dynare issueshttps://git.dynare.org/Dynare/dynare/issues2019-11-21T08:36:41Zhttps://git.dynare.org/Dynare/dynare/issues/1162Handling of trends2019-11-21T08:36:41ZMichelJuillardHandling of trendsCurrently trends are taken into account only if users indicate them for observed variables. However, in random walk with drift, a deterministic trend appears endogenously for variables that are not necessarily observed.
Let consider the following model where only Y is observed:
```
A_t = A_{t-1} + g + e_t
Y_t = A_t + eta_t
```
Both A_t and Y_t contain a deterministic linear trend with a slope of g. The current practice of only specifying the trend of Y is not satisfactory anymore.
When using the smoother, we need to recognize these trends and include them in SmoothedVariables and friends
Currently trends are taken into account only if users indicate them for observed variables. However, in random walk with drift, a deterministic trend appears endogenously for variables that are not necessarily observed.
Let consider the following model where only Y is observed:
```
A_t = A_{t-1} + g + e_t
Y_t = A_t + eta_t
```
Both A_t and Y_t contain a deterministic linear trend with a slope of g. The current practice of only specifying the trend of Y is not satisfactory anymore.
When using the smoother, we need to recognize these trends and include them in SmoothedVariables and friends
https://git.dynare.org/Dynare/dynare/issues/1078Make lyapunov_symm compatible with sparse matrices2019-11-21T08:36:41ZJohannes Pfeifer Make lyapunov_symm compatible with sparse matricesAs discussed in #988 it would make sense to have `lyapunov_symm` able to work with sparse matrices (at least for the baseline option)
As discussed in #988 it would make sense to have `lyapunov_symm` able to work with sparse matrices (at least for the baseline option)
https://git.dynare.org/Dynare/dynare/issues/237Document sbvar command2019-11-21T08:36:41ZSébastien VillemotDocument sbvar commandMichelJuillardMichelJuillardhttps://git.dynare.org/Dynare/dynare/issues/762svar identification2019-11-21T08:36:41ZHoutan Bastanisvar identificationimplement partial/global identification for svar, based on Tao's paper
implement partial/global identification for svar, based on Tao's paper
MichelJuillardMichelJuillardhttps://git.dynare.org/Dynare/dynare/issues/115IRF: add the possibility to change the size of the shocks in the computations2019-11-21T08:36:40ZSébastien VillemotIRF: add the possibility to change the size of the shocks in the computationsAt order 1, it is equivalent to changing the standard deviation of the shocks and adding the corresponding inverse transformation in the equations.
But at orders 2 and above, the equivalence does not hold.
At order 1, it is equivalent to changing the standard deviation of the shocks and adding the corresponding inverse transformation in the equations.
But at orders 2 and above, the equivalence does not hold.
https://git.dynare.org/Dynare/dynare/issues/116IRF: give the possibility to choose the starting point (at least at order 2 a...2019-11-21T08:36:40ZSébastien VillemotIRF: give the possibility to choose the starting point (at least at order 2 and above)In particular, give the possibility to start from the stochastic steady state
In particular, give the possibility to start from the stochastic steady state
https://git.dynare.org/Dynare/dynare/issues/147Accuracy checks2019-11-21T08:36:40ZSébastien VillemotAccuracy checkshttps://git.dynare.org/Dynare/dynare/issues/1208updated2histval2019-11-21T08:36:40ZMarco Rattoupdated2histvalfor real time forecasting exercises, it would be useful a utility
`updated2histval`
with the same behavior as:
`smoother2histval`
but that uses `oo_.UpdatedVariables` in place of `oo_.SmoothedVariables`
would this be feasible?
for real time forecasting exercises, it would be useful a utility
`updated2histval`
with the same behavior as:
`smoother2histval`
but that uses `oo_.UpdatedVariables` in place of `oo_.SmoothedVariables`
would this be feasible?
https://git.dynare.org/Dynare/dynare/issues/1338risky steady state: no interface, test suite2019-11-21T08:25:49ZHoutan Bastanirisky steady state: no interface, test suiteThere are several issues with risky steady state:
1. It has no interface. Why? Is this something we want to keep (hidden) in Dynare?
1. It the .mod files that use it are not in the test suite. Why?
There are several issues with risky steady state:
1. It has no interface. Why? Is this something we want to keep (hidden) in Dynare?
1. It the .mod files that use it are not in the test suite. Why?
4.7Sébastien VillemotSébastien Villemothttps://git.dynare.org/Dynare/dynare/issues/1664Implement option to use LMMCP for steady state computation2019-11-09T17:37:42ZMichelJuillardImplement option to use LMMCP for steady state computationIntroducing mixed complementarity problems in steady state computation may be useful to exclude parts of the definition space where no solution exists. It may also help when one doesn't know whether an occasionally binding constraints bites at the steady state or not, depending on the value of the parameters.Introducing mixed complementarity problems in steady state computation may be useful to exclude parts of the definition space where no solution exists. It may also help when one doesn't know whether an occasionally binding constraints bites at the steady state or not, depending on the value of the parameters.https://git.dynare.org/Dynare/dynare/issues/1596add maximum lag info by variable2019-09-25T08:27:04ZHoutan Bastaniadd maximum lag info by variable```
M_.maximum_endo_lag_by_var = [ ... ];
M_.maximum_exo_lag_by_var = [ ... ];
```
Where the vectors are the length of `M_.orig_endo_nbr````
M_.maximum_endo_lag_by_var = [ ... ];
M_.maximum_exo_lag_by_var = [ ... ];
```
Where the vectors are the length of `M_.orig_endo_nbr`Houtan BastaniHoutan Bastanihttps://git.dynare.org/Dynare/dynare/issues/1658Write a howto on forecasting2019-09-20T13:06:55ZSébastien VillemotWrite a howto on forecastinghttps://git.dynare.org/Dynare/dynare/issues/1539create a reporting tutorial website2019-08-26T10:08:36ZHoutan Bastanicreate a reporting tutorial websiteGoing from simple examples to more complex examples to make the code more approachable
Going from simple examples to more complex examples to make the code more approachable
Houtan BastaniHoutan Bastanihttps://git.dynare.org/Dynare/dynare/issues/1540create reports for dynare commands2019-08-26T10:08:28ZHoutan Bastanicreate reports for dynare commandsCreate standardized reporting output for dynare commands using the reporting submodule, replacing latex code throughout the dynare codebaseCreate standardized reporting output for dynare commands using the reporting submodule, replacing latex code throughout the dynare codebaseHoutan BastaniHoutan Bastanihttps://git.dynare.org/Dynare/dynare/issues/4Integrate algorithm for TBC by Holden and Paetz (2012)2019-06-19T15:37:43ZSébastien VillemotIntegrate algorithm for TBC by Holden and Paetz (2012)Request by Stéphane Moyen.
Paper at http://www.tholden.org/files/zlb.pdf?attredirects=0
Apparently the code has been posted on the Dynare forums. It's therefore a matter of dealing with copyright/license issues and integrating it.
Request by Stéphane Moyen.
Paper at http://www.tholden.org/files/zlb.pdf?attredirects=0
Apparently the code has been posted on the Dynare forums. It's therefore a matter of dealing with copyright/license issues and integrating it.
https://git.dynare.org/Dynare/dynare/issues/149Handle missing values in block decomposed version of Kalman filter2019-06-19T15:37:43ZSébastien VillemotHandle missing values in block decomposed version of Kalman filterhttps://git.dynare.org/Dynare/dynare/issues/162Global method: stochastic simulation approach2019-06-19T15:37:43ZSébastien VillemotGlobal method: stochastic simulation approachAs advocated by Judd, Maliar & Maliar in recent NBER WP.
For the IMF.
As advocated by Judd, Maliar & Maliar in recent NBER WP.
For the IMF.
https://git.dynare.org/Dynare/dynare/issues/163Finish first version of internal documentation2019-06-19T15:37:43ZSébastien VillemotFinish first version of internal documentationSee doc/internals/dynare-internals.org for the first draft.
For the IMF.
See doc/internals/dynare-internals.org for the first draft.
For the IMF.
https://git.dynare.org/Dynare/dynare/issues/172improve derivation engine for derivatives of STEADY_STATE wrt parameters2019-06-19T15:37:42ZSébastien Villemotimprove derivation engine for derivatives of STEADY_STATE wrt parametersCurrently the derivatives of STEADY_STATE operator wrt to parameters are not handled in an efficient way, because the preprocessor does not exploit the a priori information for identifying null derivatives. This results in huge files for not so complicated models, which cannot be exploited by identification routines.
The proposal is to implement an algorithm in the preprocessor for identifying null derivatives ex ante:
- Create a non-directed graph whose nodes are the endogenous variables and the parameters
- For each pair of nodes, add an edge between the two if there is an equation in the static model containing both corresponding symbols (endogenous/parameters)
- For each endogenous, its derivative wrt a parameter is always zero if there is no path between the node representing the endogenous and the node representing the parameter.
Currently the derivatives of STEADY_STATE operator wrt to parameters are not handled in an efficient way, because the preprocessor does not exploit the a priori information for identifying null derivatives. This results in huge files for not so complicated models, which cannot be exploited by identification routines.
The proposal is to implement an algorithm in the preprocessor for identifying null derivatives ex ante:
- Create a non-directed graph whose nodes are the endogenous variables and the parameters
- For each pair of nodes, add an edge between the two if there is an equation in the static model containing both corresponding symbols (endogenous/parameters)
- For each endogenous, its derivative wrt a parameter is always zero if there is no path between the node representing the endogenous and the node representing the parameter.
https://git.dynare.org/Dynare/dynare/issues/226New estimation2019-06-19T15:37:42ZSébastien VillemotNew estimationWrite the new estimation interface in the preprocessor. A description of what is needed is given on the wiki (http://www.dynare.org/DynareWiki/NewEstimation).
Write the new estimation interface in the preprocessor. A description of what is needed is given on the wiki (http://www.dynare.org/DynareWiki/NewEstimation).
Stéphane Adjemianstepan@adjemian.euStéphane Adjemianstepan@adjemian.eu