diff --git a/src/ComputingTasks.cc b/src/ComputingTasks.cc
index b8f558fbdf6dfc834cc8f592c858f76c231c1dc3..75ae03e88001d0d68d17a6faf1b0a973e378e18e 100644
--- a/src/ComputingTasks.cc
+++ b/src/ComputingTasks.cc
@@ -4761,12 +4761,22 @@ MethodOfMomentsStatement::checkPass(ModFileStructure &mod_file_struct, WarningCo
if (auto it = options_list.num_options.find("mom.analytic_standard_errors");
it != options_list.num_options.end() && it->second == "true")
mod_file_struct.analytic_standard_errors_present = true;
-
+
if (!mod_file_struct.GMM_present && mod_file_struct.analytic_standard_errors_present)
{
cerr << "ERROR: The analytic_standard_errors statement requires the GMM option." << endl;
exit(EXIT_FAILURE);
- }
+ }
+
+ if (auto it = options_list.num_options.find("mom.analytic_jacobian");
+ it != options_list.num_options.end() && it->second == "true")
+ mod_file_struct.analytic_jacobian_present = true;
+
+ if (!mod_file_struct.GMM_present && mod_file_struct.analytic_jacobian_present)
+ {
+ cerr << "ERROR: The analytic_jacobian statement requires the GMM option." << endl;
+ exit(EXIT_FAILURE);
+ }
}
void
diff --git a/src/DynareBison.yy b/src/DynareBison.yy
index b1eddc75966d4b54ff9a166708799225411e4771..e19e73255ba3a3a8f9ca7c5df664fd0653a881bf 100644
--- a/src/DynareBison.yy
+++ b/src/DynareBison.yy
@@ -167,7 +167,7 @@ class ParsingDriver;
%token RANDOM_FUNCTION_CONVERGENCE_CRITERION RANDOM_PARAMETER_CONVERGENCE_CRITERION
/* Method of Moments */
%token METHOD_OF_MOMENTS MOM_METHOD
-%token BARTLETT_KERNEL_LAG WEIGHTING_MATRIX WEIGHTING_MATRIX_SCALING_FACTOR ANALYTIC_STANDARD_ERRORS PENALIZED_ESTIMATOR VERBOSE
+%token BARTLETT_KERNEL_LAG WEIGHTING_MATRIX WEIGHTING_MATRIX_SCALING_FACTOR ANALYTIC_STANDARD_ERRORS ANALYTIC_JACOBIAN PENALIZED_ESTIMATOR VERBOSE
%token SIMULATION_MULTIPLE MOM_SEED SEED BOUNDED_SHOCK_SUPPORT ADDITIONAL_OPTIMIZER_STEPS MOM_SE_TOLX SE_TOLX MOM_BURNIN BURNIN
%token EQTAGS STEADY_STATE_GROWTH
%token ANALYTICAL_GIRF IRF_IN_PERCENT EMAS_GIRF EMAS_DROP EMAS_TOLF EMAS_MAX_ITER
@@ -1289,13 +1289,12 @@ method_of_moments_option : o_mom_method
| o_verbose
| o_weighting_matrix
| o_weighting_matrix_scaling_factor
- | o_analytic_standard_errors
- | o_additional_optimizer_steps
- | o_prefilter
+ | o_mom_se_tolx
+ | o_mom_burnin
| o_bounded_shock_support
| o_mom_seed
| o_simulation_multiple
- | o_mom_burnin
+ | o_analytic_standard_errors
| o_dirname
| o_graph_format
| o_nodisplay
@@ -1307,13 +1306,15 @@ method_of_moments_option : o_mom_method
| o_first_obs
| o_logdata
| o_nobs
+ | o_prefilter
| o_xls_sheet
| o_xls_range
- | o_huge_number
| o_mode_compute
+ | o_additional_optimizer_steps
| o_optim
| o_silent_optimizer
- | o_mom_se_tolx
+ | o_huge_number
+ | o_analytic_jacobian
| o_aim_solver
| o_dr
| o_dr_cycle_reduction_tol
@@ -3710,6 +3711,8 @@ o_weighting_matrix_scaling_factor : WEIGHTING_MATRIX_SCALING_FACTOR EQUAL non_ne
o_analytic_standard_errors : ANALYTIC_STANDARD_ERRORS { driver.option_num("mom.analytic_standard_errors", "true"); };
+o_analytic_jacobian : ANALYTIC_JACOBIAN { driver.option_num("mom.analytic_jacobian", "true"); };
+
o_mom_method : MOM_METHOD EQUAL GMM
{ driver.option_str("mom.mom_method", "GMM"); }
| MOM_METHOD EQUAL SMM
diff --git a/src/DynareFlex.ll b/src/DynareFlex.ll
index 7ae7b4c260014206c6cc906ec48ba26de04f20d8..124f8c9625d677ce1f8926ea16ff61652a76189c 100644
--- a/src/DynareFlex.ll
+++ b/src/DynareFlex.ll
@@ -682,6 +682,7 @@ DATE -?[0-9]+([ya]|m([1-9]|1[0-2])|q[1-4])
<DYNARE_STATEMENT>weighting_matrix {return token::WEIGHTING_MATRIX; }
<DYNARE_STATEMENT>weighting_matrix_scaling_factor {return token::WEIGHTING_MATRIX_SCALING_FACTOR; }
<DYNARE_STATEMENT>analytic_standard_errors {return token::ANALYTIC_STANDARD_ERRORS; }
+<DYNARE_STATEMENT>analytic_jacobian {return token::ANALYTIC_JACOBIAN; }
<DYNARE_STATEMENT>mom_method {return token::MOM_METHOD; }
<DYNARE_STATEMENT>penalized_estimator {return token::PENALIZED_ESTIMATOR; }
<DYNARE_STATEMENT>verbose {return token::VERBOSE; }
diff --git a/src/ModFile.cc b/src/ModFile.cc
index 239308e72524553c0c7a721ecdea4ba52bb15bf3..a32dc93b9c124d00ec2c6cba5b391ab262240289 100644
--- a/src/ModFile.cc
+++ b/src/ModFile.cc
@@ -752,7 +752,7 @@ ModFile::computingPass(bool no_tmp_terms, OutputType output, int params_derivs_o
if (mod_file_struct.identification_present
|| mod_file_struct.estimation_analytic_derivation
- || (mod_file_struct.GMM_present && mod_file_struct.analytic_standard_errors_present))
+ || (mod_file_struct.GMM_present && (mod_file_struct.analytic_standard_errors_present || mod_file_struct.analytic_jacobian_present)))
paramsDerivsOrder = params_derivs_order;
static_model.computingPass(derivsOrder, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, bytecode);
@@ -786,7 +786,8 @@ ModFile::computingPass(bool no_tmp_terms, OutputType output, int params_derivs_o
exit(EXIT_FAILURE);
}
int derivsOrder = max(mod_file_struct.order_option,mod_file_struct.identification_order + 1); // See preprocessor#40
- if (mod_file_struct.GMM_present && mod_file_struct.analytic_standard_errors_present) //analytic standard errors require one order more
+ if (mod_file_struct.GMM_present
+ && (mod_file_struct.analytic_standard_errors_present || mod_file_struct.analytic_jacobian_present)) //analytic_standard_errors or analytic_jacobian require one order more
derivsOrder = max(mod_file_struct.order_option,
max(mod_file_struct.identification_order,mod_file_struct.mom_order) + 1); // See preprocessor#40
@@ -797,7 +798,7 @@ ModFile::computingPass(bool no_tmp_terms, OutputType output, int params_derivs_o
int paramsDerivsOrder = 0;
if (mod_file_struct.identification_present
|| mod_file_struct.estimation_analytic_derivation
- || (mod_file_struct.GMM_present && mod_file_struct.analytic_standard_errors_present))
+ || (mod_file_struct.GMM_present && (mod_file_struct.analytic_standard_errors_present || mod_file_struct.analytic_jacobian_present)))
paramsDerivsOrder = params_derivs_order;
dynamic_model.computingPass(true, derivsOrder, paramsDerivsOrder, global_eval_context, no_tmp_terms, block, use_dll, bytecode, linear_decomposition);
if (linear && mod_file_struct.ramsey_model_present)
diff --git a/src/Statement.hh b/src/Statement.hh
index 99d2bbb7ce5ec6f7ad59c842efa505a46efe4720..4c143daddf45ce5fc8f5c72527f05c654c5b9d68 100644
--- a/src/Statement.hh
+++ b/src/Statement.hh
@@ -84,6 +84,8 @@ public:
bool GMM_present{false};
//! Whether an analytic_standard_errors-option is present
bool analytic_standard_errors_present{false};
+ //! Whether an analytic_jacobian-option is present
+ bool analytic_jacobian_present{false};
//! The maximum of the “order” option in method_of_moments statements
int mom_order{0};
//! Whether there is a calibrated measurement error