Merge branch 'master' into ecb-master
Stéphane Adjemian(Charybdis)
commit
a144aad150
46
NEWS
46
NEWS
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@ -1,3 +1,49 @@
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Announcement for Dynare 4.5.6 (on 2018-07-25)
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=============================================
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We are pleased to announce the release of Dynare 4.5.6.
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This is a bugfix release.
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The Windows packages are already available for download at:
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http://www.dynare.org/download/dynare-stable
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The Mac and GNU/Linux packages (for Debian and Ubuntu LTS) should follow soon.
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This release is compatible with MATLAB versions 7.5 (R2007b) to 9.3 (R2018a)
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and with GNU Octave versions 4.4.
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Here is a list of the problems identified in version 4.5.5 and that have been
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fixed in version 4.5.6:
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- TaRB sampler: incorrect last posterior was returned if the last draw was
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rejected.
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- Fixed online particle filter by drawing initial conditions in the prior
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distribution.
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- Fixed evaluation of the likelihood in non linear / particle filters.
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- Added missing documented `montecarlo` option in Gaussian Filter and
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Nonlinear Kalman Filter.
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- Added back a flag to deal with errors on Cholesky decomposition in the
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Conditional Particle Filter.
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- Macroprocessor `length()` operator was returning 1 when applied to a
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string. Macroprocessor now raises an error when `length()` operator is
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called on an integer and return the number of characters when applied to a
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string.
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- `mode_compute=8`: the error code during mode-finding was not correctly
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handled, resulting in crashes.
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- Identification was not correctly displaying a message for collinear parameters
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if there was no unidentified parameter present.
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Announcement for Dynare 4.5.5 (on 2018-06-08)
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=============================================
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@ -1 +1 @@
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Subproject commit 857168ddf8c2d386dac875da1ede31fd689be309
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Subproject commit 66867386ef5c70e8db69293af8a0e051488196f1
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@ -4,16 +4,29 @@ function [par, logpost, accepted, neval] = posterior_sampler_iteration(TargetFu
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% posterior samplers
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%
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% INPUTS
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% posterior_sampler_options: posterior sampler options
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% options_: structure storing the options
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% TargetFun: string storing the objective function (e.g. 'dsge_likelihood.m')
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% last_draw: parameter vector in last iteration
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% last_posterior: value of the posterior in last iteration
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% sampler_options: posterior sampler options
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% dataset_: the dataset after required transformation
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% dataset_info: Various informations about the dataset (descriptive statistics and missing observations).
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% options_: structure storing the options
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% M_: structure storing the model information
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% estim_params_: structure storing information about estimated parameters
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% bayestopt_: structure storing information about priors
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% mh_bounds: structure containing prior bounds
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% oo_: structure storing the results
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%
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% OUTPUTS
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% posterior_sampler_options: checked posterior sampler options
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% par: last accepted parameter vector
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% logpost: value of the posterior after current iteration
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% accepted: share of proposed draws that were accepted
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% neval: number of evaluations (>1 only for slice)
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2015-16 Dynare Team
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% Copyright (C) 2015-18 Dynare Team
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%
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% This file is part of Dynare.
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%
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@ -121,28 +134,31 @@ switch posterior_sampling_method
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else
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logpost = -inf;
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end
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%get ratio of proposal densities, required because proposal depends
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%on current mode via Hessian and is thus not symmetric anymore
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if strcmpi(sampler_options.proposal_distribution,'rand_multivariate_normal')
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proposal_density_proposed_move_forward=multivariate_normal_pdf(proposed_par,xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
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proposal_density_proposed_move_backward=multivariate_normal_pdf(par_start_current_block',xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
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elseif strcmpi(sampler_options.proposal_distribution,'rand_multivariate_student')
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proposal_density_proposed_move_forward=multivariate_student_pdf(proposed_par,xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
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proposal_density_proposed_move_backward=multivariate_student_pdf(par_start_current_block',xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
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end
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accprob=logpost-last_posterior+ log(proposal_density_proposed_move_backward)-log(proposal_density_proposed_move_forward); %Formula (6), Chib/Ramamurthy
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if (logpost > -inf) && (log(rand) < accprob)
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current_draw(indices(blocks==block_iter,1))=proposed_par;
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last_posterior=logpost;
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accepted_draws_counter =accepted_draws_counter +1;
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else %no updating
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%do nothing, keep old value
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if (logpost > -inf)
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%get ratio of proposal densities, required because proposal depends
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%on current mode via Hessian and is thus not symmetric anymore
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if strcmpi(sampler_options.proposal_distribution,'rand_multivariate_normal')
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proposal_density_proposed_move_forward=multivariate_normal_pdf(proposed_par,xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
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proposal_density_proposed_move_backward=multivariate_normal_pdf(par_start_current_block',xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
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elseif strcmpi(sampler_options.proposal_distribution,'rand_multivariate_student')
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proposal_density_proposed_move_forward=multivariate_student_pdf(proposed_par,xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
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proposal_density_proposed_move_backward=multivariate_student_pdf(par_start_current_block',xopt_current_block',proposal_covariance_Cholesky_decomposition_upper,n);
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end
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accprob=logpost-last_posterior+ log(proposal_density_proposed_move_backward)-log(proposal_density_proposed_move_forward); %Formula (6), Chib/Ramamurthy
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if (log(rand) < accprob)
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current_draw(indices(blocks==block_iter,1))=proposed_par;
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last_posterior=logpost;
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accepted_draws_counter =accepted_draws_counter +1;
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else %no updating
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%do nothing, keep old value
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end
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end
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end
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accepted=accepted_draws_counter/blocked_draws_counter;
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par = current_draw;
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neval=1;
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logpost = last_posterior; %make sure not a temporary draw is returned;
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case 'independent_metropolis_hastings'
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neval = 1;
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ProposalFun = sampler_options.proposal_distribution;
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@ -1 +1 @@
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Subproject commit 49e1c43aed1acd80237d7fe911603ac4dd52d67d
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Subproject commit 762f25abe9ad2681c2a049ddcb0be85bcfcf1306
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@ -65,7 +65,7 @@ MODFILES = \
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example1_with_tags.mod \
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example1_irf_shocks.mod \
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example1_abs_sign.mod \
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example1_macroif.mod \
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example1_macro.mod \
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example1long.mod \
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example2long.mod \
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example2long_use_dll.mod \
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@ -1,4 +1,5 @@
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// Example 1 from Collard's guide to Dynare
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// Various tests for the macroprocessor
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var y, c, k, a, h, b;
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varexo e, u;
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@ -21,6 +22,39 @@ theta = 2.95;
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phi = 0.1;
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@#endif
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@#define a = 5
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@#define b = 2*(a + 3)/4-1
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@#if b != 3
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@#error "Arithmetic problem"
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@#endif
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@#define v = [ "a", 1, 2:3]
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@#define empty = []
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@#define z = v[2:3]
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@#if z != [ 1, [ 2, 3 ]] || length(v) != 3 || 5 in v || !("a" in v) || length(empty) != 0
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@#error "Array problem"
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@#endif
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@#define w = [ 1 ]
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@#for elt in v
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@#define w = w + [ elt ]
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@#endfor
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@#if w != [ 1, "a", 1, 2:3]
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@#error "For loop problem"
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@#endif
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@#define s = "abcde"
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@#if length(s) != 5 || s[3:4] != "cd"
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@#error "String problem"
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@#endif
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@#define f(y, z) = "@{y}bar@{z}"
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@#if f("foo", "baz") != "foobarbaz"
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@#error "Function problem"
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@#endif
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model;
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c*theta*h^(1+psi)=(1-alpha)*y;
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k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
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