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doc/AIM/Dynare AIM use Doc.html
View file @ f97044b9
......@@ -79,7 +79,7 @@ p.footer {
</ul>
</div>
<h2>AIM Solver Subsystem<a name="1"></a></h2>
<p>The AIM subsystem in the AIM subdirectory of the main Dynare matlab directory contains Matlab functions necessary for using
<p>The AIM subsystem in the AIM subdirectory of the main Dynare matlab directory contains MATLAB functions necessary for using
Gary Anderson's AIM 1st order solver as an alternative to Dynare's default mjdgges solver (see <a href="http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html">http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html</a> ).
</p>
<p>It cosists of:</p>
......@@ -92,7 +92,7 @@ p.footer {
</div>
<div>
<ul>
<li>A subset of Matlab routines from Gary Anderson's own AIM package needed to compute and solve system passed on and returned
<li>A subset of MATLAB routines from Gary Anderson's own AIM package needed to compute and solve system passed on and returned
by dynAIMsolver1 whose names start with SP.. of which <b>SPAmalg.m</b> is the main driver:
</li>
</ul>
......@@ -215,7 +215,7 @@ p.footer {
can produce ~ one order closer results to the Dynare solutiion
then when if plain jacobia_ is passed,
i.e. diff &lt; e-14 for aa and diff &lt; *e-13 for jacobia_ if Q' is used.</pre><p>GP July 2008</p>
<p>part of DYNARE, copyright Dynare Team (1996-2008) Gnu Public License.</p>
<p>part of Dynare, copyright Dynare Team (1996-2008) Gnu Public License.</p>
<p class="footer"><br>
Published with MATLAB&reg; 7.1<br></p>
</div>
......@@ -225,7 +225,7 @@ p.footer {
%% AIM Solver Subsystem
% The AIM subsystem in the AIM subdirectory of the main Dynare matlab
% directory contains Matlab functions necessary for using
% directory contains MATLAB functions necessary for using
% Gary Anderson's AIM 1st order solver as an alternative to Dynare's default mjdgges solver (see http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html ).
%
% It cosists of:
......@@ -236,7 +236,7 @@ p.footer {
% gu=dr.hgu from the AIM outputs. ("1" in the title is for 1st order
% solver).
%
% * A subset of Matlab routines from Gary Anderson's own AIM package needed to compute
% * A subset of MATLAB routines from Gary Anderson's own AIM package needed to compute
% and solve system passed on and returned by dynAIMsolver1 whose names start with SP..
% of which *SPAmalg.m* is the main driver:
%
......@@ -394,7 +394,7 @@ p.footer {
%
% GP July 2008
%
% part of DYNARE, copyright Dynare Team (1996-2008)
% part of Dynare, copyright Dynare Team (1996-2008)
% Gnu Public License.
##### SOURCE END #####
......
doc/AIM/Dynare AIM use Doc.mht
View file @ f97044b9
......@@ -111,7 +111,7 @@ demia/Economics/Dynare%20DSGE/V4/doc/AIM/Dynare%20AIM%20use%20Doc.html#11=
<H2>AIM Solver Subsystem<A name=3D1></A></H2>
<P>The AIM subsystem in the AIM subdirectory of the main Dynare matlab =
directory=20
contains Matlab functions necessary for using Gary Anderson's AIM 1st =
contains MATLAB functions necessary for using Gary Anderson's AIM 1st =
order=20
solver as an alternative to Dynare's default mjdgges solver (see <A=20
href=3D"http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html">http:/=
......@@ -129,7 +129,7 @@ AIM outputs.=20
("1" in the title is for 1st order solver). </LI></UL></DIV>
<DIV>
<UL>
<LI>A subset of Matlab routines from Gary Anderson's own AIM package =
<LI>A subset of MATLAB routines from Gary Anderson's own AIM package =
needed to=20
compute and solve system passed on and returned by dynAIMsolver1 whose =
names=20
......@@ -328,7 +328,7 @@ forward looking models, passing into dynAIMsolver aa =3D{Q'|1}*jacobia_
i.e. diff &lt; e-14 for aa and diff &lt; *e-13 for jacobia_ if Q' =
is used.</PRE>
<P>GP July 2008</P>
<P>part of DYNARE, copyright Dynare Team (1996-2008) Gnu Public =
<P>part of Dynare, copyright Dynare Team (1996-2008) Gnu Public =
License.</P>
<P class=3Dfooter><BR>Published with MATLAB=C2=AE 7.1<BR></P></DIV><!--=0A=
##### SOURCE BEGIN #####=0A=
......@@ -336,7 +336,7 @@ License.</P>
%% AIM Solver Subsystem
% The AIM subsystem in the AIM subdirectory of the main Dynare matlab
% directory contains Matlab functions necessary for using
% directory contains MATLAB functions necessary for using
% Gary Anderson's AIM 1st order solver as an alternative to Dynare's =
default mjdgges solver (see =
http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html ).=20
......@@ -351,7 +351,7 @@ subsystem.=20
% gu=3Ddr.hgu from the AIM outputs. ("1" in the title is for 1st order
% solver).
%
% * A subset of Matlab routines from Gary Anderson's own AIM package =
% * A subset of MATLAB routines from Gary Anderson's own AIM package =
needed to compute
% and solve system passed on and returned by dynAIMsolver1 whose names =
start with SP..=20
......@@ -544,7 +544,7 @@ used. =20
%
% GP July 2008 =20
%
% part of DYNARE, copyright Dynare Team (1996-2008)
% part of Dynare, copyright Dynare Team (1996-2008)
% Gnu Public License.
=0A=
##### SOURCE END #####=0A=
......
doc/AIM/Dynare AIM use Doc.tex
View file @ f97044b9
......@@ -30,7 +30,7 @@
\subsection*{AIM Solver Subsystem}
\begin{par}
The AIM subsystem in the AIM subdirectory of the main Dynare matlab directory contains Matlab functions necessary for using Gary Anderson's AIM 1st order solver as an alternative to Dynare's default mjdgges solver (see \begin{verbatim}http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html\end{verbatim} ).
The AIM subsystem in the AIM subdirectory of the main Dynare matlab directory contains MATLAB functions necessary for using Gary Anderson's AIM 1st order solver as an alternative to Dynare's default mjdgges solver (see \begin{verbatim}http://www.federalreserve.gov/Pubs/oss/oss4/aimindex.html\end{verbatim} ).
\end{par} \vspace{1em}
\begin{par}
It cosists of:
......@@ -41,7 +41,7 @@ It cosists of:
\end{itemize}
\begin{itemize}
\setlength{\itemsep}{-1ex}
\item A subset of Matlab routines from Gary Anderson's own AIM package needed to compute and solve system passed on and returned by dynAIMsolver1 whose names start with SP.. of which \textbf{SPAmalg.m} is the main driver:
\item A subset of MATLAB routines from Gary Anderson's own AIM package needed to compute and solve system passed on and returned by dynAIMsolver1 whose names start with SP.. of which \textbf{SPAmalg.m} is the main driver:
\end{itemize}
\begin{itemize}
\setlength{\itemsep}{-1ex}
......@@ -235,7 +235,7 @@ Dynare use:
GP July 2008
\end{par} \vspace{1em}
\begin{par}
part of DYNARE, copyright Dynare Team (1996-2008) Gnu Public License.
part of Dynare, copyright Dynare Team (1996-2008) Gnu Public License.
\end{par} \vspace{1em}
......
doc/Makefile.am deleted 100644 → 0
View file @ 0691b083
SUBDIRS = preprocessor macroprocessor userguide parallel internals gsa dseries-and-reporting
info_TEXINFOS = dynare.texi
if HAVE_TEXI2HTML
if HAVE_LATEX2HTML
html-local: dynare.html
dynare.html: dynare.texi
rm -rf dynare.html
mkdir -p dynare.html
cd dynare.html && $(TEXI2HTML) --l2h --split section --prefix index ../dynare.texi
endif
endif
PDF_TARGETS =
if HAVE_PDFLATEX
PDF_TARGETS += guide.pdf bvar-a-la-sims.pdf
if HAVE_BIBTEX
PDF_TARGETS += dr.pdf
endif
endif
pdf-local: $(PDF_TARGETS)
EXTRA_DIST = guide.tex guide.bbl bibmad.sty bvar-a-la-sims.tex dr.tex dr.bib dynare.plots
guide.pdf: guide.tex guide.bbl bibmad.sty
$(PDFLATEX) guide
$(PDFLATEX) guide
bvar-a-la-sims.pdf: bvar-a-la-sims.tex
$(PDFLATEX) bvar-a-la-sims
$(PDFLATEX) bvar-a-la-sims
dr.pdf: dr.tex
$(PDFLATEX) dr
$(BIBTEX) dr
$(PDFLATEX) dr
$(PDFLATEX) dr
clean-local:
# Do not delete guide.bbl which is not autogenerated
rm -f *~ *.pdf *.log *.aux *.out *.blg dr.bbl
doc/bibmad.sty deleted 100644 → 0
View file @ 0691b083
\message{harvard bibliography,}
\def\@hiteml[#1]#2#3#4{\item[]\if@filesw%
{ \def\protect##1{\string ##1\space}\immediate%
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\global\@namedef{bhf@#1}{#2}
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\def\citeasnoun{\@ifnextchar [{\@tempswatrue\@citex}{\@tempswafalse\@citex[]}}
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% \def\@enamedef#1{\expandafter\edef\csname #1\endcsname}
% Previous line should be replaced by the following to prevent
% problems with the NFSS. Solution by Bernd Raichle.
\def\@enamedef#1{\expandafter\def\csname #1\expandafter\endcsname\expandafter}
\def\@citex[#1]#2{\if@filesw\immediate\write\@auxout{\string\citation{#2}}\fi
\def\@citea{}\@cite{\@for\@citeb:=#2\do
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{b@\@citeb}{{\bf ?}\@warning
{Citation `\@citeb' on page \thepage \space undefined}}%
{{\csname b@\@citeb\endcsname\@hysep\csname bhy@\@citeb\endcsname}%
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}}{#1}}
\def\@citexasnoun[#1]#2{%
\if@filesw\immediate\write\@auxout{\string\citation{#2}}\fi%
\@citeasnoun{{\@ifundefined%
{b@#2}%
{[{\bf ?}\@warning{Citation `#2' on page \thepage \space undefined}}%
{{\csname b@#2\endcsname\ [\csname bhy@#2\endcsname}%
\global\@namedef{b@#2}{\csname bha@#2\endcsname}}%
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\def\@citexname[#1]#2{%
\if@filesw\immediate\write\@auxout{\string\citation{#2}}\fi%
\@citename{{\@ifundefined%
{b@#2}%
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{{\csname bhf@#2\endcsname}}%
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\def\@citexyear[#1]#2{\if@filesw\immediate\write\@auxout{\string\citation{#2}}\fi
\def\@citeayear{}\@cite{\@for\@citebyear:=#2\do
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{b@\@citebyear}{{\bf ?}\@warning
{Citation `\@citebyear' on page \thepage \space undefined}}%
{{\csname bhy@\@citebyear\endcsname}%
}%
}}{#1}}
\gdef\hysep@agsm{\ }\gdef\hisep@agsm{,}%
\gdef\hysep@dcu{, }\gdef\hisep@dcu{;}%
\let\@hysep\hysep@agsm \let\@hisep\hisep@agsm
\def\citationstyle#1{%
\global\@namedef{@hysep}{\csname hysep@#1\endcsname}%
\global\@namedef{@hisep}{\csname hisep@#1\endcsname}}
%DEFAULT DEFINITIONS
\def\@cite#1#2{({#1\if@tempswa , #2\fi})}
\def\@citeasnoun#1#2{{#1\if@tempswa , #2\fi]}}
\def\@citename#1#2{{#1\if@tempswa \ (#2)\fi}}
% CHANGE \end{document} - to handle double definitions
\def\enddocument{\@checkend{document}\clearpage\begingroup
\if@filesw \immediate\closeout\@mainaux
\def\global\@namedef##1##2{}\def\newlabel{\@testdef r}%
\def\bibcite{\@testdef b}%
\def\harvardcite{\@testbibh}\@tempswafalse \makeatletter\input \jobname.aux
\if@tempswa \@warning{Label(s) may have changed. Rerun to get
cross-references right}\fi\fi\endgroup\deadcycles\z@\@@end}
\def\@testbibh #1#2#3{
\def\@tempa{#2}\expandafter
\ifx \csname bhf@#1\endcsname \@tempa
\def\@tempa{#3}\expandafter
\ifx \csname bha@#1\endcsname \@tempa
\else \@tempswatrue
\fi
\else
\@tempswatrue
\fi
}
%
\ No newline at end of file
doc/bvar-a-la-sims.tex
View file @ f97044b9
......@@ -11,29 +11,29 @@
\begin{document}
\title{BVAR models ``\`a la Sims'' in Dynare\thanks{Copyright \copyright~2007--2011 S\'ebastien
Villemot. Permission is granted to copy, distribute and/or modify
\title{BVAR models ``\`a la Sims'' in Dynare\thanks{Copyright \copyright~2007--2015 S\'ebastien
Villemot; \copyright~2016--2017 S\'ebastien
Villemot and Johannes Pfeifer. Permission is granted to copy, distribute and/or modify
this document under the terms of the GNU Free Documentation
License, Version 1.3 or any later version published by the Free
Software Foundation; with no Invariant Sections, no Front-Cover
Texts, and no Back-Cover Texts. A copy of the license can be found
at: \url{http://www.gnu.org/licenses/fdl.txt}
at: \url{https://www.gnu.org/licenses/fdl.txt}
\newline
\indent Many thanks to Christopher Sims for providing his BVAR
MATLAB\textregistered~routines, to St\'ephane Adjemian and Michel Juillard
MATLAB\textsuperscript{\textregistered}~routines, to St\'ephane Adjemian and Michel Juillard
for their helpful support, and to Marek Jaroci\'nski for reporting a bug.
}}
\author{S\'ebastien Villemot\thanks{Paris School of Economics and
CEPREMAP. E-mail:
\href{mailto:sebastien@dynare.org}{\texttt{sebastien@dynare.org}}.}}
\date{First version: September 2007 \hspace{1cm} This version: August 2012}
CEPREMAP.} \and Johannes Pfeifer\thanks{University of the Bundeswehr Munich. E-mail: \href{mailto:johannes.pfeifer@unibw.de}{\texttt{johannes.pfeifer@unibw.de}}.}}
\date{First version: September 2007 \hspace{1cm} This version: May 2017}
\maketitle
\begin{abstract}
Dynare incorporates routines for Bayesian VAR models estimation, using a
flavor of the so-called ``Minnesota priors,''. These routines can be used
flavor of the so-called ``Minnesota priors.'' These routines can be used
alone or in parallel with a DSGE estimation. This document describes their
implementation and usage.
\end{abstract}
......@@ -435,10 +435,11 @@ p(Y^+ | X^+) & = & \frac{\int (2\pi)^{-\frac{T^+\cdot ny}{2}} f(\Phi,\Sigma | \d
\section{Dynare commands}
\label{dynare-commands}
Dynare incorporates two commands related to BVAR models \`a la Sims:
Dynare incorporates three commands related to BVAR models \`a la Sims:
\begin{itemize}
\item \texttt{bvar\_density} for computing marginal density,
\item \texttt{bvar\_forecast} for forecasting (and RMSE computation).
\item \texttt{bvar\_forecast} for forecasting (and RMSE computation),
\item \texttt{bvar\_irf} for computing Impulse Response Functions.
\end{itemize}
\subsection{Common options}
......@@ -499,16 +500,18 @@ The syntax for computing the marginal density is:
The options are those described above.
The command will actually compute the marginal density for several models: first for the model with one lag, then with two lags, and so on up to \textit{max\_number\_of\_lags} lags.
The command will actually compute the marginal density for several models: first for the model with one lag, then with two lags, and so on up to \textit{max\_number\_of\_lags} lags. Results will be stored in a \textit{max\_number\_of\_lags} by 1 vector \texttt{oo\_.bvar.log\_marginal\_data\_density}. The command will also store the prior and posterior information into \textit{max\_number\_of\_lags} by 1 cell arrays \texttt{oo\_.bvar.prior} and \texttt{oo\_.bvar.posterior}.
\subsection{Forecasting}
The syntax for computing (out-of-sample) forecasts is:
\medskip
\texttt{bvar\_forecast(}\textit{options\_list}\texttt{) }\textit{max\_number\_of\_lags}\texttt{;}
\texttt{bvar\_forecast(}\textit{options\_list}\texttt{) }\textit{number\_of\_lags}\texttt{;}
\medskip
In contrast to the \texttt{bvar\_density}, you need to specify the actual lag length used, not the maximum lag length. Typically, the actual lag length should be based on the results from the \texttt{bvar\_density} command.
The options are those describe above, plus a few ones:
\begin{itemize}
\item \texttt{forecast}: the number of periods over which to compute forecasts after the end of the sample (no default)
......@@ -539,6 +542,42 @@ Most results are stored for future use:
\item if RMSE has been computed, results are in \texttt{oo\_.bvar.forecast.rmse}.
\end{itemize}
\subsection{Impulse Response Functions}
The syntax for computing impulse response functions is:
\medskip
\texttt{bvar\_irf(}\textit{number\_of\_lags},\textit{identification\_scheme}\texttt{);}
\medskip
The \textit{identification\_scheme} option has two potential values
\begin{itemize}
\item \texttt{'Cholesky'}: uses a lower triangular factorization of the covariance matrix (default),
\item \texttt{'SquareRoot'}: uses the Matrix square root of the covariance matrix (\verb+sqrtm+ matlab's routine).
\end{itemize}
Keep in mind that the first factorization of the covariance matrix is sensible to the ordering of the variables (as declared in the mod file with \verb+var+). This is not the case of the second factorization, but its structural interpretation is, at best, unclear (the Matrix square root of a covariance matrix, $\Sigma$, is the unique symmetric matrix $A$ such that $\Sigma = AA$).\newline
If you want to change the length of the IRFs plotted by the command, you can put\\
\medskip
\texttt{options\_.irf=40;}\\
\medskip
before the \texttt{bvar\_irf}-command. Similarly, to change the coverage of the highest posterior density intervals to e.g. 60\% you can put the command\\
\medskip
\texttt{options\_.bvar.conf\_sig=0.6;}\\
\medskip
there.\newline
The mean, median, variance, and confidence intervals for IRFs are saved in \texttt{oo\_.bvar.irf}
\section{Examples}
This section presents two short examples of BVAR estimations. These examples and the associated datafile (\texttt{bvar\_sample.m}) can be found in the \texttt{tests/bvar\_a\_la\_sims} directory of the Dynare v4 subversion tree.
......@@ -555,6 +594,8 @@ bvar_density(datafile = bvar_sample, first_obs = 20, bvar_prior_flat,
bvar_prior_train = 10) 8;
bvar_forecast(forecast = 10, bvar_replic = 10000, nobs = 200) 8;
bvar_irf(8,'Cholesky');
\end{verbatim}
Note that you must declare twice the variables used in the estimation: first with a \texttt{var} statement, then with a \texttt{varobs} statement. This is necessary to have a syntactically correct \texttt{mod} file.
......
doc/dr.bib
View file @ f97044b9
% Encoding: UTF-8
@techreport{adjemian/al:2011,
author = {Adjemian, St\'ephane and Bastani, Houtan and Juillard, Michel and Mihoubi, Ferhat and Perendia, George and Ratto, Marco and Villemot, S\'ebastien},
title = {Dynare: Reference Manual, Version 4},
@TechReport{adjemian/al:2011,
author = {Adjemian, St\'ephane and Bastani, Houtan and Juillard, Michel and Karam\'e, Fr\'ederic and Maih, Junior and Mihoubi, Ferhat and Mutschler, Willi and Perendia, George and Pfeifer, Johannes and Ratto, Marco and Villemot, S\'ebastien},
institution = {CEPREMAP},
title = {Dynare: Reference Manual Version 4},
year = {2011},
number = {1},
type = {Dynare Working Papers},
number = {1}
}
@article{blanchard/kahn:1980,
@Article{blanchard/kahn:1980,
author = {Blanchard, Olivier Jean and Kahn, Charles M.},
title = {The Solution of Linear Difference Models under Rational Expectations},
journal = {Econometrica},
year = 1980,
volume = {48},
title = {The Solution of Linear Difference Models under Rational Expectations},
year = {1980},
month = {7},
number = {5},
pages = {1305-11},
month = {July},
keywords = { Macromodels Yield curve Persistence},
volume = {48},
abstract = {Many have questioned the empirical relevance of the Calvo-Yun model. This paper adds a term structure to three widely studied macroeconomic models (Calvo-Yun, hybrid and Svensson). We back out from observations on the yield curve the underlying macroeconomic model that most closely matches the level, slope and curvature of the yield curve. With each model we trace the response of the yield curve to macroeconomic shocks. We assess the fit of each model against the observed behaviour of interest rates and find limited support for the Calvo-Yun model in terms of fit with the observed yield curve, we find some support for the hybrid model but the Svensson model performs best.},
url = {http://ideas.repec.org/a/ecm/emetrp/v48y1980i5p1305-11.html}
doi = {10.2307/1912186},
keywords = {Macromodels Yield curve Persistence},
}
@article{klein:2000,
@Article{klein:2000,
author = {Klein, Paul},
title = {Using the generalized Schur form to solve a multivariate linear rational expectations model},
journal = {Journal of Economic Dynamics and Control},
year = 2000,
volume = {24},
title = {Using the generalized {Schur} form to solve a multivariate linear rational expectations model},
year = {2000},
month = {September},
number = {10},
pages = {1405-1423},
month = {September},
keywords = {},
abstract = {},
url = {http://ideas.repec.org/a/eee/dyncon/v24y2000i10p1405-1423.html}
volume = {24},
doi = {10.1016/s0165-1889(99)00045-7},
}
@article{schmitt-grohe/uribe:2004,
@Article{schmitt-grohe/uribe:2004,
author = {Schmitt-Groh\'{e}, Stephanie and Ur\'{i}be, Martin},
title = {Solving dynamic general equilibrium models using a second-order approximation to the policy function},
journal = {Journal of Economic Dynamics and Control},
year = 2004,
volume = {28},
title = {Solving dynamic general equilibrium models using a second-order approximation to the policy function},
year = {2004},
month = {January},
number = {4},
pages = {755-775},
month = {January},
keywords = {},
url = {http://ideas.repec.org/a/eee/dyncon/v28y2004i4p755-775.html}
volume = {28},
doi = {10.1016/s0165-1889(03)00043-5},
}
@article{sims:2001,
@Article{sims:2001,
author = {Sims, Christopher A},
title = {Solving Linear Rational Expectations Models},
journal = {Computational Economics},
year = 2002,
volume = {20},
title = {Solving Linear Rational Expectations Models},
year = {2002},
month = {October},
number = {1-2},
pages = {1-20},
month = {October},
keywords = {},
abstract = {},
url = {http://ideas.repec.org/a/kap/compec/v20y2002i1-2p1-20.html}
volume = {20},
doi = {10.1023/A:1020517101123},
}
@incollection{uhlig:1999,
@InCollection{uhlig:1999,
author = {Uhlig, Harald},
title = {A toolkit for analysing nonlinear dynamic stochastic models easily},
booktitle = {Computational Methods for the Study of Dynamic Economics},
booktitle = {Computational Methods for the Study of Dynamic Economies},
publisher = {Oxford University Press},
address = {Oxford},
title = {A toolkit for analysing nonlinear dynamic stochastic models easily},
year = {1999},
editor = {Marimon, Ramon and Scott, Androw},
pages = {30-61}
editor = {Marimon, Ramon and Scott, Andrew},
pages = {30-61},
}
@techreport{kamenik:2003,
@techreport{kamenik:2004,
author = {Kamenik, Ondra},
title = {Solution of Specialized Sylvester Equation},
institution = {Manuscript},
year = {2003}
year = {2004}
}
@article{collard/juillard:2001:compecon,
@Article{collard/juillard:2001:compecon,
author = {Collard, Fabrice and Juillard, Michel},
title = {A Higher-Order Taylor Expansion Approach to Simulation of Stochastic Forward-Looking Models with an Application to a Nonlinear Phillips Curve Model},
journal = {Computational Economics},
title = {A Higher-Order {Taylor} Expansion Approach to Simulation of Stochastic Forward-Looking Models with an Application to a Nonlinear {Phillips} Curve Model},
year = {2001},
volume = {17},
month = {6},
number = {2-3},
pages = {125-39},
month = {June},
keywords = {},
url = {http://ideas.repec.org/a/kap/compec/v17y2001i2-3p125-39.html}
pages = {125-139},
volume = {17},
doi = {10.1023/A:1011624124377},
}
@book{golub/van-loan:1996,
@Book{golub/van-loan:1996,
author = {Golub, Gene H. and Van Loan, Charles F.},
title = {Matrix Computations},
publisher = {The John Hopkins University Press},
year = {1996},
edition = {third}
title = {Matrix Computations},
year = {2013},
address = {Baltimore},
edition = {4},
}
@Comment{jabref-meta: databaseType:bibtex;}
doc/dr.tex
View file @ f97044b9
......@@ -3,7 +3,7 @@
\usepackage{amssymb}
\usepackage{amsmath}
\usepackage{hyperref}
\hypersetup{breaklinks=true,pagecolor=white,colorlinks=true,linkcolor=blue,citecolor=blue,urlcolor=blue}
\hypersetup{breaklinks=true,colorlinks=true,linkcolor=blue,citecolor=blue,urlcolor=blue}
\usepackage{natbib}
\usepackage{fullpage}
......@@ -21,7 +21,7 @@
License, Version 1.3 or any later version published by the Free
Software Foundation; with no Invariant Sections, no Front-Cover
Texts, and no Back-Cover Texts. A copy of the license can be found
at: \url{http://www.gnu.org/licenses/fdl.txt}
at: \url{https://www.gnu.org/licenses/fdl.txt}
\newline
The author acknowledges funding through the Seventh Framework Programme
for Research (FP7) of the European Commission's Socio-economic Sciences and
......@@ -36,7 +36,7 @@
computing the first order approximated solution of a nonlinear rational
expectations model. The core of the algorithm is a generalized Schur
decomposition (also known as the QZ decomposition), as advocated by several
authors in the litterature. The contribution of the present paper is to focus
authors in the literature. The contribution of the present paper is to focus
on implementation details that make the algorithm more generic and more
efficient, especially for large models.
......@@ -62,12 +62,8 @@ detail the algorithm implemented in Dynare for computing the first order
approximated solution of nonlinear rational expectations models.\footnote{This
algorithm is available using the \texttt{stoch\_simul} command of Dynare. The
original implementation of this algorithm was done by Michel Juillard, using
MATLAB, and is available in the \texttt{matlab/dr1.m} file which is
distributed with Dynare. Another implementation was done by the author, in
C++, in the \texttt{DecisionRules} class, in the
\texttt{mex/sources/estimation} directory of the source tree. The notations
used in the present paper are closer to the C++ implementation than to the
MATLAB implementation.}
MATLAB, and is available in the \texttt{matlab/dyn\_first\_order\_solver.m} file which is
distributed with Dynare.}
This algorithm is based on a generalized Schur decomposition---also known as
the QZ decomposition---and is therefore essentially a variation on the
......@@ -653,7 +649,7 @@ equation is:
\end{equation*}
In the general case, this equation is a specialized Sylvester equation, which
can be solved using the algorithm proposed by
\citet{kamenik:2003}\footnote{This paper is distributed with Dynare, in the
\citet{kamenik:2004}\footnote{This paper is distributed with Dynare, in the
\texttt{sylvester.pdf} file under the documentation directory.}.
\bibliographystyle{elsarticle-harv}
......
doc/dseries-and-reporting/Makefile.am deleted 100644 → 0
View file @ 0691b083
if HAVE_PDFLATEX
if HAVE_BEAMER
pdf-local: dseriesReporting.pdf
endif
endif
SRC = dseriesReporting.tex
EXTRA_DIST = $(SRC)
dseriesReporting.pdf: $(SRC)
$(PDFLATEX) dseriesReporting
$(PDFLATEX) dseriesReporting
clean-local:
rm -f dseriesReporting.pdf *.toc *.aux *.log *.nav *.snm *.vrb *.out *~
doc/dseries-and-reporting/dseriesReporting.tex
View file @ f97044b9
......@@ -24,7 +24,7 @@
{
\begin{frame}
\frametitle{Outline}
\tableofcontents[currentsection]
\tableofcontents[currentsection, hideothersubsections]
\end{frame}
}
......@@ -34,7 +34,7 @@
\title{Dynare Time Series \& Reporting}
\author[Houtan Bastani]{Houtan Bastani\newline\href{mailto:houtan@dynare.org}{houtan@dynare.org}}
\institute{CEPREMAP}
\date{13 June 2014}
\date{11 June 2015}
\newcommand{\myitem}{\item[$\bullet$]}
......@@ -68,9 +68,10 @@
\myitem Compatible with all setups that are supported by Dynare
\begin{itemize}
\myitem Windows, Mac OS X, Linux
\myitem Matlab 7.5 (R2007b) or later, Octave
\myitem MATLAB 7.5 (R2007b) or later, Octave
\end{itemize}
\myitem NB: More complete information is included in the Dynare manual
\myitem Must run \texttt{dynare} or \texttt{dynare\_config} at least once in the current MATLAB/Octave session before use
\myitem More complete information is included in the Dynare manual
\end{itemize}
\end{frame}
......@@ -79,14 +80,14 @@
\begin{frame}[fragile,t]
\frametitle{A Programming Note (1/3)}
\begin{itemize}
\myitem Time series and dates (and reporting) are implemented as Matlab/Octave classes
\myitem Time series and dates (and reporting) are implemented as MATLAB/Octave classes
\myitem Inplace modification of instantiated objects not supported. Let me explain \dots
\begin{itemize}
\myitem A class is a template for defining objects, defining their member
variables and methods.
\begin{itemize}
\myitem \textit{e.g.,} The \texttt{dates} class defines 3 member
variables--\texttt{ndat}, \texttt{freq}, and \texttt{time}--and many
\myitem \textit{e.g.,} The \texttt{dates} class defines 2 member
variables--\texttt{freq} and \texttt{time}--and many
methods (analogous to functions)
\end{itemize}
\myitem An object is an instance of a specific class. For exemplary
......@@ -114,7 +115,7 @@ X =
\frametitle{A Programming Note (2/3)}
\begin{itemize}
\item[] \begin{itemize}
\myitem But! For Matlab/Octave's implementation of classes this is not the
\myitem But! For MATLAB/Octave's implementation of classes this is not the
case as it does not support inplace modification
\begin{verbatim}
>> X.multiplyByTwo()
......@@ -167,14 +168,13 @@ X =
\begin{frame}[fragile,t]
\frametitle{\texttt{dates} Syntax}
\begin{itemize}
\myitem The \texttt{dates} command creates an object that represents at least one date at a given frequency
\myitem The \texttt{dates} command creates an object that represents zero or more dates at a given frequency
\myitem A \texttt{dates} object contains 3 members (fields):
\begin{itemize}
\myitem{\textbf{\texttt{freq}}}: 1, `y' (Annual); 4, `q' (Quarterly); 12, `m' (Monthly); 52, `w' (Weekly)
\myitem{\textbf{\texttt{ndat}}}: The number of dates
\myitem{\textbf{\texttt{time}}}: An \texttt{ndat$\times$2} matrix; the 1\textsuperscript{st} col is the year and the 2\textsuperscript{nd} col is the period
\myitem{\textbf{\texttt{time}}}: A \texttt{<<No of dates>>$\times$2} matrix; the 1\textsuperscript{st} col is the year and the 2\textsuperscript{nd} col is the period
\end{itemize}
\myitem \texttt{dseries} members cannot be modified. Thus, this is not allowed:
\myitem \texttt{dates} members cannot be modified. Thus, this is not allowed
\begin{alltt}
>> dd.freq = 12;
\end{alltt}
......@@ -183,7 +183,7 @@ X =
\begin{frame}[fragile,t]
\frametitle{Creating a new \texttt{dates} object in Matlab/Octave}
\frametitle{Creating a new \texttt{dates} object in MATLAB/Octave}
\begin{itemize}
\myitem{A single date}
\begin{alltt}
......@@ -239,9 +239,9 @@ would be transformed into
\begin{alltt}
disp(`In dates(`1999q1'), ...')
\end{alltt}
\myitem To fix this, simply escape any date that you don't want transformed by the preprocessor with a `\texttt{\$}'
\myitem To fix this, simply prefix any date that you don't want transformed by the preprocessor with a `\texttt{\$}': \texttt{disp(`In \$1999q1, ...')}
\begin{alltt}
disp(`In $1999q1, ...')
\(\Rightarrow\) disp(`In 1999q1, ...')
\end{alltt}
\end{itemize}
......@@ -334,7 +334,7 @@ would be transformed into
\myitem \texttt{setdiff}: returns dates present in first arg but not in second
\begin{alltt}
>> setdiff(a, b)
ans = <dates: 1900Y>
ans = <dates: 1990Q1, 1990Q2>
\end{alltt}
\myitem \texttt{union}: returns the union of two sets (repititions removed)
\begin{alltt}
......@@ -354,7 +354,7 @@ would be transformed into
\begin{frame}[fragile,t]
\frametitle{Misc \texttt{dates} operations}
\begin{itemize}
\myitem Can index a \texttt{dates} object.
\myitem Can index a \texttt{dates} object
\begin{alltt}
>> a = dates(`2000y'):dates(`2009y');
>> a(1)
......@@ -386,7 +386,7 @@ would be transformed into
\begin{frame}[fragile,t]
\frametitle{\texttt{dseries} Syntax}
\begin{itemize}
\myitem A \texttt{dseries} is composed of one or more individual time series
\myitem A \texttt{dseries} is composed of zero or more individual time series
\myitem All time series in a \texttt{dseries} must have the same frequency
\myitem A \texttt{dseries} runs from the earliest date to the latest date,
with \texttt{NaN}'s inserted to pad the shorter series
......@@ -429,17 +429,17 @@ would be transformed into
\begin{frame}[fragile,t]
\frametitle{Creating a new \texttt{dseries} object (2/2)}
Load series from CSV/spreadsheet (\texttt{.csv, .xls}) or Matlab file (\texttt{.m, .mat})
Load series from CSV/spreadsheet (\texttt{.csv, .xls}) or MATLAB file (\texttt{.m, .mat})
\begin{itemize}
\myitem Syntax:
\begin{alltt}
>> ts = dseries(FILENAME);
\end{alltt}
\myitem File format (\texttt{.csv, .xls}): dates in first column (using the standard format:
199Q1 for quarterly data, 1990Y for annual data, \dots) and (optional)
variable names in the first row
\myitem File format (\texttt{.m, .mat}): must define the variables \texttt{INIT\_\_},
\texttt{NAMES\_\_}, and, optionally, \texttt{TEX\_\_}. More info in the
\myitem File format (\texttt{.csv, .xls}): dates (optional) in first column (using the
standard format: 1990Q1 for quarterly data, 1990Y for annual data, \dots) and variable
names (optional) in the first row
\myitem File format (\texttt{.m, .mat}): variables \texttt{INIT\_\_},
\texttt{NAMES\_\_}, and \texttt{TEX\_\_} are optional. More info in the
manual. Data are vectors.
\begin{alltt}
INIT__ = `1999q1';
......@@ -447,10 +447,10 @@ would be transformed into
cons = randn(100,1);
\end{alltt}
\end{itemize}
Create an empty time series. Usefull for programatically creating a series.
Create an empty time series. Useful for renaming dseries.
\begin{itemize}
\myitem \texttt{ts=dseries();}
\myitem \texttt{ts=dseries(dates(`1999y'));}
\myitem \texttt{tseries = dseries();}
\myitem \texttt{ts = tseries(randn(3,2));}
\end{itemize}
\end{frame}
......@@ -459,8 +459,11 @@ would be transformed into
\begin{frame}[fragile,t]
\frametitle{Creating subsamples from a \texttt{dseries}}
\begin{itemize}
\myitem Let \texttt{ts} be a \texttt{dseries} with $N$ variables and 5
\myitem Let \texttt{ts} be a \texttt{dseries} with $3$ variables and 5
observations from \texttt{2000Y} to \texttt{2004Y}
\begin{alltt}
ts=dseries(randn(5,3), `2000y')
\end{alltt}
\myitem To obtain a subsample from \texttt{2001Y} to \texttt{2003Y}
\begin{alltt}
ts(2001Y:2003Y)
......@@ -643,7 +646,7 @@ the time range of \verb+vs+ will be the union of \verb+ts.dates+ and
\begin{itemize}
\myitem You can easily modify the Ti$k$Z graph if the option you want is not in Dynare
\end{itemize}
\myitem Works with Matlab \& Octave
\myitem Works with MATLAB \& Octave
\myitem Works much faster than similar softawre
\myitem NB: Must install a \LaTeX\ distribution to compile reports
\begin{itemize}
......@@ -874,8 +877,8 @@ shocke = dseries();
shocku = dseries();
@#define endovars=["y", "c", "k", "a", "h", "b"]
@#for var in endovars
shocke = [shocke dseries(@{var}_e, 2014q3, '@{var}')];
shocku = [shocku dseries(@{var}_u, 2014q3, '@{var}')];
shocke = [shocke dseries(@{var}_e, 2014q3, `@{var}')];
shocku = [shocku dseries(@{var}_u, 2014q3, `@{var}')];
@#endfor
\end{verbatim}
\end{block}
......
doc/dynare.texi deleted 100644 → 0
View file @ 0691b083
Source diff could not be displayed: it is too large. Options to address this: view the blob.
doc/gsa/Makefile.am deleted 100644 → 0
View file @ 0691b083
if HAVE_PDFLATEX
if HAVE_BIBTEX
pdf-local: gsa.pdf
endif
endif
SRC = gsa.tex marco.bib
EXTRA_DIST = $(SRC)
gsa.pdf: $(SRC)
$(PDFLATEX) gsa
$(BIBTEX) gsa
$(PDFLATEX) gsa
$(PDFLATEX) gsa
clean-local:
rm -f *.pdf *.log *.aux *.toc *.lof *.blg *.bbl *.out *~
doc/gsa/gsa.tex
View file @ f97044b9
......@@ -4,15 +4,15 @@
\documentclass[12pt,a4paper]{article}
\usepackage{amssymb,amsmath}
\usepackage[dvips]{graphicx}
\usepackage{natbib}
\usepackage{psfrag}
\usepackage{setspace}
\usepackage{rotating}
\usepackage{hyperref}
\hypersetup{breaklinks=true,pagecolor=white,colorlinks=true,linkcolor=blue,citecolor=blue,urlcolor=blue}
\hypersetup{breaklinks=true,colorlinks=true,linkcolor=blue,citecolor=blue,urlcolor=blue}
%\singlespacing (interlinea singola)
%\onehalfspacing (interlinea 1,5)
%\doublespacing (interlinea doppia)
\usepackage{doi,natbib}
%\bibpunct{(}{)}{;}{a}{,}{,}
......@@ -22,19 +22,19 @@
\begin{document}
% ----------------------------------------------------------------
\title{Sensitivity Analysis Toolbox for DYNARE\thanks{Copyright \copyright~2012 Dynare
\title{Sensitivity Analysis Toolbox for Dynare\thanks{Copyright \copyright~2012-2024 Dynare
Team. Permission is granted to copy, distribute and/or modify
this document under the terms of the GNU Free Documentation
License, Version 1.3 or any later version published by the Free
Software Foundation; with no Invariant Sections, no Front-Cover
Texts, and no Back-Cover Texts. A copy of the license can be found
at: \url{http://www.gnu.org/licenses/fdl.txt}}}
at: \url{https://www.gnu.org/licenses/fdl.txt}}}
\author{Marco Ratto\\
European Commission, Joint Research Centre \\
TP361, IPSC, \\21027 Ispra
TP581\\21027 Ispra
(VA) Italy\\
\texttt{marco.ratto@jrc.ec.europa.eu}
\texttt{Marco.Ratto@ec.europa.eu}
\thanks{The author gratefully thanks Christophe Planas, Kenneth Judd, Michel Juillard,
Alessandro Rossi, Frank Schorfheide and the participants to the
Courses on Global Sensitivity Analysis for Macroeconomic
......@@ -52,10 +52,10 @@ helpful suggestions.}}
%-----------------------------------------------------------------------
\begin{abstract}
\noindent The Sensitivity Analysis Toolbox for DYNARE is a set of
\noindent The Sensitivity Analysis Toolbox for Dynare is a set of
MATLAB routines for the analysis of DSGE models with global
sensitivity analysis. The routines are thought to be used within
the DYNARE v4 environment.
the Dynare 6 environment.
\begin{description}
......@@ -66,7 +66,7 @@ the DYNARE v4 environment.
\newpage
% ----------------------------------------------------------------
\section{Introduction} \label{s:intro}
The Sensitivity Analysis Toolbox for DYNARE is a collection of
The Sensitivity Analysis Toolbox for Dynare is a collection of
MATLAB routines implemented to answer the following questions: (i)
Which is the domain of structural coefficients assuring the
stability and determinacy of a DSGE model? (ii) Which parameters
......@@ -81,20 +81,18 @@ described in \cite{Ratto_CompEcon_2008}.
\section{Use of the Toolbox}
The DYNARE parser now recognizes sensitivity analysis commands.
The Dynare parser now recognizes sensitivity analysis commands.
The syntax is based on a single command:
\vspace{0.5cm}
\verb"dynare_sensitivity(option1=<opt1_val>,option2=<opt2_val>,...)"
\verb"sensitivity(option1=<opt1_val>,option2=<opt2_val>,...)"
\vspace{0.5cm} \noindent with a list of options described in the
next section.
With respect to the previous version of the toolbox, in order to
work properly, the sensitivity analysis Toolbox \emph{no longer}
needs that the DYNARE estimation environment is set-up.
Therefore, \verb"dynare_sensitivity" is the only command to run to
In order to work properly, the sensitivity analysis Toolbox does not need
a Dynare estimation environment to be set up. Rather, \verb"sensitivity"
is the only command to run to
make a sensitivity analysis on a DSGE model\footnote{Of course,
when the user needs to perform the mapping of the fit with a
posterior sample, a Bayesian estimation has to be performed
......@@ -208,16 +206,17 @@ a multivariate normal MC sample, with covariance matrix based on
the inverse Hessian at the optimum: this analysis is useful when
ML estimation is done (i.e. no Bayesian estimation);
\item when \verb"ppost=1" the Toolbox analyses
the RMSE's for the posterior sample obtained by DYNARE's
the RMSE's for the posterior sample obtained by Dynare's
Metropolis procedure.
\end{enumerate}
The use of cases 2. and 3. requires an estimation step beforehand!
The use of cases 2. and 3. require an estimation step beforehand!
To facilitate the sensitivity analysis after estimation, the
\verb"dynare_sensitivity" command also allows to indicate some
options of \verb"dynare_estimation". These are:
\verb"sensitivity" command also allows to indicate some
options of \verb"estimation". These are:
\begin{itemize}
\item \verb"datafile"
\item \verb"diffuse_filter"
\item \verb"mode_file"
\item \verb"first_obs"
\item \verb"lik_init"
......@@ -278,10 +277,10 @@ identifiable.
\end{tabular}
\vspace{1cm}
\noindent For example, the following commands in the DYNARE model file
\noindent For example, the following commands in the Dynare model file
\vspace{1cm}
\noindent\verb"dynare_sensitivity(identification=1, morris=2);"
\noindent\verb"sensitivity(identification=1, morris=2);"
\vspace{1cm}
\noindent trigger the identification analysis using \cite{Iskrev2010,Iskrev2011}, jointly with the mapping of the acceptable region.
......@@ -293,75 +292,75 @@ Sensitivity analysis results are saved on the hard-disk of the
computer. The Toolbox uses a dedicated folder called \verb"GSA",
located in \\
\\
\verb"<DYNARE_file>\GSA", \\
\verb"<Dynare_file>\GSA", \\
\\
where \verb"<DYNARE_file>.mod" is the name of the DYNARE model
where \verb"<Dynare_file>.mod" is the name of the Dynare model
file.
\subsection{Binary data files}
A set of binary data files is saved in the \verb"GSA" folder:
\begin{description}
\item[]\verb"<DYNARE_file>_prior.mat": this file stores
\item[]\verb"<Dynare_file>_prior.mat": this file stores
information about the analyses performed sampling from the prior
ranges, i.e. \verb"pprior=1" and \verb"ppost=0";
\item[]\verb"<DYNARE_file>_mc.mat": this file stores
\item[]\verb"<Dynare_file>_mc.mat": this file stores
information about the analyses performed sampling from
multivariate normal, i.e. \verb"pprior=0" and \verb"ppost=0";
\item[]\verb"<DYNARE_file>_post.mat": this file stores information
\item[]\verb"<Dynare_file>_post.mat": this file stores information
about analyses performed using the Metropolis posterior sample,
i.e. \verb"ppost=1".
\end{description}
\begin{description}
\item[]\verb"<DYNARE_file>_prior_*.mat": these files store
\item[]\verb"<Dynare_file>_prior_*.mat": these files store
the filtered and smoothed variables for the prior MC sample,
generated when doing RMSE analysis (\verb"pprior=1" and
\verb"ppost=0");
\item[]\verb"<DYNARE_file>_mc_*.mat": these files store
\item[]\verb"<Dynare_file>_mc_*.mat": these files store
the filtered and smoothed variables for the multivariate normal MC
sample, generated when doing RMSE analysis (\verb"pprior=0" and
\verb"ppost=0").
\end{description}
\subsection{Stability analysis}
Figure files \verb"<DYNARE_file>_prior_*.fig" store results for
Figure files \verb"<Dynare_file>_prior_*.fig" store results for
the stability mapping from prior MC samples:
\begin{description}
\item[]\verb"<DYNARE_file>_prior_stab_SA_*.fig": plots of the Smirnov
test analyses confronting the cdf of the sample fulfilling
Blanchard-Kahn conditions with the cdf of the rest of the sample;
\item[]\verb"<DYNARE_file>_prior_stab_indet_SA_*.fig": plots of the Smirnov
test analyses confronting the cdf of the sample producing
indeterminacy with the cdf of the original prior sample;
\item[]\verb"<DYNARE_file>_prior_stab_unst_SA_*.fig": plots of the Smirnov
test analyses confronting the cdf of the sample producing unstable
(explosive roots) behaviour with the cdf of the original prior
\item[]\verb"<Dynare_file>_prior_stab_SA_*.fig": plots of the Smirnov
test analyses confronting the CDF of the sample fulfilling
Blanchard-Kahn conditions with the CDF of the rest of the sample;
\item[]\verb"<Dynare_file>_prior_stab_indet_SA_*.fig": plots of the Smirnov
test analyses confronting the CDF of the sample producing
indeterminacy with the CDF of the original prior sample;
\item[]\verb"<Dynare_file>_prior_stab_unst_SA_*.fig": plots of the Smirnov
test analyses confronting the CDF of the sample producing unstable
(explosive roots) behaviour with the CDF of the original prior
sample;
\item[]\verb"<DYNARE_file>_prior_stable_corr_*.fig": plots of
\item[]\verb"<Dynare_file>_prior_stable_corr_*.fig": plots of
bivariate projections of the sample fulfilling Blanchard-Kahn
conditions;
\item[]\verb"<DYNARE_file>_prior_indeterm_corr_*.fig": plots of
\item[]\verb"<Dynare_file>_prior_indeterm_corr_*.fig": plots of
bivariate projections of the sample producing indeterminacy;
\item[]\verb"<DYNARE_file>_prior_unstable_corr_*.fig": plots of
\item[]\verb"<Dynare_file>_prior_unstable_corr_*.fig": plots of
bivariate projections of the sample producing instability;
\item[]\verb"<DYNARE_file>_prior_unacceptable_corr_*.fig": plots of
\item[]\verb"<Dynare_file>_prior_unacceptable_corr_*.fig": plots of
bivariate projections of the sample producing unacceptable
solutions, i.e. either instability or indeterminacy or the
solution could not be found (e.g. the steady state solution could
not be found by the solver).
\end{description}
Similar conventions apply for \verb"<DYNARE_file>_mc_*.fig" files,
Similar conventions apply for \verb"<Dynare_file>_mc_*.fig" files,
obtained when samples from multivariate normal are used.
\subsection{RMSE analysis}
Figure files \verb"<DYNARE_file>_rmse_*.fig" store results for the
Figure files \verb"<Dynare_file>_rmse_*.fig" store results for the
RMSE analysis.
\begin{description}
\item[]\verb"<DYNARE_file>_rmse_prior*.fig": save results for
\item[]\verb"<Dynare_file>_rmse_prior*.fig": save results for
the analysis using prior MC samples;
\item[]\verb"<DYNARE_file>_rmse_mc*.fig": save results for
\item[]\verb"<Dynare_file>_rmse_mc*.fig": save results for
the analysis using multivariate normal MC samples;
\item[]\verb"<DYNARE_file>_rmse_post*.fig": save results for
\item[]\verb"<Dynare_file>_rmse_post*.fig": save results for
the analysis using Metropolis posterior samples.
\end{description}
......@@ -369,33 +368,33 @@ The following types of figures are saved (we show prior sample to
fix ideas, but the same conventions are used for multivariate
normal and posterior):
\begin{description}
\item[]\verb"<DYNARE_file>_rmse_prior_*.fig": for each parameter, plots the cdf's
\item[]\verb"<Dynare_file>_rmse_prior_*.fig": for each parameter, plots the CDF's
corresponding to the best 10\% RMES's of each observed series;
\item[]\verb"<DYNARE_file>_rmse_prior_dens_*.fig": for each parameter, plots the pdf's
\item[]\verb"<Dynare_file>_rmse_prior_dens_*.fig": for each parameter, plots the pdf's
corresponding to the best 10\% RMES's of each observed series;
\item[]\verb"<DYNARE_file>_rmse_prior_<name of observedseries>_corr_*.fig": for each observed series plots the
\item[]\verb"<Dynare_file>_rmse_prior_<name of observedseries>_corr_*.fig": for each observed series plots the
bi-dimensional projections of samples with the best 10\% RMSE's,
when the correlation is significant;
\item[]\verb"<DYNARE_file>_rmse_prior_lnlik*.fig": for each observed
series, plots \emph{in red} the cdf of the log-likelihood
corresponding to the best 10\% RMSE's, \emph{in green} the cdf of
the rest of the sample and \emph{in blue }the cdf of the full
\item[]\verb"<Dynare_file>_rmse_prior_lnlik*.fig": for each observed
series, plots \emph{in red} the CDF of the log-likelihood
corresponding to the best 10\% RMSE's, \emph{in green} the CDF of
the rest of the sample and \emph{in blue }the CDF of the full
sample; this allows to see the presence of some idiosyncratic
behaviour;
\item[]\verb"<DYNARE_file>_rmse_prior_lnpost*.fig": for each observed
series, plots \emph{in red} the cdf of the log-posterior
corresponding to the best 10\% RMSE's, \emph{in green} the cdf of
the rest of the sample and \emph{in blue }the cdf of the full
\item[]\verb"<Dynare_file>_rmse_prior_lnpost*.fig": for each observed
series, plots \emph{in red} the CDF of the log-posterior
corresponding to the best 10\% RMSE's, \emph{in green} the CDF of
the rest of the sample and \emph{in blue }the CDF of the full
sample; this allows to see idiosyncratic behaviour;
\item[]\verb"<DYNARE_file>_rmse_prior_lnprior*.fig": for each observed
series, plots \emph{in red} the cdf of the log-prior corresponding
to the best 10\% RMSE's, \emph{in green} the cdf of the rest of
the sample and \emph{in blue }the cdf of the full sample; this
\item[]\verb"<Dynare_file>_rmse_prior_lnprior*.fig": for each observed
series, plots \emph{in red} the CDF of the log-prior corresponding
to the best 10\% RMSE's, \emph{in green} the CDF of the rest of
the sample and \emph{in blue }the CDF of the full sample; this
allows to see idiosyncratic behaviour;
\item[]\verb"<DYNARE_file>_rmse_prior_lik_SA_*.fig": when
\item[]\verb"<Dynare_file>_rmse_prior_lik_SA_*.fig": when
\verb"lik_only=1", this shows the Smirnov tests for the filtering
of the best 10\% log-likelihood values;
\item[]\verb"<DYNARE_file>_rmse_prior_post_SA_*.fig": when
\item[]\verb"<Dynare_file>_rmse_prior_post_SA_*.fig": when
\verb"lik_only=1", this shows the Smirnov test for the filtering
of the best 10\% log-posterior values.
\end{description}
......@@ -405,19 +404,19 @@ In the case of the mapping of the reduced form solution, synthetic
figures are saved in the \verb"\GSA" folder:
\begin{description}
\item[]\verb"<DYNARE_file>_redform_<endo name>_vs_lags_*.fig":
\item[]\verb"<Dynare_file>_redform_<endo name>_vs_lags_*.fig":
shows bar charts of the sensitivity indices for the \emph{ten most
important} parameters driving the reduced form coefficients of the
selected endogenous variables (\verb"namendo") versus lagged
endogenous variables (\verb"namlagendo"); suffix \verb"log"
indicates the results for log-transformed entries;
\item[]\verb"<DYNARE_file>_redform_<endo name>_vs_shocks_*.fig":
\item[]\verb"<Dynare_file>_redform_<endo name>_vs_shocks_*.fig":
shows bar charts of the sensitivity indices for the \emph{ten most
important} parameters driving the reduced form coefficients of the
selected endogenous variables (\verb"namendo") versus exogenous
variables (\verb"namexo"); suffix \verb"log" indicates the results
for log-transformed entries;
\item[]\verb"<DYNARE_file>_redform_GSA(_log).fig": shows bar chart of
\item[]\verb"<Dynare_file>_redform_GSA(_log).fig": shows bar chart of
all sensitivity indices for each parameter: this allows to notice
parameters that have a minor effect for \emph{any} of the reduced
form coefficients,
......@@ -449,24 +448,24 @@ without the need of any user's intervention.
\subsection{Screening analysis}
The results of the screening analysis with Morris sampling design
are stored in the subfolder \verb"\GSA\SCREEN". The data file
\verb"<DYNARE_file>_prior" stores all the information of the
\verb"<Dynare_file>_prior" stores all the information of the
analysis (Morris sample, reduced form coefficients, etc.).
Screening analysis merely concerns reduced form coefficients.
Similar synthetic bar charts as for the reduced form analysis with
MC samples are saved:
\begin{description}
\item[]\verb"<DYNARE_file>_redform_<endo name>_vs_lags_*.fig":
\item[]\verb"<Dynare_file>_redform_<endo name>_vs_lags_*.fig":
shows bar charts of the elementary effect tests for the \emph{ten
most important} parameters driving the reduced form coefficients
of the selected endogenous variables (\verb"namendo") versus
lagged endogenous variables (\verb"namlagendo");
\item[]\verb"<DYNARE_file>_redform_<endo name>_vs_shocks_*.fig":
\item[]\verb"<Dynare_file>_redform_<endo name>_vs_shocks_*.fig":
shows bar charts of the elementary effect tests for the \emph{ten
most important} parameters driving the reduced form coefficients
of the selected endogenous variables (\verb"namendo") versus
exogenous variables (\verb"namexo");
\item[]\verb"<DYNARE_file>_redform_screen.fig": shows bar chart of
\item[]\verb"<Dynare_file>_redform_screen.fig": shows bar chart of
all elementary effect tests for each parameter: this allows to
identify parameters that have a minor effect for \emph{any} of the
reduced form coefficients.
......
doc/gsa/marco.bib
View file @ f97044b9
@ARTICLE{Ratto_CompEcon_2008,
author = {Ratto, M.},
title = {Analysing DSGE Models with Global Sensitivity Analysis},
% Encoding: UTF-8
@Article{Ratto_CompEcon_2008,
author = {Ratto, Marco},
journal = {Computational Economics},
title = {Analysing {DSGE} models with global sensitivity analysis},
year = {2008},
volume = {31},
pages = {115--139},
volume = {31},
doi = {10.1007/s10614-007-9110-6},
}
@ARTICLE{Iskrev2010,
@Article{Iskrev2010,
author = {Nikolay Iskrev},
title = {Local Identification in {DSGE} Models},
journal = {Journal of Monetary Economics},
title = {Local Identification in {DSGE} Models},
year = {2010},
number = {2},
pages = {189-202},
volume = {57},
pages = {189-202}
doi = {10.1016/j.jmoneco.2009.12.007},
}
@UNPUBLISHED{Iskrev2011,
......@@ -23,3 +28,5 @@
note = {mimeo},
year = {2011}
}
@Comment{jabref-meta: databaseType:bibtex;}
doc/guide.bbl deleted 100644 → 0
View file @ 0691b083
\ifx\undefined\bysame
\newcommand{\bysame}{\leavevmode\hbox to\leftmargin{\hrulefill\,\,}}
\fi
\begin{thebibliography}{xx}
\harvarditem[Collard and Juillard]{Collard and Juillard}{2001}{COLL/JUIL/01a}
{ Collard, F. and M.~Juillard}, Accuracy of stochastic perturbation methods:
The case of asset pricing models, {\it Journal of Economic Dynamics and
Control}, 2001, {\it 25}, 979--999.
\harvarditem[Schmitt-Grohe and Uribe]{Schmitt-Grohe and Uribe}{2002}{SGU/02}
{ Schmitt-Grohe, S. and M.~Uribe}, {\it Solving Dynamic General Equilibrium
Models Using a Second-Order Approximation to the Policy Function}, technical
working paper, Rutgers Univsersity 2002.
\end{thebibliography}
doc/guide.tex
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\documentclass[11pt,a4paper]{article}
\usepackage{bibmad,graphicx,latexsym,amssymb,times}
\usepackage[cp850]{inputenc}
\usepackage{graphicx,latexsym,amssymb,times}
\usepackage[utf8]{inputenc}
\begin{document}
\title{Stochastic simulations with {\sc Dynare}. \\ A practical guide.}
\author{Fabrice Collard (GREMAQ, University of Toulouse)\\Adapted for Dynare 4.1\\ by Michel Juillard and S\'ebastien Villemot (CEPREMAP)}
\author{Fabrice Collard (GREMAQ, University of Toulouse)\\Adapted for Dynare 4.x\\ by Michel Juillard and S\'ebastien Villemot (CEPREMAP)}
\date{First draft: February 2001\hspace{10mm}This draft: December 2009.}
\maketitle
This document describes a model involving both endogenous and exogenous state variable. We first describe the theoretical model, before showing how the perturbation method is implemented in {\sc Dynare}.
......@@ -324,8 +324,8 @@ end;
stoch_simul(periods=2000, drop=200);
\end{verbatim}
\bibliographystyle{Usmad}
\bibliography{/papers/biblio/michel}
%\bibliographystyle{Usmad}
%\bibliography{/papers/biblio/michel}
\end{document}
......
doc/internals/Makefile.am deleted 100644 → 0
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EXTRA_DIST = dynare-internals.org
if ENABLE_ORG_EXPORT
html-local:
emacs --batch --visit=dynare-internals.org --funcall org-export-as-html-batch
endif
clean-local:
rm -rf *.html ltxpng
doc/internals/build_internal_documentation.m
View file @ f97044b9
......@@ -2,7 +2,6 @@ function build_internal_documentation()
% The name of the function should be explicit...
datafiles = [];
datafiles = [ datafiles ; {'../../matlab/utilities/dataset'}, {'initialize_dataset'}];
datafiles = [ datafiles ; {'../../matlab/utilities/dataset'}, {'descriptive_statistics'}];
datafiles = [ datafiles ; {'../../matlab/utilities/dataset'}, {'compute_stdv'}];
datafiles = [ datafiles ; {'../../matlab/utilities/dataset'}, {'compute_cova'}];
......
doc/internals/internals.texi
View file @ f97044b9
......@@ -60,7 +60,7 @@ under the terms of the GNU Free Documentation License, Version 1.3 or
any later version published by the Free Software Foundation; with no
Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts.
A copy of the license can be found at @uref{http://www.gnu.org/licenses/fdl.txt}.
A copy of the license can be found at @uref{https://www.gnu.org/licenses/fdl.txt}.
@end quotation
@end copying
......@@ -203,18 +203,18 @@ institutions who cannot afford, or do not want to pay for, MATLAB and
are willing to bear the concomitant performance loss.
The development of Dynare is mainly done at
@uref{http://www.cepremap.ens.fr, Cepremap} by a core team of
@uref{http://www.cepremap.ens.fr, CEPREMAP} by a core team of
researchers who devote part of their time to software
development. Currently the development team of Dynare is composed of
Stéphane Adjemian (Université du Maine, Gains and Cepremap), Houtan
Bastani (Cepremap), Michel Juillard (Banque de France), Frédéric
Karamé (Université d'Évry, Epee and Cepremap), Junior Maih (Norges
Bank), Ferhat Mihoubi (Université d'Évry, Epee and Cepremap), George
Perendia, Marco Ratto (JRC) and Sébastien Villemot (Cepremap and Paris
School of Economics). Financial support is provided by Cepremap,
Stéphane Adjemian (Université du Maine, Gains and CEPREMAP), Houtan
Bastani (CEPREMAP), Michel Juillard (Banque de France), Frédéric
Karamé (Université d'Évry, Epee and CEPREMAP), Junior Maih (Norges
Bank), Ferhat Mihoubi (Université d'Évry, Epee and CEPREMAP), George
Perendia, Marco Ratto (JRC) and Sébastien Villemot (CEPREMAP and Paris
School of Economics). Financial support is provided by CEPREMAP,
Banque de France and DSGE-net (an international research network for
DSGE modeling). Increasingly, the developer base is expanding, as
tools developed by researchers outside of Cepremap are integrated into
tools developed by researchers outside of CEPREMAP are integrated into
Dynare.
Interaction between developers and users of Dynare is central to the
......
doc/macroprocessor/Makefile.am deleted 100644 → 0
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if HAVE_PDFLATEX
if HAVE_BEAMER
pdf-local: macroprocessor.pdf
endif
endif
SRC = macroprocessor.tex new-design.pdf
EXTRA_DIST = $(SRC)
macroprocessor.pdf: $(SRC)
$(PDFLATEX) macroprocessor
$(PDFLATEX) macroprocessor
clean-local:
rm -f macroprocessor.pdf *.toc *.aux *.log *.nav *.snm *.vrb *.out *~