02072dde39
Add Occbin routines
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Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.
Ref. #569
2021-07-16 17:20:11 +02:00
f7a232061a
Remove unused options_-output
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Prevents accidentally changing something
2021-06-22 18:17:11 +02:00
e5b51f3257
DsgeSmoother.m: header cosmetics
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[skip CI]
2021-06-15 11:16:41 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
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
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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
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
15ab85788c
adjusted message in case of diffuse filter, where cointegration is most of the time the reason for such a warning
2021-02-12 19:10:45 +01:00
7c8f486727
Allow setting initial state for Kalman filter
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Supersedes https://git.dynare.org/Dynare/dynare/-/merge_requests/1522
2021-01-28 17:24:27 +01:00
1cc29d765b
DsgeSmoother: add warning if there is stochastic singularity
2020-07-15 11:00:48 +02:00
7e770f69e7
Remove workaround for errors in MEX files
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Because at some point throwing exceptions from MEX files (with mexErrMsgTxt())
was not working under Windows 64-bit, we had designed a workaround to avoid
using exceptions.
Most MEX files were returning an error code as their first (or sometimes last)
argument, and that code would have to be checked from the MATLAB code.
Since this workaround is no longer needed, this commit removes it. As a
consequence, the interface of many MEX files is modified.
For some background, see https://www.dynare.org/pipermail/dev/2010-September/000895.html
2020-01-10 18:33:11 +01:00
c4f1958690
Cosmetic changes + Copyright headers fixes.
2018-01-26 12:00:27 +01:00
cf8213f7a0
fix to the Kitigawa transformation that allows to reduce the computing time of the likelihood in large models, with a lot of static variables, by 30-50%.
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This fixes the bug in e97e5c34072f9dc09285#1312 .
2018-01-26 11:47:39 +01:00
8ccebd9e23
DsgeSmoother.m: provide informative error instead of crashing when model cannot be solved
2017-08-16 19:26:24 +02:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
a53636e24e
Fixed copyright notices.
2017-05-16 14:11:15 +02:00
1755192e63
Make 792924 consistent with cases where Pinf is an empty matrix
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Fixes the crash in `analytic_derivatives/fs2000_analytic_derivation.mod`
2017-03-31 17:41:38 +02:00
2c5b1fed2d
Use master function lyapunov_solver.m to call individual solvers
2017-01-04 11:25:44 +01:00
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
42acb96b3d
renamed compute schur_statespace_transformation.m
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refactored code
2016-11-22 18:40:10 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
af72c1bd22
Add missing comment sign in DsgeSmoother.m
2016-08-22 19:24:35 +02:00
63b8c4d2dd
Fix smoother for univariate filter with (correlated) measurement error
2016-08-22 19:24:35 +02:00
a02f7cc8f3
Correct header of DsgeSmoother.m
2016-06-14 11:52:49 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
f5bd4c6b3a
Fix bug where smoother selected wrong observables with selected_variables_only option
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Closes #1161
2016-04-12 11:36:43 +02:00
be2221286c
Add note on setting of bayestopt_.mf to DsgeSmoother.m
2016-04-12 10:52:40 +02:00
98384eb6f2
Document variable ordering in various headers
2016-04-12 10:52:37 +02:00
ee6b81284a
Correct header of DsgeSmoother.m and write_smoother_results.m
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Definition of updated variables was incorrect
2016-03-23 10:47:26 +01:00
dcf0d75d55
Add output of trend to DsgeSmoother.m and use it to reconstruct smoothed and filtered values
2016-03-23 10:19:41 +01:00
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
0aa7e15d58
- Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues.
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- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
2015-10-13 17:26:39 +02:00
0fd76e0c6f
Assigning unique function for each input argument of lyapunov_symm.m
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The old way of redefining input arguments to satisfy different options was too error-prone. See 69daaa0460b0ddee97292c39d40355201e316622 of tholden
2015-07-22 15:11:39 +02:00
22b1aa7a0d
Filter out case where estimated_params block is present but smoother on calibration is requested
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In this case, xparam1 will be empty while estim_params_ does not have conformable dimensions.
2015-06-09 14:51:32 +02:00
6aa5ceabb2
Fixed bug introduced in 363c4a61222103fda22adff9bdb1115a6073428a.
2015-04-03 18:02:03 +02:00
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
7c838b133f
Use local variables for restrict var list, to avoid overwriting the global and messing likelihood evaluations later on.
2015-04-03 18:02:03 +02:00
ed8b47bbf4
Add info to header about additional output argument
2014-12-11 20:59:31 +01:00
97b63105a0
Add a parameter to the lyapunov_symm routine (debug mode).
2014-10-13 17:42:53 +02:00
b90f3deed2
Bugfixes and improvements related to method 3 of lyapunov_symm.m
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- the function was called with the wrong input argument for this case (Q instead of R*Q*R'), crashing with incompatible matrix dimensions
- the persistent variable X was not updated when the size of it changed, leading to crashes when estimation is followed by calls to DsgeSmoother.m where the state-space is different
- Also eliminates the printed output in lyapunov_symm.m that could not be turned off and clutters estimation
2014-10-13 17:42:52 +02:00
7b089ec2b3
Cosmetic change. Renamed nobs as vobs.
2014-07-17 22:05:07 +02:00
66d08ac3bf
Merge branch 'master' into use-dynSeries
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Conflicts:
matlab/dynare_estimation_init.m
matlab/global_initialization.m
matlab/prior_posterior_statistics.m
matlab/read_variables.m
matlab/set_prior.m
matlab/utilities/dataset/initialize_dataset.m
preprocessor/ComputingTasks.cc
2014-04-30 10:10:30 +02:00
8359b90cdf
Cosmetic changes.
2014-01-30 13:00:25 +01:00
4e789452b2
Allows to use alternative algorithms to solve lyapunov equation
2014-01-14 17:32:01 +01:00
907e087ea9
Consider options_.varobs as a cell of strings.
2013-09-07 16:39:04 +02:00
e60d438e86
Fixed bug.
2013-06-28 16:59:47 +02:00
b281830983
Added new initialization mode ofr the Kalman filter and smoother.
2013-06-28 16:26:53 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
0da05ae29d
Removed globals from set_all_parameters routine.
2012-06-07 15:13:39 +02:00
0b0c939849
fixing bug with smoother with univariate filters
2011-11-02 14:02:12 +01:00
013c599ec9
Removed globals from dynare_resolve. Removed unused first input argument. Adapted routines calling dynare_resolve.
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Added texinfo header to dynare_resolve.
2011-09-19 16:41:53 +02:00
Marco Ratto
Johannes Pfeifer
Sébastien Villemot
Stéphane Adjemian (Charybdis)
Marco Ratto
Michel Juillard
Houtan Bastani
Johannes Pfeifer
ferhat
Sébastien Villemot