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

Bruno André Rodrigues Coelho r.c.bruno.andre@gmail....
Mon Mar 12 10:51:22 CDT 2012


I was aware of pymaclab, but I don't really now how to use it and I'm
not sure I could contribute
right now, I'm still a beginner with Python. My thesis advisor uses
Sims' functions to solve
DSGE models and what I want to do is translate that into Python and
then Cython to gain speed
(he also wrote some function to estimate the model using Bayesian
inference and compute irfs
that I'll need to translate too).



On Mon, Mar 12, 2012 at 4:39 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
> 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
>>> _______________________________________________
>>> SciPy-Dev mailing list
>>> SciPy-Dev@scipy.org
>>> http://mail.scipy.org/mailman/listinfo/scipy-dev
>>
>>
>>
>> --
>> Rodrigues Bruno
>> ----------------------------
>> http://cbrunos.wordpress.com
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-- 
Rodrigues Bruno
----------------------------
http://cbrunos.wordpress.com


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