Stéphane Adjemian(Charybdis)
4a9c752fd1
Fixed the definition of a lag polynomial.
2018-07-04 14:57:54 +02:00
Sébastien Villemot
3863a74319
Fix bug introduced in 13ce91861
in graph decomposition under MATLAB
2018-07-04 12:33:51 +02:00
Stéphane Adjemian(Charybdis)
227ac46aa9
Fixed bug related to the parameters in PAC equation.
2018-07-04 10:02:19 +02:00
Stéphane Adjemian(Charybdis)
f248feb839
Fixed function handle name for sum of square residuals.
2018-07-04 09:38:19 +02:00
Stéphane Adjemian(Charybdis)
33d752bad3
Fixed filtering out of non exact matches.
...
Patch proposed by Anatole, see:
https://gitlab.com/McModelTeam/McModelProject/issues/76
2018-07-04 08:57:07 +02:00
Sébastien Villemot
13ce918612
Octave compatibility fixes in graph decomposition
2018-07-02 16:06:11 +02:00
Sébastien Villemot
b2c554623f
Various fixes related to the new layout of generated files
2018-06-28 18:14:40 +02:00
Sébastien Villemot
87bb0c6997
Fix mistake in previous commit w.r.t. steadystate file
2018-06-27 17:15:13 +02:00
Sébastien Villemot
a1b8bd39b2
Move the location of various generated files on the filesystem
...
- M and MEX files are now under +${MODELNAME}/
- bytecode, C source and JSON now under ${MODELNAME}/model/
2018-06-27 17:03:39 +02:00
Stéphane Adjemian(Charybdis)
37bd4a1fea
Added routine for estimating a PAC equation by NLS.
...
This is not a final version. The routine does not print the estimation result, and does not
compute the variance of the estimator. The routine updates the content of M_.params with the
vector of PAC parameters minimizing the sum of squared residuals.
2018-06-21 18:48:58 +02:00
Stéphane Adjemian(Charybdis)
8d1664898e
Merge remote-tracking branch 'github/master' into ecb-master
2018-06-21 18:48:16 +02:00
Stéphane Adjemian(Charybdis)
45115e1172
Replaced pac.update.equation() by pac.update.expectation().
2018-06-21 18:47:57 +02:00
Stéphane Adjemian(Charybdis)
93bb326cc2
Added routines for dealing with extraction of a single equation from JSON output.
2018-06-21 18:46:38 +02:00
Stéphane Adjemian(Charybdis)
f84a6fefb7
Efficiency changes.
2018-06-19 15:40:17 +02:00
Stéphane Adjemian(Charybdis)
4710e68555
Fixed bug.
...
The get_companion_matrix routine was crashing if the model block contained
variables exogenous w.r.t the auxiliary model used for the PAC expectations (in
the trend component model case), before the equations of the auxiliary model.
2018-06-19 14:11:10 +02:00
Stéphane Adjemian(Charybdis)
5e1c872610
Merge remote-tracking branch 'ecb/master' into ecb-master (fix for JSON output).
2018-06-15 15:02:07 +02:00
Stéphane Adjemian(Charybdis)
e3727db6a4
Updated particles submodule.
2018-06-14 11:50:55 +02:00
Stéphane Adjemian(Charybdis)
701633769d
Removed hack that is not needed anymore.
2018-06-11 18:22:31 +02:00
Houtan Bastani
36f7111c0f
modify get_ar_matrices for change in lag info
2018-06-11 16:18:24 +02:00
Houtan Bastani
c7fe3770df
Merge branch 'master' into ecb-master
2018-06-11 15:35:24 +02:00
Stéphane Adjemian(Charybdis)
eacb6eb498
Updated dseries submodule (bug fix).
2018-06-09 18:34:09 +02:00
Stéphane Adjemian(Charybdis)
8270386d0b
Updated dseries submodule.
2018-06-09 18:32:40 +02:00
Johannes Pfeifer
6607d3907a
disp_identification.m: Account for jweak_pair generally being a matrix
2018-06-09 08:59:43 +02:00
Stéphane Adjemian(Charybdis)
447d4ff561
Allow for non diagonal A0 matrix in Error Correction Models.
2018-06-08 12:17:29 +02:00
Johannes Pfeifer
b8094a2e84
Correct display of identification message if parameters are only collinear
...
Closes #1614
2018-06-07 19:29:24 +02:00
Houtan Bastani
ec0f5ad701
fix indexing bug
2018-06-07 18:48:32 +02:00
Houtan Bastani
e9c631de7d
Merge branch 'master' into ecb-master
2018-06-07 18:47:36 +02:00
Sébastien Villemot
79484607a7
Fix various issues with stack_solve_algo=7 and lags on exogenous > 1
...
Complete the fix started in 8913791ff0
.
Change the test case to prevent regressions.
2018-06-07 16:14:02 +02:00
Johannes Pfeifer
09ac7f6249
identification_analysis.m: make sure that increase in options_.ar is passed back via options_ident
2018-06-07 13:17:42 +02:00
Michel Juillard
8913791ff0
fixes bug for solve_algo = 10 and lags on exogenous variables
2018-06-07 12:21:58 +02:00
Sébastien Villemot
a71e0ebee4
Add a compile-time check for MATLAB version, as we already do for Octave
2018-06-06 14:31:25 +02:00
Sébastien Villemot
88e89dfb21
Refactor test for Octave version
...
Distinguish between a minimal version required (from a source code perspective,
applicable on all platforms) and an exact version requirement (from a binary
package perspective, in practice used only for our Windows package).
2018-06-06 14:27:53 +02:00
Sébastien Villemot
57f6183d2f
Move some functions out of missing/stats/, since they are only needed for MATLAB
2018-06-06 13:02:42 +02:00
Sébastien Villemot
9211d902a0
Update dseries
2018-06-05 19:56:42 +02:00
Sébastien Villemot
933ed45ead
Octave 4.4 no longer includes statistics functions
...
Those have been moved to the statistics package. If that package is not there,
use a fallback.
2018-06-05 19:53:06 +02:00
Sébastien Villemot
7cbac0c989
Fix user_has_octave_forge_package
...
Packages are no longer autoloaded, so testing whether they are "Loaded" does
not work in all cases.
The function now ensures that the package is loaded.
2018-06-05 19:53:02 +02:00
Houtan Bastani
6f6ef8fb30
Merge branch 'master' into ecb-master
2018-06-05 18:47:55 +02:00
Sébastien Villemot
0b2828af8a
Fix typo
2018-06-05 17:27:22 +02:00
Sébastien Villemot
e8ade6a187
Fix display of Dynare command arguments
2018-06-05 17:27:03 +02:00
Sébastien Villemot
8cadb2ac59
Silence Octave:classdef-to-struct warning
2018-06-05 17:24:52 +02:00
Sébastien Villemot
c7a57e5906
corrcoef is included in Octave 4.4
2018-06-05 17:14:41 +02:00
Stéphane Adjemian(Charybdis)
1730269e80
Fixed bug.
2018-06-01 18:36:42 +02:00
Houtan Bastani
5a515aa3c4
update get_ar_ec_matricies for changes to preprocessor
2018-05-31 19:24:31 +02:00
Houtan Bastani
f9b3f7571e
Merge branch 'master' into ecb-master
2018-05-31 18:55:32 +02:00
Stéphane Adjemian(Charybdis)
e435a34d90
Tempoarary fix for bug in get_ar_matrices routine.
...
The number of lags returned in models with diff(dif((x))) is wrong.
2018-05-31 12:14:36 +02:00
Stéphane Adjemian(Charybdis)
27e21acd5a
Adapt h1 formula depending on PAC's auxiliary model (var or vecm).
2018-05-30 18:26:18 +02:00
Sébastien Villemot
7b546ba696
Compatibility fix for MATLAB < R2010b (7.11)
2018-05-30 17:44:46 +02:00
Houtan Bastani
5273ab0e7d
remove statement erroneously inserted into abd1627ce7
2018-05-30 14:55:17 +02:00
Houtan Bastani
abd1627ce7
adjust get_ar_ec_matrices for preprocessor changes
2018-05-30 14:46:59 +02:00
Stéphane Adjemian(Charybdis)
d96d039a8a
Added VECM as auxiliary model for PAC.
2018-05-29 15:51:31 +02:00
Stéphane Adjemian(Charybdis)
fa5bfbde44
Merge remote-tracking branch 'github/master' into ecb-master
2018-05-29 15:50:17 +02:00
Stéphane Adjemian(Charybdis)
474556e0ca
Added routines related to auxiliary variables.
2018-05-29 15:44:41 +02:00
Stéphane Adjemian(Charybdis)
e48fee90e7
Added missing semicolon.
2018-05-29 12:14:53 +02:00
Stéphane Adjemian(Charybdis)
966d9797dd
Fixed columns ordering in VAR AR matrices.
2018-05-29 12:08:37 +02:00
Houtan Bastani
d5862f93bf
add comment explaining changes in 4e79d12e53
2018-05-28 14:32:11 +02:00
Houtan Bastani
4e79d12e53
move declaration of default values from global_initialization to a separate function
2018-05-28 14:07:32 +02:00
Houtan Bastani
97af53b82d
fix mkdir call in global_initialization
2018-05-28 14:07:32 +02:00
Houtan Bastani
689a9880f4
Merge branch 'master' into ecb-master
2018-05-17 17:07:49 +02:00
Sébastien Villemot
02084ce310
Remove qzcomplex Oct-file
...
It's actually not needed. The QZ complex decomposition can be obtained in
Octave on real matrices by casting them to the complex type.
2018-05-17 12:11:15 +02:00
Stéphane Adjemian(Charybdis)
a4120a84b6
Adapted matlab routines to recent changes in preprocessor.
2018-05-16 21:31:31 +02:00
Stéphane Adjemian(Charybdis)
e62c2272b4
Merge remote-tracking branch 'github/master' into ecb-master
...
Fixed conflicts:
matlab/modules/dates
2018-05-16 17:32:39 +02:00
Stéphane Adjemian(Charybdis)
ac5fcbe231
Use new approach for setting aux variables in model inversion routine.
...
(cherry picked from commit f1ed81aae2
)
2018-05-16 17:27:51 +02:00
Sébastien Villemot
14fbfa028b
Move qzdiv.m and qzswitch.m to partial_information/ subdir
...
They are no longer used in the main codebase.
2018-05-16 17:12:48 +02:00
Sébastien Villemot
59ad26a3c9
Improve fallback code when mjdgges DLL is absent
...
The new code relies on qz(..., 'real'), ordqz and ordeig, and returns a real
decomposition. The previous version was using Sims' qzdiv and returned a
complex decomposition.
As a consequence, we can drop options_.qzdiv, which was used to detect when
imaginary parts had to be dropped.
This code does not work on Octave for the time being, but this is acceptable
since it is only a fallback.
2018-05-16 17:12:48 +02:00
Sébastien Villemot
c180777818
Move check about Octave version to the same place as check for MATLAB
2018-05-16 17:12:48 +02:00
Sébastien Villemot
42b82087d5
Remove codepaths for unsupported Octave versions
2018-05-16 17:12:48 +02:00
Stéphane Adjemian(Charybdis)
afbac2e8eb
Added strsplit routine in missing.
2018-05-16 16:41:43 +02:00
Stéphane Adjemian(Charybdis)
f53be721c1
Added new option mh_tune_jscale.
...
Works only with the Random Walk Metropolis Hastings algorithm.
Closes #1598
2018-05-16 16:37:22 +02:00
Sébastien Villemot
e2c2f2d966
Remove fallbacks for ilu, linsolve and ordschur under Octave
...
These functions are all included in Octave 4.2.
2018-05-16 10:48:44 +02:00
Houtan Bastani
1929a07d71
clean up get_ar_ec_matrices
2018-05-16 10:23:19 +02:00
Houtan Bastani
397a850ce5
add support for N nested diffs
2018-05-15 17:06:34 +02:00
Houtan Bastani
6384c9636c
var: fix AR, EC matrices
2018-05-15 16:30:53 +02:00
Sébastien Villemot
473b2f59ef
Provisions for MATLAB 9.4 (R2018a)
...
Take into account the API break in the MEX interface (new interleaved complex API).
But do not split MEX directories on MacOS X for the time being.
2018-05-14 15:16:03 +02:00
Stéphane Adjemian(Charybdis)
3fe758c2b2
Cosmetic change in doc headers.
2018-05-05 21:58:52 +02:00
Stéphane Adjemian(Charybdis)
8f53be2a6f
Impose the consistency of the count of unstable eigenvalues...
...
... Between stoch_simul and check. Added sdim (the number of stable
eigenvalues) and edim (the complementary number of explosive eigenvalues) in dr
structure. The test is always done with sdim (or edim) returned by mjdgges.
2018-05-05 19:53:13 +02:00
Stéphane Adjemian(Charybdis)
fa15c3dbc7
Updated dates submodule. Closes #1601 .
2018-05-05 14:56:56 +02:00
Stéphane Adjemian(Charybdis)
fa67aeb7a6
Fixes issue #1607 .
2018-05-05 10:29:37 +02:00
Stéphane Adjemian(Charybdis)
891e3ba7be
Cosmetic change in doc headers.
2018-05-05 10:24:01 +02:00
Stéphane Adjemian(Charybdis)
eb042b145e
Removed debugging display.
2018-04-26 17:46:22 +02:00
Stéphane Adjemian(Charybdis)
d6a20af5f3
Added companion matrix corresponding to the VECM in levels.
2018-04-26 16:42:04 +02:00
Stéphane Adjemian(Charybdis)
e8829eab8e
Check that stationary and/or non stationary components exist.
2018-04-26 16:35:32 +02:00
Stéphane Adjemian(Charybdis)
57bb6f3fe9
Fixed typo.
2018-04-12 12:23:50 +02:00
Stéphane Adjemian(Charybdis)
61c643a91f
Updated the preprocessor submodule (new PAC interface).
2018-04-12 10:11:09 +02:00
Stéphane Adjemian(Charybdis)
cee6dda44d
Fixed check for octave version.
...
We should not issue a warning if version() is greater than supported_octave_version().
2018-03-24 22:48:45 +01:00
Stéphane Adjemian(Charybdis)
aa4cabcbeb
Fixed bug (simulation of backward models).
...
Was crashing with three inputs (last one is for innovations) when the first input was an empty array.
2018-03-12 09:45:15 +01:00
Stéphane Adjemian(Charybdis)
8263bbba8a
Use new mechanism for setting auxiliary time series.
2018-03-12 09:34:56 +01:00
Houtan Bastani
c92cb398a6
dyn_ols: add parameter indices to oo_
2018-03-09 13:22:43 +01:00
Stéphane Adjemian(Charybdis)
04cbaec9ba
Merge branch 'diff' into ecb-master
...
Fixed conflicts in:
matlab/backward/checkdatabase.m
2018-03-05 14:33:03 +01:00
Houtan Bastani
5077b38a7e
get_ar_matrices: fix error in maxlag
2018-03-05 13:09:59 +01:00
Houtan Bastani
8403911e64
get_ar_matrices: fix typo
2018-03-05 13:09:50 +01:00
Stéphane Adjemian(Charybdis)
35865d1e37
Cosmetic changes (plot_contributions).
2018-03-05 12:40:32 +01:00
Stéphane Adjemian(Charybdis)
904a11d962
Fixed case where all parameter values are hard coded (plot_contributions).
2018-03-05 12:37:28 +01:00
Stéphane Adjemian(Charybdis)
a62c167146
Fixed issues with new implementation of the diff operator (plot_contributions).
2018-03-05 12:35:49 +01:00
Stéphane Adjemian(Charybdis)
4a646e4ab3
Fixed check on equation tag (plot_contributions).
2018-03-05 12:32:35 +01:00
Stéphane Adjemian(Charybdis)
71ad2cf13b
Removed useless chunk of code...
...
Since the introduction of the new mechanism for setting the auxiliary variables.
2018-03-04 19:30:09 +01:00
Stéphane Adjemian(Charybdis)
b7dcf96905
Use new checkdatabase interface.
2018-03-04 19:16:46 +01:00
Stéphane Adjemian(Charybdis)
f1ed81aae2
Use new approach for setting aux variables in model inversion routine.
2018-03-04 19:15:43 +01:00
Stéphane Adjemian(Charybdis)
06e6db580c
Cosmetic change.
2018-03-04 19:15:27 +01:00
Stéphane Adjemian(Charybdis)
d7f87ba29f
Use new approach for setting aux variables in checkdatabase.
...
Also specialize the routine for simulation/inversion problems.
2018-03-04 19:12:46 +01:00
Houtan Bastani
d6305d598f
remove time t matrix of ecm matrices
2018-03-02 17:56:49 +01:00
Stéphane Adjemian(Charybdis)
f848bdfcf8
Fixed typo.
...
(cherry picked from commit 86be2cb998
)
(cherry picked from commit dd9f3fc411
)
2018-03-02 14:45:50 +01:00
Stéphane Adjemian(Charybdis)
dd9f3fc411
Fixed typo.
...
(cherry picked from commit 86be2cb998
)
2018-03-02 10:28:52 +01:00
Stéphane Adjemian(Charybdis)
86be2cb998
Fixed typo.
2018-03-02 10:26:48 +01:00
Stéphane Adjemian(Charybdis)
436e414427
Cosmetic change.
...
Changed M_.max_*_orig into M_.orig_maximum_* for consistency with other fields.
(cherry picked from commit 857a3842e3
)
2018-03-01 10:18:24 +01:00
Stéphane Adjemian(Charybdis)
857a3842e3
Cosmetic change.
...
Changed M_.max_*_orig into M_.orig_maximum_* for consistency with other fields.
2018-03-01 10:13:44 +01:00
Stéphane Adjemian(Charybdis)
b84e3054e3
Various fixes for backward models routines.
2018-03-01 09:29:48 +01:00
Stéphane Adjemian (Charybdis)
5a55448ff4
Set default initial conditions of varexo for IRFs and forecasts in backward models.
2018-02-28 15:31:21 +01:00
Stéphane Adjemian (Charybdis)
a135c49469
Added routines for PAC expectations.
2018-02-28 15:00:42 +01:00
Stéphane Adjemian (Charybdis)
d347f57bab
Fixed inversion of backward models with diff operators.
2018-02-28 15:00:42 +01:00
Stéphane Adjemian (Charybdis)
bc2c5dd902
Code factorization (initial conditions for backward model simulations)
2018-02-28 15:00:42 +01:00
Stéphane Adjemian (Charybdis)
0579c1dc31
Allow initialization with histval in backward simulation routines.
2018-02-28 15:00:42 +01:00
Stéphane Adjemian (Charybdis)
a0b7047f7d
Fixed bug in model inversion routine.
...
The solution was depending on the ordering of the variables in the
initialcondition object.
2018-02-28 15:00:42 +01:00
Stéphane Adjemian (Charybdis)
ce5049fef0
Removed redundant test.
2018-02-28 15:00:42 +01:00
Houtan Bastani
e1dcd1bc72
dseries: submodule update
2018-02-26 18:36:27 +01:00
Houtan Bastani
0617f58a14
Merge remote-tracking branch 'origin/master' into ecb-master
2018-02-26 18:17:30 +01:00
Stéphane Adjemian (Charybdis)
ec003d055f
Cosmetic changes.
2018-02-26 12:28:03 +01:00
Houtan Bastani
dbf84bc93c
dyn_ols, pooled_sur_common: fix bug in regular expression
2018-02-23 12:43:32 +01:00
Houtan Bastani
c6d6a7b01b
pooled_fgls: fix bug: variable potentially not initialized
2018-02-22 14:34:43 +01:00
Houtan Bastani
3b13a8ad48
Merge branch 'preprocessor_diff' into ecb-master
2018-02-22 12:53:03 +01:00
Stéphane Adjemian (Charybdis)
cc4456c76d
Fixed simuation routine for models with diff operator.
2018-02-21 23:31:35 +01:00
Houtan Bastani
827b8e984c
dyn_ols: fix bug in adjusted R2
2018-02-20 15:24:00 +01:00
Houtan Bastani
b70c8e13b9
dyn_ols: fix bug in Y when rhs variables were subtracted from lhs
2018-02-20 14:33:56 +01:00
Houtan Bastani
667bfb6948
dseries: submodule update
2018-02-20 11:03:12 +01:00
Houtan Bastani
afecd9bebb
small improvement to dyn_ols, pooled_sur_common: return summed rhs to subtract from lhs
2018-02-20 10:29:34 +01:00
Stéphane Adjemian (Charybdis)
fa598b751b
Fixed prior command with optimize.
...
Penalty was not passed correctly.
2018-02-17 21:00:23 +01:00
Houtan Bastani
d54cdbf0ac
fix output when no arguments are passed to dynare
2018-02-16 17:31:53 +01:00
Houtan Bastani
5d439bcb18
submodule update: preprocessor and add dynare version to dynare.m
2018-02-16 17:31:47 +01:00
Stéphane Adjemian (Charybdis)
3a052f500c
Merge branch 'master' into ecb-master
...
Fixed conflict in dseries submodule.
2018-02-10 12:53:34 +01:00
Stéphane Adjemian (Charybdis)
350b8fb529
Updated dseries submodule (prevent initialization crash if unable to install X13 binary).
2018-02-10 12:24:20 +01:00
Stéphane Adjemian (Charybdis)
d857a78ca7
Fixed the test for the leaded variables in declared VAR model.
2018-02-09 18:15:50 +01:00
Stéphane Adjemian (Charybdis)
c7bbcf6e8b
Fixed header doc.
2018-02-09 17:57:14 +01:00
Houtan Bastani
a2da797423
get_ar_matrices: handle ECM part if it exists
2018-02-09 15:22:25 +01:00
Houtan Bastani
b24286fad7
get_ar_matrices: take care of aux_diff
2018-02-09 12:32:06 +01:00
Houtan Bastani
f3032370a9
get_ar_matrices: fix columns
2018-02-09 11:13:18 +01:00
Stéphane Adjemian (Charybdis)
8be229497a
Added routine for evaluating the companion matrix of a VAR model.
2018-02-09 10:57:29 +01:00
Stéphane Adjemian (Charybdis)
3ece9c6c1e
Updated header.
2018-02-09 10:45:52 +01:00
Stéphane Adjemian (Charybdis)
47fa23c0f6
Remved trailing empty matrices.
...
Which are present if the model block has more lags than the VAR model.
2018-02-09 10:41:43 +01:00
Stéphane Adjemian (Charybdis)
2161fed90f
Check that there is no contemporaneous variables on rhs.
...
And remove first element in the cell oo_.var.<MODEL_NAME>.ar if the check is passed.
2018-02-09 10:37:03 +01:00
Stéphane Adjemian (Charybdis)
605c20d539
Removed artime field (which is not used).
2018-02-09 10:29:50 +01:00
Houtan Bastani
f35403b694
get_ar_matrices: remove dependence on JSON
2018-02-08 18:29:10 +01:00
Houtan Bastani
d253b1fccb
get_ar_matrices: fix bug in column size
2018-02-08 17:50:12 +01:00
Johannes Pfeifer
224ccb7bab
sim1_linear.m: change hard-coded tolerance to option
...
The tolerance for the steady state check should depend on the accuracy of the steady state computation
2018-02-07 18:42:12 +01:00
Houtan Bastani
7bdd2995bd
get_ar_matrices: remove useless continue statements
2018-02-06 15:08:21 +01:00
Stéphane Adjemian (Charybdis)
4adebd4419
Fixed copyright header.
2018-02-01 22:51:23 +01:00
Marco Ratto
cf5f556f4a
Do not re-set auxiliary variables if they are already available in the input info [i.e. smoothed variables].
...
This makes the function robust when one provides info using UpdatedVariables, instead, for faster realtime exercises.
2018-02-01 19:17:59 +01:00
Marco Ratto
a7bc6414f5
fixed bug to logical if condition
2018-02-01 19:14:13 +01:00
Johannes Pfeifer
127a543b65
prior bounds: make sure that lower and upper bounds only affect mode-finding
...
99dbc8c74d
introduced a bug by disabling the resetting of the prior bounds used for the MCMC. The manual clearly states the bounds are only operational during mode-finding, but not during MCMC (and therefore prior sampling)
2018-02-01 10:16:47 +01:00
Stéphane Adjemian (Charybdis)
fe7da22853
Fixed copyright header.
2018-02-01 10:05:03 +01:00
Johannes Pfeifer
da48dea37c
identification_analysis.m: remove transformation to char when cell is expected
2018-02-01 09:58:31 +01:00
Stéphane Adjemian (Charybdis)
410f8bd07c
Cosmetic change and fixed copyright header.
2018-02-01 09:53:23 +01:00