New option “filtered_theoretical_moments_grid”, that supersedes “hp_ngrid”

The old option is left for backward-compatibility purposes, but it has the same
effect as the new one.

Closes: #1093

doc/manual/source/index.rst

@@ -25,7 +25,7 @@ The following people used to be members of the team:
 * Stéphane Lhuissier
 * George Perendia
 
-Copyright © 1996-2019, Dynare Team.
+Copyright © 1996-2020, Dynare Team.
 
 Permission is granted to copy, distribute and/or modify this document under the terms of the GNU Free Documentation License, Version 1.3 or any later version published by the Free Software Foundation; with no Invariant Sections, no Front-Cover Texts, and no Back-Cover Texts.
 

doc/manual/source/the-model-file.rst

@@ -3073,13 +3073,6 @@ Computing the stochastic solution
        moments. This option is only available with simulated
        moments. Default: no filter.
 
-    .. option:: hp_ngrid = INTEGER
-
-       Number of points in the grid for the discrete Inverse Fast
-       Fourier Transform used in the HP filter computation. It may be
-       necessary to increase it for highly autocorrelated
-       processes. Default: ``512``.
-
     .. option:: bandpass_filter
 
        Uses a bandpass filter with the default passband before
@@ -3095,6 +3088,14 @@ Computing the stochastic solution
        e.g. :math:`6` to :math:`32` quarters if the model frequency is
        quarterly. Default: ``[6,32]``.
 
+    .. option:: filtered_theoretical_moments_grid = INTEGER
+
+       When computing filtered theoretical moments (with either option
+       ``hp_filter`` or option ``bandpass_filter``), this option governs the
+       number of points in the grid for the discrete Inverse Fast Fourier
+       Transform. It may be necessary to increase it for highly autocorrelated
+       processes. Default: ``512``.
+
     .. option:: irf = INTEGER
 
        Number of periods on which to compute the IRFs. Setting
@@ -3421,6 +3422,10 @@ Computing the stochastic solution
        stored in ´´oo_.SpectralDensity´´, defined below. Default: do
        not request spectral density estimates.
 
+    .. option:: hp_ngrid = INTEGER
+
+       Deprecated option. It has the same effect as
+       :opt:`filtered_theoretical_moments_grid <filtered_theoretical_moments_grid = INTEGER>`.
 
     *Output*
 

matlab/UnivariateSpectralDensity.m

@@ -19,7 +19,7 @@ function [oo_] = UnivariateSpectralDensity(M_,oo_,options_,var_list)
 
 % Adapted from th_autocovariances.m.
 
-% Copyright (C) 2006-2018 Dynare Team
+% Copyright (C) 2006-2020 Dynare Team
 %
 % This file is part of Dynare.
 %
@@ -105,7 +105,7 @@ end
 iky = iv(ivar);
 aa = ghx(iky,:);
 bb = ghu(iky,:);
-ngrid = options_.hp_ngrid; %number of grid points
+ngrid = options_.filtered_theoretical_moments_grid; %number of grid points
 freqs = (0 : pi/(ngrid-1):pi)'; % grid on which to compute
 tpos  = exp( sqrt(-1)*freqs); %positive frequencies
 tneg  = exp(-sqrt(-1)*freqs); %negative frequencies

matlab/default_option_values.m

@@ -12,7 +12,7 @@ function options_ = default_option_values(M_)
 % SPECIAL REQUIREMENTS
 %    none
 
-% Copyright (C) 2018-2019 Dynare Team
+% Copyright (C) 2018-2020 Dynare Team
 %
 % This file is part of Dynare.
 %
@@ -155,7 +155,7 @@ options_.relative_irf = false;
 options_.ar = 5;
 options_.hp_filter = 0;
 options_.one_sided_hp_filter = 0;
-options_.hp_ngrid = 512;
+options_.filtered_theoretical_moments_grid = 512;
 options_.nodecomposition = false;
 options_.nomoments = false;
 options_.nocorr = false;

matlab/th_autocovariances.m

@@ -42,7 +42,7 @@ function [Gamma_y,stationary_vars] = th_autocovariances(dr,ivar,M_,options_,node
 %   E(x_t) = (I - {g_x}\right)^{- 1} 0.5\left( g_{\sigma\sigma} \sigma^2 + g_{xx} Var(\hat x_t) + g_{uu} Var(u_t) \right)
 %   \]
 %
-% Copyright (C) 2001-2019 Dynare Team
+% Copyright (C) 2001-2020 Dynare Team
 %
 % This file is part of Dynare.
 %
@@ -220,7 +220,7 @@ else% ==> Theoretical filters.
     bb = ghu(iky,:); %S in Uhlig (2001)
 
     lambda = options_.hp_filter;
-    ngrid = options_.hp_ngrid;
+    ngrid = options_.filtered_theoretical_moments_grid;
     freqs = 0 : ((2*pi)/ngrid) : (2*pi*(1 - .5/ngrid)); %[0,2*pi)
     tpos  = exp( sqrt(-1)*freqs); %positive frequencies
     tneg  =  exp(-sqrt(-1)*freqs); %negative frequencies

preprocessor @ 1c44baea

-Subproject commit e9049aa81f085795ea11e3f4132f101d341e7d91
+Subproject commit 1c44baea0575e30416fcf85830f7e3b2156bc874

tests/moments/example1_bp_test.mod

@@ -4,7 +4,7 @@
  */
 
 /*
- * Copyright (C) 2001-2010 Dynare Team
+ * Copyright (C) 2001-2020 Dynare Team
  *
  * This file is part of Dynare.
  *
@@ -67,7 +67,7 @@ end;
 
 steady(solve_algo=4,maxit=1000);
 
-stoch_simul(order=1,nofunctions,irf=0,bandpass_filter=[6 32],hp_ngrid=8192);
+stoch_simul(order=1,nofunctions,irf=0,bandpass_filter=[6 32],filtered_theoretical_moments_grid=8192);
 oo_filtered_all_shocks_theoretical=oo_;
 
 stoch_simul(order=1,nofunctions,periods=1000000);

tests/moments/example1_hp_test.mod

@@ -4,7 +4,7 @@
  */
 
 /*
- * Copyright (C) 2001-2010 Dynare Team
+ * Copyright (C) 2001-2020 Dynare Team
  *
  * This file is part of Dynare.
  *
@@ -67,7 +67,7 @@ end;
 
 steady(solve_algo=4,maxit=1000);
 
-stoch_simul(order=1,nofunctions,hp_filter=1600,irf=0,hp_ngrid=8192);
+stoch_simul(order=1,nofunctions,hp_filter=1600,irf=0,filtered_theoretical_moments_grid=8192);
 
 total_var_filtered=diag(oo_.var);
 oo_filtered_all_shocks=oo_;

tests/moments/example1_one_sided_hp_test.mod

@@ -4,7 +4,7 @@
  */
 
 /*
- * Copyright (C) 2001-2010 Dynare Team
+ * Copyright (C) 2001-2020 Dynare Team
  *
  * This file is part of Dynare.
  *
@@ -66,6 +66,5 @@ var e, u = phi*0.009*0.009;
 end;
 
 steady(solve_algo=4,maxit=1000);
-options_.hp_ngrid=2048*4;
 
-stoch_simul(order=1,nofunctions,one_sided_hp_filter=1600,irf=0,periods=5000);
\ No newline at end of file
+stoch_simul(order=1,nofunctions,one_sided_hp_filter=1600,irf=0,periods=5000,filtered_theoretical_moments_grid=8192);

tests/moments/test_AR1_spectral_density.mod

@@ -18,9 +18,8 @@ end;
 options_.SpectralDensity.trigger=1;
 
 options_.bandpass.indicator=0;
-options_.hp_ngrid=2048;
 
-stoch_simul(order=1,nofunctions,hp_filter=0,irf=0,periods=1000000);
+stoch_simul(order=1,nofunctions,hp_filter=0,irf=0,periods=1000000,filtered_theoretical_moments_grid=2048);
 
 white_noise_sample=white_noise;
 
@@ -50,7 +49,7 @@ end
 options_.hp_filter=0;
 stoch_simul(order=1,nofunctions,bandpass_filter=[6 32],irf=0);
 
-theoretical_spectrum_white_noise=repmat(theoretical_spectrum_white_noise,1,options_.hp_ngrid);
+theoretical_spectrum_white_noise=repmat(theoretical_spectrum_white_noise,1,options_.filtered_theoretical_moments_grid);
 passband=oo_.SpectralDensity.freqs>=2*pi/options_.bandpass.passband(2) & oo_.SpectralDensity.freqs<=2*pi/options_.bandpass.passband(1); 
 if max(abs(oo_.SpectralDensity.density(strmatch('white_noise',M_.endo_names,'exact'),passband)-theoretical_spectrum_white_noise(passband)))>1e-10
    error('Spectral Density is wrong') 
@@ -73,4 +72,4 @@ end
 % 
 % % figure
 % % [pow,f]=psd(a_sample,1000,1,[],500);
-% % plot(f(3:end)*2*pi,pow(3:end)/(2*pi));
\ No newline at end of file
+% % plot(f(3:end)*2*pi,pow(3:end)/(2*pi));