Commit be97d37c authored by Michel Juillard's avatar Michel Juillard
Browse files

updating reference manual

parent 6079cf02
...@@ -2283,7 +2283,7 @@ providing it with a ``steady state file''. ...@@ -2283,7 +2283,7 @@ providing it with a ``steady state file''.
@descriptionhead @descriptionhead
This command computes the steady state of a model using a nonlinear This command computes the steady state of a model using a nonlinear
Newton-type solver. Newton-type solver and displays it. When a steady state file is used @code{steady} displays the steady state and checks that it is a solution of the static model.
More precisely, it computes the equilibrium value of the endogenous More precisely, it computes the equilibrium value of the endogenous
variables for the value of the exogenous variables specified in the variables for the value of the exogenous variables specified in the
...@@ -2387,6 +2387,9 @@ number of computations attempted before giving up. ...@@ -2387,6 +2387,9 @@ number of computations attempted before giving up.
@item homotopy_steps = @var{INTEGER} @item homotopy_steps = @var{INTEGER}
Defines the number of steps when performing a homotopy. See Defines the number of steps when performing a homotopy. See
@code{homotopy_mode} option for more details. @code{homotopy_mode} option for more details.
@item nocheck
Don't check the steady state values when they are provided explicitely either by a steady state file or a @code{steady_state_model} block. This is useful for models with unit roots as, in this case, the steady state is not unique or doesn't exist.
@end table @end table
@examplehead @examplehead
...@@ -2503,14 +2506,13 @@ Again, there are two options for creating this file: ...@@ -2503,14 +2506,13 @@ Again, there are two options for creating this file:
@itemize @itemize
@item @item
You can write this file by hand. See @file{fs2000_steadystate.m} The easiest way is to write a @code{steady_state_model} block.
in the @file{examples} directory for an example. This is the option
which gives the most flexibility, at the expense of a heavier
programming burden.
@item @item
You can use the @code{steady_state_model} block, for a more You can write the corresponding Matlab function by hand. See @file{fs2000_steadystate.m}
user-friendly interface. in the @file{examples} directory for an example. This option
gives a bit more flexibility, at the expense of a heavier
programming burden and a lesser efficiency.
@end itemize @end itemize
...@@ -3749,17 +3751,17 @@ For nonstationary models: a wide prior is used with an initial matrix ...@@ -3749,17 +3751,17 @@ For nonstationary models: a wide prior is used with an initial matrix
of variance of the error of forecast diagonal with 10 on the diagonal of variance of the error of forecast diagonal with 10 on the diagonal
@item 3 @item 3
For nonstationary models: use a diffuse filter For nonstationary models: use a diffuse filter (use rather the @code{diffuse_filter} option)
@item 4 @item 4
The filter is initialized with the fixed point of the Riccati equation The filter is initialized with the fixed point of the Riccati equation
@end table @end table
@noindent @noindent
Default value is @code{1}. Default value is @code{1}. For advanced use only.
@item lik_algo = @var{INTEGER} @item lik_algo = @var{INTEGER}
@dots{} For internal use and testing only.
@item conf_sig = @var{DOUBLE} @item conf_sig = @var{DOUBLE}
@xref{conf_sig}. @xref{conf_sig}.
...@@ -3966,7 +3968,23 @@ decomposition of the above k-step ahead filtered values. ...@@ -3966,7 +3968,23 @@ decomposition of the above k-step ahead filtered values.
@dots{} @dots{}
@item diffuse_filter @item diffuse_filter
@dots{} Uses the diffuse Kalman filter (as described in
@cite{Durbin and Koopman (2001)} and @cite{Koopman and Durbin
(2003)}) to estimate models with non-stationary observed variables.
When @code{diffused_filter} is used the @code{lik_init} option of
@code{estimation} has no effect.
When there are nonstationary variables in a model, there is no unique
deterministic steady state. The user must supply a MATLAB/Octave
function that computes the steady state values of the stationary
variables in the model and returns dummy values for the nonstationary
ones. The function should be called with the name of the @file{.mod}
file followed by @file{_steadystate}. See @file{fs2000_steadystate.m}
in @file{examples} directory for an example.
Note that the nonstationary variables in the model must be integrated
processes (their first difference or k-difference must be stationary).
@item selected_variables_only @item selected_variables_only
Only run the smoother on the variables listed just after the Only run the smoother on the variables listed just after the
...@@ -4284,27 +4302,7 @@ Specify the parameter set to use for running the smoother. The ...@@ -4284,27 +4302,7 @@ Specify the parameter set to use for running the smoother. The
@deffn Command unit_root_vars @var{VARIABLE_NAME}@dots{}; @deffn Command unit_root_vars @var{VARIABLE_NAME}@dots{};
@code{unit_root_vars} is used to declare a list of unit-root This command is deprecated. Use @code{estimation} option @code{diffuse_filter} instead for estimating a model with non-stationary observed variables or @code{steady} option @code{nocheck} to prevent @code{steady} to check the steady state returned by your steady state file.
endogenous variables of a model so that dynare won't check the steady
state levels (defined in the steadystate file) file for these
variables. The information given by this command is no more used for
the initialization of the diffuse kalman filter (as described in
@cite{Durbin and Koopman (2001)} and @cite{Koopman and Durbin
(2003)}).
When @code{unit_root_vars} is used the @code{lik_init} option of
@code{estimation} has no effect.
When there are nonstationary variables in a model, there is no unique
deterministic steady state. The user must supply a MATLAB/Octave
function that computes the steady state values of the stationary
variables in the model and returns dummy values for the nonstationary
ones. The function should be called with the name of the @file{.mod}
file followed by @file{_steadystate}. See @file{fs2000_steadystate.m}
in @file{examples} directory for an example.
Note that the nonstationary variables in the model must be integrated
processes (their first difference or k-difference must be stationary).
@end deffn @end deffn
Dynare also has the ability to estimate Bayesian VARs: Dynare also has the ability to estimate Bayesian VARs:
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