[SciPy-Dev] [Feature Request] Generalized Schur decomposition

Skipper Seabold jsseabold@gmail....
Mon Mar 12 10:39:30 CDT 2012


On Mon, Mar 12, 2012 at 11:15 AM, Bruno André Rodrigues Coelho
<r.c.bruno.andre@gmail.com> wrote:
> Hi,
>
> thanks for your reply. I also need this to estimate a DSGE model (I'm
> actually translating
> Sims' gensys function into python).
>

You might consider contributing to pymaclab. It certainly could use a
little work. Last I checked it did not do full estimation, but it's
the only project I know that is DSGE-related in Python. I haven't
looked at this in a while though and the python dynare bindings may be
pretty good now. AFAIK, my fork is the most up to date code, but I am
not the original author.

https://github.com/jseabold/pymaclab

If you are interested, I can put you in touch with the original
author. Let me know off list. You'll find that that package is
installable and also has the implementations for ordqz as part of it.
If you're interested on other macroeconometric estimators - e.g.
filters, benchmarking code, (S)VAR, a Kalman filter implementation -
you might be interested in statsmodels.

http://statsmodels.sourceforge.net/devel/tsa.html

> Your implementation of qz looks interesting. Are you familiar with
> Sims' code to estimate a linear expectations
> model? Is ordqz equivalent to Sims' qzswitch? If not, what does it do?
>

It has been a few years since I've looked at this, and I don't recall
off the top of my head. It just looks like it reorders the output
matrices.

http://public.econ.duke.edu/~uribe/qzswitch.m

My code is just a wrapper around the relevant LAPACK routines for the
generalized Schur decomposition.

Skipper

> Cheers
>
> On Mon, Mar 12, 2012 at 4:07 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
>> On Mon, Mar 12, 2012 at 10:56 AM, Bruno André Rodrigues Coelho
>> <r.c.bruno.andre@gmail.com> wrote:
>>> Hi,
>>>
>>> I'm translating some matlab code into Python/Scipy and noticed that
>>> Scipy lacks a generalized QZ decomposition that works like in Matlab.
>>>
>>> I found an equivalent by Sven Schreiber here:
>>> http://econ.schreiberlin.de/schreibersoftware.html which works exactly
>>> like Matlab's qz function.
>>>
>>> Could this be added to scipy.linalg?
>>>
>>
>> Hi,
>>
>> I needed this as well for some macroeconometric estimators, and at the
>> time I had problems with the ctypes implementation listed IIRC. I
>> wrapped the lapack routines using f2py and you can find the standalone
>> code here.
>>
>> http://eagle1.american.edu/~js2796a/qzordqz.tar.gz
>>
>> I will try to make a pull request against scipy this week. See the
>> notes in the INSTALL file for a difference vs. MATLAB.
>>
>> Skipper
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>
>
>
> --
> Rodrigues Bruno
> ----------------------------
> http://cbrunos.wordpress.com
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