dynare issueshttps://git.dynare.org/Dynare/dynare/-/issues2021-07-27T11:37:26Zhttps://git.dynare.org/Dynare/dynare/-/issues/1170Non-bayesian estimation should use quasi-Maximum likelihood standard errors2021-07-27T11:37:26ZTom HoldenNon-bayesian estimation should use quasi-Maximum likelihood standard errorsAt present, with non-Bayesian estimation, Dynare computes standard errors using the Hessian of the likelihood. This is only valid if it is assumed that the shocks in the "true" model are normally distributed. And, in that case, it is an ...At present, with non-Bayesian estimation, Dynare computes standard errors using the Hessian of the likelihood. This is only valid if it is assumed that the shocks in the "true" model are normally distributed. And, in that case, it is an inefficient way of computing the standard errors, as it will be equal to the Fisher information matrix, which only requires the calculation of the derivative of the score vector.
It would make more sense to default to computing quasi-Maximum likelihood "sandwich" covariances, with the option to use the Fisher information matrix if the user wants quicker results.4.8Marco RattoMarco Rattohttps://git.dynare.org/Dynare/dynare/-/issues/1162Handling of trends2021-08-19T08:37:14ZMichelJuillardHandling 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...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/1112homogeneize treatment of leads/lags on exogenous between deterministic and st...2021-09-21T17:32:13ZHoutan Bastanihomogeneize treatment of leads/lags on exogenous between deterministic and stochastic modesAuxiliary variables are treated differently depending on the commands passed in the `.mod` file. As it stands now, if the following conditions hold
```
mod_file_struct.stoch_simul_present
mod_file_struct.estimation_present
mod_file_stru...Auxiliary variables are treated differently depending on the commands passed in the `.mod` file. As it stands now, if the following conditions hold
```
mod_file_struct.stoch_simul_present
mod_file_struct.estimation_present
mod_file_struct.osr_present
mod_file_struct.ramsey_policy_present
mod_file_struct.discretionary_policy_present
mod_file_struct.calib_smoother_present
```
we substitute endo and exo leads and lags. Otherwise, we only substitute endo leads and lags. This different treatment is undesirable for Julia output, where we will only use the preprocessor to process a model, without having the associated commands. In other words, we want the preprocessor model output to be same, regardless of the commands that are included outside of the `model` block.
As this change requires changes in the matlab code as well, the work will be done on the `aux_func` branch.4.8Sébastien VillemotSébastien Villemothttps://git.dynare.org/Dynare/dynare/-/issues/1060Add capabilities for pseudo out of sample forecasting2019-11-21T08:36:44ZJohannes Pfeifer Add capabilities for pseudo out of sample forecastingAllow estimating model parameters on one part of the data and then, holding the estimated parameters fixed, forecast observations after the end of the sample used for estimation. See discussion on mailing list from September 14, 2015
Allow estimating model parameters on one part of the data and then, holding the estimated parameters fixed, forecast observations after the end of the sample used for estimation. See discussion on mailing list from September 14, 2015
https://git.dynare.org/Dynare/dynare/-/issues/1056Document the data command2018-09-11T15:00:44ZStéphane Adjemianstepan@adjemian.euDocument the data commandStéphane Adjemianstepan@adjemian.euStéphane Adjemianstepan@adjemian.euhttps://git.dynare.org/Dynare/dynare/-/issues/1055Deprecate first_obs and last_obs in data command2018-09-11T15:00:44ZStéphane Adjemianstepan@adjemian.euDeprecate first_obs and last_obs in data commandReplaced by `first_date` and `last_date`, to avoid confusion with the options in the `estimation` command.
Replaced by `first_date` and `last_date`, to avoid confusion with the options in the `estimation` command.
Stéphane Adjemianstepan@adjemian.euStéphane Adjemianstepan@adjemian.euhttps://git.dynare.org/Dynare/dynare/-/issues/1031declare all options_ fields as empty/0/NaN in global_initialization2021-01-20T10:05:50ZHoutan Bastanideclare all options_ fields as empty/0/NaN in global_initializationFollowing the discussion on pr #1030, we must decide whether or not we want to do this and implement it throughout the code (or not)
Following the discussion on pr #1030, we must decide whether or not we want to do this and implement it throughout the code (or not)
https://git.dynare.org/Dynare/dynare/-/issues/978Fix interface/options for stochastic extended path in master2019-04-01T07:09:38ZJohannes Pfeifer Fix interface/options for stochastic extended path in masterNot all required options are set by default. For example, `rs2.mod` needs to manually set
```
options_.ep.IntegrationAlgorithm='UT_2p+1';
```
as otherwise a crash in `setup_integration_nodes.m` happens. We should properly initialize a...Not all required options are set by default. For example, `rs2.mod` needs to manually set
```
options_.ep.IntegrationAlgorithm='UT_2p+1';
```
as otherwise a crash in `setup_integration_nodes.m` happens. We should properly initialize all options and add a unit test that tests the default options.
MichelJuillardMichelJuillardhttps://git.dynare.org/Dynare/dynare/-/issues/933Add load_mh_file-like option for loading posterior subdraws2018-09-11T15:00:44ZJohannes Pfeifer Add load_mh_file-like option for loading posterior subdrawsSee #566
See #566
https://git.dynare.org/Dynare/dynare/-/issues/909Create true unit test from comments in middle of random_walk_metropolis_hasti...2018-09-11T15:00:44ZJohannes Pfeifer Create true unit test from comments in middle of random_walk_metropolis_hastings.mThere is some advice for a manual unit test hidden there.
There is some advice for a manual unit test hidden there.
https://git.dynare.org/Dynare/dynare/-/issues/891adding options to irf/moment calibration2018-09-11T15:00:44ZMarco Rattoadding options to irf/moment calibrationWould it be possible to add options in the irf/moment calibration interface.
For example it would be good to allow:
```
irf_calibration(relative_irf);
...
end;
```
to allow triggering
`options_.relative_irf=1;`
In fact, when std of sho...Would it be possible to add options in the irf/moment calibration interface.
For example it would be good to allow:
```
irf_calibration(relative_irf);
...
end;
```
to allow triggering
`options_.relative_irf=1;`
In fact, when std of shocks are estimated, it makes probably more sense to target a relative response w.r.t. an absolute one, which might just change due to the change in the value of the shock.
Similarly, we might think of allowing `moment_calibration` to trigger estimation type options, like
```
varobs y_obs R_obs pie_obs dq de;
moment_calibration(datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,ar=1);
...
end;
```
that would allow me to write a routine that automatically generates data based moment restrictions up to lag `ar` for theoretical moments of the variables listed in `varobs`.
We might also allow a different list of variables for calibration w.r.t. estimation, e.g. by
```
varobs_calibration y_obs R_obs pie_obs dq de;
```
Or by adding the list of variables inside the `moment_calibration` command (like `namendo` comma separated list in sensitivity analysis)
```
moment_calibration( datafile='data_ca1.m',first_obs=8,nobs=79,prefilter=1,ar=1,
varobs=(y_obs, R_obs, pie_obs, dq de)
);
...
end;
```
what do you think?
https://git.dynare.org/Dynare/dynare/-/issues/877document set_time, estimation_data, subsamples, joint_prior, prior, std_prior...2019-11-21T08:36:42ZHoutan Bastanidocument set_time, estimation_data, subsamples, joint_prior, prior, std_prior, corr_prior, prior equal, options, std_options, corr_options, options equalStéphane Adjemianstepan@adjemian.euStéphane Adjemianstepan@adjemian.euhttps://git.dynare.org/Dynare/dynare/-/issues/846Provide inverse gamma prior with indeterminate moments2021-09-01T14:31:35ZJohannes Pfeifer Provide inverse gamma prior with indeterminate momentsWe currently only allow specifying inverse gamma priors with finite/unique mean and variance. But Leeper/Walker/Yang (2010) in an influential paper use an inverse gamma prior with s=1 and nu=4 (parametrization as at http://en.wikipedia.o...We currently only allow specifying inverse gamma priors with finite/unique mean and variance. But Leeper/Walker/Yang (2010) in an influential paper use an inverse gamma prior with s=1 and nu=4 (parametrization as at http://en.wikipedia.org/wiki/Inverse-gamma_distribution), which implies non-existing first and second moments. I would suggest to provide a new prior `inv_gamma_parametrized` that takes the values provided in the mean and standard deviation fields of the `estimated_params`-block directly as the parameters of the distribution, thereby avoiding the impossible transformation from mean and variances.
I would implement this when doing #5204.8https://git.dynare.org/Dynare/dynare/-/issues/835Behavior of STEADY_STATE() in perfect foresight models with anticipated perma...2021-08-15T16:14:51ZStéphane Adjemianstepan@adjemian.euBehavior of STEADY_STATE() in perfect foresight models with anticipated permanent shocks.In the current state, `STEADY_STATE(X)` return the terminal steady state of variable X in the dynamic model (`oo_.steady_state(i)`). Is this correct in the periods preceding the permanent shock? What if we have more than one permanent sh...In the current state, `STEADY_STATE(X)` return the terminal steady state of variable X in the dynamic model (`oo_.steady_state(i)`). Is this correct in the periods preceding the permanent shock? What if we have more than one permanent shock (at different periods)? @FerhatMihoubi raised this issue yesterday in a discussion. There is a mechanism in the bytecode routines to handle this case by considering different steady state between each (expected) permanent shock (actually this part of the code is not working). For me it is far from obvious that the steady state should change (unless the permanent shocks are unexpected, but there is noisy interface for this kind of scenario in Dynare).4.8https://git.dynare.org/Dynare/dynare/-/issues/832Use dseries objects in Dynare2019-11-21T08:36:45ZStéphane Adjemianstepan@adjemian.euUse dseries objects in DynareIn the current state, `dseries` objects can be used in matlab scripts and in Dynare's mod file to create and manipulate datasets. The next step is to integrate more deeply the `dseries` class and Dynare. Whenever possible the output of D...In the current state, `dseries` objects can be used in matlab scripts and in Dynare's mod file to create and manipulate datasets. The next step is to integrate more deeply the `dseries` class and Dynare. Whenever possible the output of Dynare will be `dseries` objects (IRFs, forecasts, ...) and also we will allow the use of `dseries` objects as inputs to Dynare's command (`data`, content of `initval`, data for conditional forecasts, ...).
- [ ] Document the `data` command (new data interface).
- [ ] Save results as `dseries` objects.
- [x] Polish and document the from-to-do syntax.
- [ ] Add the possibility to pass `dseries`to `initial``and``histval``commands.
Stéphane Adjemianstepan@adjemian.euStéphane Adjemianstepan@adjemian.euhttps://git.dynare.org/Dynare/dynare/-/issues/829Rewrite local_state_space_iteration_2 routine2021-08-15T19:40:51ZStéphane Adjemianstepan@adjemian.euRewrite local_state_space_iteration_2 routineSeparate the measurement and state equations. See discussions in [particles](https://git.dynare.org/Dynare/particles/-/issues) repository, particularly https://git.dynare.org/Dynare/particles/-/issues/2Separate the measurement and state equations. See discussions in [particles](https://git.dynare.org/Dynare/particles/-/issues) repository, particularly https://git.dynare.org/Dynare/particles/-/issues/2Stéphane Adjemianstepan@adjemian.euStéphane Adjemianstepan@adjemian.euhttps://git.dynare.org/Dynare/dynare/-/issues/827Feature request: Implement the algorithm of Ajevskis (2014) for perturbation ...2019-11-21T08:36:41ZTom HoldenFeature request: Implement the algorithm of Ajevskis (2014) for perturbation around a deterministic pathViktors Ajevskis has a [great new paper](https://ideas.repec.org/p/ltv/wpaper/201401.html) showing how the Lombardo pruning method may be extended to support perturbation around a deterministic path. This seems like a feature that would ...Viktors Ajevskis has a [great new paper](https://ideas.repec.org/p/ltv/wpaper/201401.html) showing how the Lombardo pruning method may be extended to support perturbation around a deterministic path. This seems like a feature that would be a huge benefit to virtually all Dynare users, since it makes it possible to e.g.:
- Solve non-stationary DSGE models, such as those featuring structural change.
- Evaluate the welfare consequences of a permanent change in policy, without sacrificing accuracy along the transition path.
- Obtain increased accuracy for large impulse response exercises.
- Unify the stochastic and non-stochastic simulation engines in Dynare.
It would be great if this could be added to the bottom of your very long to do list!
https://ideas.repec.org/p/ltv/wpaper/201401.html
https://git.dynare.org/Dynare/dynare/-/issues/824Add an interface for joint priors.2021-09-01T14:06:52ZStéphane Adjemianstepan@adjemian.euAdd an interface for joint priors.Only available for the new estimation syntax. Something like:
``` example
[alpha, beta].prior(shape=gaussian, mean=Vector, variance=Matrix, ...)
```
This interface is needed for Dirichlet priors over probabilities.
Only available for the new estimation syntax. Something like:
``` example
[alpha, beta].prior(shape=gaussian, mean=Vector, variance=Matrix, ...)
```
This interface is needed for Dirichlet priors over probabilities.
https://git.dynare.org/Dynare/dynare/-/issues/819Support DSGE-VAR forecasts2018-09-11T15:00:44ZJohannes Pfeifer Support DSGE-VAR forecastsCurrently, forecasts are based on the DSGE model and not the DSGE-VAR
Currently, forecasts are based on the DSGE model and not the DSGE-VAR
https://git.dynare.org/Dynare/dynare/-/issues/709Preprocessor: Allow reusage of model local variable names in steady_state_mod...2021-09-03T16:09:24ZTom HoldenPreprocessor: Allow reusage of model local variable names in steady_state_model block (wishlist)At present, variables with the same name as model local variables cannot be created in the `steady_state_model` block. It would be very nice if the preprocessor to a C style approach to variable scope, and allowed the creation of variabl...At present, variables with the same name as model local variables cannot be created in the `steady_state_model` block. It would be very nice if the preprocessor to a C style approach to variable scope, and allowed the creation of variables with the same name in different blocks, when neither block contains the other. An example of quite why this would be useful follows:
An operation I find myself performing frequently is replacing e.g. the endogenous variable `Y` with the endogenous variable `log_Y`. I then create a model local variable for `Y` via `#Y = exp( log_Y );`. Ideally, I should just have to add the line `log_Y = log( Y );` to the end of the `steady_state_model` block for the new `.mod` file to run. However, just doing this produces an error since I'm now using `Y` as a temporary variable within the `steady_state_model` block. Thus I have to make assorted modifications to the `steady_state_model` block to first remove all references to `Y`.
For an example of this in practice, see `example.mod` in https://github.com/tholden/DynareTransformationEngine , which is a repository for making such transformations automatically, chiefly produced as an example of what is possible with the preprocessor. This runs at present, but doesn't if you remove the suffix underscores from the `steady_state_model` block.4.8