blue255;}
-\paperw11900\paperh16840\margl1440\margr1440\vieww9000\viewh8400\viewkind0
-\pard\tx566\tx1133\tx1700\tx2267\tx2834\tx3401\tx3968\tx4535\tx5102\tx5669\tx6236\tx6803\ql\qnatural\pardirnatural
+// example 1 from Collard's guide to Dynare
+var y, c, k, a, h, b;
+varexo e,u;
 
-\f0\fs24 \cf0 // example 1 from Collard's guide to Dynare
\
-var y, c, k, a, h, b;
\
-varexo e,u;
\
-\
-parameters beta, rho, beta, alpha, delta, theta, psi, tau;
\
-\
-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(-1) + e;
\
-b = tau*a(-1)+rho*b(-1) + u;
\
-end;
\
-\
-initval;
\
-y = 1.08068253095672;
\
-c = 0.80359242014163;
\
-h = 0.29175631001732;
\
-k = 5;
\
-a = 0;
\
-b = 0;
\
-e = 0;
\
-u = 0;
\
-end;
\
-\
-shocks;
\
-var e; stderr 0.009;
\
-var u; stderr 0.009;
\
-var e, u = phi*0.009*0.009;
\
-end;
\
-\
-stoch_simul(periods=2100);
\
-}
\ No newline at end of file
+parameters beta, rho, beta, alpha, delta, theta, psi, tau;
+
+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(-1) + e;
+b = tau*a(-1)+rho*b(-1) + u;
+end;
+
+initval;
+y = 1.08068253095672;
+c = 0.80359242014163;
+h = 0.29175631001732;
+k = 5;
+a = 0;
+b = 0;
+e = 0;
+u = 0;
+end;
+
+shocks;
+var e; stderr 0.009;
+var u; stderr 0.009;
+var e, u = phi*0.009*0.009;
+end;
+
+stoch_simul(periods=2100);

doc/userguide/models/RBC_Est.mod

-var y c k i l y_l w r z; 
-varexo e; 
-parameters beta psi delta alpha rho epsilon;
-
-model; 
-(1/c) = beta*(1/c(+1))*(1+r(+1)-delta); 
-psi*c/(1-l) = w; 
-c+i = y; 
-y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha); 
-w = y*((epsilon-1)/epsilon)*(1-alpha)/l; 
-r = y*((epsilon-1)/epsilon)*alpha/k(-1); 
-i = k-(1-delta)*k(-1); 
-y_l = y/l; 
-z = rho*z(-1)+e; 
+var y c k i l y_l w r z; 
+varexo e; 
+parameters beta psi delta alpha rho epsilon;
+
+model; 
+(1/c) = beta*(1/c(+1))*(1+r(+1)-delta); 
+psi*c/(1-l) = w; 
+c+i = y; 
+y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha); 
+w = y*((epsilon-1)/epsilon)*(1-alpha)/l; 
+r = y*((epsilon-1)/epsilon)*alpha/k(-1); 
+i = k-(1-delta)*k(-1); 
+y_l = y/l; 
+z = rho*z(-1)+e; 
+end; 
+
+varobs y; 
+
+initval;
+  k = 9;
+  c = 0.76;
+  l = 0.3;
+  w = 2.07;
+  r = 0.03;
+  z = 0; 
+  e = 0;
+end;
+
+estimated_params; 
+alpha, beta_pdf, 0.35, 0.02; 
+beta, beta_pdf, 0.99, 0.002; 
+delta, beta_pdf, 0.025, 0.003; 
+psi, gamma_pdf, 1.75, 0.02; 
+rho, beta_pdf, 0.95, 0.05; 
+epsilon, gamma_pdf, 10, 0.003; 
+stderr e, inv_gamma_pdf, 0.01, inf; 
 end; 
 
-varobs y; 
-
-initval;
-  k = 9;
-  c = 0.76;
-  l = 0.3;
-  w = 2.07;
-  r = 0.03;
-  z = 0; 
-  e = 0;
-end;
-
-estimated_params; 
-alpha, beta_pdf, 0.35, 0.02; 
-beta, beta_pdf, 0.99, 0.002; 
-delta, beta_pdf, 0.025, 0.003; 
-psi, gamma_pdf, 1.75, 0.02; 
-rho, beta_pdf, 0.95, 0.05; 
-epsilon, gamma_pdf, 10, 0.003; 
-stderr e, inv_gamma_pdf, 0.01, inf; 
-end; 
-
-
-estimation(datafile=simuldataRBC,nobs=200,first_obs=500,mh_replic=2000,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.8); 
+
+estimation(datafile=simuldataRBC,nobs=200,first_obs=500,mh_replic=2000,mh_nblocks=2,mh_drop=0.45,mh_jscale=0.8); 

doc/userguide/models/RBC_Monop_JFV.mod

-
-// Adapted from Jesus Fernandez-Villaverde, Basic RBC Model with Monopolistic Competion Philadelphia, March 3, 2005
-
-
-
-
-
-
-var y c k i l y_l w r  z;
-
-
-varexo e;
-
-
-
-
-
-parameters beta psi delta alpha rho gamma sigma epsilon;
-
-
-
-alpha   = 0.33;
-
-
-beta    = 0.99;
-
-
-delta   = 0.023;
-
-
-psi     = 1.75;
-
-
-rho     = 0.95;  
-
-
-sigma   = (0.007/(1-alpha));
-
-
-epsilon = 10;
-
-
-
-
-
-model;
-
-
-  (1/c) = beta*(1/c(+1))*(1+r(+1)-delta);
-
-
-  psi*c/(1-l) = w;
-
-
-  c+i = y;
-
-
-  y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha);
-
-
-  w = y*((epsilon-1)/epsilon)*(1-alpha)/l;
-
-
-  r = y*((epsilon-1)/epsilon)*alpha/k(-1);
-
-
-  i = k-(1-delta)*k(-1);
-
-
-  y_l = y/l;
-
-
-  z = rho*z(-1)+e;
-
-
-end;
-
-
-
-initval;
-
-
-  k = 9;
-
-
-  c = 0.76;
-
-
-  l = 0.3;
-
-
-  w = 2.07;
-
-
-  r = 0.03;
-
-
-  z = 0; 
-
-
-  e = 0;
-
-
-end;
+// Adapted from Jesus Fernandez-Villaverde, Basic RBC Model with Monopolistic Competion Philadelphia, March 3, 2005
+
+var y c k i l y_l w r  z;
+varexo e;
+parameters beta psi delta alpha rho gamma sigma epsilon;
+
+alpha   = 0.33;
+beta    = 0.99;
+delta   = 0.023;
+psi     = 1.75;
+rho     = 0.95;  
+sigma   = (0.007/(1-alpha));
+epsilon = 10;
+
+model;
+  (1/c) = beta*(1/c(+1))*(1+r(+1)-delta);
+  psi*c/(1-l) = w;
+  c+i = y;
+  y = (k(-1)^alpha)*(exp(z)*l)^(1-alpha);
+  w = y*((epsilon-1)/epsilon)*(1-alpha)/l;
+  r = y*((epsilon-1)/epsilon)*alpha/k(-1);
+  i = k-(1-delta)*k(-1);
+  y_l = y/l;
+  z = rho*z(-1)+e;
+end;
+
+initval;
+  k = 9;
+  c = 0.76;
+  l = 0.3;
+  w = 2.07;
+  r = 0.03;
+  z = 0; 
+  e = 0;
+end;
 
 steady;
 
-check;
-
-
-
-
-shocks;
-
-
-var e = sigma^2;
-
-
-end;
-
-
-
-
-
-steady;
-
-
-
-
-
-stoch_simul(periods=2100);
-
-
+check;
+
+shocks;
+var e = sigma^2;
+end;
+
+stoch_simul(periods=2100);
+
+

matlab/CutSample.m

@@ -31,6 +31,8 @@ function CutSample(M_, options_, estim_params_)
 % You should have received a copy of the GNU General Public License
 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 
+global M_ options_ estim_params_
+
 npar = estim_params_.np+estim_params_.nvn+estim_params_.ncx+estim_params_.ncn+estim_params_.nvx;
 
 DirectoryName = CheckPath('metropolis');

matlab/compute_model_moments.m

-function moments=compute_model_moments(dr,M_,options,_)
+function moments=compute_model_moments(dr,SelectVariables,M_,options_)
+%function moments=compute_model_moments(dr,M_,options_)
 %
 % INPUTS
 %    dr:        structure describing model solution
+%    SelectVariables: indices of selected variables
 %    M_:   structure of Dynare options
 %     options_
 %    
@@ -28,4 +30,4 @@ function moments=compute_model_moments(dr,M_,options,_)
 % You should have received a copy of the GNU General Public License
 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 
-    moments = th_autocovariances(dr,options_.varlist,M_,options_);
+    moments = th_autocovariances(dr,SelectVariables,M_,options_);

matlab/dynare_sensitivity.m

@@ -99,6 +99,19 @@ if ~(exist('stab_map_','file')==6 | exist('stab_map_','file')==2),
     end
 end
 
+if ~(exist('gsa_sdp','file')==6 | exist('gsa_sdp','file')==2),
+    dynare_root = strrep(which('dynare.m'),'dynare.m','');
+    ss_anova_path = [dynare_root 'gsa/ss_anova_recurs'];
+    if exist(ss_anova_path)
+        addpath(ss_anova_path,path)
+    else
+        disp('Download Dynare sensitivity routines at:')
+        disp('http://eemc.jrc.ec.europa.eu/softwareDYNARE-Dowload.htm')
+        disp(' ' )
+        error('Mapping routines missing!')
+    end
+end
+
 
 if options_gsa.morris,
   options_gsa.redform=1;

matlab/rplot.m

@@ -46,10 +46,10 @@ for k=1:size(s1,1)
   y = [y; oo_.endo_simul(strmatch(s1(k,:),M_.endo_names,'exact'),:)] ;
 end
 
-if options_.smpl == 0
+if options_.dsample == 0
         i = [M_.maximum_lag:size(oo_.endo_simul,2)]' ;
 else
-	i = [options_.smpl(1)+M_.maximum_lag:options_.smpl(2)+M_.maximum_lag]' ;
+	i = [options_.dsample(1)+M_.maximum_lag:options_.dsample(2)+M_.maximum_lag]' ;
 end
 
 t = ['Plot of '] ;
@@ -86,9 +86,6 @@ elseif rplottype == 2
 	end
 end
 
-% 02/28/01 MJ replaced bseastr by MATLAB's strmatch
-% 06/19/01 MJ added 'exact' to strmatch calls
-% 06/25/03 MJ correction when options_.smpl ~= 0
 
 
 

matlab/steady.m

@@ -49,7 +49,19 @@ function steady()
      homotopy3(options_.homotopy_values, options_.homotopy_steps);
   end
   
-  steady_;
+  if options_.homotopy_mode == 1
+    homotopy1(options_.homotopy_param,options_.homotopy_exo, ...
+	      options_.homotopy_exodet,options_.homotopy_steps);
+  elseif options_.homotopy_mode == 2
+    homotopy2(options_.homotopy_param,options_.homotopy_exo, ...
+	      options_.homotopy_exodet,options_.homotopy_steps);
+  elseif options_.homotopy_mode == 3
+    homotopy3(options_.homotopy_param,options_.homotopy_exo, ...
+	      options_.homotopy_exodet,options_.homotopy_steps);
+  else
+    steady_;
+  end
+  
   
   disp(' ')
   disp('STEADY-STATE RESULTS:')

tests/arima/mod1a.mod

@@ -3,11 +3,11 @@ varexo e_x e_y;
 
 parameters rho_x rho_y;
 
-rho_x = 0.5;
+rho_x = 0.5; // comment 1
 rho_y = -0.3;
 
 model;
-dx = rho_x*dx(-1)+e_x;
+dx = rho_x*dx(-1)+e_x; // comment 2
 dy = rho_y*dy(-1)+e_y;
 end;
 
@@ -20,4 +20,4 @@ end;
 
 varobs dx dy;
 check;
-estimation(datafile=data1,nobs=1000,mh_replic=2000);
\ No newline at end of file
+estimation(datafile=data1,nobs=1000,mh_replic=2000,mh_jscale=1.2);
\ No newline at end of file

tests/arima/mod1c.mod

@@ -24,4 +24,4 @@ end;
 
 varobs x y;
 unit_root_vars x y;
-estimation(datafile=data1,nobs=1000,mh_replic=2000,lik_init=2);
\ No newline at end of file
+estimation(datafile=data1,nobs=1000,mh_replic=2000,diffuse_filter);
\ No newline at end of file

tests/arima/mod2a.mod

@@ -30,4 +30,4 @@ end;
 varobs dx dy;
 
 unit_root_vars x y;
-estimation(datafile=data2,nobs=100,mh_replic=0,lik_init=2);
+estimation(datafile=data2,nobs=100,mh_replic=0,diffuse_filter);

tests/arima/mod2b.mod

@@ -29,5 +29,4 @@ end;
 
 varobs x y;
 
-unit_root_vars x y;
-estimation(datafile=data2,nobs=100,mh_replic=0,lik_init=2);
+estimation(datafile=data2,nobs=100,mh_replic=0,mh_nblocks=1);

tests/example1.mod

 // example 1 from Collard's guide to Dynare
 var y, c, k, a, h, b;
-varexo e,u;
+varexo u, e;
 
 parameters beta, rho, alpha, delta, theta, psi, tau, phi;
 
@@ -36,9 +36,13 @@ u = 0;
 end;
 
 shocks;
-var e; stderr 0.009;
+var e; stderr 0.018;
 var u; stderr 0.009;
-var e, u = phi*0.009*0.009;
+var e, u = phi*0.018*0.009;
 end;
 
-stoch_simul;
+rhos = 0.8:0.05:0.8;
+for i=1:length(rhos);
+ rho = rhos(i);
+ stoch_simul(order=2);
+end;
\ No newline at end of file

tests/fs2000/fs2000b.mod

@@ -72,6 +72,8 @@ var e_a; stderr 0.014;
 var e_m; stderr 0.005;
 end;
 
+unit_root_vars P_obs Y_obs;
+
 steady;
 
 check;
@@ -95,8 +97,7 @@ P_obs (log(mst)-gam);
 Y_obs (gam);
 end;
 
-unit_root_vars P_obs Y_obs;
 
 //stoch_simul(order=1,nomoments,irf=0);
-estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=0,mh_nblocks=2,mh_drop=0.45,mode_compute=0,mode_file=fs2000b_mode,load_mh_file);
-stab_map_;
+estimation(datafile=fsdat,nobs=192,loglinear,mh_replic=2000,mh_nblocks=2,mh_jscale=0.8,mode_compute=0,mode_file=fs2000b_mode,kalman_algo=4);
+

tests/kalman_filter_smoother/testsmoother.m

+global options_ M_
 load test
 % $$$ Y = Y(1:2,:);
 % $$$ mf = mf(1:2);
 % $$$ H=H(1:2,1:2);
 % $$$ pp = pp-1;
 % $$$ trend =trend(1:2,:);
+M_.fname = ' ';
+global_initialization;
+options_.nk = 1;
 Pinf1(1,1) = 1;
 Pstar1(1,1) = 0;
-Pstar1(4,1) = 0;
-Pstar1(1,4) = 0;
+Pstar1(5,1) = 0;
+Pstar1(1,5) = 0;
 [alphahat1,epsilonhat1,etahat1,a11, aK1] = DiffuseKalmanSmootherH1(T,R,Q,H, ...
 						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
 [alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH3(T,R,Q,H, ...
@@ -18,39 +22,51 @@ max(max(abs(epsilonhat1-epsilonhat2)))
 max(max(abs(etahat1-etahat2)))
 max(max(abs(a11-a12)))
 max(max(abs(aK1-aK2)))
-
 return
+H = zeros(size(H));
 [alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
 						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
-[alphahat2,etahat2,a12, aK2] = DiffuseKalmanSmoother3(T,R,Q, ...
+[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH1(T,R,Q,H, ...
 						  Pinf1,Pstar1,Y,trend, ...
 						  pp,mm,smpl,mf);
-
-
 max(max(abs(alphahat1-alphahat2)))
 max(max(abs(etahat1-etahat2)))
 max(max(abs(a11-a12)))
 %max(max(abs(aK1-aK2)))
 
 
-H = zeros(size(H));
-[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
+[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother3(T,R,Q, ...
 						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
-[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH1(T,R,Q,H, ...
-						  Pinf1,Pstar1,Y,trend, ...
-						  pp,mm,smpl,mf);
+[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH3(T,R,Q, H, ...
+						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
+
 max(max(abs(alphahat1-alphahat2)))
 max(max(abs(etahat1-etahat2)))
 max(max(abs(a11-a12)))
 %max(max(abs(aK1-aK2)))
 
+Pinf1 = zeros(5,5);
+Pinf1(1,1) = 1;
+a=0.3*randn(4,4);
+Pstar1 = [zeros(1,5); [zeros(4,1) a'*a]];
+T = 0.8*eye(5);
+T(1,1) = 1;
+Y = Y(1,:);
+mf = 1;
+pp = 1;
+trend = trend(1,:);
+options_.diffuse_d = 1;
 
-[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother3(T,R,Q, ...
-						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
-[alphahat2,epsilonhat2,etahat2,a12, aK2] = DiffuseKalmanSmootherH3(T,R,Q, H, ...
+[alphahat1,etahat1,a11, aK1] = DiffuseKalmanSmoother1(T,R,Q, ...
 						  Pinf1,Pstar1,Y,trend,pp,mm,smpl,mf);
+[alphahat2,etahat2,a12, aK2] = DiffuseKalmanSmoother3(T,R,Q, ...
+						  Pinf1,Pstar1,Y,trend, ...
+						  pp,mm,smpl,mf);
+
 
 max(max(abs(alphahat1-alphahat2)))
 max(max(abs(etahat1-etahat2)))
 max(max(abs(a11-a12)))
 %max(max(abs(aK1-aK2)))
+return
+

tests/pi2004/ireland.mod

@@ -53,8 +53,8 @@ oc = c;
 oh = h;
 end;
 
-steady;
-check;
+//steady;
+//check;
 
 estimated_params;
 theta , 0.22, 0.1, 0.5;
@@ -87,4 +87,5 @@ oy (log(eta));
 oc (log(eta));