Stéphane Adjemian (Charybdis)
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
Marco Ratto
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
Houtan Bastani
6db9f10353
preprocessor: remove use of tables completely as they were introduced in Matlab R2013b. #824
2015-03-09 17:59:05 +01:00
Houtan Bastani
d77b5104d2
preprocessor: cell2table doesn’t exist in Octave
2015-03-09 17:16:59 +01:00
Houtan Bastani
30428aeb17
preprocessor: add joint prior syntax, #824
2015-03-03 15:08:33 +01:00
Johannes Pfeifer
0ef7524977
Use dynare_minimize_objective for OSR computations
2015-02-28 20:37:10 +01:00
Stéphane Adjemian (Charybdis)
0bb413e8fa
Merge branch 'experimental-optimizers'
2015-02-24 20:44:39 +01:00
Stéphane Adjemian (Charybdis)
5ef340b8cf
Rewrote gmhmaxlik routine (mode_compute==6).
2015-02-24 20:34:35 +01:00
Houtan Bastani
f72910ae33
fix preprocessor implimentation of filter_algorithm option to estimation. closes #843
2015-02-09 03:20:37 +01:00
Johannes Pfeifer
dd6f8c182c
Move call to optimizers in mode-computing to separate file to allow other function to access all integrated optimizers
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- also moves several options to subfields of options structure
- allows setting options of newrat
- requires newrat to have compatible kalman_algo specified in order for it to not change options_
- explicitly disallows using analytical derivation with numerical gradient (before the numerical gradient request was overwritten)
- always outputs hessian returned by optimizer (empty matrix if not computed) and deletes subsequent overwriting if cova_compute=0
2014-12-04 19:36:12 +01:00
Johannes Pfeifer
268e8627f0
Add missing simple option to global_initialization.m
2014-11-25 09:54:41 +01:00
Marco Ratto
06572f26a4
Use the nodecomposition option which is available in th_autocovariances.m: for large models with the HP filter option, this may spare a lot of time, if only the unconditional moments are needed on output;
2014-11-14 17:28:17 +01:00
Johannes Pfeifer
cc96d46911
Transfer hard-coded verbosity of simplex algorithm into an option
2014-11-10 19:54:44 +01:00
Johannes Pfeifer
a9bb341b0a
Increase default maxit for steady and deterministic simulations
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Judging from forum reports, the default fails too often. Closes #747
2014-09-30 11:47:58 +02:00
Johannes Pfeifer
8655df67a9
Clean up use of verbosity option
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- in dr_block.m and ep_residuals.m the option was hardcoded and disabled
- for csminwel1.m, no verbosity option exists anymore, thus definitions preceeding calls to it were redundant as was the options_.osr.verbose
2014-09-12 10:33:37 +02:00
Stéphane Adjemian (Scylla)
5500846280
Added option distribution_proposal (estimation, non linear filters).
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
4c9be8a56a
Removed useless option.
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
df19396acf
Added option proposal_approximation (estimation, non linear filters).
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
9bfdeb30e2
Bug fixes.
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
5e4b7d8d42
Added filter_algorithm (estimation command, sets the particle filter algorithm).
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
bcad4f31f2
Added option resampling_method (estimation command, non linear filters).
2014-09-08 22:36:41 +02:00
Stéphane Adjemian (Scylla)
08c74b8f41
Added option resampling_threshold (estimation command, non linear filters).
2014-09-08 22:36:40 +02:00
Stéphane Adjemian (Scylla)
a6009908e4
Added option resampling (estimation command, non linear filters).
2014-09-08 22:36:40 +02:00
Stéphane Adjemian (Scylla)
f6a1df8549
Increased default number of particles.
2014-09-08 22:36:40 +02:00
Marco Ratto
62b4cfe631
Provisions for moment calibration.
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Sensitivity analysis for irf and moment calibration, with new function /gsa/map_calibration.m
Added new tests/gsa/ls2003a.mod for testsuite of irf/moment calibration
To be done:
- extend SA of calibration to MC and posterior samples (currently uses prior sample only)
- documentaion
- partial progress to close #267
2014-09-04 16:44:14 +02:00
Stéphane Adjemian (Scylla)
0efcef8f20
Added the possibility to declare non linear prior restrictions over estimated parameters.
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If a file <MOD_FILE_NAME>_prior_restrictions.m exists in current folder, the value returned by this routine is
substracted to fval (likelihood-lnprior) at the end of dsge_likelihood. The arguments of this routine are: M_,
oo_, options_, dataset_ and dataset_info. Routines for writing <MOD_FILE_NAME>_prior_restrictions.m will be
provided later.
2014-07-21 12:45:49 +02:00
Stéphane Adjemian (Scylla)
5b08223820
Changed default value of initial_period (NaN).
2014-07-17 22:05:08 +02:00
Michel Juillard
4613fb2bf4
Adding initialization for lmmcp options
2014-07-08 13:53:18 +02:00
Stéphane Adjemian (Scylla)
788c528c84
Merge branch 'master' into use-dseries
2014-06-19 18:13:35 +02:00
Stéphane Adjemian (Charybdis)
4f02e58010
Added the possibility to pass a dseries object to the data command (the user can manipulate the data in the mod file, using dseries class methods, and use them for estimation without writing the data on disk).
2014-06-17 16:03:30 +02:00
Michel Juillard
499967f9a1
adding an option to extended path to control homotopic steps and
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continue in case of failed case
2014-06-16 14:25:23 +02:00
Stéphane Adjemian (Charybdis)
06d1f66242
Fix initialization of the fields in options_.dataset + Cosmetic changes.
2014-05-21 16:47:58 +02:00
Stéphane Adjemian (Scylla)
0f62d74ee4
Fixed bug. Global options_.dataset.file must be initialized as an empty array.
2014-04-30 15:35:43 +02:00
Stéphane Adjemian (Scylla)
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
Sébastien Villemot
85f7af9133
Perfect foresight solver now uses a homotopy technique by default.
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This commit introduces a "no_homotopy" option to restore the old behavior.
Ref #220
2014-04-10 16:39:06 +02:00
Sébastien Villemot
bb1fd49629
Remove nonexistent global variable ex_det0_.
2014-04-08 17:19:55 +02:00
Sébastien Villemot
210d2f24e6
Trust-region solver is now the default solver.
2014-03-10 14:08:40 +01:00
Sébastien Villemot
5862099416
Merge pull request #607 from JohannesPfeifer/unique_varlist
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Unique varlist and choosing endogenous variables for estimation
2014-02-04 05:14:05 -08:00
Sébastien Villemot
5308da2cad
Upgrade the minimum requirement to MATLAB 7.5 (R2007b).
2014-02-03 15:52:54 +01:00
Johannes Pfeifer
85815ca651
Adds new option to select which variables to consider for estimation
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First step for ticket #336
2014-02-03 13:10:31 +01:00
Johannes Pfeifer
15f0353d02
Make sure repeated runs of stoch_simul.m with loglinear option do not crash due to logged steady state
2014-01-29 19:52:20 +01:00
Stéphane Adjemian (Charybdis)
1ea7631930
Added new option for perfect foresight simulations (sim1 routine, available only with stack_solve_algo==0).
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Try to reduce the size of the nonlinear system of equations by skipping the (last) periods for wich the residuals are
already (almost) zero. The number of periods is not constant during the Newton, the effective number of periods for
each iteration of the Newton is available in oo_.deterministic_simulation.vperiods.
2013-12-27 18:35:53 +01:00
Stéphane Adjemian (Scylla)
63986a0ebf
Closes #567 .
2013-12-18 16:44:31 +01:00
Stéphane Adjemian (Scylla)
4a4c06b781
Fixed bug (options_.subdraws does not exist).
2013-12-18 16:44:31 +01:00
Stéphane Adjemian (Penelope)
0c00151092
Merge branch 'master' into remove-dynDate-class
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Conflicts:
preprocessor/DynareBison.yy
2013-11-14 16:41:08 +01:00
Sébastien Villemot
80a2a6b712
Merge remote-tracking branch 'jpfeifer/irf_debug_feedback'
2013-11-13 14:26:58 +01:00
Houtan Bastani
0fdc18e7fb
Merge branch 'ifc'
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Conflicts:
matlab/dynare_estimation_1.m
matlab/global_initialization.m
2013-11-06 13:58:57 +01:00
Johannes Pfeifer
b03697b342
Add possibility to initialize parameters from calibrated model
2013-11-06 13:50:46 +01:00
Stéphane Adjemian (Scylla)
8429321547
Merge branch 'master' into remove-dynDate-class
2013-11-06 12:43:06 +01:00
Johannes Pfeifer
0d669a73cb
Add options for providing the variances, an identity matrix , and user specified matrices as proposal densities
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Deals with #507 and #112
Includes a unit test
2013-11-04 19:09:24 +01:00