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Author SHA1 Message Date
Johannes Pfeifer 48380a1370
Do not assign variables to base workspace by default 
Related to https://git.dynare.org/Dynare/preprocessor/-/issues/95
 2023-12-18 11:51:27 +01:00
Johannes Pfeifer 776c247b9b testsuite: use silent_optimizer option to not clutter meson log-file 2023-10-01 18:04:16 +02:00
Johannes Pfeifer 8da98057b9
Have computation of decision rules and smoother only input and output required arguments instead of full oo_ and M_ 2023-09-25 17:17:34 +02:00
Johannes Pfeifer 1f723ebd7e fs2000: remove asymptote in prior for rho, which caused corner solutions 2023-09-20 12:55:30 +02:00
Marco Ratto 22e6fb1814 make sure also ALL updated variables in period 1 are reconstructed with smoother_redux. test model changed accordingly. 2023-02-03 14:20:28 +01:00
Marco Ratto a4dc58db8e adjust smoother redux test, to consider that now ALL smoothed variables must be properly reconstructed also in period 1 2023-02-03 14:19:39 +01:00
Johannes Pfeifer 801baacc8c fs2000_smoother_only_ns.mod: check for correctness of smoothed observables 
Related to 178e892e
 2022-11-18 22:04:58 +01:00
Stéphane Adjemian (Ryûk) cd76bdff9e
Fix and update unit tests for local_state_space_iteration_2. 
Add mat file with git lfs.
 2022-05-13 12:13:46 +02:00
Sébastien Villemot 10af04c6d8
Use Unicode copyright symbol (in UTF-8 encoding) in all source files 
It is now supported by the MATLAB editor (as of R2022a).

The old ASCII notation is left in some files that we copy as-is from other
sources (e.g. in the contrib/ and m4/ subdirectories).

The particles submodule is not updated at this point, because it is in an
inconsistent state.

[skip ci]
 2022-04-13 14:54:25 +02:00
Willi Mutschler 488ab7a979
Update testsuite Kalman Smoother name of data file 
gen_data.mod creates a datafile called "data.mat"
test_compute_Pinf_Pstar_data.mod creates a datafile called "Data.mat"
There could be a race condition on systems that don't distinguish between upper and lower cases.
 2021-12-15 10:26:38 +01:00
Johannes Pfeifer 440a0e460b
Storage of results: use subfolder 
Ref. #1758
 2021-07-23 14:12:17 +02:00
Johannes Pfeifer f7a232061a
Remove unused options_-output 
Prevents accidentally changing something
 2021-06-22 18:17:11 +02:00
Sébastien Villemot 766fff88f6
Use secure URL for link to GNU licenses 2021-06-09 17:35:05 +02:00
Marco Ratto 5fa6265944 Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post 
Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
 2021-05-27 16:59:15 +02:00
Johannes Pfeifer ac728c0492 Add test cases for moments with measurement errors 2020-06-29 13:21:08 +02:00
Johannes Pfeifer b8b05300c1 missing_DiffuseKalmanSmootherH1_Z.m: fix bug with variable dimension 2020-04-02 19:22:55 +02:00
Houtan Bastani e043c60903
pass M_, options_, oo_ as arguments to stoch_simul, simult_, discretionary_policy. closes dynare#1197 2019-09-12 11:57:01 +02:00
Johannes Pfeifer 2dd940dc1a datatomfile: Consistently replace char by cell arrays 
Required after 7be8f10e0e
 2018-06-04 11:56:43 +02:00
Stéphane Adjemian (Scylla) 7be8f10e0e Use cells of strings instead of char arrays. 2018-01-09 22:30:01 +01:00
Stéphane Adjemian (Charybdis) 2125d82cae Adapted integration tests to ea49f971e58a4b40b422d06d808d863124092ef4. 
FilteredVariablesKStepAheadVariances is computed and saved iff
filter_covariance option is used in estimation command.
 2017-03-17 18:10:00 +01:00
Stéphane Adjemian (Charybdis) ae3752a0d3 Lowered threshold value for a test. 2017-03-16 15:51:11 +01:00
Stéphane Adjemian ab2a4f574b Merge pull request #1342 from JohannesPfeifer/univariate_diffuse_test 
Trigger computation of state uncertainty in unit test
 2016-12-17 17:18:58 +01:00
Michel Juillard 80eeee697d diffuse_filter: add test for compute_Pinf_Pstar 2016-11-23 20:52:57 +01:00
Johannes Pfeifer 8ce3d2c936 Trigger computation of state uncertainty in unit test 2016-11-23 10:50:31 +01:00
Johannes Pfeifer 98cf1bfc1d Add smoothed state uncertainty to Kalman smoother routines 2016-11-04 09:23:55 +01:00
Johannes Pfeifer e214ec2976 Allow for parameter_set=mle_mode in conditional_forecast 2016-06-17 00:21:08 +02:00
Johannes Pfeifer 1c420e6056 Allow for parameter_set=mle_mode in shock_decomposition 
Required after writing results into oo_.mle_mode for ML estimation
 2016-06-17 00:21:08 +02:00
Johannes Pfeifer 30be2ed62a Add unit test for smoother only on nonstationary model 2016-04-14 20:11:50 +02:00
Johannes Pfeifer 9d6126c5f6 Make fs2000_smoother_only.mod call all Kalman options 2016-04-14 20:11:50 +02:00
Johannes Pfeifer da5f7243e9 Add missing data file and options for kalman_filter_smoother/compare_results_simulation unit tests 2016-03-23 10:48:23 +01:00
Johannes Pfeifer df54e8fcab Add unit tests for correctness of smoother results 2016-03-23 10:46:30 +01:00
Johannes Pfeifer 386225d4e6 Delete redundant steady_state_model block (was present twice). 2015-07-21 11:49:48 +02:00
Johannes Pfeifer 0104f91f4b Replace initval blocks by steady_state_model blocks in fs2000 unit tests 
Speeds up estimation
 2015-06-07 17:11:39 +02:00
Johannes Pfeifer 14938fd607 Add unit test for running smoother only 2014-12-08 11:30:30 +01:00
Johannes Pfeifer 747f90d89b Add unit tests for correct dimension of filtered, smoothed, forecasted, and updated variables and shocks 2014-11-16 21:08:18 +01:00
Sébastien Villemot 02efbd31a8 Convert files to Unix EOL 2012-06-08 19:10:19 +02:00
Michel Juillard 2ee817fbf7 adding forecast to estimation test with non-stationary variables 2011-12-15 17:35:27 +01:00
Michel Juillard 7175e7ce32 fixing tests 2011-11-04 09:11:25 +01:00
Michel Juillard cfb57feff5 correcting tests 2011-11-03 11:14:37 +01:00
Michel Juillard 7a129e14bc fixing tests 2011-11-02 21:16:49 +01:00
Michel Juillard 31349d0b57 adding new test 2011-11-02 20:54:58 +01:00
Michel Juillard b4e7e55031 fixing bug with univariate filter 2011-11-02 17:54:48 +01:00
Michel Juillard 0b0c939849 fixing bug with smoother with univariate filters 2011-11-02 14:02:12 +01:00
Michel Juillard 78d882900a more bug corrections in smoother routines 2011-03-25 21:32:45 +01:00
sebastien 6c185e2c6b Converted MOD test files to Unix newline convention 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3253 ac1d8469-bf42-47a9-8791-bf33cf982152
 2009-12-16 17:25:06 +00:00
michel 0e125f541e adding tests for kalman smoother 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2197 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-10-26 20:03:48 +00:00
sebastien a03af050af undoing r2110 and r2111 changesets 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2112 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-25 12:29:35 +00:00
michel 464e29706f reverted r2010 because of problem with FILENAME token 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2111 ac1d8469-bf42-47a9-8791-bf33cf982152
 2008-09-25 12:10:12 +00:00
michel 18bd0d8eaf v4: added provision for calibrated measurement errors; 
correction of bugs in smoother;
there are still problems in diffuse initialization of univariate smoother
this applies to previous revisions

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1185 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-02-11 13:03:13 +00:00
michel 86cac39227 v4 adding test for kalman filter and smoother 
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1184 ac1d8469-bf42-47a9-8791-bf33cf982152
 2007-02-11 13:02:29 +00:00