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⇤ ← Revision 1 as of 2010-08-31 11:15:54
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← Revision 2 as of 2010-08-31 14:05:06 ⇥
Size: 2224
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| * change default of prior_mc * add declaration of parameter list * set parameter values at which to check identification |
* change default of prior_mc to 1 => set parameter values at which to check identification: posterior mode, prior mode, posterior mean... (we should probably introduce a syntax that will be reused for stoch_simul after estimation, for the smoother, for forecast after estimation...) * add declaration of parameter list (after the list of options, like the list of variables for stoch_simul) |
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| * needs documentation + test | * needs documentation + test |
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| * provide 2nd derivatives of the static model | * provide 2nd derivatives of the static model [[https://www.dynare.org/trac/ticket/127|Ticket #127]] |
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| * explore possibility of providing 1st and 2nd derivatives of analytical steady state with respect to parameters | |
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| * explore possibility of providing 1st and 2nd derivatives of analytical steady state with respect to parameters | |
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| * exceptions (return with penalty) for some parameter and endogenous variable values | * exceptions (return with penalty, alternative functional forms such as Cobb-Douglas as a degenerate case of CES) for some parameter and endogenous variable values |
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| * STEADY_STATE operator: derivative with respect to parameter is NOT zero in dynamic model. Derivative of steady state with respect to parameter needs to be provided to dynamic model derivator (current bug) | * STEADY_STATE operator: derivative with respect to parameter is NOT zero in dynamic model. Derivative of steady state with respect to parameter needs to be provided to dynamic model derivator (current bug, [[https://www.dynare.org/trac/ticket/128|Ticket #128]]) |
Identification
Local identification
- keyword + option in preprocessor
- entry function: dynare_identification (move to special directory)
- polishing
change default of prior_mc to 1 => set parameter values at which to check identification: posterior mode, prior mode, posterior mean... (we should probably introduce a syntax that will be reused for stoch_simul after estimation, for the smoother, for forecast after estimation...)
- add declaration of parameter list (after the list of options, like the list of variables for stoch_simul)
rename options_ident.prior_range -> use_prior_shape (+ preprocessor)
- streamline output
- rank condition
- if not satisfied, why ?
- needs documentation + test
- further developments:
- SVD decomposition of Jacobian matrix
- derivative of Kalman filter for derivative of information matrix
- (also useful for optimization)
- References: Helsinki Conference paper + papers cited there in
Global identification
- exploration stage
- consequences for unicity of steady state
provide 2nd derivatives of the static model Ticket #127
Steady State
- check global/local use of M_.params when some parameters are changed in the computation of the steady state (partially done)
- steady_state_model:
- explore possibility of providing 1st and 2nd derivatives of analytical steady state with respect to parameters
- provide for call to fsolve() with Dynare model sub-blocs (equation tag ?) (to be implemented)
- exceptions (return with penalty, alternative functional forms such as Cobb-Douglas as a degenerate case of CES) for some parameter and endogenous variable values
- allow # expressions in steady_state_model (derivatives are transparent)
- allow for modification of parameters in steady_state_model (! derivatives)
STEADY_STATE operator: derivative with respect to parameter is NOT zero in dynamic model. Derivative of steady state with respect to parameter needs to be provided to dynamic model derivator (current bug, Ticket #128)