configure.ac

@@ -18,7 +18,7 @@ dnl You should have received a copy of the GNU General Public License
 dnl along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 
 AC_PREREQ([2.62])
-AC_INIT([dynare], [4.3-unstable])
+AC_INIT([dynare], [4.3.0])
 AC_CONFIG_SRCDIR([preprocessor/DynareMain.cc])
 AM_INIT_AUTOMAKE([1.11 -Wall -Werror foreign no-dist-gzip dist-xz tar-pax])
 
@@ -82,10 +82,6 @@ CPPFLAGS="$CPPFLAGS_SAVED"
 # Don't use deprecated hash structures
 AC_DEFINE([BOOST_NO_HASH], [], [Don't use deprecated STL hash structures])
 
-# Check for dlopen(), needed by tests for estimation DLL
-AC_CHECK_LIB([dl], [dlopen], [LIBADD_DLOPEN="-ldl"], [])
-AC_SUBST([LIBADD_DLOPEN])
-
 AC_CHECK_PROG([MAKEINFO], [makeinfo], [makeinfo])
 
 AC_CHECK_PROG([PDFTEX], [pdftex], [pdftex])
@@ -203,10 +199,6 @@ AC_CONFIG_FILES([Makefile
                  dynare++/kord/Makefile
                  dynare++/src/Makefile
                  mex/sources/Makefile
-                 mex/sources/estimation/Makefile
-                 mex/sources/estimation/tests/Makefile
-                 mex/sources/estimation/libmat/Makefile
-                 mex/sources/estimation/libmat/tests/Makefile
 ])
 
 AC_ARG_ENABLE([matlab], AS_HELP_STRING([--disable-matlab], [disable compilation of MEX files for MATLAB]), [], [enable_matlab=yes])

mex/build/estimation.am

-noinst_PROGRAMS = logposterior logMHMCMCposterior
-
-# We use shared flags so that automake does not compile things two times
-CPPFLAGS += -I$(top_srcdir)/../../sources/estimation/libmat -I$(top_srcdir)/../../sources/estimation/utils $(BOOST_CPPFLAGS)
-LDFLAGS += $(BOOST_LDFLAGS)
-LDADD = $(LIBADD_DLOPEN)
-
-TOPDIR = $(top_srcdir)/../../sources/estimation
-
-MAT_SRCS = \
-	$(TOPDIR)/libmat/Matrix.hh \
-	$(TOPDIR)/libmat/Matrix.cc \
-	$(TOPDIR)/libmat/Vector.hh \
-	$(TOPDIR)/libmat/Vector.cc \
-	$(TOPDIR)/libmat/BlasBindings.hh \
-	$(TOPDIR)/libmat/DiscLyapFast.hh \
-	$(TOPDIR)/libmat/GeneralizedSchurDecomposition.cc \
-	$(TOPDIR)/libmat/GeneralizedSchurDecomposition.hh \
-	$(TOPDIR)/libmat/LapackBindings.hh \
-	$(TOPDIR)/libmat/LUSolver.cc \
-	$(TOPDIR)/libmat/LUSolver.hh \
-	$(TOPDIR)/libmat/QRDecomposition.cc \
-	$(TOPDIR)/libmat/QRDecomposition.hh \
-	$(TOPDIR)/libmat/VDVEigDecomposition.cc \
-	$(TOPDIR)/libmat/VDVEigDecomposition.hh
-
-COMMON_SRCS = \
-	$(MAT_SRCS) \
-	$(TOPDIR)/DecisionRules.cc \
-	$(TOPDIR)/DecisionRules.hh \
-	$(TOPDIR)/DetrendData.cc \
-	$(TOPDIR)/DetrendData.hh \
-	$(TOPDIR)/EstimatedParameter.cc \
-	$(TOPDIR)/EstimatedParameter.hh \
-	$(TOPDIR)/EstimatedParametersDescription.cc \
-	$(TOPDIR)/EstimatedParametersDescription.hh \
-	$(TOPDIR)/EstimationSubsample.cc \
-	$(TOPDIR)/EstimationSubsample.hh \
-	$(TOPDIR)/InitializeKalmanFilter.cc \
-	$(TOPDIR)/InitializeKalmanFilter.hh \
-	$(TOPDIR)/KalmanFilter.cc \
-	$(TOPDIR)/KalmanFilter.hh \
-	$(TOPDIR)/LogLikelihoodSubSample.cc \
-	$(TOPDIR)/LogLikelihoodSubSample.hh \
-	$(TOPDIR)/LogLikelihoodMain.hh \
-	$(TOPDIR)/LogLikelihoodMain.cc \
-	$(TOPDIR)/LogPosteriorDensity.cc \
-	$(TOPDIR)/LogPosteriorDensity.hh \
-	$(TOPDIR)/LogPriorDensity.cc \
-	$(TOPDIR)/LogPriorDensity.hh \
-	$(TOPDIR)/ModelSolution.cc \
-	$(TOPDIR)/ModelSolution.hh \
-	$(TOPDIR)/Prior.cc \
-	$(TOPDIR)/Prior.hh \
-	$(TOPDIR)/utils/dynamic_dll.cc \
-	$(TOPDIR)/utils/dynamic_dll.hh
-
-nodist_logposterior_SOURCES = \
-	$(COMMON_SRCS) \
-	$(TOPDIR)/logposterior.cc
-
-nodist_logMHMCMCposterior_SOURCES = \
-	$(COMMON_SRCS) \
-	$(TOPDIR)/Proposal.cc \
-	$(TOPDIR)/Proposal.hh \
-	$(TOPDIR)/RandomWalkMetropolisHastings.hh \
-	$(TOPDIR)/logMHMCMCposterior.cc

mex/build/matlab/Makefile.am

@@ -2,7 +2,7 @@ ACLOCAL_AMFLAGS = -I ../../../m4
 
 # libdynare++ must come before gensylv, k_order_perturbation, dynare_simul_
 if DO_SOMETHING
-SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv k_order_perturbation dynare_simul_ estimation block_kalman_filter sobol local_state_space_iterations
+SUBDIRS = mjdgges kronecker bytecode libdynare++ gensylv k_order_perturbation dynare_simul_ block_kalman_filter sobol local_state_space_iterations
 
 if HAVE_GSL
 SUBDIRS += ms_sbvar

mex/build/matlab/configure.ac

@@ -18,7 +18,7 @@ dnl You should have received a copy of the GNU General Public License
 dnl along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 
 AC_PREREQ([2.61])
-AC_INIT([dynare], [4.3-unstable])
+AC_INIT([dynare], [4.3.0])
 AC_CONFIG_SRCDIR([configure.ac])
 AM_INIT_AUTOMAKE([-Wall -Werror foreign])
 
@@ -139,7 +139,6 @@ AC_CONFIG_FILES([Makefile
                  gensylv/Makefile
                  k_order_perturbation/Makefile
                  dynare_simul_/Makefile
-                 estimation/Makefile
                  libslicot/Makefile
                  kalman_steady_state/Makefile
                  ms_sbvar/Makefile

mex/build/matlab/estimation/Makefile.am

-include ../mex.am
-include ../../estimation.am

mex/build/octave/Makefile.am

@@ -15,7 +15,4 @@ if HAVE_FORT
 SUBDIRS += libslicot kalman_steady_state
 endif
 
-if HAVE_MATIO
-SUBDIRS += estimation
-endif
 endif

mex/build/octave/configure.ac

@@ -18,7 +18,7 @@ dnl You should have received a copy of the GNU General Public License
 dnl along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 
 AC_PREREQ([2.61])
-AC_INIT([dynare], [4.3-unstable])
+AC_INIT([dynare], [4.3.0])
 AC_CONFIG_SRCDIR([configure.ac])
 AM_INIT_AUTOMAKE([-Wall -Werror foreign])
 
@@ -124,7 +124,6 @@ AC_CONFIG_FILES([Makefile
                  gensylv/Makefile
                  k_order_perturbation/Makefile
                  dynare_simul_/Makefile
-                 estimation/Makefile
                  qzcomplex/Makefile
                  ordschur/Makefile
                  libslicot/Makefile

mex/build/octave/estimation/Makefile.am

-EXEEXT = .mex
-include ../mex.am
-include ../../estimation.am
-
-logMHMCMCposterior_LDADD = $(LIBADD_MATIO)

mex/sources/Makefile.am

-SUBDIRS = estimation
-
 EXTRA_DIST = \
 	dynblas.h \
 	dynlapack.h \

mex/sources/block_kalman_filter/block_kalman_filter.h

@@ -48,7 +48,8 @@ class BlockKalmanFilter
   bool notsteady, F_singular, missing_observations;
   lapack_int *iw, *ipiv;
   double anorm, rcond;
-  int size_d_index, no_more_missing_observations, number_of_observations;
+  lapack_int size_d_index;
+  int no_more_missing_observations, number_of_observations;
   const mxArray* pdata_index;
   vector<int> d_index;
   const mxArray* pd_index;

mex/sources/estimation/DecisionRules.cc

-/*
- * Copyright (C) 2010-2011 Dynare Team
- *
- * This file is part of Dynare.
- *
- * Dynare is free software: you can redistribute it and/or modify
- * it under the terms of the GNU General Public License as published by
- * the Free Software Foundation, either version 3 of the License, or
- * (at your option) any later version.
- *
- * Dynare is distributed in the hope that it will be useful,
- * but WITHOUT ANY WARRANTY; without even the implied warranty of
- * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
- * GNU General Public License for more details.
- *
- * You should have received a copy of the GNU General Public License
- * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
- */
-
-#include <cassert>
-
-#include <algorithm>
-
-#include "DecisionRules.hh"
-
-DecisionRules::DecisionRules(size_t n_arg, size_t p_arg,
-                             const std::vector<size_t> &zeta_fwrd_arg,
-                             const std::vector<size_t> &zeta_back_arg,
-                             const std::vector<size_t> &zeta_mixed_arg,
-                             const std::vector<size_t> &zeta_static_arg,
-                             double qz_criterium) :
-  n(n_arg), p(p_arg), zeta_fwrd(zeta_fwrd_arg), zeta_back(zeta_back_arg),
-  zeta_mixed(zeta_mixed_arg), zeta_static(zeta_static_arg),
-  n_fwrd(zeta_fwrd.size()), n_back(zeta_back.size()),
-  n_mixed(zeta_mixed.size()), n_static(zeta_static.size()),
-  n_back_mixed(n_back+n_mixed), n_fwrd_mixed(n_fwrd+n_mixed),
-  n_dynamic(n-n_static),
-  S(n, n_static),
-  A(n, n_back_mixed + n + n_fwrd_mixed),
-  D(n_fwrd + n_back + 2*n_mixed),
-  E(n_fwrd + n_back + 2*n_mixed),
-  Z_prime(n_fwrd + n_back + 2*n_mixed),
-  QR(n, n_static, n_back_mixed + n + n_fwrd_mixed),
-  GSD(n_fwrd + n_back + 2*n_mixed, qz_criterium),
-  LU1(n_fwrd_mixed),
-  LU2(n_back_mixed),
-  LU3(n_static),
-  Z21(n_fwrd_mixed, n_back_mixed),
-  g_y_back(n_back_mixed),
-  g_y_back_tmp(n_back_mixed),
-  g_y_static(n_static, n_back_mixed),
-  A0s(n_static),
-  A0d(n_static, n_dynamic),
-  g_y_dynamic(n_dynamic, n_back_mixed),
-  g_y_static_tmp(n_fwrd_mixed, n_back_mixed),
-  g_u_tmp1(n, n_back_mixed),
-  g_u_tmp2(n),
-  LU4(n)
-{
-  assert(n == n_back + n_fwrd + n_mixed + n_static);
-
-  set_union(zeta_fwrd.begin(), zeta_fwrd.end(),
-            zeta_mixed.begin(), zeta_mixed.end(),
-            back_inserter(zeta_fwrd_mixed));
-  set_union(zeta_back.begin(), zeta_back.end(),
-            zeta_mixed.begin(), zeta_mixed.end(),
-            back_inserter(zeta_back_mixed));
-  set_union(zeta_back_mixed.begin(), zeta_back_mixed.end(),
-            zeta_fwrd.begin(), zeta_fwrd.end(),
-            back_inserter(zeta_dynamic));
-
-  // Compute beta_back and pi_back
-  for (size_t i = 0; i < n_back_mixed; i++)
-    if (find(zeta_mixed.begin(), zeta_mixed.end(), zeta_back_mixed[i])
-        == zeta_mixed.end())
-      pi_back.push_back(i);
-    else
-      beta_back.push_back(i);
-
-  // Compute beta_fwrd and pi_fwrd
-  for (size_t i = 0; i < n_fwrd_mixed; i++)
-    if (find(zeta_mixed.begin(), zeta_mixed.end(), zeta_fwrd_mixed[i])
-        == zeta_mixed.end())
-      pi_fwrd.push_back(i);
-    else
-      beta_fwrd.push_back(i);
-}
-
-void
-DecisionRules::compute(const Matrix &jacobian, Matrix &g_y, Matrix &g_u) throw (BlanchardKahnException, GeneralizedSchurDecomposition::GSDException)
-{
-  assert(jacobian.getRows() == n
-         && jacobian.getCols() == (n_back_mixed + n + n_fwrd_mixed + p));
-  assert(g_y.getRows() == n && g_y.getCols() == n_back_mixed);
-  assert(g_u.getRows() == n && g_u.getCols() == p);
-
-  // Construct S, perform QR decomposition and get A = Q*jacobian
-  for (size_t i = 0; i < n_static; i++)
-    mat::col_copy(jacobian, n_back_mixed+zeta_static[i], S, i);
-
-  A = MatrixConstView(jacobian, 0, 0, n, n_back_mixed + n + n_fwrd_mixed);
-  QR.computeAndLeftMultByQ(S, "T", A);
-
-  // Construct matrix D
-  D.setAll(0.0);
-  for (size_t i = 0; i < n_mixed; i++)
-    D(n - n_static + i, beta_back[i]) = 1.0;
-  for (size_t j = 0; j < n_back_mixed; j++)
-    mat::col_copy(A, n_back_mixed + zeta_back_mixed[j], n_static, n - n_static,
-                  D, j, 0);
-  MatrixView(D, 0, n_back_mixed, n - n_static, n_fwrd_mixed) = MatrixView(A, n_static, n_back_mixed + n, n - n_static, n_fwrd_mixed);
-
-  // Construct matrix E
-  E.setAll(0.0);
-  for (size_t i = 0; i < n_mixed; i++)
-    E(n - n_static + i, n_back_mixed + beta_fwrd[i]) = 1.0;
-  MatrixView(E, 0, 0, n - n_static, n_back_mixed) = MatrixView(A, n_static, 0, n - n_static, n_back_mixed);
-  for (size_t j = 0; j < n_fwrd; j++)
-    mat::col_copy(A, n_back_mixed + zeta_fwrd_mixed[pi_fwrd[j]], n_static, n - n_static,
-                  E, n_back_mixed + pi_fwrd[j], 0);
-  MatrixView E_tmp(E, 0, 0, n - n_static, n_fwrd + n_back + 2*n_mixed);
-  mat::negate(E_tmp); // Here we take the opposite of some of the zeros initialized in the constructor, but it is not a problem
-
-  // Perform the generalized Schur
-  size_t sdim;
-  GSD.compute(E, D, Z_prime, sdim);
-
-  if (n_back_mixed != sdim)
-    throw BlanchardKahnException(true, n_fwrd_mixed, n_fwrd + n_back + 2*n_mixed - sdim);
-
-  // Compute DR for forward variables w.r. to endogenous
-  MatrixView Z21_prime(Z_prime, 0, n_back_mixed, n_back_mixed, n_fwrd_mixed),
-    Z22_prime(Z_prime, n_back_mixed, n_back_mixed, n_fwrd_mixed, n_fwrd_mixed);
-
-  mat::transpose(Z21, Z21_prime);
-
-  try
-    {
-      LU1.invMult("T", Z22_prime, Z21);
-    }
-  catch (LUSolver::LUException &e)
-    {
-      throw BlanchardKahnException(false, n_fwrd_mixed, n_fwrd + n_back + 2*n_mixed - sdim);
-    }
-  mat::negate(Z21);
-  const Matrix &g_y_fwrd = Z21;
-
-  for (size_t i = 0; i < n_fwrd_mixed; i++)
-    mat::row_copy(g_y_fwrd, i, g_y, zeta_fwrd_mixed[i]);
-
-  // Compute DR for backward variables w.r. to endogenous
-  MatrixView Z11_prime(Z_prime, 0, 0, n_back_mixed, n_back_mixed),
-    T11(D, 0, 0, n_back_mixed, n_back_mixed),
-    S11(E, 0, 0, n_back_mixed, n_back_mixed);
-  mat::set_identity(g_y_back);
-  g_y_back_tmp = Z11_prime;
-  LU2.invMult("N", g_y_back_tmp, g_y_back);
-  g_y_back_tmp = g_y_back;
-  blas::gemm("N", "N", 1.0, S11, g_y_back_tmp, 0.0, g_y_back);
-  LU2.invMult("N", T11, g_y_back);
-  g_y_back_tmp = g_y_back;
-  blas::gemm("N", "N", 1.0, Z11_prime, g_y_back_tmp, 0.0, g_y_back);
-
-  // TODO: avoid to copy mixed variables again, rather test it...
-  for (size_t i = 0; i < n_back_mixed; i++)
-    mat::row_copy(g_y_back, i, g_y, zeta_back_mixed[i]);
-
-  // Compute DR for static variables w.r. to endogenous
-  g_y_static = MatrixView(A, 0, 0, n_static, n_back_mixed);
-  for (size_t i = 0; i < n_dynamic; i++)
-    {
-      mat::row_copy(g_y, zeta_dynamic[i], g_y_dynamic, i);
-      mat::col_copy(A, n_back_mixed + zeta_dynamic[i], 0, n_static, A0d, i, 0);
-    }
-  blas::gemm("N", "N", 1.0, A0d, g_y_dynamic, 1.0, g_y_static);
-  blas::gemm("N", "N", 1.0, g_y_fwrd, g_y_back, 0.0, g_y_static_tmp);
-  blas::gemm("N", "N", 1.0, MatrixView(A, 0, n_back_mixed + n, n_static, n_fwrd_mixed),
-             g_y_static_tmp, 1.0, g_y_static);
-  for (size_t i = 0; i < n_static; i++)
-    mat::col_copy(A, n_back_mixed + zeta_static[i], 0, n_static, A0s, i, 0);
-  LU3.invMult("N", A0s, g_y_static);
-  mat::negate(g_y_static);
-
-  for (size_t i = 0; i < n_static; i++)
-    mat::row_copy(g_y_static, i, g_y, zeta_static[i]);
-
-  // Compute DR for all endogenous w.r. to shocks
-  blas::gemm("N", "N", 1.0, MatrixConstView(jacobian, 0, n_back_mixed + n, n, n_fwrd_mixed), g_y_fwrd, 0.0, g_u_tmp1);
-  g_u_tmp2 = MatrixConstView(jacobian, 0, n_back_mixed, n, n);
-  for (size_t i = 0; i < n_back_mixed; i++)
-    {
-      VectorView c1 = mat::get_col(g_u_tmp2, zeta_back_mixed[i]),
-        c2 = mat::get_col(g_u_tmp1, i);
-      vec::add(c1, c2);
-    }
-  g_u = MatrixConstView(jacobian, 0, n_back_mixed + n + n_fwrd_mixed, n, p);
-  LU4.invMult("N", g_u_tmp2, g_u);
-  mat::negate(g_u);
-}
-
-std::ostream &
-operator<<(std::ostream &out, const DecisionRules::BlanchardKahnException &e)
-{
-  if (e.order)
-    out << "The Blanchard-Kahn order condition is not satisfied: you have " << e.n_fwrd_vars << " forward variables for " << e.n_explosive_eigenvals << " explosive eigenvalues";
-  else
-    out << "The Blanchard Kahn rank condition is not satisfied";
-  return out;
-}
-

mex/sources/estimation/DecisionRules.hh

-/*
- * Copyright (C) 2010 Dynare Team
- *
- * This file is part of Dynare.
- *
- * Dynare is free software: you can redistribute it and/or modify
- * it under the terms of the GNU General Public License as published by
- * the Free Software Foundation, either version 3 of the License, or
- * (at your option) any later version.
- *
- * Dynare is distributed in the hope that it will be useful,
- * but WITHOUT ANY WARRANTY; without even the implied warranty of
- * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
- * GNU General Public License for more details.
- *
- * You should have received a copy of the GNU General Public License
- * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
- */
-
-#include <cstdlib>
-#include <vector>
-
-#include "Vector.hh"
-#include "Matrix.hh"
-#include "QRDecomposition.hh"
-#include "GeneralizedSchurDecomposition.hh"
-#include "LUSolver.hh"
-
-class DecisionRules
-{
-private:
-  const size_t n, p;
-  const std::vector<size_t> zeta_fwrd, zeta_back, zeta_mixed, zeta_static;
-  const size_t n_fwrd, n_back, n_mixed, n_static, n_back_mixed, n_fwrd_mixed, n_dynamic;
-  std::vector<size_t> zeta_fwrd_mixed, zeta_back_mixed, zeta_dynamic,
-    beta_back, beta_fwrd, pi_back, pi_fwrd;
-  Matrix S, A, D, E, Z_prime;
-  QRDecomposition QR;
-  GeneralizedSchurDecomposition GSD;
-  LUSolver LU1, LU2, LU3;
-  Matrix Z21, g_y_back, g_y_back_tmp;
-  Matrix g_y_static, A0s, A0d, g_y_dynamic, g_y_static_tmp;
-  Matrix g_u_tmp1, g_u_tmp2;
-  LUSolver LU4;
-public:
-  class BlanchardKahnException
-  {
-  public:
-    //! True if the model fails the order condition. False if it fails the rank condition.
-    const bool order;
-    const int n_fwrd_vars, n_explosive_eigenvals;
-    BlanchardKahnException(bool order_arg, int n_fwrd_vars_arg, int n_explosive_eigenvals_arg) : order(order_arg), n_fwrd_vars(n_fwrd_vars_arg), n_explosive_eigenvals(n_explosive_eigenvals_arg) {};
-  };
-  /*!
-    The zetas are supposed to follow C convention (first vector index is zero).
-  */
-  DecisionRules(size_t n_arg, size_t p_arg, const std::vector<size_t> &zeta_fwrd_arg,
-                const std::vector<size_t> &zeta_back_arg, const std::vector<size_t> &zeta_mixed_arg,
-                const std::vector<size_t> &zeta_static_arg, double qz_criterium);
-  virtual ~DecisionRules(){};
-
-  /*!
-    \param jacobian First columns are backetermined vars at t-1 (in the order of zeta_back_mixed), then all vars at t (in the orig order), then forward vars at t+1 (in the order of zeta_fwrd_mixed), then exogenous vars.
-  */
-  void compute(const Matrix &jacobian, Matrix &g_y, Matrix &g_u) throw (BlanchardKahnException, GeneralizedSchurDecomposition::GSDException);
-  template<class Vec1, class Vec2>
-  void getGeneralizedEigenvalues(Vec1 &eig_real, Vec2 &eig_cmplx);
-};
-
-std::ostream &operator<<(std::ostream &out, const DecisionRules::BlanchardKahnException &e);
-
-template<class Vec1, class Vec2>
-void
-DecisionRules::getGeneralizedEigenvalues(Vec1 &eig_real, Vec2 &eig_cmplx)
-{
-  GSD.getGeneralizedEigenvalues(eig_real, eig_cmplx);
-}

mex/sources/estimation/DetrendData.cc

-/*
- * Copyright (C) 2009-2010 Dynare Team
- *
- * This file is part of Dynare.
- *
- * Dynare is free software: you can redistribute it and/or modify
- * it under the terms of the GNU General Public License as published by
- * the Free Software Foundation, either version 3 of the License, or
- * (at your option) any later version.
- *
- * Dynare is distributed in the hope that it will be useful,
- * but WITHOUT ANY WARRANTY; without even the implied warranty of
- * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
- * GNU General Public License for more details.
- *
- * You should have received a copy of the GNU General Public License
- * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
- */
-
-///////////////////////////////////////////////////////////
-//  DetrendData.cpp
-//  Implementation of the Class DetrendData
-//  Created on:      02-Feb-2010 13:01:15
-///////////////////////////////////////////////////////////
-
-#include "DetrendData.hh"
-
-DetrendData::DetrendData(const bool INlogLinear) //, Vector& INtrendCoeff)
-  : logLinear(INlogLinear) //trendCoeff(INtrendCoeff)
-{
-};
-
-void
-DetrendData::detrend(const VectorView &SteadyState, const MatrixConstView &dataView,
-                     MatrixView &detrendedDataView)
-{
-  detrendedDataView = dataView;
-};
-

mex/sources/estimation/DetrendData.hh

-/*
- * Copyright (C) 2009-2010 Dynare Team
- *
- * This file is part of Dynare.
- *
- * Dynare is free software: you can redistribute it and/or modify
- * it under the terms of the GNU General Public License as published by
- * the Free Software Foundation, either version 3 of the License, or
- * (at your option) any later version.
- *
- * Dynare is distributed in the hope that it will be useful,
- * but WITHOUT ANY WARRANTY; without even the implied warranty of
- * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
- * GNU General Public License for more details.
- *
- * You should have received a copy of the GNU General Public License
- * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
- */
-///////////////////////////////////////////////////////////
-//  DetrendData.h
-//  Implementation of the Class DetrendData
-//  Created on:      02-Feb-2010 13:01:15
-///////////////////////////////////////////////////////////
-
-#if !defined(DetrendData_312823A1_6248_4af0_B204_DB22F1237E9B__INCLUDED_)
-#define DetrendData_312823A1_6248_4af0_B204_DB22F1237E9B__INCLUDED_
-
-#include "Matrix.hh"
-
-class DetrendData
-{
-
-public:
-  virtual ~DetrendData(){};
-  DetrendData(const bool logLinear); // add later Vector& trendCoeff);
-  void detrend(const VectorView &SteadyState, const MatrixConstView &dataView, MatrixView &detrendedDataView);
-
-private:
-  const bool logLinear;
-  //Vector trendCoeff;
-
-};
-
-#endif // !defined(312823A1_6248_4af0_B204_DB22F1237E9B__INCLUDED_)

mex/sources/estimation/EstimatedParameter.cc

-/*
- * Copyright (C) 2009-2011 Dynare Team
- *
- * This file is part of Dynare.
- *
- * Dynare is free software: you can redistribute it and/or modify
- * it under the terms of the GNU General Public License as published by
- * the Free Software Foundation, either version 3 of the License, or
- * (at your option) any later version.
- *
- * Dynare is distributed in the hope that it will be useful,
- * but WITHOUT ANY WARRANTY; without even the implied warranty of
- * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
- * GNU General Public License for more details.
- *
- * You should have received a copy of the GNU General Public License
- * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
- */
-
-///////////////////////////////////////////////////////////
-//  EstimatedParameter.cpp
-//  Implementation of the Class EstimatedParameter
-//  Created on:      02-Feb-2010 13:06:35
-///////////////////////////////////////////////////////////
-
-#include "EstimatedParameter.hh"
-
-EstimatedParameter::EstimatedParameter(const EstimatedParameter::pType type_arg,
-                                       size_t ID1_arg, size_t ID2_arg, const std::vector<size_t> &subSampleIDs_arg,
-                                       double lower_bound_arg, double upper_bound_arg, Prior *prior_arg) :
-  ptype(type_arg), ID1(ID1_arg), ID2(ID2_arg),
-  lower_bound(lower_bound_arg), upper_bound(upper_bound_arg), prior(prior_arg),
-  subSampleIDs(subSampleIDs_arg)
-{
-}
-
-EstimatedParameter::~EstimatedParameter()
-{
-}
-

mex/sources/estimation/EstimatedParameter.hh

-/*
- * Copyright (C) 2009-2011 Dynare Team
- *
- * This file is part of Dynare.
- *
- * Dynare is free software: you can redistribute it and/or modify
- * it under the terms of the GNU General Public License as published by
- * the Free Software Foundation, either version 3 of the License, or
- * (at your option) any later version.
- *
- * Dynare is distributed in the hope that it will be useful,
- * but WITHOUT ANY WARRANTY; without even the implied warranty of
- * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
- * GNU General Public License for more details.
- *
- * You should have received a copy of the GNU General Public License
- * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
- */
-///////////////////////////////////////////////////////////
-//  EstimatedParameter.h
-//  Implementation of the Class EstimatedParameter
-//  Created on:      02-Feb-2010 13:06:35
-///////////////////////////////////////////////////////////
-
-#if !defined(D879C8AE_5B69_4fc3_83BD_FA5A99030ECF__INCLUDED_)
-#define D879C8AE_5B69_4fc3_83BD_FA5A99030ECF__INCLUDED_
-
-#include "Prior.hh"
-#include <cstdlib>
-#include <vector>
-struct EstimatedParameter
-{
-public:
-  // parameter types
-  enum pType
-  {
-    shock_SD = 1, // standard deviation of a structural shock
-    measureErr_SD = 2, // standard deviation of a measurement error
-    shock_Corr = 3, // correlation betwwen two structural shocks
-    measureErr_Corr = 4, // correlation between two measurement errors
-    deepPar = 5 // deep parameter
-  };
-
-  EstimatedParameter(const EstimatedParameter::pType type,
-                     size_t ID1, size_t ID2, const std::vector<size_t> &subSampleIDs,
-                     double lower_bound, double upper_bound, Prior *prior
-                     );
-  virtual ~EstimatedParameter();
-
-  enum pType ptype;
-  size_t ID1;
-  size_t ID2;
-  double lower_bound;
-  double upper_bound;
-  Prior *prior;
-  std::vector<size_t> subSampleIDs;
-};
-
-#endif // !defined(D879C8AE_5B69_4fc3_83BD_FA5A99030ECF__INCLUDED_)

mex/sources/estimation/EstimatedParametersDescription.cc

-/*
- * Copyright (C) 2010 Dynare Team
- *
- * This file is part of Dynare.
- *
- * Dynare is free software: you can redistribute it and/or modify
- * it under the terms of the GNU General Public License as published by
- * the Free Software Foundation, either version 3 of the License, or
- * (at your option) any later version.
- *
- * Dynare is distributed in the hope that it will be useful,
- * but WITHOUT ANY WARRANTY; without even the implied warranty of
- * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
- * GNU General Public License for more details.
- *
- * You should have received a copy of the GNU General Public License
- * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
- */
-
-///////////////////////////////////////////////////////////
-//  EstimatedParametersDescription.cpp
-//  Implementation of the Class EstimatedParametersDescription
-//  Created on:      02-Feb-2010 13:06:47
-///////////////////////////////////////////////////////////
-
-#include "EstimatedParametersDescription.hh"
-
-EstimatedParametersDescription::~EstimatedParametersDescription()
-{
-}
-
-EstimatedParametersDescription::EstimatedParametersDescription(std::vector<EstimationSubsample> &INestSubsamples, std::vector<EstimatedParameter> &INestParams) :
-  estSubsamples(INestSubsamples), estParams(INestParams)
-{
-}
-
-size_t
-EstimatedParametersDescription::getNumberOfPeriods() const
-{
-  size_t r = 0;
-  for (size_t i = 0; i < estSubsamples.size(); i++)
-    {
-      size_t r2 = estSubsamples[i].endPeriod + 1;
-      if (r2 > r)
-        r = r2;
-    }
-  return r;
-}

mex/sources/estimation/EstimatedParametersDescription.hh

-/*
- * Copyright (C) 2009-2010 Dynare Team
- *
- * This file is part of Dynare.
- *
- * Dynare is free software: you can redistribute it and/or modify
- * it under the terms of the GNU General Public License as published by
- * the Free Software Foundation, either version 3 of the License, or
- * (at your option) any later version.
- *
- * Dynare is distributed in the hope that it will be useful,
- * but WITHOUT ANY WARRANTY; without even the implied warranty of
- * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
- * GNU General Public License for more details.
- *
- * You should have received a copy of the GNU General Public License
- * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
- */
-///////////////////////////////////////////////////////////
-//  EstimatedParametersDescription.h
-//  Implementation of the Class EstimatedParametersDescription
-//  Created on:      02-Feb-2010 13:06:46
-///////////////////////////////////////////////////////////
-
-#if !defined(E8F2C096_A301_42e8_80FF_A643291BF995__INCLUDED_)
-#define E8F2C096_A301_42e8_80FF_A643291BF995__INCLUDED_
-
-#include "EstimationSubsample.hh"
-#include "EstimatedParameter.hh"
-#include "Prior.hh"
-
-/**
- * all estimation periods held in the vectors of EstPeriod-s are held in the
- * EstimatedParametersDescription together with the time-invariant attributes (e.g.
- * IDs..) for integration..
- *
- * The EstimatedParametersDescription. structure (or class with protected
- * elements) integrates all parametr and time period information and makes it
- * available to (friend ?) class LogPosteriorDensity on as needed basis and
- * updates all parameters (inc. H and Q) when time slot xparam1 is supplied.
- *
- *
- *
- */
-class EstimatedParametersDescription
-{
-public:
-  virtual ~EstimatedParametersDescription();
-  EstimatedParametersDescription(std::vector<EstimationSubsample> &estSubsamples, std::vector<EstimatedParameter> &estParams);
-  std::vector<EstimationSubsample> estSubsamples;
-  std::vector<EstimatedParameter> estParams;
-  size_t getNumberOfPeriods() const;
-};
-
-#endif // !defined(E8F2C096_A301_42e8_80FF_A643291BF995__INCLUDED_)

mex/sources/estimation/EstimationSubsample.cc

-/*
- * Copyright (C) 2009-2010 Dynare Team
- *
- * This file is part of Dynare.
- *
- * Dynare is free software: you can redistribute it and/or modify
- * it under the terms of the GNU General Public License as published by
- * the Free Software Foundation, either version 3 of the License, or
- * (at your option) any later version.
- *
- * Dynare is distributed in the hope that it will be useful,
- * but WITHOUT ANY WARRANTY; without even the implied warranty of
- * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
- * GNU General Public License for more details.
- *
- * You should have received a copy of the GNU General Public License
- * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
- */
-
-///////////////////////////////////////////////////////////
-//  EstimationSubsample.cpp
-//  Implementation of the Class EstimationSubsample
-//  Created on:      02-Feb-2010 13:06:01
-///////////////////////////////////////////////////////////
-
-#include "EstimationSubsample.hh"
-
-EstimationSubsample::EstimationSubsample(size_t INstartPeriod, size_t INendPeriod) :
-  startPeriod(INstartPeriod), endPeriod(INendPeriod)
-{
-}
-
-EstimationSubsample::~EstimationSubsample()
-{
-}
-

mex/sources/estimation/EstimationSubsample.hh

-/*
- * Copyright (C) 2009-2011 Dynare Team
- *
- * This file is part of Dynare.
- *
- * Dynare is free software: you can redistribute it and/or modify
- * it under the terms of the GNU General Public License as published by
- * the Free Software Foundation, either version 3 of the License, or
- * (at your option) any later version.
- *
- * Dynare is distributed in the hope that it will be useful,
- * but WITHOUT ANY WARRANTY; without even the implied warranty of
- * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
- * GNU General Public License for more details.
- *
- * You should have received a copy of the GNU General Public License
- * along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
- */
-
-///////////////////////////////////////////////////////////
-//  EstimationSubsample.h
-//  Implementation of the Class EstimationSubsample
-//  Created on:      02-Feb-2010 13:06:01
-///////////////////////////////////////////////////////////
-
-#if !defined(EstSub34FB1351_4066_4993_B384_56AA65BC32C4__INCLUDED_)
-#define EstSub34FB1351_4066_4993_B384_56AA65BC32C4__INCLUDED_
-
-#include <cstdlib>
-#include <vector>
-
-/**
- * Contains longest common periods for different parameters with different start
- * and end periods:
- *
- * It defines start and end of that period.which has start higher/equal than any
- * individual parameter start and its end lower|equal than any individual
- * parameter end in that perod window.) integrated xparam1 and priors for that
- * period
- *
- * All those EstPeriod-s need to be constructed at some point once at a start of
- * estimation  by EstPeriod costructor  from the information such as invidual
- * parameter start-end periods and the relevant associated priors for those
- * periods. That initial info-set is held in the vector of vectors of
- * EstParamSubSampleDescription
- *
- * it constructs and contains indices of all estimated xparam1 parameters valid
- * for this period in the larger, extended xparam1x vector passed  in.  from the
- * gradient function.
- *
- * The EstimatedParametersDescription. structure (or class with protected
- * elements) integrates all that information and makes it available to (friend ?)
- * class LogPosteriorDensity on as needed basis and updates all parameters (inc. H
- * and Q) when time slot xparam1 is supplied.
- *
- * Time indices follow C convention: first period has index 0.
- */
-class EstimationSubsample
-{
-public:
-  EstimationSubsample(size_t startPeriod, size_t endPeriod);
-  virtual ~EstimationSubsample();
-
-  size_t startPeriod;
-  size_t endPeriod;
-  /**
-   * indices of all estimated xparam1 parameters valid for this period in the larger,
-   * extended xparam1x vector passed  in.  from the gradient function will be added at a later stage of development
-   */
-  // const std::vector<size_t> subSampleParamIDs;
-};
-
-#endif // !defined(34FB1351_4066_4993_B384_56AA65BC32C4__INCLUDED_)