Stéphane Adjemian (Ryûk)
68fb35be24
[WIP] Add routine for conditional likelihood (first order).
2023-01-06 11:54:24 +01:00
f93a7f7192
Merge branch 'disp_aux_4' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2118
2023-01-04 10:59:21 +01:00
45450651a2
model_info.m: fix display of block decomposition
2023-01-03 16:17:43 +01:00
ead9023cec
Merge branch 'steady_nan' into 'master'
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steady state computation: trap cases where parameters are NaN
See merge request Dynare/dynare!2119
2023-01-03 11:24:26 +00:00
Stéphane Adjemian (Guts)
5b72a3041c
Use new unit tests interface.
2023-01-02 22:58:20 +01:00
64d61c3268
steady state computation: trap cases where parameters are NaN
2022-12-28 11:48:23 +01:00
1866286fb8
subst_auxvar.m: correctly take care of exo leads and lags
2022-12-21 11:16:41 +01:00
1219f085e7
disp_dr.m: fix display for type 4 auxiliaries
2022-12-20 13:06:05 +01:00
Stéphane Adjemian (Ryûk)
aee541aabe
Update dseries submodule.
2022-12-15 17:25:29 +01:00
a4634cd1b7
dynare_estimation_init.m: set observable mapping for inversion filter if only smoother is used
2022-12-09 13:19:32 +01:00
e7ca989b21
prior_posterior_statistics.m: fix logical condition
2022-12-05 14:52:03 +01:00
9de0688cfe
Make default jscale depend on number of estimated parameters
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Related to https://git.dynare.org/Dynare/dynare/-/issues/1849
2022-12-03 16:00:27 +01:00
d574705b4a
Design and performance improvement to solve_algo={12,14}
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Use the new time-recursive block decomposition computed by the preprocessor
for:
- the simulation of backward models with “simul_backward”
- the perfect foresight simulation of purely backward/forward/static models
Also note that in this case, the preprocessor now defaults to “mfs=3” (i.e. it
minimizes the set of feedback variables and tries to renormalize equations).
This replaces the previous algorithm based on Dulmage-Mendelsohn (dmperm), plus
an ad hoc identification of some equations that can be evaluated (those with a
LHS equal to a variable, the log of a variable, or the diff-log of a variable).
By the way, the block_trust_region MEX has been modified so that it accepts a
boolean argument to decide whether it performs a Dulmage-Mendelsohn
decomposition (if not, then it performs a simple trust region on the whole
nonlinear system).
This provides a significant performance improvement (of almost an order of
magnitude for solve_algo=14 on a 700 equations model).
2022-11-30 14:47:57 +01:00
bbdcdc89a2
sim1.m: use operation that preserves sparsity
2022-11-28 16:20:44 +01:00
ba9b0e9829
Merge branch 'occbin_IVF' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2019
2022-11-28 11:05:03 +01:00
Stéphane Adjemian (Charybdis)
3aeb1ff7e3
Fix pac.estimate.iterate_ols.
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Was crashing if the auxiliary model contains a constant.
See https://forum.dynare.org/t/iterative-ols-for-pac-equation/21379 .
2022-11-24 16:29:49 +01:00
26fbc6c56d
IVF: improve error handling
2022-11-23 16:46:40 +01:00
80f6799c38
IVF: only store smoother results if requested
2022-11-23 16:44:18 +01:00
1e2fb88d32
IVF: fix error handling for smoother
2022-11-23 15:37:12 +01:00
eeecccd29b
IVF_core.m: fix header
2022-11-23 15:18:44 +01:00
2c879cc64c
compute_trend_coefficients.m: fix header
2022-11-18 22:04:07 +01:00
178e892e04
big fix for initialization of diffuse filter with correlated observation error covariance matrix
2022-11-18 12:41:15 +01:00
81ba952414
big fix in diffuse filter initialization: incorrect mapping of observables when removing zero columns of T
2022-11-18 10:52:37 +01:00
3184db12f2
Merge branch 'occbin_smoother' into 'master'
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OccBin Smoother: do not write non-converged results to oo_
Closes #1863
See merge request Dynare/dynare!2100
2022-11-16 18:40:05 +00:00
4d603fb335
OccBin Smoother: do not write non-converged results to oo_
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1863
2022-11-16 17:13:08 +01:00
03f93c5329
bug fix with steady state when plotting the expand of groups of shocks
2022-11-15 23:10:38 +01:00
b0ce054c00
missing line that stores info on violation of constraint in expectation (needed to check for periodic solutions)
2022-11-15 23:09:48 +01:00
7075e05ddf
Merge branch 'cosmetic' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !2096
2022-11-07 14:21:26 +01:00
d602453bb6
CI: bump to Octave 7.3.0
2022-11-07 14:11:27 +01:00
5dbbe6d72c
compute_Pinf_Pstar.m: fix header
2022-11-07 10:12:34 +01:00
b336fbeb0d
Merge branch 'occbin_features' of git.dynare.org:rattoma/dynare
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Ref. !2094
2022-11-04 14:59:06 +01:00
a1e0c35c1f
bug fix when max_check_ahead_periods interacts with curb_retrench
2022-11-04 11:20:52 +01:00
2f23604824
new option max_check_ahead_periods (renaming old undocumented option max_periods), that truncates the number of periods for which agents check ahead the regime (a sort of myopic behavior beyond max_check_ahead_periods),
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the option is valid for simul, smoother and likelihood.
2022-11-04 11:17:37 +01:00
ee200a03b8
isoctave: performance improvement
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Explicitly specify that OCTAVE_VERSION is a builtin. Otherwise the call to
“exists” will look for a file, among other things, which takes a lot of time.
2022-11-02 17:54:58 +01:00
720de52702
Make get_equation_number_by_tag more robust
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The implementation was relying on the fact that in M_.equations_tags, all
equations have a name tag and they appear in the order given by equation
numbers. There is no guarantee that this will always be the case, so use a more
robust approach.
By the way, improve the implementation of get_equation_name_by_number.
2022-10-26 14:18:59 +02:00
5f6946a1b9
Display equation names in “model_info” command
2022-10-25 18:41:17 +02:00
befc6f59b9
Improve comments
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[skip ci]
2022-10-24 18:05:15 +02:00
e31b313776
cosmetic change
2022-10-20 19:09:52 +02:00
d0150997f6
accept periodic solution in simulations ONLY IF two regimes differ by one period, to avoid pathological solutions.
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We also do not check for periodicity when check ahead periods have been increased endogenously, again to avoid mis-identified periodicity.
Any other type of periodicity, is flagged as non-convergence with error code 313 (infinite loop of solutions).
2022-10-20 16:13:34 +02:00
2ccd3d4a0e
if max_periods is set to finite number, enforce algorithm to check ahead ONLY until max_periods (i.e. when we want agents to be myopic beyond some future period)
2022-10-20 16:11:01 +02:00
3765ef77cd
add option reset_check_ahead_periods_in_new_period:
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when performing stochastic simulations, check ahead periods may increase endogenously at some point for regimes very long in expectation. such longer check ahead periods may considerably slow down convergence in subsequent periods, so users may want to avoid this.
2022-10-20 16:10:14 +02:00
f8adfa3fa5
with smoother_redux, factor out definition of nk to reconstruct filtered variables, and use a local variable nk (so options_.nk may remain empty).
2022-10-20 15:30:37 +02:00
bb9e45d0d0
max size for QMC is 1111
2022-10-20 15:14:39 +02:00
1a46c1dc89
impede prior_trunc=0 when doing sensitivity
2022-10-20 15:14:09 +02:00
eb41618614
trap errors also in univariate update step for occbin
2022-10-20 15:06:36 +02:00
ce21248e97
set noprint = true when simulating, to avoid crashes; only save info1 file under debug option
2022-10-20 15:06:26 +02:00
eb6f17e783
check if initial states are empty, and set them to zero.
2022-10-20 15:05:39 +02:00
cbbbdf4b3d
make_y_.m: fix interaction with steady_state_model
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closes https://git.dynare.org/Dynare/dynare/-/issues/1866
2022-10-13 16:33:58 +02:00
fe0606ae06
logarithmic_reduction.m: use positive penalty add-on
2022-10-11 16:13:03 +02:00
5226db4b3c
logarithmic_reduction.m: add missing error codes
2022-10-11 16:12:03 +02:00
Stéphane Adjemian (Ryûk)
Sébastien Villemot
Johannes Pfeifer
Marco Ratto