Johannes Pfeifer
e294266247
Increase default MaxNumberOfBytes to 100 MB
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Closes #330
2016-06-14 11:51:14 +02:00
Stéphane Adjemian (Charybdis)
392977d4ef
Changed default parameters for unscented transform (Particle filters).
2016-06-01 17:01:23 +02:00
Stéphane Adjemian (Charybdis)
15f83d0e18
Added new option for setting weights in CPF algorithm.
2016-06-01 16:29:53 +02:00
Michel Juillard
c159dff19c
adding hook for PATH solver
2016-05-31 12:10:12 +02:00
Stéphane Adjemian(Charybdis)
fdbd4fa7a7
Code factorization.
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- Added routines for initializing and setting shocks in EP.
- Added a specialized routine for doing Monte Carlo around EP.
2016-05-24 17:28:24 +02:00
Stéphane Adjemian (Hermes)
53747cb082
Fixed lmmcp option.
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This option may be used in extended_path and perfect_foresight_solver commands.
2016-05-24 17:26:06 +02:00
Johannes Pfeifer
9774d0544d
Initialize fields of M_.osr to empty in global_initialization.m
2016-05-22 11:41:54 +02:00
Johannes Pfeifer
4898a66d2a
Allow passing of optim option for TaRB
2016-05-19 14:37:05 +02:00
Marco Ratto
1d6961cc4c
initialize mode field in slice sampler options
2016-05-19 14:37:05 +02:00
Marco Ratto
7b3c42c6e1
provisions for reworked posterior sampling options:
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- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
2016-05-19 14:37:05 +02:00
Houtan Bastani
cf6e3cb14c
preprocessor: rework posterior sampler options, #1177
2016-05-19 14:37:05 +02:00
Marco Ratto
9089fc340c
Initialize posterior_sampler_options.
2016-05-19 14:34:09 +02:00
MichelJuillard
3d6c184566
Merge pull request #1168 from JohannesPfeifer/filter_tests
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Improve speed of filtering unit tests and clean up setting of options
2016-04-15 09:50:49 +02:00
Johannes Pfeifer
3542d086ae
Transform hard-coded bandpass filter order into option
2016-04-15 09:23:35 +02:00
Michel Juillard
de567377c3
adding groups of shocks for shock_decomposition
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consistency checks, documentation and test case
are still missing
2016-04-15 09:02:53 +02:00
Johannes Pfeifer
4b83c1bf76
Integrates Tom Holden's robust linear solver
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Supersedes #984
2016-03-25 09:59:20 +01:00
Houtan Bastani
458cfc4fc6
preprocessor: initialize xref structure and use indices. closes #1125
2016-02-23 14:32:48 +01:00
Houtan Bastani
f546368252
preprocessor: print reverse references (param->eqs, endo->eqs, exo->eqs, exo_det->eqs)
2015-12-18 17:13:50 +01:00
Houtan Bastani
4976b2b335
preprocessor: add equation cross references
2015-12-18 15:17:32 +01:00
Michel Juillard
c373d1e1be
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
Stéphane Adjemian (Charybdis)
6ea5bdde34
Merge branch 'johannes_bandpass'
2015-10-13 23:56:22 +02:00
Houtan Bastani
145e2d5542
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
2015-10-13 17:41:31 +02:00
Johannes Pfeifer
9459ff5d8f
Add bandpass filtering to simulated moments
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Also takes precautions for future implementation of one-sided hp filter
2015-10-12 20:42:00 +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
Johannes Pfeifer
fd9f2db79d
Allow resuming previous run of CMAES
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Also enables saving of intermediate results, consistent with the manual.
2015-10-11 19:13:48 +02:00
MichelJuillard
b51b037ef2
Merge pull request #871 from JohannesPfeifer/prior_posterior_function
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Add functionality Prior posterior function
2015-10-10 22:17:53 +02:00
Johannes Pfeifer
698a44c98a
Add option for storing contemporaneous correlation
2015-08-11 11:27:55 +02:00
Houtan Bastani
e13a59eb64
preprocessor: add one_sided_hp_filter to stoch_simul. #1011
2015-08-03 17:34:34 +02:00
Houtan Bastani
d9a1b99899
preprocessor: add bandpass_filter option to stoch_simul. #1011
2015-08-03 17:28:55 +02:00
Houtan Bastani
c88c17728e
preprocessor: issue warning when param used with lead/lag. closes #976
2015-07-30 14:40:03 +02:00
Michel Juillard
7d11ed7642
histval: use now the same treatment for exogenous and exogenous det
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variables as for endogenous ones. Closes issue #617 .
2015-07-29 16:12:53 +02:00
Michel Juillard
448bece904
ep: set default algorithm for solve_algo = 9 (trust region on a single block)
2015-07-28 17:17:25 +02:00
Johannes Pfeifer
4c15342e98
Add option for selection of draw number to execute_prior_posterior_function.m
2015-07-28 15:37:01 +02:00
Johannes Pfeifer
5131f3907f
Make sure the used global variables are correctly set and available in the base workspace
2015-07-28 15:36:59 +02:00
Johannes Pfeifer
0f50f33c2c
Initialize M_.dname=M_.fname in global_initialization.m
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Closes #979
2015-07-28 15:23:53 +02:00
Michel Juillard
ef8f36565b
initializing options_.instruments = []
2015-07-27 15:52:14 +02:00
Michel Juillard
9b8077fc28
Merge branch 'master' into new_ep
2015-07-21 09:30:58 +02:00
Stéphane Adjemian (Charybdis)
8007f508a2
New option linear_approximation for perfect foresight models.
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This approach only requires one evaluation of the dynamic model (and its
jacobian) instead of T (the number of perdiods). Also (because the model
is linear) the equilibrium paths are obtained by inverting the jacobian
of the stacked equations (no need for a Newton algorithm).
Only available with stack_solve_algo==0 (which is the default algorithm
for solving perfect foresight models).
If possible, the option is triggered automatically if the model is
declared linear.
TODO:
* Write a linear version of perfect_foresight_problem routine.
* Evaluate the approxilation error (just need to evaluate the system of
stacked non linear equations).
2015-07-07 17:55:41 +02:00
Johannes Pfeifer
3bf13dd53b
Add functionality for TaRB
2015-06-08 16:44:44 +02:00
Johannes Pfeifer
0769fd1cce
Add verbosity and SaveFile options to some optimizers
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Also moves additional optimizer-related files to corresponding subfolder
Closes #894
2015-06-08 16:44:44 +02:00
Stéphane Adjemian (Hermes)
959349d30f
Put rgwmh options in a substructure.
2015-05-28 18:03:53 +02:00
Stéphane Adjemian (Hermes)
194bdb57c3
Merge branch 'rewrite-nonlinear-filters'
2015-05-28 15:40:39 +02:00
Houtan Bastani
fe8750c1bc
preprocessor: add minimal_workspace option to dynare statement, #946
2015-05-28 11:50:39 +02:00
Frédéric Karamé
0c2483278c
Add three variables for RWGMH.
2015-05-28 11:45:16 +02:00
Frédéric Karamé
38a276fb08
restore the default value for distribution_approximation
2015-05-27 14:57:01 +02:00
Michel Juillard
b3047c9742
Merge branch 'master' into new_ep
2015-05-23 18:26:07 +02:00
Houtan Bastani
e5df26a6e8
preprocessor: add use_tarb option to estimation. #940
2015-05-13 15:32:24 +02:00
Stéphane Adjemian (Hermes)
f960e7bb68
Merged branch simpsa-inf-fix.
2015-05-07 16:01:43 +02:00
Stéphane Adjemian (Hermes)
6d0dfc2d3f
Do not use hard coded value for the finite interval replacing unbounded intervals in simpsa and simulated annealing algorithms.
2015-05-07 15:59:46 +02:00