Michel Juillard
c15123878f
fixed rare bug in Kalman filter when one should switch to steady state
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filter in last period of the sample
2012-05-10 11:09:06 +02:00
Marco Ratto
da9ec0f187
Estimation with analytic scores and hessian;
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This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
Marco Ratto
459744649d
bug fixes: output argument name "lik" and check of no more missing obs
2012-04-29 21:18:33 +02:00
Michel Juillard
d86daa0169
fixing bug in recent commit 919c2f8fb4
2012-01-23 16:24:47 +01:00
Michel Juillard
919c2f8fb4
correcting bug with presample and diffuse filter + simplified logic
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for computation of likelihood with presample
2012-01-22 22:40:46 +01:00
Michel Juillard
f0d1f033b0
correcting bug in univariate diffuse filter with presample
2012-01-22 18:36:31 +01:00
Stéphane Adjemian (Charybdis)
ecac871435
Changed the name of DsgeLikelihood (-> dsge_likelihood).
2011-12-26 17:46:48 +01:00
Michel Juillard
976c8c1654
making univariate Kalman filter code simpler and more efficient
2011-12-15 17:35:26 +01:00
Michel Juillard
e4c803d0db
fixed issues with estimation of non-stationary models. Option lik_init=2
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is contradictory with diffuse_filter or unit_root_variables
declaration. Models with non-stationary variables, but only stationary
observed variables need diffuse_filter option and make a useless call
to kalman_filter_d (this seems better than trying to distinguish these
rare cases)
2011-11-21 12:39:02 +01:00
Michel Juillard
9d91625c10
fixing bug related to measurement errors
2011-11-02 11:10:58 +01:00
Stéphane Adjemian (Charybdis)
88814c9b93
Added texinfo header.
2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Charybdis)
c2eb6f11d3
Added texinfo header. Fixed efficiency issue (missing parenthesis).
2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Charybdis)
e60032a6f7
More typo fixes.
2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Charybdis)
52e803f3b7
Fixed typo.
2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Charybdis)
681a7e1df5
Added texinfo header. Fixed efficiency issue (missing parenthesis).
2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Charybdis)
fc21af10ea
Cosmetic changes.
2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Charybdis)
ffbb5bc765
Added texinfo header.
2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Charybdis)
e270c29bd9
Fixed texinfo header (Z was missing in the description).
2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Charybdis)
95c3b6396c
Added texinfo header and cosmetic changes.
2011-10-25 12:34:05 +02:00
Stéphane Adjemian (Scylla)
f2ca6d0ad9
Changed kalman filter routines to allow for arbitrary initial conditions (needed for the introduction of breaks on the estimated
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parameters and also for the estimation of the initial states).
Added specialized routines for steady state kalman filter.
Completed header of DsgeLikelihood (missing refs to the routines called by DsgeLikelihood).
2011-09-19 17:01:24 +02:00
Michel Juillard
f553e69de3
removing unused Kalman smoother functions
2011-02-23 11:07:06 +01:00
Houtan Bastani
c59133562c
more short-circuit logicals in the place of element-wise logicals
2011-02-22 15:06:38 +01:00
Marco Ratto
13ea1c0046
A better way to compute outer product gradient (for optimizer 5) with the univariate Kalman Filter.
2011-02-14 11:48:29 +01:00
Houtan Bastani
43479f6ef3
use short-circuit ops (|| and &&) as opposed to (| and &) to avoid warnings in Octave (and save time)
2011-02-10 15:54:23 +01:00
Sébastien Villemot
02652f6eb8
Updated copyright notices
2011-02-04 17:27:33 +01:00
Michel Juillard
c1cb452e3d
correcting headers of all Kalman filter functions: returns MINUS loglikelihood
2010-12-10 22:31:30 +01:00
Michel Juillard
b400e97887
added missing initialization in kalman_smoother
2010-06-26 15:14:11 +02:00
Stéphane Adjemian (Scylla)
bb47d78611
Fixed bug in Kalman filter routines + Cosmetic changes.
2010-06-24 18:20:07 +02:00
Michel Juillard
61e78763da
correcting bug in kalman filter when it reaches the steady state (multivariate diffuse Kalman filter, both versions, regular Kalman filter with missing observations)
2010-06-09 18:00:17 +02:00
Stéphane Adjemian (Scylla)
a512b9b263
Bug fix. We don't have to check the convergence of the Kalman filter to its steady state if the
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covariance matrix F is singular.
2010-06-09 11:04:59 +02:00
Michel Juillard
4bde063669
Kalman filters: fixing initialization of oldK to Inf instead of 0
2010-04-16 12:20:57 +02:00
Michel Juillard
e54a505159
bug correction
2010-04-02 21:38:05 +02:00
Michel Juillard
7668bc4a11
-new smoother function kalman/smoother/kalman_smoother.m
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-fixing bugs in dynare_estimation_1.m
2010-03-23 18:17:15 +01:00
Marco Ratto
24d41f66c8
fixed bug with tolerance for steady state kalman filter
2010-03-05 11:26:29 +01:00
Stéphane Adjemian (Charybdis)
3f1fad9cd2
Added trap for cases where diffuse filters fail (replaced error messages by warning messages).
2010-02-05 23:18:08 +01:00
sebastien
1be52aaa5f
Beautification: removed tabulation characters which were left in previous beautification pass
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3300 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-05 10:46:10 +00:00
sebastien
502e3e1df8
Beautified MATLAB code (Unix newline convention + Emacs indentation), except: AIM, swz, particle
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3250 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-16 17:17:34 +00:00
ratto
bb271bb8ac
Eliminated double counting in constant: now result is identical to univariate algorithm.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2858 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-08-14 09:29:09 +00:00
stepan
3692d5f99b
+ Added missing semicolon.
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2813 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-07-06 12:34:57 +00:00
michel
3260ba476e
4.1 correcting bug for large values of start and fixed constants in lik. Still need to be tested
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2715 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-05-28 18:14:07 +00:00
michel
27387d5e10
4.1: changing handling of constants in Kalman filter
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2700 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-05-27 10:43:34 +00:00
sebastien
2495aca72a
trunk:
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* updated copyright headers of all files modified since January 1st: the copyright notice now encompasses 2009
* fixed various other copyright header issues
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2364 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-01-21 14:39:24 +00:00
michel
3a55016cf6
more speeding up changes
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2353 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-01-05 11:37:05 +00:00
michel
163b4461ec
adding parentheses for speed improvement
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code factorization
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2352 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-01-04 07:53:49 +00:00
michel
bf65cb4f10
various bug fixes for filter and smoother with missing observations
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2282 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-12-03 07:30:26 +00:00
michel
eba6164cae
fixing bugs around missing observations and starting to add smoother with missing observations
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2274 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-11-25 17:31:37 +00:00
adjemian
6929164339
v4.1: Added univariate approach for the diffuse kalman filter (with correlated measurement errors).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2230 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-29 15:38:34 +00:00
adjemian
6eadbe0005
v4.1: Added univariate approach of the diffuse kalman filter (missing observations and uncorrelated
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measurement errors are allowed).
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2225 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-29 14:18:18 +00:00
adjemian
5618fea33b
v4.1: Added two routines for diffuse kalman filtering (with or without missing observations).
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2216 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-27 17:12:44 +00:00
adjemian
42bdc2726c
v4.1: Added a new m file for the univariate kalman filter allowing for missing observations and
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correlated measurement errors. Tests show that there is a "significant" discrepancy between the
univariate filter and the standard filter in presence of correlated measurement errors...
git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2185 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-10-21 15:29:33 +00:00