781ea45777
Remove old independent_metropolis_hastings routines
2016-05-19 14:37:05 +02:00
3073988ac1
Fix vector dimension for independent_metropolis_hastings
2016-05-19 14:37:05 +02:00
86fcde0879
Cosmetic changes to dynare_estimation_1.m and store_smoother_results.m
2016-05-19 14:37:05 +02:00
4898a66d2a
Allow passing of optim option for TaRB
2016-05-19 14:37:05 +02:00
90ab263587
Fix location of TaRB options
2016-05-19 14:37:05 +02:00
413a264b21
Make read_key_value_string.m compatible with sublists
2016-05-19 14:37:05 +02:00
091f94221f
Delete unused TaRB_metropolis_hastings_core.m
2016-05-19 14:37:05 +02:00
c7e8489481
Rename autocorr into dyn_autocorr.m as it does not mirror the behavior of the econometric toolbox function
2016-05-19 14:37:05 +02:00
1d6961cc4c
initialize mode field in slice sampler options
2016-05-19 14:37:05 +02:00
e5ab7ed992
fixed unknown options warning messages
2016-05-19 14:37:05 +02:00
088db78118
Document computation of Inefficiency factors
2016-05-19 14:37:05 +02:00
ebe34bc40f
Make display of inefficiency factors use existing table util [thanks to Johannes]
2016-05-19 14:37:05 +02:00
7b3c42c6e1
provisions for reworked posterior sampling options:
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- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
2016-05-19 14:37:05 +02:00
cf6e3cb14c
preprocessor: rework posterior sampler options, #1177
2016-05-19 14:37:05 +02:00
35a1c7ac17
Commented options for slice sampler, including default values and associated restrictions/default for main options_ fields
2016-05-19 14:34:09 +02:00
9c62021d3c
Move TaRB to posterior_sampler_iteration.m [PATCH from Johannes: thanks a lot]
2016-05-19 14:34:09 +02:00
0c01565298
Allow sampler specific options via optim;
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bug fixes on options logic
2016-05-19 14:34:09 +02:00
22f51d1e75
moved autocorr to missing matlab econometrics toolbox [it is not in stats toolbox]
2016-05-19 14:34:09 +02:00
4445f17efa
Manual merge with commit history of metropolis_hastings_initialization.m and random_walk_metropolis_hastings_core.m
2016-05-19 14:34:09 +02:00
357e3c2ac7
Make posterior_sampler_initialization.m compatible with new form of prior_draw.m
2016-05-19 14:34:09 +02:00
8e751be5ee
bug fix for non integer Nc
2016-05-19 14:34:09 +02:00
e69c5f6864
Bug fix for odd Nc
2016-05-19 14:34:09 +02:00
8bd963de64
Fill in posterior_mode with info from posterior samples.
2016-05-19 14:34:09 +02:00
b830805cb6
Trap empty d [e.g. from slice sampler]
2016-05-19 14:34:09 +02:00
a96dd5b964
for slice, always initialize empty invhess unless a new chain is initialized from a mode file
2016-05-19 14:34:09 +02:00
9089fc340c
Initialize posterior_sampler_options.
2016-05-19 14:34:09 +02:00
46908d20c6
Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
...
I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
c30b6f20a6
Added routines that factor out posterior samplers into the iteration routine posterior_sampler_iteration.m.
...
It generalizes the random_walk_metropolis_hastings.m structure but adds two new items:
- check_posterior_sampler_options.m which is a wrapper for method specific options (stored in options_.posterior_options)
- posterior_sampler_iteration.m which is a wrapper of the individual iteration of any posterior sampler.
It already embeds, with parallelization implementation:
- random_walk metropolis hastings
- independent metropolis hastings
- slice sampler
It also contains a quick fix for TARB, although the latter should be embedded in posterior_sampler_iteration.m as well.
Any new posterior sampler can be simply added to posterior_sampler_iteration.m, with wrapper to specific iterations in check_posterior_sampler_options.m
2016-05-19 14:34:09 +02:00
b1b901fc61
Added SLICE sampler core routines
2016-05-19 14:34:09 +02:00
951dfe8ff4
When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary.
2016-05-19 14:34:09 +02:00
a3ab6de6c8
Added function to compute of inefficiency factors, used in McMCDiagnostics.m
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Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
58eb60c95d
fix copyright dates, headers
2016-05-18 15:06:49 +02:00
6a0de7a724
Merge pull request #1189 from rattoma/gsa
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gsa and identification fixes
2016-05-18 15:01:19 +02:00
c05c66cbaa
Filter out error code 6 in dsge_var_likelihood.m
...
Crashes otherwise
2016-05-17 20:56:25 +02:00
42170c6c13
Fixes around models with unit roots.
2016-05-17 11:47:07 +02:00
c9bc685049
Fix determination of full rank subspace of simulated moment uncertainty
2016-05-17 09:38:06 +02:00
f0b346b397
added waitbar, to monitor computations [especially useful for large models]
2016-05-17 08:41:55 +02:00
7c8878c071
Allow neighborhood_width sampling in Morris + bug fix.
2016-05-17 08:41:16 +02:00
28aeb9f308
bug fix
2016-05-17 08:40:32 +02:00
5723e7ea58
build system: remove support for 32-bit Matlab on OS X
2016-05-13 10:53:55 +02:00
89667ea8da
remove unused file. closes #1172
2016-05-11 15:12:27 +02:00
31f8d61586
make estimation honor steady state nocheck option
2016-05-10 15:54:11 +02:00
ccb197e74f
fix copyright dates
2016-05-09 12:42:58 +02:00
5e5157e375
loglinear: bug correction
2016-05-06 10:12:12 +02:00
67ea280773
adding missing semi-colon
2016-05-06 10:11:53 +02:00
ef232ac436
fixed log_variable function
2016-05-05 20:53:22 +02:00
3c7c2f46a4
more fixes for loglinear with lead/lagged exogenous variables
2016-05-05 20:41:02 +02:00
7e13fe5ef7
fix loglinear option with leaded or lagged exogenous variables
2016-05-05 20:41:02 +02:00
e07d97a16e
Merge pull request #1186 from rattoma/gsa
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gsa and identification fixes
2016-05-05 19:19:10 +02:00
1b769d1d5f
1) fixed bug with initialization of infox
...
2) distinguish between no solution (iwrong index) and violation of prior restrictions (inorestriction)
3) smirnov tests for indeterminacy and explosive roots should be done EXCLUDING no solution cases
2016-05-05 16:53:18 +02:00
Johannes Pfeifer
Marco Ratto
Houtan Bastani
Michel Juillard
Stéphane Adjemian