Stéphane Adjemian (Ryûk)
f6a76066f9
Remove warning.
2023-03-04 17:52:50 +01:00
Stéphane Adjemian (Ryûk)
0b9141fdca
Remove and rename routine (print_equations).
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Also:
- rename first input argument,
- remove second argument (always expand expectations).
2023-03-04 17:49:33 +01:00
Stéphane Adjemian (Ryûk)
a0d53277c1
Fix condition (variable name can have less than characters).
2023-03-04 17:13:45 +01:00
f02d66ce7c
moment_function: remove unused function
2023-03-01 16:47:42 +01:00
a2591c474e
selif: remove unused function
2023-03-01 16:44:05 +01:00
845eac99d3
bicgstab_: remove unused function
2023-02-17 22:01:32 -05:00
f5523c7bab
bksupk: remove unused function
2023-02-17 22:01:32 -05:00
62805b7183
perfect_foresight_simulation + bksup0: remove unused functions
2023-02-17 22:01:32 -05:00
f938014e84
bksup1: turn into a local function of sim1_lbj
2023-02-17 22:01:32 -05:00
24f689b2de
restricted_steadystate: turn into local function of evaluate_steady_state_file
2023-02-17 22:01:28 -05:00
6bddbca01d
bytecode_steadystate: turn into a local function of evaluate_steady_state
2023-02-17 22:01:25 -05:00
1a421d93dd
steady: turn homotopy{1,2,3} into local functions
2023-02-16 14:22:27 -05:00
2c44923384
No longer turn off output pagination
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The “more off” command is incompatible with MATLAB Online.
Moreover, output pagination is disabled by default on MATLAB and on
Octave (since version 4 for the latter), so in most cases that command would do
nothing.
Incidentally, this allows users to enable output pagination should they want
to.
[skip ci]
2023-02-08 11:02:29 -05:00
65053667cf
New “homotopy_alt_starting_point” option to “perfect_foresight_solver” command
2023-02-07 14:49:00 -05:00
d6370a6d28
Merge branch 'occbin_init_smo' into 'master'
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occbin enhancements and bug fixes
See merge request Dynare/dynare!2123
2023-02-07 14:23:14 +00:00
be698d5f98
Perfect foresight + homotopy: add missing newline
2023-02-06 15:14:02 -05:00
63a299f64e
new error codes introduced and applied for occbin smoother.
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- 321 when simulation within occbin smoother fails
- 322 when occbin smoother does not converge.
2023-02-06 14:58:42 +01:00
f565a0a84a
bug fix and avoid missing output arguments and when smoother exits after non convergence of simulation.
2023-02-06 11:39:24 +01:00
f0aa2fb86f
cosmetic change
2023-02-03 14:25:59 +01:00
b886de92dc
trap case when simulation does not converge within smoother
2023-02-03 14:25:32 +01:00
cdd195576e
store binding_indicator_history once it has been set
2023-02-03 14:24:58 +01:00
783c237d17
evaluate set_prior only when needed
2023-02-03 14:21:02 +01:00
035db8b8c4
bug fixes when using guess regime
2023-02-03 14:20:51 +01:00
77e87be48b
try with base regime before returning error
2023-02-03 14:20:39 +01:00
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
7132cb593e
bug fix for init variables to be defined only with occbin PKF
2023-02-03 14:20:16 +01:00
50aa20c742
eliminate buggy and useless check for existence of guess regime variable. this may create bugs in running PKF update step!
2023-02-03 14:20:02 +01:00
e51a30eaf5
Bug fix for the case where no prior is defined for estim params
2023-02-03 14:19:50 +01:00
a346639020
when filter is NOT diffuse, allow likelihood to handle violation of constraints in period 1.
2023-02-03 14:19:28 +01:00
6598d615d1
in some cases, order is not yet set to 1
2023-02-03 14:19:16 +01:00
a91c36f920
first_period_occbin_update is an index, not a boolean
2023-02-03 14:19:05 +01:00
74acb2d1f5
bug fix using index t
2023-02-03 14:18:54 +01:00
21c9d59e8c
incorporate information about states in period 0 for occbin with smoother_redux
2023-02-03 14:18:32 +01:00
0622f01f4e
filter out t=1 when storing aalphahat and eetahat
2023-02-03 14:18:21 +01:00
b90dff1986
retrieve states in period 0 from smoother and deploy this to:
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- allow having binding regimes in period 1 with occbin
- further improve recovering of smoothed variables in period 1 under smoother_redux option
2023-02-03 14:18:10 +01:00
5aca770931
perfect_foresight_with_expectation_errors_{setup,solver}: fix bugs with several exogenous
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Closes : #1883
2023-01-24 15:02:07 +01:00
538f38d269
Merge branch 'occbin_debug' into 'master'
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missing_observations_kalman_filter.m: provide debugging information on PKF problems
See merge request Dynare/dynare!2122
2023-01-23 10:39:17 +00:00
4307711c60
missing_observations_kalman_filter.m: provide debugging information on PKF problems
2023-01-19 11:57:35 +01:00
cfaf5a685d
Preprocessor: actually obey the “mfs” option for the static model
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As a consequence, fix steady state computation when mfs > 0.
2023-01-17 19:08:32 +01:00
8aabdaee9c
Consolidate functions for solving steady state with block and/or bytecode
2023-01-17 15:25:47 +01:00
7b6058509f
Drop unused function
2023-01-17 14:48:36 +01:00
005769210a
Drop unused function
2023-01-17 14:47:52 +01:00
5342476196
Drop unused function
2023-01-17 14:46:50 +01:00
023afc7ebb
Drop unused function
2023-01-17 14:46:46 +01:00
1c5c1639e1
Drop unused function
2023-01-16 14:38:09 +01:00
e5f100b152
Drop unused function
2023-01-16 14:38:06 +01:00
c187d0ead9
Drop unused function
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It should probably have been removed in 9c6e219990
2023-01-16 14:38:03 +01:00
8f1a4cb363
Drop block-decomposed first-order perturbation solution and kalman filter
2023-01-13 16:57:49 +01:00
Stéphane Adjemian (Ryûk)
91dd917d62
Cosmetic/Efficiency changes.
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- Use bsxfun for centering data if possible,
- Factorise LU decomposition,
- Remove useless operations during the presampling step.
2023-01-12 17:45:51 +01:00
e250067959
Use sparse representation for block-decomposed perfect foresight and steady state computation
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Ref. #1859
2023-01-12 16:28:02 +01:00
3c55aa57e1
Use sparse representation for evaluating the static model
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We also take advantage of the fact that the non-block version is always
available next to the block one, so when we are only interested in the residual
as a whole, we simplify by using the non-block version.
2023-01-10 16:21:44 +01:00
b343f0231d
Ensure that generated sparse MEX files are unloaded before the preprocessor is run
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This workaround already existed for the legacy representation.
2023-01-10 16:07:29 +01:00
0b0a4ef386
dsge_likelihood.m: flag analytical_derivation as incompatible with endogenous_prior
2023-01-09 17:57:18 +01:00
f84753025d
Bytecode: the block and non-block versions now coexist in parallel
...
As a consequence, a new “block_decomposed” option of the bytecode MEX has been
introduced to explicitly select the block-decomposed version.
Note that we do not always use the “block_decomposed” option even when the
“block” option has been passed to the user, in situations where the block
decomposition brings nothing (e.g. when evaluating the residuals of the whole
model).
2023-01-09 15:20:46 +01:00
Stéphane Adjemian (Ryûk)
b7693c3273
Add routine for conditional likelihood (first order).
2023-01-06 14:57:45 +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.
...
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),
...
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.
...
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:
...
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
Stéphane Adjemian (Ryûk)
Sébastien Villemot
Marco Ratto
Johannes Pfeifer