3d410b9b8b
v4.1: corrected DsgeSmoother.m for unobserved trends
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2219 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-27 19:47:22 +00:00
fbeab98711
v4.1 Added calls to new diffuse kalman filter routines (when kalman_algo==3).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2217 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-27 17:24:10 +00:00
5618fea33b
v4.1: Added two routines for diffuse kalman filtering (with or without missing observations).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2216 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-27 17:12:44 +00:00
76000f99e4
v4.1: Added a new version of DsgeLikelihood.m (to be used for tests).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2215 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-27 17:08:20 +00:00
42e69283cb
v4.1: Cosmetic changes + Added call to univariate kalman filter routine when F is singular and different
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from zero.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2214 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-27 17:04:10 +00:00
ae0c71bfd9
correcting bugs in Kalman Smoother
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2198 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-26 20:10:58 +00:00
0e125f541e
adding tests for kalman smoother
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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
7c6ed357b6
Bugs correction in check command with sparse option in model command
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2196 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-24 16:35:06 +00:00
dcc37a681a
v4.1: Correction of the previous commit.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2192 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-24 15:38:34 +00:00
b1e1ab4853
v4.1: Bug correction related to Laplace approximation of the data marginal density.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2191 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-24 15:12:35 +00:00
986ac3e1e7
v4.1: Added test files for the new kalman filter routines.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2190 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-24 10:02:58 +00:00
1e251c4ba5
trunk build_matlab.m: fixed compilation issue
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2189 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-22 15:42:02 +00:00
6ad7cc087c
trunk simulate.dll: fixed compilation issue
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2188 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-22 15:39:40 +00:00
38b2eb42cb
v4.1: Added calls to new filter routines.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2187 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-21 16:31:13 +00:00
eb1e60e59b
v4.1: Errors associated to the simulated deterministic paths (for all periods and endogenous variables)
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are saved in oo_.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2186 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-21 15:33:51 +00:00
42bdc2726c
v4.1: Added a new m file for the univariate kalman filter allowing for missing observations and
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correlated measurement errors. Tests show that there is a "significant" discrepancy between the
univariate filter and the standard filter in presence of correlated measurement errors...
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2185 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-21 15:29:33 +00:00
1792d54f59
trunk: updated wiki URL in documentation
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2184 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-20 16:31:20 +00:00
0337bae230
More Dynare_pp reformatted and cleared from CWEB references
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2183 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-20 16:19:58 +00:00
5f5705de80
Dynare_pp files Cleared from references to CWEB and reformatted
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2182 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-20 16:11:59 +00:00
9da509936c
v4.1: Added ./matlab/kalman in the path.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2181 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-20 14:46:00 +00:00
616f47377f
v4.1: Bug corrections.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2180 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-20 12:58:08 +00:00
3594aebd43
trunk preprocessor/ModelTree.cc:
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* fixed compilation problem related to temporary integer
* removed unused variable
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2179 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-19 16:21:05 +00:00
f59bba3ddc
- Adding SOLVE_FORWARD_COMPLETE and SOLVE_BACKWARD_COMPLETE simulation type for sparse model option
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- Adding dyn2vec at the end of a deterministic simulation with sparse or sparse_dll option
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2178 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-19 15:44:08 +00:00
d46c423c6e
trunk preprocessor: removed LCC_COMPILER and GCC_COMPILER options of SPARSE_DLL mode
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2177 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 17:21:22 +00:00
58358122da
trunk preprocessor: added some comments
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2176 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 17:15:23 +00:00
afdddb8091
v4.1:/tests/kalman Bug corrections.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2175 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 16:22:25 +00:00
8aab45ce5d
Suppress the addpath command before the call to Bicgstab
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2174 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 15:30:47 +00:00
b034ca6598
v4.1:/tests/kalman Bug correction.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2173 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 14:43:33 +00:00
7515534ac6
Bug corrections.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2172 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 14:39:10 +00:00
e0f9caa524
v4.1: Added tests for KF files.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2171 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 13:22:50 +00:00
ebb0095360
trunk preprocessor: allow zero equation if standalone BVAR estimation
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2170 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 12:52:08 +00:00
ccf0c4b9f9
v4.1: Factorization of missing data related part of dynare_estimation.m.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2169 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 12:51:06 +00:00
d1e5b0d4b8
trunk preprocessor: added error message if model local variable (pound sign expression) used outside model scope
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2168 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 12:22:35 +00:00
59fad3df56
trunk preprocessor: removed unused recursive variable type
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2167 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 11:54:35 +00:00
cc64a40ac7
trunk preprocessor: renamed "Type" to "SymbolType" for the sake of clarity
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2166 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 10:20:19 +00:00
21914feb4f
trunk preprocessor:
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* added some comments
* created enumerations for block type and block simulation type
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2165 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 10:11:54 +00:00
deea50d8ce
trunk simulate.dll: removed non-GPL code
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2164 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 09:46:50 +00:00
7ccbe6f467
v4.1: Removed control subfolder.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2163 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-17 08:12:02 +00:00
c5e73fcbaf
v4.1: Added subfolders in ./matlab/kalman.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2162 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 21:15:07 +00:00
8c030e7eb0
v4.1: Changed header.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2161 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 18:04:43 +00:00
d0e8345536
v4.1: Changes related to kalman filter with missing observations.
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* Changed header of missing_observations_kalman_filter
* Added the univariate approach. This file handles the cases with measurement errors and/or missing data.
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2160 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 18:03:33 +00:00
09a808bd4f
v4.1: Changed calls to optimization routines.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2159 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 15:42:29 +00:00
c57a8c4776
v4.1: Removed hessian_sparse.m (unused function).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2158 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 14:34:15 +00:00
b820667698
v4.1: Changes related to kalman filter with missing observations.
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* Adapted mode_check.m and hessian.m
* Removed global from hessian.m
* Changed call to metropolis
* Changed the test deciding between KF and KF with missing observations in DsgeLikelihood
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2157 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 14:24:35 +00:00
81a1a68ed7
v4.1: Added a data set with missing observations.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2156 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 13:41:41 +00:00
09e32240bd
v4.1 Changes related to the kalman filter (for evaluation of the likelihood) with missing observations.
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2155 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-16 13:40:40 +00:00
4ac920fdff
trunk debian: added new kalman/ directory to packaging
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2152 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-14 09:30:25 +00:00
f30d61aa57
4.0 trunk: added some svn:ignore properties for debian build system
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2151 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-14 09:24:29 +00:00
6c6402fdeb
trunk tests:
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* added Makefile for cleaning tests directory
* removed some useless stuff in objectives/
* added some svn:ignore properties
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2150 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-14 09:14:20 +00:00
63f5008305
v 4.0.2: simpler solution to problem with unobserved stochastic trends
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2149 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-13 20:08:13 +00:00
michel
adjemian
ferhat
sebastien
george