dynare issueshttps://git.dynare.org/Dynare/dynare/-/issues2024-01-17T20:31:14Zhttps://git.dynare.org/Dynare/dynare/-/issues/1611Make dynare_sensitivity compatible with recursive estimation or provide infor...2024-01-17T20:31:14ZJohannes PfeiferMake dynare_sensitivity compatible with recursive estimation or provide informative errorSee https://forum.dynare.org/t/calculating-rmses/11903See https://forum.dynare.org/t/calculating-rmses/119036.xhttps://git.dynare.org/Dynare/dynare/-/issues/1778Identification toolbox: support measurement errors2023-12-14T20:01:47ZWilli Mutschlerwilli@mutschler.euIdentification toolbox: support measurement errorsThe identification toolbox should be able to support measurement errors.The identification toolbox should be able to support measurement errors.Willi Mutschlerwilli@mutschler.euWilli Mutschlerwilli@mutschler.euhttps://git.dynare.org/Dynare/dynare/-/issues/1846Remove global variables from dynare_sensitivity2023-12-14T20:00:14ZJohannes PfeiferRemove global variables from dynare_sensitivityThe command resets various options permanently, causing unexpected downstream problems. An example is !2009The command resets various options permanently, causing unexpected downstream problems. An example is !20096.xhttps://git.dynare.org/Dynare/dynare/-/issues/1847Expand *_calibration to higher order2023-09-27T15:04:53ZJohannes PfeiferExpand *_calibration to higher orderCurrently, we only support first order. See also https://forum.dynare.org/t/gsa-of-irfs-with-a-higher-order-approximation/19758/2Currently, we only support first order. See also https://forum.dynare.org/t/gsa-of-irfs-with-a-higher-order-approximation/19758/27.xhttps://git.dynare.org/Dynare/dynare/-/issues/1733Fix identification issues around steady state file2020-06-22T08:35:36ZJohannes PfeiferFix identification issues around steady state fileThe issue popped up in https://forum.dynare.org/t/mode-check-plots-with-flat-lines/16020/13 with the attached files. From what I can see, the issue is parameters being updated in the steady state file. Identification in `4.7` seems unabl...The issue popped up in https://forum.dynare.org/t/mode-check-plots-with-flat-lines/16020/13 with the attached files. From what I can see, the issue is parameters being updated in the steady state file. Identification in `4.7` seems unable to handle this. If I am not mistaken (@rattoma should know better), this is a regression as in the past, we resorted to simulation instead of theoretical derivatives which are now unavailable.
[Model.mod](/uploads/7416c13b9a736cfe8133774f9342b9bd/Model.mod)
[SOEMData.xlsx](/uploads/9121d21da0eed219d98bac015f97d9ec/SOEMData.xlsx)
[Model_steadystate.m](/uploads/914342354a7271f21b18cdb9130e03ad/Model_steadystate.m)5.xhttps://git.dynare.org/Dynare/dynare/-/issues/1694Identification tests fail for old matlab2020-01-24T17:25:41ZWilli Mutschlerwilli@mutschler.euIdentification tests fail for old matlabSome identification tests fail under MATLAB R2009b, see https://git.dynare.org/Dynare/dynare/-/jobs/12770. Some functions need to be replaced.Some identification tests fail under MATLAB R2009b, see https://git.dynare.org/Dynare/dynare/-/jobs/12770. Some functions need to be replaced.4.6Willi Mutschlerwilli@mutschler.euWilli Mutschlerwilli@mutschler.euhttps://git.dynare.org/Dynare/dynare/-/issues/1689Clarify licensing information for identification stuff2020-01-24T14:41:20ZSébastien VillemotClarify licensing information for identification stuffSee !1689
The information should be added in the corresponding headers, and in `license.txt`See !1689
The information should be added in the corresponding headers, and in `license.txt`4.6Willi Mutschlerwilli@mutschler.euWilli Mutschlerwilli@mutschler.euhttps://git.dynare.org/Dynare/dynare/-/issues/1649new plot_shock_decomposition options2019-12-06T15:30:45ZMarco Rattonew plot_shock_decomposition optionsIt would be useful to allow the preprocessor to take the following new options, both for `plot_shock_decomposition` and `initial_condition_decomposition`:
* `diff`: plots the first difference of the requested variable
* `flip`: flip the ...It would be useful to allow the preprocessor to take the following new options, both for `plot_shock_decomposition` and `initial_condition_decomposition`:
* `diff`: plots the first difference of the requested variable
* `flip`: flip the requested variables with sign change (e.g. useful to flip the concept of an exchange rate or trade balance or deficit/surplus variable without having to define it in model definition)
I have already provisions ready to push.4.6Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/1016Clean up setting of options in dynare_sensitivity.m2019-11-21T08:36:43ZJohannes PfeiferClean up setting of options in dynare_sensitivity.mCurrently, it is very intransparent and prone to bugs.
- `neighborhood_width` forces
```
if options_gsa.neighborhood_width,
options_gsa.pprior=0;
options_gsa.ppost=0;
end
```
but the manual says that `neighborhood_width` on...Currently, it is very intransparent and prone to bugs.
- `neighborhood_width` forces
```
if options_gsa.neighborhood_width,
options_gsa.pprior=0;
options_gsa.ppost=0;
end
```
but the manual says that `neighborhood_width` only works when `pprior=0` and `ppost=0`. This seems like a bug. If we reset options set by the user, we should consistently provide warnings on the screen.
- Even more problematic, without any indication in the manual, using `morris=1` overwrites almost all other user-specified options:
```
if options_gsa.morris==1,
if ~options_gsa.identification,
options_gsa.redform=1;
end
options_gsa.pprior=1;
options_gsa.ppost=0;
%options_gsa.stab=1;
options_gsa.glue=0;
options_gsa.rmse=0;
options_gsa.load_rmse=0;
options_gsa.alpha2_stab=1;
options_gsa.ksstat=1;
options_gsa.pvalue_ks=0;
options_gsa.pvalue_corr=0;
OutputDirectoryName = CheckPath('gsa/screen',M_.dname);
else
OutputDirectoryName = CheckPath('gsa',M_.dname);
end
```
In particular, that results in none of the user-requested output being displayed. See http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=7115. @rattoma Is there a particular reason for this? I could not find any apparent incompatibility of `morris=1` with e.g. posterior sampling.
Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/1651dynare_sensitivity without exogenous variables2019-09-10T09:27:19ZGhost Userdynare_sensitivity without exogenous variablesWhen `dynare_sensitivity` is used for a model without exogenous variables, the following error occurs:
```
Reference to non-existent field 'ghu'.
Error in kalman_transition_matrix (line 42)
B = dr.ghu(iv,:);
```
See the attached f...When `dynare_sensitivity` is used for a model without exogenous variables, the following error occurs:
```
Reference to non-existent field 'ghu'.
Error in kalman_transition_matrix (line 42)
B = dr.ghu(iv,:);
```
See the attached file [test1.mod](/uploads/2c7fa958781bb4ea203ecb1d484c9c8d/test1.mod). An easy workaround is to create a dummy exogenous variable (see attached file [test2.mod](/uploads/31ea2681c8f6b2701ed9da63e39c8968/test2.mod)), but it would help if the error message explains that the code does not work for models without exogenous variables.
This issue is similar to issue https://git.dynare.org/Dynare/dynare/issues/1633.4.6Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/662Update and fix gsa/set_shocks_param.m2019-06-19T15:38:08ZJohannes PfeiferUpdate and fix gsa/set_shocks_param.mApart from an obvious typo (`Sigma_e_` instead `Sigma_e`) it seems as if that file is still missing the update to reflect calibrated covariances (#511).
Apart from an obvious typo (`Sigma_e_` instead `Sigma_e`) it seems as if that file is still missing the update to reflect calibrated covariances (#511).
4.5Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/664Identification and var_exo_det2019-06-19T15:38:08ZJohannes PfeiferIdentification and var_exo_detBoth are not compatible because in calls to the dynamic file the components of `oo_.exo_det_steady_state` neglect x.
Either filter out those cases or make them compatible.
Both are not compatible because in calls to the dynamic file the components of `oo_.exo_det_steady_state` neglect x.
Either filter out those cases or make them compatible.
4.5Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/677Deal with treatment of unit roots in identification2019-06-19T15:38:08ZJohannes PfeiferDeal with treatment of unit roots in identification```
var y delta_y x z;
varexo eps_x eps_z;
parameters rho sigma_z sigma_x;
// set parameter values
sigma_z=0.001;
sigma_x=0.01;
rho=0.9;
model;
z=rho*z(-1)+sigma_z*eps_z;
x=x(-1)+sigma_x*eps_x;
y=x+z;
delta_y=y-y(-1);
end;
steady_st...```
var y delta_y x z;
varexo eps_x eps_z;
parameters rho sigma_z sigma_x;
// set parameter values
sigma_z=0.001;
sigma_x=0.01;
rho=0.9;
model;
z=rho*z(-1)+sigma_z*eps_z;
x=x(-1)+sigma_x*eps_x;
y=x+z;
delta_y=y-y(-1);
end;
steady_state_model;
x=0;
z=0;
y=0;
delta_y=0;
end;
//set shock variances
shocks;
var eps_z=1;
var eps_x=1;
end;
steady;
check;
varobs y delta_y;
stoch_simul(order=1,irf=0);
estimated_params;
rho, 0.9;
sigma_z, 0.01;
sigma_x, 0.01;
end;
options_.diffuse_filter=1;
identification(lik_init=3,advanced=1);
```
The treatment of unit roots seems unsatisfactory.
First, one needs to specify
`options_.diffuse_filter=1;`
because `options_` used in `dynare_estimation_init` does not inherit the `lik_init` from the `identification` command (used only in `options_ident`) and also does not accept `diffuse_filter`.
Second, some graphs are empty. My guess is because some unconditional moments are infinite.
4.5Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/676Fix compatibility of sensitivity and ML estimation2019-06-19T15:38:08ZJohannes PfeiferFix compatibility of sensitivity and ML estimationSee http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=5681
Email to Marco:
```
There is an obvious bug in set_shocks_param.m. Sigma_e_ should be just Sigma_e. But there seems to be more. In stab_map_.m in
if pprior,
for j=1:...See http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=5681
Email to Marco:
```
There is an obvious bug in set_shocks_param.m. Sigma_e_ should be just Sigma_e. But there seems to be more. In stab_map_.m in
if pprior,
for j=1:nshock,
if opt_gsa.morris~=1,
lpmat0(:,j) = randperm(Nsam)'./(Nsam+1); %latin hypercube
end
if opt_gsa.prior_range
lpmat0(:,j)=lpmat0(:,j).*(bayestopt_.ub(j)-bayestopt_.lb(j))+bayestopt_.lb(j);
end
end
bayestopt_.ub and lb are accessed and they are Inf. lpmat0 then has a bunch of NaNs that should not be there. This seems to be due to ML estimation and should probably be filtered out.
```
4.5Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/764Fix initialization of variables in dynare_sensitivity routine2019-06-19T15:38:04ZJohannes PfeiferFix initialization of variables in dynare_sensitivity routineSome of the variables are not properly initialized, grow within loops, and/or are not set in all cases. The `ls2003a.mod` from the tests-folder crashes with `prior_range=1` for example crashes because of this when no standard deviations ...Some of the variables are not properly initialized, grow within loops, and/or are not set in all cases. The `ls2003a.mod` from the tests-folder crashes with `prior_range=1` for example crashes because of this when no standard deviations are estimated, i.e. when using
```
estimated_params;
psi1 , gamma_pdf,1.5,0.5;
psi2 , gamma_pdf,0.25,0.125;
psi3 , gamma_pdf,0.25,0.125;
rho_R ,beta_pdf,0.5,0.2;
alpha ,beta_pdf,0.3,0.1;
rr ,gamma_pdf,2.5,1;
k , gamma_pdf,0.5,0.25;
tau ,gamma_pdf,0.5,0.2;
rho_q ,beta_pdf,0.4,0.2;
rho_A ,beta_pdf,0.5,0.2;
rho_ys ,beta_pdf,0.8,0.1;
rho_pies,beta_pdf,0.7,0.15;
// stderr e_R,inv_gamma_pdf,1.2533,0.6551;
// stderr e_q,inv_gamma_pdf,2.5066,1.3103;
// stderr e_A,inv_gamma_pdf,1.2533,0.6551;
// stderr e_ys,inv_gamma_pdf,1.2533,0.6551;
// stderr e_pies,inv_gamma_pdf,1.88,0.9827;
end;
```
With `prior_range=0` the respective field associated with estimated shocks is correctly set to an empty array and everything works.
4.5Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/766Deal with correlations in identification2019-06-19T15:38:04ZJohannes PfeiferDeal with correlations in identificationCurrently, `identification` does not support specified correlations and simply crashes. We should either support this or block it. See http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=6156
Currently, `identification` does not support specified correlations and simply crashes. We should either support this or block it. See http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=6156
4.5Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/781deal with dseries in dynare_identification.m2019-06-19T15:38:04ZHoutan Bastanideal with dseries in dynare_identification.mThe following test files break under Octave:
- `identification/kim/kim2.mod`
- `identification/as2007/as2007.mod`
The problem is at line 134 in dynare_identification.m as `info` is not a method in the `dseries` called `dataset_`. Fix pr...The following test files break under Octave:
- `identification/kim/kim2.mod`
- `identification/as2007/as2007.mod`
The problem is at line 134 in dynare_identification.m as `info` is not a method in the `dseries` called `dataset_`. Fix probably consists of replacing `dataset_.info` with `dataset_info`, but @rattoma should verify this change.....
4.5Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/789update default values for sensitivity options in doc2019-06-19T15:38:04ZHoutan Bastaniupdate default values for sensitivity options in docIt seems as though some default values in the documentation do not accord with the default values in `dynare_sensitivity.m`. e.g. `alpha_rmse`, `ksstat_redform`. Please review the defaults and update the manual.
It seems as though some default values in the documentation do not accord with the default values in `dynare_sensitivity.m`. e.g. `alpha_rmse`, `ksstat_redform`. Please review the defaults and update the manual.
Johannes PfeiferMarco RattoJohannes Pfeiferhttps://git.dynare.org/Dynare/dynare/-/issues/796corrcoef in octave2019-06-19T15:38:03ZMarco Rattocorrcoef in octaveAfter my latest commit, gsa crashes with octave. It turns out that the `corrcoef` function in octave is different from natlab, in that no second output argument is given (the pvalue of the corr-coef).
Now, there is a forge package for oc...After my latest commit, gsa crashes with octave. It turns out that the `corrcoef` function in octave is different from natlab, in that no second output argument is given (the pvalue of the corr-coef).
Now, there is a forge package for octave
http://octave.sourceforge.net/nan/function/corrcoef.html
that contains such an extended corrcoef for octave. Could we include that function is we are using octave?
4.5Houtan BastaniHoutan Bastanihttps://git.dynare.org/Dynare/dynare/-/issues/945Fix bug in identification when estimating only standard deviations2019-06-19T15:37:58ZJohannes PfeiferFix bug in identification when estimating only standard deviationsSee email from 05/23/15.
See email from 05/23/15.
4.5