090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
e97e5c3407
Exclude zero columns of T from Kitagawa transformation, since ordschur is extremely noisy for multiple zero eigenvalues.
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This can make a lot of difference for large models that have hundreds of definitions.
2015-04-03 18:02:03 +02:00
5297836577
Harmonize criteria for exiting diffuse steps in likelihood with the smoother.
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Since initial Pinf is well scaled to unity, crit1= 1.e-6 is used for smoother and should also apply to likelihood evaluations.
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
f9154273d0
Merge pull request #854 from JohannesPfeifer/smoother_var_initialization_fix
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Fix size of filtered variables matrix
2015-04-01 17:59:12 +02:00
f3d1a6c68e
Merge branch 'master' into marco_analytic_derivation
2015-04-01 16:41:38 +02:00
27403fb2dd
Add check whether initial prior is Inf
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Requires adding fourth output argument of priordens.m that stores position of problematic parameter.
2015-04-01 16:30:46 +02:00
9c3c0d727f
Add check for point priors and force user to fix this parameter.
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Traps Inf-prior
2015-04-01 16:29:18 +02:00
b4a8ad8aa4
Fix mex path for win64 bit
2015-04-01 14:43:52 +02:00
214dc74723
- Fixed bugs around analytic derivation.
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- Fixed test routine, eliminating diffuse filter.
- Trapped incompatibility of diffuse filter with analytic derivation.
2015-04-01 09:00:51 +02:00
28f2e2abd0
Merge pull request #856 from rattoma/optimizer_number_5
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Fixed issues related to newratflag.
2015-03-30 15:22:05 +02:00
ad0e0b6c1d
Merge pull request #861 from JohannesPfeifer/steady_fix
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Prevent crash if steady state cannot be computed
2015-03-30 15:17:46 +02:00
0e1dd779b9
Check that Dynare's routines are not overridden by other routines.
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By default Dynare will temporarly change Matlab/Octave's path. Added an
option to force Dynare to keep the current path. Also check that the user
did not put dynare/matlab directory with all the subfolders in the path.
With this patch, we do not need to prefix Dynare routines with dyn_ or
dynare_ anymore.
2015-03-30 15:04:59 +02:00
34c871b53c
getenv provides one output on windows
2015-03-27 18:58:35 +01:00
90e00b3871
fixes for windows
2015-03-27 17:29:10 +01:00
d7c253ae59
support 64-bit preprocessor, #862
2015-03-26 19:08:30 +01:00
781e280610
Prevent crash if steady state cannot be computed
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If e.g. the log of the steady state cannot be computed, the field oo_.dr.ys does not exist
2015-03-25 09:42:59 +01:00
80f512b90b
ilu function has been implemented in Octave 4.0.
2015-03-18 16:03:41 +01:00
aa1acec308
Remove obsolete warning code for Octave < 3.6.
2015-03-17 18:01:36 +01:00
ec65f80617
Octave warning "matlab-incompatible" renamed to "language-extension" in 4.0.
2015-03-17 17:59:52 +01:00
1a3d8d0b26
Provisions for MATLAB 8.5 (R2015a)
2015-03-16 14:44:06 +01:00
6d7b72cb0d
Merged with master
2015-03-13 15:53:18 +01:00
c881cfff17
Fixed issues related to newratflag.
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This options relates to alternative numerical hessian computations:
optim=('Hessian',1) is the default dynare numeric Hessian
optim=('Hessian',0) is the outer product gradient
optim=('Hessian',2) is the 'mixed' outer product gradient, where diagonal elements using second order derivation formula,
Both 0 and 2 cases require univariate filters, to ensure using maximum number of individual densities.
2015-03-12 17:24:21 +01:00
d4c0726026
Fix size of filtered variables matrix
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Fixes crash occurring due to non-conformable matrices
2015-03-12 10:49:33 +01:00
87cb00bd7d
fixing bug in calling sequence of *_dynamic function when using block option
2015-03-11 09:24:47 +01:00
6e0d919751
Fix issue with purely forward deterministic models with lags on exogenous.
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Ref #617
2015-03-09 18:22:01 +01:00
6db9f10353
preprocessor: remove use of tables completely as they were introduced in Matlab R2013b. #824
2015-03-09 17:59:05 +01:00
d77b5104d2
preprocessor: cell2table doesn’t exist in Octave
2015-03-09 17:16:59 +01:00
86f9e53ec6
dr_block: fixing bug in solve_foward_complete
2015-03-07 10:59:53 +01:00
265970c1c9
adding global test for identification for sbvar
2015-03-07 10:59:53 +01:00
de5c541ce6
Manually merged PR #807 .
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Fixed conflict related to the move of the perfect foresight related routines
in a subfolder.
2015-03-05 14:31:36 +01:00
30428aeb17
preprocessor: add joint prior syntax, #824
2015-03-03 15:08:33 +01:00
219b4fe547
Merge pull request #813 from JohannesPfeifer/model_diag
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Add missing abs to unit root check in model_diagnostics.m
2015-03-01 16:35:31 +01:00
511d621818
Merge pull request #851 from JohannesPfeifer/Estimation_Bugfixes
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Estimation bugfixes
2015-03-01 16:33:51 +01:00
ba2c4db88c
Merge pull request #816 from JohannesPfeifer/loglinear_steady_error
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Integrate error from negative steady state with loglinear model into pri...
2015-03-01 16:30:29 +01:00
a7f380d8c0
Condition check for changed parameters on whether parameters are estimated in the first place
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Fixes crash in master unit test
2015-03-01 13:36:21 +01:00
fe938c902a
Fixed another bug related to options_.optim_opt being now initialized as an empty array
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Finalizes 392486273e
2015-03-01 13:34:39 +01:00
0ef7524977
Use dynare_minimize_objective for OSR computations
2015-02-28 20:37:10 +01:00
198a6ed7cf
Removed three unused routines.
2015-02-27 18:54:12 +01:00
73cdaa3091
Replaced get_prior_info routine by prior routine.
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This new routine gives the possibility to obtain a description of the
prior from the command line.
>> prior table
will display a table with the prior mean, prior mode, prior std, prior
bounds and prior HPD interval.
>> prior plot
will plot the prior densities.
>> prior optimize
will trigger the maximization of the prior density and display the
results (often, because of BK conditions or other issues, Dynare is even
not able to get the prior mode).
>> prior moments
will display the moments of the endogenous variables at the prior mode.
>> prior simulate
will run a Monte-Carlo, by sampling from the prior and discarding vector
of parameters such that the steady state does not exist or the BK
conditions are not met, and return an estimate of the effective prior
mass.
2015-02-27 17:12:04 +01:00
daaed37782
Added new routines.
2015-02-27 17:05:11 +01:00
eec1e77140
Removed last character if string is renurned in a variable.
2015-02-26 16:18:33 +01:00
4979f33f8b
Added the possibility to return the generated line in a variable.
2015-02-26 16:10:44 +01:00
04ae10434c
Beta prior. Do not return the prior mean of the prior density has two
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modes (return the first mode).
2015-02-26 12:07:40 +01:00
392486273e
Fixed bug (options_.optim_opt is now initialized as an empty array).
2015-02-26 08:43:30 +01:00
0bb413e8fa
Merge branch 'experimental-optimizers'
2015-02-24 20:44:39 +01:00
83981125c9
Added missing routine and fixed licence header.
2015-02-24 20:42:19 +01:00
5ef340b8cf
Rewrote gmhmaxlik routine (mode_compute==6).
2015-02-24 20:34:35 +01:00
e19f03b420
replace reporting code with submodule. closes #811
2015-02-24 16:38:36 +01:00
fac1d206ab
Use new wrapper for optimization algorithms when maximizing the prior density.
2015-02-23 18:26:34 +01:00
Stéphane Adjemian (Charybdis)
Marco Ratto
Johannes Pfeifer
Houtan Bastani
Johannes Pfeifer
Sébastien Villemot
Michel Juillard