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9024 Commits (05fc096569e15e89d8d13b08799321c0313b168d)

Author SHA1 Message Date
Marco Ratto 05fc096569 Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables. 
This avoids shifting to univariate filter in most cases.
 2015-10-13 17:15:01 +02:00
Stéphane Adjemian d3eca9338b Merge pull request #1038 from JohannesPfeifer/kernel_density 
Allow computing posterior kernel density
 2015-10-12 23:23:07 +02:00
Michel Juillard 8be2841582 fixing Makefile.am error 2015-10-12 22:39:03 +02:00
Michel Juillard 8bfec92d4d adding missing @end deffn 2015-10-12 16:57:55 +02:00
MichelJuillard 6d23db41d0 Merge pull request #1082 from JohannesPfeifer/steady_state_file_check 
Check whether steady state file returns column vector
 2015-10-12 16:33:29 +02:00
Johannes Pfeifer 8ef96c46ca Check whether steady state file returns column vector 2015-10-12 16:17:56 +02:00
Stéphane Adjemian (Charybdis) 203455d2a1 Updates particles submodule (mainly bug fixes). 2015-10-12 15:51:16 +02:00
Stéphane Adjemian (Charybdis) a4dc9a2423 Adddd missing closing parenthesis. 2015-10-12 15:43:08 +02:00
Johannes Pfeifer 7ebbc41d8a Get rid of eval statements by using indirect indexing of structures 2015-10-12 15:36:42 +02:00
Johannes Pfeifer b7cbb563d6 Allow suppressing density of smoother and forecast objects 2015-10-12 15:34:52 +02:00
Johannes Pfeifer 1ef1f9c75d Transform hard-coded kernel density options to real options 2015-10-12 15:34:51 +02:00
MichelJuillard aa894f8613 Merge pull request #1075 from JohannesPfeifer/stochastic_singularity 
Condition check for stochastic singularity on maximum of non-missing …
 2015-10-12 09:12:31 +02:00
MichelJuillard c2565e803f Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail 
Filter out failure of k_order_pert in likelihood computation
 2015-10-11 20:45:51 +02:00
MichelJuillard 7df7fe6fd8 Merge pull request #1080 from JohannesPfeifer/CMAES_settings 
Improve cmaes settings
 2015-10-11 20:44:10 +02:00
Johannes Pfeifer fd9f2db79d Allow resuming previous run of CMAES 
Also enables saving of intermediate results, consistent with the manual.
 2015-10-11 19:13:48 +02:00
Johannes Pfeifer e3e34e1c7d Reduce default accuracy criterion in cmaes.m 2015-10-11 18:50:05 +02:00
Johannes Pfeifer df47be4076 Properly set bounds and H0 for CMAES 2015-10-11 18:21:25 +02:00
Johannes Pfeifer d513d38f73 Filter out failure of k_order_pert in likelihood computation 2015-10-11 17:55:27 +02:00
Johannes Pfeifer 33aa22a80f Condition check for stochastic singularity on maximum of non-missing observations 
closes #1071
 2015-10-11 10:49:15 +02:00
MichelJuillard 866ab33575 Merge pull request #1042 from JohannesPfeifer/discretionary 
Various fixes for discretionary_policy
 2015-10-10 22:25:46 +02:00
MichelJuillard b51b037ef2 Merge pull request #871 from JohannesPfeifer/prior_posterior_function 
Add functionality Prior posterior function
 2015-10-10 22:17:53 +02:00
Michel Juillard a8580258a1 changed Dynare timer to local timer 2015-10-10 14:33:30 +02:00
Michel Juillard 6502c311a0 replaced global timer by local timer 2015-10-10 14:33:30 +02:00
Stéphane Adjemian (Charybdis) dcf7cfbc4b Cosmetic change (testsuite). 
Do not print warnings with Matlab>=R2015b because of the exit command at the end of the run_test_matlab script.

Do not print
 2015-10-10 02:26:40 +02:00
Stéphane Adjemian (Charybdis) 580bc3a0b6 Updated .gitignore file. 
Do not version mat files in matlab folder.
 2015-10-10 00:21:18 +02:00
Stéphane Adjemian (Charybdis) 18a5eea7e0 Fixed bug in clear_persistent_variables routine. 
The generated mat file (which saves a list of routines containing persistent variables) has to be saved in the dynare/matlab folder.
 2015-10-10 00:21:18 +02:00
Stéphane Adjemian 3490e400bc Merge pull request #1015 from JohannesPfeifer/model_comparison 
Bugfixes and improvements for model_comparison
 2015-10-09 17:11:15 +02:00
Michel Juillard f7f158f078 Revert "removed global objective_function_penalty_base" 
This reverts commit 5ade8d7c6f.
 2015-10-09 14:23:32 +02:00
Michel Juillard 784b8d893c Revert "reducing penalty value to 0.1 when there is no ground to make it proportional" 
This reverts commit a6f123fd50.
 2015-10-09 14:23:32 +02:00
Michel Juillard 818fa47375 Revert "adding new functions for penalty optimization" 
This reverts commit b9e535e99e.
 2015-10-09 14:23:31 +02:00
Michel Juillard 295eed6118 Revert "adapted dsge-var code for new handling of penalties" 
This reverts commit 3966296aca.
 2015-10-09 14:23:31 +02:00
Michel Juillard f464760c45 Revert "remove global objective_function_penalty_base" 
This reverts commit cf858c7fcb.
 2015-10-09 14:23:31 +02:00
Michel Juillard 035adeb89e Revert "More fixing related to objective_function_penalty_base" 
This reverts commit 1ad8df4635.
 2015-10-09 14:23:31 +02:00
Michel Juillard 1a9aa17c9e Revert "More fixings around objective_function" 
This reverts commit 05cd51111c.
 2015-10-09 14:23:31 +02:00
Michel Juillard 9be5c31761 Revert "More fixing of the same" 
This reverts commit a54dda165f.
 2015-10-09 14:23:31 +02:00
Michel Juillard 063a548bd3 Revert "changed persitent variables into local ones in mr_hessian.m" 
This reverts commit fe077fc710.
 2015-10-09 14:23:31 +02:00
Michel Juillard bc37c838c7 Revert "more fixes for penalty objective function" 
This reverts commit 3dac7f8809.
 2015-10-09 14:23:31 +02:00
Michel Juillard a7a3bbef89 Revert "reset newratflag = 0 in dynare_minimize_objective" 
This reverts commit d4cf3576e4.
 2015-10-09 14:23:31 +02:00
Michel Juillard 7202c497de Revert "removed initialization of mr_hessian()" 
This reverts commit f48a026d89.
 2015-10-09 14:23:31 +02:00
Stéphane Adjemian (Charybdis) bf51be7efd Revert "Revert "test suite: add rule for text files"" 
This reverts commit 4825745047.
 2015-10-08 23:20:35 +02:00
Stéphane Adjemian (Charybdis) 6396794b5b Revert "Revert "test suite: adjust display of results appropriately depending on whether octave/matlab or both were used"" 
This reverts commit 62b1c85fd4.
 2015-10-08 23:20:08 +02:00
Stéphane Adjemian (Charybdis) 276c34f394 Revert "Temporarily removed an integration test." 
This reverts commit 7b2ccc5a52.
 2015-10-08 21:53:22 +02:00
Michel Juillard f48a026d89 removed initialization of mr_hessian() 2015-10-08 20:57:00 +02:00
Michel Juillard d4cf3576e4 reset newratflag = 0 in dynare_minimize_objective 2015-10-08 20:57:00 +02:00
Michel Juillard 3dac7f8809 more fixes for penalty objective function 2015-10-08 20:57:00 +02:00
Michel Juillard fe077fc710 changed persitent variables into local ones in mr_hessian.m 2015-10-08 20:57:00 +02:00
Michel Juillard a54dda165f More fixing of the same 2015-10-08 20:57:00 +02:00
Michel Juillard 05cd51111c More fixings around objective_function 2015-10-08 20:57:00 +02:00
Michel Juillard 1ad8df4635 More fixing related to objective_function_penalty_base 2015-10-08 20:57:00 +02:00
Michel Juillard cf858c7fcb remove global objective_function_penalty_base 2015-10-08 20:57:00 +02:00