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935 Commits (06ff0c7bb628cd40e8fbfb11425abcb84083e711)

Author SHA1 Message Date
Johannes Pfeifer 06ff0c7bb6 Factorize Kalman filter unit tests 2016-08-22 19:24:35 +02:00
Johannes Pfeifer 69c5575e19 Add smoother checks to Kalman unit tests 2016-08-22 19:24:35 +02:00
Johannes Pfeifer 915b437efc Add correctness check for Kalman filter unit tests 2016-08-22 19:24:35 +02:00
Johannes Pfeifer b201ca4e4b Add proper measurement error to Kalman filter test files 2016-08-22 19:24:35 +02:00
Johannes Pfeifer df8ad833fb Transform automatic loading of optimal_mh_scale_parameter.mat into option scale_file 
Closes #503
 2016-08-22 16:27:32 +02:00
MichelJuillard d27bbe667f Merge pull request #1230 from JohannesPfeifer/load_mh_file 
Save chain's proposal density and make load_mh_file and mh_recover load it
 2016-08-21 16:12:12 +02:00
Houtan Bastani 726ad1b84c build system: add missing dependency in test suite, add missing clean rule 2016-07-29 17:05:51 -04:00
Houtan Bastani c6f84fb98a build system: remove csv file created during check 2016-07-28 17:01:45 -04:00
Houtan Bastani 92200c20ba build system: front load slower tests to make test suite run faster 2016-07-28 16:59:57 -04:00
Michel Juillard 22f49971bc fixing bug in mcp model setup 
makes perfect_foresight_problem more efficient
added test case for stack_solve_algo == 7
 2016-07-03 10:56:44 +02:00
Johannes Pfeifer 7621ebb5ea Harmonize spelling and function arguments of collect_latex_files.m 
All lower caps and no inputs
 2016-07-01 19:09:29 +02:00
Johannes Pfeifer 8694617bd0 Add rplot to TeX-test 2016-07-01 19:09:29 +02:00
Stéphane Adjemian (Hermes) c5f8fe7f85 Added integration test for {variables,parameters} partitioning. 2016-06-27 12:10:15 +02:00
Johannes Pfeifer e214ec2976 Allow for parameter_set=mle_mode in conditional_forecast 2016-06-17 00:21:08 +02:00
Johannes Pfeifer 1c420e6056 Allow for parameter_set=mle_mode in shock_decomposition 
Required after writing results into oo_.mle_mode for ML estimation
 2016-06-17 00:21:08 +02:00
Johannes Pfeifer 5d6d1336ef Enable filter_covariance option in posterior sampling 2016-06-16 12:05:38 +02:00
Stéphane Adjemian (Lupi) b70fe62503 Minor change in user reference manual. 
The write_latex_prior_table has not to follow the estimation command but
the estimated_params block.
 2016-06-15 17:15:53 +02:00
Johannes Pfeifer e94a698a9b Implement write_latex_prior_table.m 
Fixes and replaces write_table_prior.m and uses consistent name. Also includes documentation
 2016-06-15 16:47:39 +02:00
Stéphane Adjemian (Lupi) 8b8db6bf38 Updated tests/Makefile clean rule. 
Ensure tha we remove all tex, aux, log and eps generated files.
 2016-06-15 14:39:38 +02:00
Stéphane Adjemian (Lupi) c9d3db7db2 Changed optimization algorithm in integration test. 
mode_compute=9 fails to find a mode with a positive definite hessian
matrix, swithed to mode_compute=8 (Dynare's implementation of the
simplex algorithm).
 2016-06-15 14:19:43 +02:00
Stéphane Adjemian (Lupi) 019223f7d6 Removed one (failing) integration test. 
fs2000/fs2000_analytical_derivation.mod was almost a duplicate of
analytical_derivates/fs2000_analytical_derivation.mod.

The removed integration test was failing because of the sign of the
hessian matrix. The only significant difference between the two mod
files, was that the removed one did not use the closed form expression
of the steady state.
 2016-06-15 12:53:48 +02:00
Johannes Pfeifer 22a205d59a Speed up fs2000_analytic_derivation.mod unit test by using previous mode-file 2016-06-15 00:30:28 +02:00
Johannes Pfeifer 1f433f0c97 Expand fs2000_5.mod unit test to second Hessian computation method 2016-06-15 00:30:28 +02:00
Stéphane Adjemian (Hermes) 2a65e7a85a Merge branch 'master' into johannes-identification-fixes 2016-06-14 18:17:36 +02:00
Stéphane Adjemian (Hermes) be08d2f65d Prevent testsuite to freeze if latex compilation fails. 
Added -interaction=batchmode option.
 2016-06-14 17:09:00 +02:00
Johannes Pfeifer b3877b3a9e Save chain's proposal density and make load_mh_file and mh_recover load it 
Closes #504
 2016-06-14 15:09:05 +02:00
Stéphane Adjemian (Hermes) 5814ae32e8 Updated README file in tests/julia/rbc subfolder. 2016-06-14 13:56:59 +02:00
Johannes Pfeifer faab010753 Change file ending from TeX to tex to prevent problems on Linux 
Related to b454c28096
 2016-06-14 12:13:48 +02:00
Johannes Pfeifer 59cbee2b56 Provide output on posterior variance decomposition 
Closes #1219
 2016-06-14 11:53:38 +02:00
Johannes Pfeifer c7472a5020 Add some TeX names to ls2003.mod 2016-06-14 11:52:49 +02:00
Johannes Pfeifer 42f47e0f55 Correctly indent filt_mc_.m 2016-06-14 11:52:49 +02:00
Johannes Pfeifer 9b82c72e4f Remove global options structure from dyntable 2016-06-14 11:52:17 +02:00
Johannes Pfeifer 06a8eeeea7 Speed up runtime of ls2003.mod by reducing number of MC samples 2016-06-14 11:52:17 +02:00
Johannes Pfeifer ab378138c2 Add unit test for correlated errors and TeX-Output 2016-06-14 11:52:17 +02:00
Johannes Pfeifer e06bb9e057 Adjust ident_unit_root.mod to reflect change in unit root treatment introduced in #1191 2016-06-14 11:51:14 +02:00
Houtan Bastani b454c28096 fix latex compilation on linux. #1207 2016-06-14 11:37:16 +02:00
Stéphane Adjemian (Hermes) e789cc7d91 Added example of perfect forsesight model (julia). 
Note that PyPlot package must be installed.
 2016-06-14 11:21:23 +02:00
Stéphane Adjemian (Hermes) 9ca893ca1d Added routines for steady state computation (julia). 2016-06-14 11:21:23 +02:00
Frédéric Karamé 7df352a60b correct the name of simulated dataset files. 
(cherry picked from commit e35beb605bafbd462ec7dc79f0d67f7455a93dbd)
 2016-06-01 16:40:26 +02:00
Michel Juillard c159dff19c adding hook for PATH solver 2016-05-31 12:10:12 +02:00
Johannes Pfeifer eca30eff75 Modify lmmcp unit test to have second (name) tag 2016-05-28 19:31:53 +02:00
Stéphane Adjemian (Charybdis) 03da338b05 Added more informative error messages. 2016-05-25 12:54:47 +02:00
Stéphane Adjemian (Charybdis) 6007d51ef4 Code factorization. 2016-05-25 12:42:56 +02:00
Stéphane Adjemian (Charybdis) 0ea9bc4e90 Fixed typo introduced in 0abb9dc6f9. 2016-05-24 21:18:13 +02:00
Stéphane Adjemian(Charybdis) edce6b4779 Added integration test for Monte-Carlo EP. 2016-05-24 17:28:24 +02:00
Stéphane Adjemian(Charybdis) 6dcfd1c072 Added integration test. 
Test that the extended path and stoch_simul (with order equal to 1)
algorithms return the same paths for the endogenous variables if the
RE model is linear.
 2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes) 13ca15a278 Allow (S)EP with arbitrary sequence of innovations. 
The third input argument of extended_path Matlab/Octave's routine is the
sequence of shocks (T*n array, where n is the number of exogenous
variables and T is the size of the sample). If the third argument is
empty, the (stochastic) extended path is run with gaussian
innovations (this corresponds to the previous behaviour).

TODO:
 - Fix the compatibility with ep.replic_nbr
 - Check the 'calibrated' mode.
 2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes) b60bd7b36b Removed globals from extended_path routine. 2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes) 4bd8ef7a9f Added new integration tests. 
Simulation of the Smets and Wouters perfect foresight model, with a
productivity shock such that the nominal interest rate hits the
ZLB. Comparison of the solutions returned by a Newton
algorithm (stack_solve_algo==0) and the LMMCP algorithm. AT the time of
this commit, the results are different... Probably an issue with the
LMMCP algorithm.
 2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes) 7eed391eb7 Do not display max. abs. error. 2016-05-24 17:26:06 +02:00