Commit aa0f278e by Willi Mutschler

parent 5525a7c5
 ... ... @@ -100,8 +100,24 @@ Copyright: 1997 Tom Minka License: GPL-3+ Files: matlab/allVL1.m Copyright: 2009 Bruno Luong License: BSD-2-clause Copyright: 2007-2010 Bruno Luong 2019 Dynare Team License: GPL-3+ Files: matlab/uperm.m Copyright: 2014 Bruno Luong 2019 Dynare Team License: GPL-3+ Files: matlab/prodmom.m matlab/bivmom.m Copyright: 2008-2015 Raymond Kan 2019-2020 Dynare Team License: GPL-3+ The author would appreciate acknowledgement of the source by citation of the following paper: Kan, R.: "From moments of sum to moments of product." Journal of Multivariate Analysis, 2008, vol. 99, issue 3, pages 542-554. Files: matlab/gsa/Morris_Measure_Groups.m matlab/gsa/Sampling_Function_2.m ... ...
 function dy = prodmom_deriv(V,ii,nu,dV,dC) % This function builds upon and extends prodmom.m to compute the % derivatives of product moments of normally distributed variables with % respect to standard errors and correlation parameters. % prodmom.m is part of replication codes of the following paper: % Kan, R.: "From moments of sum to moments of product." Journal of % Multivariate Analysis, 2008, vol. 99, issue 3, pages 542-554. % ========================================================================= % Copyright (C) 2019-2020 Dynare Team % % prodmom.m Date: 4/29/2006 % This Matlab program computes the product moment of X_{i_1}^{nu_1}X_{i_2}^{nu_2}...X_{i_m}^{nu_m}, % where X_{i_j} are elements from X ~ N(0_n,V). % V only needs to be positive semidefinite. % V: variance-covariance matrix of X % ii: vector of i_j % nu: power of X_{i_j} % Reference: Triantafyllopoulos (2003) On the Central Moments of the Multidimensional % Gaussian Distribution, Mathematical Scientist % Kotz, Balakrishnan, and Johnson (2000), Continuous Multivariate % Distributions, Vol. 1, p.261 % Note that there is a typo in Eq.(46.25), there should be an extra rho in front % of the equation. % Usage: prodmom(V,[i1 i2 ... ir],[nu1 nu2 ... nur]) % Example: To get E[X_2X_4^3X_7^2], use prodmom(V,[2 4 7],[1 3 2]) % This file is part of Dynare. % function dy = prodmom_deriv(V,ii,nu,dV,dC); % 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 . % ========================================================================= if nargin<3 nu = ones(size(ii)); end ... ...
 ... ... @@ -3,7 +3,7 @@ % Created by @wmutschl (Willi Mutschler, willi@mutschler.eu) % ========================================================================= % Copyright (C) 2019 Dynare Team % Copyright (C) 2019-2020 Dynare Team % % This file is part of Dynare. % ... ...
 % ========================================================================= % Copyright (C) 2019 Dynare Team % Copyright (C) 2019-2020 Dynare Team % % This file is part of Dynare. % ... ...
 % ========================================================================= % Stochastic growth model of Brock and Mirman (1972) with technology shock % Willi Mutschler, January 2018 % willi@mutschler.eu % created by Willi Mutschler (@wmutschl, willi@mutschler.eu) % ========================================================================= % Copyright (C) 2019-2020 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 . % ========================================================================= var ... ...
 % Original model by: J. Linde, M. Trabandt (2019: Should We Use Linearized Models to Calculate Fiscal Multipliers? % Journal of Applied Econometrics, 2018, 33: 937-965. http://dx.doi.org/10.1002/jae.2641 % This version has some additional dynamics for capital and investment % Created by @wmutschl (Willi Mutschler, willi@mutschler.eu) % Created by Willi Mutschler (@wmutschl, willi@mutschler.eu) % ========================================================================= % Copyright (C) 2019-2020 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 . % ========================================================================= % ========================================================================= % Declare endogenous variables % ========================================================================= ... ...
 % this is the exact model Qu and Tkachenk (2012, Quantitative Economics) % used in their replication file. % This file is used to check whether the G matrix is computed correctly. % Created by Willi Mutschler (willi@mutschler.eu) % Created by Willi Mutschler (@wmutschl, willi@mutschler.eu) % ========================================================================= % Copyright (C) 2019-2020 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 . % ========================================================================= @#define TOL_RANK = 1e-10 var z g R y pie c piep yp; ... ...
 %this is the mod file used in replication files of An and Schorfheide (2007) % modified to include some obvious and artificial identification failures % and to check whether all kronflags are working % created by Willi Mutschler (willi@mutschler.eu) % created by Willi Mutschler (@wmutschl, willi@mutschler.eu) % ========================================================================= % Copyright (C) 2019-2020 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 . % ========================================================================= var y R g z c dy p YGR INFL INT; varobs y R p; ... ...
 %this is the mod file used in replication files of An and Schorfheide (2007) % modified to include some obvious and artificial identification failures % and to check whether all kronflags are working % created by Willi Mutschler (willi@mutschler.eu) % created by Willi Mutschler (@wmutschl, willi@mutschler.eu) % ========================================================================= % Copyright (C) 2019-2020 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 . % ========================================================================= var y R g z c dy p YGR INFL INT; varobs y R g z c dy p YGR INFL INT; ... ...
 % This is the Clarida, Gali and Gertler Basic New Keynesian model % This mod file illustrates that due to numerical errors and numerical % settings the identification criteria might differ % created by Willi Mutschler (willi@mutschler.eu) % created by Willi Mutschler (@wmutschl, willi@mutschler.eu) % ========================================================================= % Copyright (C) 2019-2020 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 . % ========================================================================= var y \${y}\$ (long_name='output') c \${c}\$ (long_name='consumption') ... ...
 ... ... @@ -14,7 +14,7 @@ */ /* * Copyright (C) 2004-2013 Dynare Team * Copyright (C) 2004-2020 Dynare Team * * This file is part of Dynare. * ... ...
 //Tests Identification command with ML and unit roots/diffuse filter option % Tests Identification command with ML and unit roots/diffuse filter option % Created by Johannes Pfeifer (@JohannesPfeifer, jpfeifer@gmx.de) % ========================================================================= % Copyright (C) 2015-2020 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 . % ========================================================================= var y delta_y x z; varexo eps_x eps_z; ... ...
 //Tests Identification command with ML and unit roots/diffuse filter option; //Should not work because of observed unit root variable % Tests Identification command with ML and unit roots/diffuse filter option; % Should not work because of observed unit root variable % Created by Johannes Pfeifer (@JohannesPfeifer, jpfeifer@gmx.de) % ========================================================================= % Copyright (C) 2015-2020 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 . % ========================================================================= var y x z delta_y; varexo eps_x eps_z; ... ...
 % Created by Marco Ratto (@rattoma, marco.ratto@ec.europa.eu) % ========================================================================= % Copyright (C) 2010-2020 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 . % ========================================================================= var c k i a lam; varexo ea; ... ...
 % Real Business Cycle Model % Created by Johannes Pfeifer (@JohannesPfeifer, jpfeifer@gmx.de) % ========================================================================= % Copyright (C) 2015-2020 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 . % ========================================================================= close all; ... ...
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