36ccec75ce
Add missing constant 2*pi to missing_observations_kalman_filter_d.m
2016-08-22 19:24:35 +02:00
63b8c4d2dd
Fix smoother for univariate filter with (correlated) measurement error
2016-08-22 19:24:35 +02:00
f61453211c
Correct header of missing_DiffuseKalmanSmootherH3_Z.m and make sure H is vector
2016-08-22 19:24:35 +02:00
178bf4165c
Make sure Zflag for augmented state space is correctly set when measurement error is correlated
2016-08-22 19:24:35 +02:00
f95619b46a
Add header info to univariate_kalman_filter.m
2016-08-22 19:24:35 +02:00
7c96e22985
Fix bug in dsge_likelihood.m where diagonal of measurement error covariance matrix was not correctly read out
...
This is a prerequisite for the univariate filter that operates along a vector for H instead of along the diagonal. Because of this, the likelihood in the presence of measurement error was wrong
2016-08-22 19:24:35 +02:00
6368636ee0
Move Kalman filter options consistency checks to dynare_estimation_init.m
2016-08-22 19:24:35 +02:00
8aaca040b3
Expand check of fast_kalman_filter for presence of block-option
2016-08-22 19:24:35 +02:00
bffea9b426
Fix error code for inf-likelihood
2016-08-22 19:24:35 +02:00
e939d51d58
display_problematic_vars_Jacobian.m: Fix bug where exogenous variables in dynamic Jacobian were not accounted for Prevents crashes in debug mode
2016-08-22 19:24:35 +02:00
ed22b6c4f8
Make datatomfile.m datafiles save name of creator and date
2016-08-22 19:24:35 +02:00
15f95cec4a
Add comments to Kalman filtering routines
2016-08-22 19:24:35 +02:00
39e7c39243
Filter out infinite likelihoods
2016-08-22 19:24:35 +02:00
df8ad833fb
Transform automatic loading of optimal_mh_scale_parameter.mat into option scale_file
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Closes #503
2016-08-22 16:27:32 +02:00
55e20aab1f
Delete unused passing of file in posterior_sampler.m
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Ports 919645d30e2361fb4c960ee78e42d401ad3d95ba to master
2016-08-22 16:27:32 +02:00
6a6ccfa966
Merge pull request #1257 from JohannesPfeifer/conf_sig
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Conf sig
2016-08-21 16:14:28 +02:00
d27bbe667f
Merge pull request #1230 from JohannesPfeifer/load_mh_file
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Save chain's proposal density and make load_mh_file and mh_recover load it
2016-08-21 16:12:12 +02:00
912409a71c
Merge pull request #1268 from JohannesPfeifer/dynare_solve_error_message
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Remove error-display from dynare_solve.m
2016-08-21 16:07:35 +02:00
e7b8222144
Updated header of dynare_solve.m
2016-08-21 11:47:52 +02:00
14ab41e414
Move debugging information removed in 335ce74acb to evaluate_steady_state.m where it belongs
2016-08-21 11:45:11 +02:00
335ce74acb
Remove error-display from dynare_solve.m
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Prevents estimation crashing when invalid starting values for steady state computation arise during e.g. mode-finding
2016-08-21 11:44:18 +02:00
4d8295afdf
Cosmetic fixes to display_problematic_vars_Jacobian.m
2016-08-21 11:28:47 +02:00
9d9cb322c8
Make sure fields of estim_params are always properly initialized
2016-08-21 11:24:29 +02:00
cc5cafdd15
Merge pull request #1254 from JohannesPfeifer/log_density_save
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Save log_density at the mode and document oo_.posterior-fields
2016-08-21 11:13:19 +02:00
0ebef17df2
fix shocks_decomposition bug introduced in commit 75d699cbfa
2016-08-21 11:11:19 +02:00
4750eb64ff
Merge pull request #1269 from JohannesPfeifer/eig_R2014a
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Condition use of eig to compute left eigenvector on Matlab version
2016-08-21 09:54:47 +02:00
72e84657a7
Condition use of eig to compute left eigenvector on Matlab version
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Functionality is only supported in Matlab from 2014a/8.3 onwards. Closes #1266
2016-08-20 20:43:20 +02:00
b5b9f46ff9
Merge pull request #1222 from JohannesPfeifer/paralleldelete
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dynareParallelDelete.m: Condition delete-command on existence of file…
2016-08-20 18:37:01 +02:00
4a723872eb
dynareParallelDelete.m: Condition delete-command on existence of file to prevent warning
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Closes #1195
2016-08-20 18:02:04 +02:00
ee428ffb41
Merge pull request #1251 from JohannesPfeifer/resid_command
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Check for complexity of steady state in resid.m
2016-08-20 17:41:22 +02:00
5c69c789f6
Merge pull request #1261 from JohannesPfeifer/bvar
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BVAR: Save prior and posterior information in oo_
2016-08-20 17:39:34 +02:00
2e9725cfd0
Merge pull request #1267 from JohannesPfeifer/estimation_init
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Fix two bugs in dynare_estimation_init.m
2016-08-20 17:36:48 +02:00
75d699cbfa
fixing dates in shocks_decomposition.
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Interface still missing
2016-08-20 16:31:25 +02:00
b1f1826d5f
Fix two bugs in dynare_estimation_init.m
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Makes sure that i) name field is always present and ii) that number fields of estim_params are only accessed after they have been set by set_prior
2016-08-17 21:47:46 +02:00
2b674b27d1
Merge pull request #1265 from JohannesPfeifer/dynare_solve_handle
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dynare_solve.m: make sure str2func is only used on strings
2016-08-12 12:06:32 +02:00
80049a6d09
dynare_solve.m: make sure str2func is only used on strings
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Otherwise, code crashes
2016-08-12 11:59:57 +02:00
c156a5907c
BVAR: Save prior and posterior information in oo_
2016-08-01 10:41:04 +02:00
8dadd1519e
Restore backward compatibility of OSR command with maxit and tolf options
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Translates these options into optim_opt structure
2016-07-22 16:53:19 +02:00
1bd5c7cc0d
Disentangle options_.conf_sig and set default to 0.9
2016-07-21 12:17:30 +02:00
f2f44a0989
Save log_density at the mode and document oo_.posterior-fields
2016-07-20 20:48:24 +02:00
72b8c650e5
Add missing logical operator from likelihood functions introduces when removing global penalty
2016-07-18 11:11:43 +02:00
578fb04590
Check for complexity of steady state in resid.m
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Residuals might be 0, but steady state might be complex, resulting in hard-to-diagnose problems when calling steady.m
2016-07-14 15:04:27 +02:00
22f49971bc
fixing bug in mcp model setup
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makes perfect_foresight_problem more efficient
added test case for stack_solve_algo == 7
2016-07-03 10:56:44 +02:00
2f2413e64a
addind ep accuracy check
2016-07-03 10:56:44 +02:00
bf293396b6
Harmonize FilteredVariables with Updated and Smoothed ones, by adding steady state to stored values, both point estimate and MCMC
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(cherry picked from commit fd0d7d6d27a7937b135521c4dd76d7fa242d89ab)
2016-07-01 20:40:17 +02:00
7621ebb5ea
Harmonize spelling and function arguments of collect_latex_files.m
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All lower caps and no inputs
2016-07-01 19:09:29 +02:00
9275cd089b
Add eps-loader to rplot.m
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Also makes sure that every single graph is saved when looping over figures
2016-07-01 19:09:29 +02:00
2a2d81784b
Allow rplot to plot exogenous variables
2016-07-01 19:09:29 +02:00
46a149576b
Merge branch 'pr#1241'
2016-07-01 16:30:49 +02:00
2435040929
Changed default for nonlinear filters.
2016-07-01 11:47:21 +02:00
b6ecf5fdd0
Updated particles submodule (fixes for apf and cpf).
2016-07-01 11:41:39 +02:00
2906cbbddd
Add check whether toolbox is installed
2016-06-28 09:39:32 +02:00
848d81eb84
Merge pull request #1238 from rattoma/gsa
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Bug fixes for identification with ML
2016-06-27 23:45:05 +02:00
fcaf457f35
Cosmetic change (code factorization).
2016-06-24 17:35:56 +02:00
420e80e538
discretionary_policy: Call steady_state-file to make sure that parameter dependence is correctly handled
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Prevents cryptic crashes due to NaN in derivatives of objective function
2016-06-23 20:50:17 +02:00
317f958184
Ramsey: Test whether number of instruments matches number of missing equation
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Otherwise cryptic crashes can result
2016-06-23 20:48:01 +02:00
be758613f4
fixed bugs that prevented the computation of the asymptotic Hessian with ML.
2016-06-19 11:09:59 +02:00
25120e54f5
added check for singular values whose eigenvectors contains only ONE column
2016-06-19 11:08:37 +02:00
25243712ba
Fixed bug on non linux platforms + Cosmetic changes.
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The paths to mex files was wrong.
2016-06-17 22:02:34 +02:00
e214ec2976
Allow for parameter_set=mle_mode in conditional_forecast
2016-06-17 00:21:08 +02:00
1c420e6056
Allow for parameter_set=mle_mode in shock_decomposition
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Required after writing results into oo_.mle_mode for ML estimation
2016-06-17 00:21:08 +02:00
1dea10d478
Updated dynare_config wrt #c7e848948156fe8febca22276a77c9586c565d87
2016-06-17 00:16:06 +02:00
af9b069830
Moved isoctave routine in base directory.
2016-06-17 00:04:00 +02:00
d80f6d9a99
Minimize the number of calls to addpath.
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These calls have a prohibitive cost...
2016-06-16 23:55:07 +02:00
3ae44efbea
Merge pull request #1218 from rattoma/gsa
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Allow Screening with neighborhood_width sampling.
2016-06-16 22:18:39 +02:00
33d35bc3c5
Added quantile routine in missing.
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This is missing if the stats toolbox is not available. Integration test
TeX/fs2000_corr_ME.mod was failing because of its absence.
2016-06-16 14:33:57 +02:00
f86b0a5ad6
Make dyn_forecast.m account for trend_coeffs saving coefficients for all variables
2016-06-16 12:05:38 +02:00
3b09ab5424
Save Smoother.Trend and Smoother.Constant after MCMC
2016-06-16 12:05:38 +02:00
1c84ccdc34
Save trend and constant for all variables in smoother
2016-06-16 12:05:38 +02:00
3efe283bf0
Make oo_.Smoother.TrendCoeff have size of endogenous variables
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Sets coefficients with unspecified trends to 0, allowing to later use the trend_var command for setting trends
2016-06-16 12:05:38 +02:00
5d6d1336ef
Enable filter_covariance option in posterior sampling
2016-06-16 12:05:38 +02:00
65ae97d37d
Fixed bug.
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For uniform priors use the prior mean when computing the prior
moments (prior mode is not defined).
2016-06-16 11:59:47 +02:00
789f21257e
Avoid side effects on globals (prior CLI and write_latex_prior_table commands).
2016-06-16 11:57:16 +02:00
2c074d7cd2
Check that a prior is defined in prior CLI command
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Behaviour consistent with the logic introduced in commit
64d01a806e
2016-06-16 11:16:23 +02:00
a91e4dec75
Bug fixes.
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Introduced when we increased the size of the mat files saved on
disk (see commit #e2942662479f822cd4ca1251158f0b5037c3a446).
2016-06-16 11:15:22 +02:00
64d01a806e
Fixed behaviour of write_latex_prior_table command
2016-06-16 10:38:40 +02:00
e94a698a9b
Implement write_latex_prior_table.m
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Fixes and replaces write_table_prior.m and uses consistent name. Also includes documentation
2016-06-15 16:47:39 +02:00
fcb738616c
Fixed bug in extened_path_mc.
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Wrong calling sequence to the routine defining the shocks.
2016-06-15 16:01:08 +02:00
1e7fc89e8d
Replaced filesep by hard coded slash.
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See 57501f802e
2016-06-15 13:14:55 +02:00
57501f802e
Revert "Cosmetic change."
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This reverts commit 544da84e73
2016-06-15 13:07:59 +02:00
473d335851
Fixed bug (wrong structure names).
2016-06-15 00:35:40 +02:00
029e9495ba
Fix bug in dsge_var_likelihood.m where constant was not considered for dof when Gamma function was computed
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Does not affect the maximum of the posterior as it only affects constant term
2016-06-15 00:30:28 +02:00
4486d098b5
Save dsge_var objects at the mode
2016-06-15 00:30:28 +02:00
2cf882fec5
Remove comments on dynare_estimation_1.m after implementing store_smoother_results
2016-06-15 00:30:28 +02:00
d08fd37986
Do not set oo_.posterior.optimization-fields when mh_posterior_mode_estimation is used
2016-06-15 00:30:28 +02:00
552a9b5230
Fix bugs previously introduces in dynare_estimation_1.m related to penalty function
2016-06-15 00:30:28 +02:00
2446ab02ba
Transform persistent variables of newrat.m into function arguments
2016-06-15 00:30:28 +02:00
0c00e28799
Remove objective_function_penalty_base
2016-06-15 00:30:28 +02:00
329b91d717
Harmonize output of objective functions
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Closes #1149
Mirrors 1ad8df4635
2016-06-15 00:30:28 +02:00
0edd8e2025
Add penalty_hessian.m and penalty_objective_function.m
2016-06-15 00:30:28 +02:00
544da84e73
Cosmetic change.
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Systematically use filesep instead of '/'.
2016-06-14 22:49:01 +02:00
96128b32ab
Fixed bug (missing folder separator).
2016-06-14 21:53:14 +02:00
2a65e7a85a
Merge branch 'master' into johannes-identification-fixes
2016-06-14 18:17:36 +02:00
fff88f1dc7
display_estimation_results_table.m: Move TeXEnd inside of if-clause to prevent crashes
2016-06-14 15:50:48 +02:00
b3877b3a9e
Save chain's proposal density and make load_mh_file and mh_recover load it
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Closes #504
2016-06-14 15:09:05 +02:00
faab010753
Change file ending from TeX to tex to prevent problems on Linux
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Related to b454c28096
2016-06-14 12:13:48 +02:00
5303d7079b
submodule update: particles
2016-06-14 12:02:15 +02:00
59cbee2b56
Provide output on posterior variance decomposition
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Closes #1219
2016-06-14 11:53:38 +02:00
5ca4204806
Only set texnames in McMCDiagnostics.m if TeX is requested
2016-06-14 11:53:38 +02:00
dc1c5f182c
Make gsa function correctly extract parameter (TeX) names
2016-06-14 11:53:38 +02:00
6be02ef086
Add caller function info to dyn_latex_table.m
2016-06-14 11:53:38 +02:00
55b2cd6f4c
Make sure underscores and backslashes are correctly handled in TeX-loaders of gsa
2016-06-14 11:53:38 +02:00
7325dbe54e
Expand collect_LaTeX_Files.m to gsa redform subfolders
2016-06-14 11:52:49 +02:00
a02f7cc8f3
Correct header of DsgeSmoother.m
2016-06-14 11:52:49 +02:00
42f47e0f55
Correctly indent filt_mc_.m
2016-06-14 11:52:49 +02:00
c3e1c01864
Enable TeX output in rmse-mapping of gsa
2016-06-14 11:52:49 +02:00
cb9095977e
Allow for underscores in TeX-output of gsa
2016-06-14 11:52:49 +02:00
59eec342d2
Allow for second header string in dyntable.m
2016-06-14 11:52:49 +02:00
d02f8d0377
Allow for text-command in math environment by using amsmath package in collect_LaTeX_Files.m
2016-06-14 11:52:49 +02:00
f76a353d65
Allow for underscores in first header element in dyn_latex_table.m
2016-06-14 11:52:49 +02:00
2c4c7558f4
Add TeX output to stab_map_2.m
2016-06-14 11:52:49 +02:00
11687d8c66
Expand collect_LaTeX_Files.m to gsa Output folder
2016-06-14 11:52:49 +02:00
74212ab199
Delete redundant legend input argument in filt_mc_.m that creates warning message in Matlab
2016-06-14 11:52:49 +02:00
ed1dbcac53
Fix setting of names and parameter names in stab_map_
2016-06-14 11:52:49 +02:00
cba10b0d90
Bugfix for setting tex-names in mcf_analysis.m
2016-06-14 11:52:49 +02:00
6f410f4cc1
Provide LaTeX output for model_comparison.m
2016-06-14 11:52:49 +02:00
f5c08fc0e8
Create LaTeX output for Smirnov tests
2016-06-14 11:52:49 +02:00
9b82c72e4f
Remove global options structure from dyntable
2016-06-14 11:52:17 +02:00
849505ec62
Fix display of NaN parameters in TeX-table in ident_bruteforce.m
2016-06-14 11:52:17 +02:00
f851252b25
Pass options_ to dyn_latex_table.m to make it honor noprint option
2016-06-14 11:52:17 +02:00
c6f98433d2
Reset colormap to jet in plot_identification.m
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Necessary after Matlab changed default
2016-06-14 11:52:17 +02:00
73ec852433
Deal with required naming after allowing for correlations in identification in #1200
2016-06-14 11:52:17 +02:00
00cdc05d58
Pass title texts to ident_bruteforce.m to make sure that previous TeX output is not overwritten by advanced option
2016-06-14 11:52:17 +02:00
e294266247
Increase default MaxNumberOfBytes to 100 MB
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Closes #330
2016-06-14 11:51:14 +02:00
b454c28096
fix latex compilation on linux. #1207
2016-06-14 11:37:16 +02:00
7ff453846a
Fix passing of compflag in dyn_mex.m
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Fixes 83eeafa32c
2016-06-14 10:45:44 +02:00
83eeafa32c
fix mex file compilation with MSVC. Closes #1227
2016-06-14 10:34:14 +02:00
2bbfb8762b
fix copyright notices
2016-06-14 10:30:57 +02:00
f145a50a85
extend path: removed global options_
2016-06-09 12:02:48 +02:00
4a6e14ea95
extended path: removed option for lcppath
2016-06-09 12:02:48 +02:00
8fa29513f3
extended path: fixing bug for order > 2 and several shocks
2016-06-09 12:02:48 +02:00
335a188dac
Fixed bug in extended path.
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Allow innovations with zero variance (ie do not force removal of the
variables from the varexo list).
2016-06-09 10:32:25 +02:00
fbc71aa95c
Allow Screening with neighborhood_width sampling.
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Allow calibrated values for neighborhood_width sampling to violate prior bounds.
2016-06-07 12:22:39 +02:00
3d16707dd9
Updated particles submodule (bug fixes).
2016-06-01 19:56:09 +02:00
dc1cfb4509
Updated particles submodule (bug fix).
2016-06-01 17:12:39 +02:00
392977d4ef
Changed default parameters for unscented transform (Particle filters).
2016-06-01 17:01:23 +02:00
15f83d0e18
Added new option for setting weights in CPF algorithm.
2016-06-01 16:29:53 +02:00
67b808207c
Added new algorithm for the estimation of nonlinear models.
2016-06-01 16:29:53 +02:00
272e3c96f8
Updated particles submodule.
2016-06-01 16:29:53 +02:00
e0475fd4ef
extended path: use deterministic_simulation.status instead of maxerror
2016-05-31 12:10:12 +02:00
0ce2834281
extended path: fixed boundaries for linear problem
2016-05-31 12:10:12 +02:00
5024af0099
extended path: fixed calibrated shocks
2016-05-31 12:10:12 +02:00
c14125d585
PATH: fixing bugs
2016-05-31 12:10:12 +02:00
76f008e4e4
PATH: remove calls to lcppath that doesn't work with perfect foresight models
2016-05-31 12:10:12 +02:00
d106b20b69
perfect foresight: set boundaries with PATH
2016-05-31 12:10:12 +02:00
ddb9c0657c
fixing linear complementarity problem
2016-05-31 12:10:12 +02:00
450d7b099a
fixing error status for PATH hook
2016-05-31 12:10:12 +02:00
11161063d4
removing debugging output
2016-05-31 12:10:12 +02:00
c49332df43
add support for PATH for steady state
2016-05-31 12:10:12 +02:00
c159dff19c
adding hook for PATH solver
2016-05-31 12:10:12 +02:00
b8132eb556
extended path: adding support for calibrated shock.
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This commit is not satisfactory because it uses M_.det_shocks
for unexpected shocks. We need to improve on it soon.
2016-05-31 12:10:12 +02:00
96098a17d2
Cosmetic fix to set_all_parameters.m
2016-05-30 13:31:22 +02:00
118b3ccb74
catstruct.m: remove call to nargchk, which will be removed in future Matlab versions
2016-05-28 19:32:11 +02:00
dfbad0404d
Fixed crash in sim1_linear when periods=1.
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Closes #1176 .
2016-05-26 22:19:36 +02:00
fb4dfc6da6
Fixed typo.
2016-05-24 22:32:02 +02:00
cd55ed749c
extended_path: fixing inititalization for PATH
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(cherry picked from commit 7d29e917f77e7e20211e5be01544d86c64af8c65)
2016-05-24 18:08:33 +02:00
28c0c92ae8
fixing typos
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(cherry picked from commit 86995a3bd478a3dc02919424aeb77e2a550a84c5)
2016-05-24 17:57:26 +02:00
3fa6a96bfb
Added homotopy.
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Fixes the issue of paths containing spurious solutions for (stochastic)
perfect foresight models.
2016-05-24 17:28:24 +02:00
cfc6957625
Cosmetic changes.
2016-05-24 17:28:24 +02:00
8b5b7921f6
Improved solver for (S)EP.
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Use previous solution as an initial condition for the perfect foresight problem.
2016-05-24 17:28:24 +02:00
80f1baad7e
Changed solver in simul_backward_nonlinear_model.
2016-05-24 17:28:24 +02:00
6c7f3f1932
Added input to pass sequence of shocks.
2016-05-24 17:28:24 +02:00
7d1d860a53
Fixed ep.init option.
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Initialization of the perfect foresight solver (in extended path) with
the solution of the first order approximation of the model was broken.
If the value of options_.ep.init is "true"" (1) then the solution of the
first order approximation is used as an initial guess for the newton
lilke solver. If the value of options_.ep.init is "false" (0) the solver
is initialized with the steady state.
2016-05-24 17:28:24 +02:00
dabdda0506
Fixed wrong definition of a logical variable.
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The second outputr returned by perfect_foresight_solver_core is the
max. abs. residual, not a dummy variable indicating success or failure
of the perfect foresight solver.
2016-05-24 17:28:24 +02:00
fbf2fae036
Changed option value for unscented integration nodes.
2016-05-24 17:28:24 +02:00
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
3bbac629ed
Cosmetic change.
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Removed maximum_lead and maximum_lag in extended_path routines.
2016-05-24 17:28:24 +02:00
d74f315bfb
Fixed bug in (Stochastic) Extended Path algorithm.
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Innovations were not correctly passed to the non linear solver. Closes #1128 .
2016-05-24 17:28:24 +02:00
4926b6c6ff
Added a routine the residuals of a model.
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Takes a path for the endogenous variables and returns the residuals of
the dynamic equations. This routine is useful for solving the model with
the PEA approach.
2016-05-24 17:28:24 +02:00
ea1ebfa911
Added argument to simul_backward_nonlinear_model.
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First input argument is a vector for the initial condition of the
endogenous variables. If empty, the steady state of the model is used.
2016-05-24 17:28:24 +02:00
e507a6d0a9
Fixed copyright header.
2016-05-24 17:28:24 +02:00
8958b7ef98
Cosmetic changes.
2016-05-24 17:28:24 +02:00
3a1f74d7a7
Fixed typo.
2016-05-24 17:28:24 +02:00
13ca15a278
Allow (S)EP with arbitrary sequence of innovations.
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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
b60bd7b36b
Removed globals from extended_path routine.
2016-05-24 17:28:24 +02:00
ee78ad2049
Improved execution speed.
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Removed some calls to bsxfun which is not optimal on sparse matrices. I
only removed the calls where I identified bottlenecks (with a Smets and
Wouters model), more tests are needed to decide if we have to remove other
occurences of bsxfun on sparse matrices.
2016-05-24 17:26:06 +02:00
be0f6230ad
Cosmetic changes.
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- Use a switch-case block.
- Added a warning when the user tries to solve a linear(ized) model
with solve_algo different from 0 (for a linear model).
- Added an error message if the user try to solve a linearized model
with stack_solve_algo=6 (not implemented).
2016-05-24 17:26:06 +02:00
1815eb8e56
Code factorization.
2016-05-24 17:26:06 +02:00
8a163842d0
Removed oo_ from sim1_linear routine.
2016-05-24 17:26:06 +02:00
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
e0be60710c
Removed oo_ from sim1_purely_{backward,forward} routines.
2016-05-24 17:26:06 +02:00
290ce5db68
Removed oo_ from sim1_lbj routine.
2016-05-24 17:26:06 +02:00
674c9ab286
Removed oo_ from sim1 routine.
2016-05-24 17:26:06 +02:00
3e8dbcfc7e
Set mode_files in such a way that it can be handled with key-value pair.
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We need a single mode file that contains variable xparams = [x1 x2 x3] all multiple modes, one per column.
Fixes #1199
2016-05-22 23:15:18 +02:00
d8fea3ff13
Correlations and measurement errors in identification:
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1) Filter out measurement errors with error message that suggests to explicitly write measurement errors in model definition
2) allow identification checks with correlations, by switching to numerical derivatives
2016-05-22 23:10:01 +02:00
389f43019d
Put fields of OSR in M_ into workspace to restore compatibility with 4.4.3
2016-05-22 11:41:54 +02:00
d10f8b42d7
Fix bug in convert_dyn_45_to_44.m if bayestopt_ is empty
2016-05-22 11:41:54 +02:00
03563e012b
Allow for pass OSR parameter bounds to optimizer
2016-05-22 11:41:54 +02:00
9774d0544d
Initialize fields of M_.osr to empty in global_initialization.m
2016-05-22 11:41:54 +02:00
676182f550
Cosmetic fix to dynare_minimize_objective.m
2016-05-22 11:41:54 +02:00
3df1a1275f
Merge pull request #1185 from JohannesPfeifer/bytecode_fixes
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Bytecode fixes
2016-05-22 10:32:56 +02:00
13d42e05a5
Add missing else-clause in simulated_moment_uncertainty.m
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Fixes crash in unit tests
2016-05-22 10:03:56 +02:00
0521aa4e09
Merge pull request #1188 from JohannesPfeifer/slice_marco
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Add slice and factorization of posterior samplers
2016-05-22 01:45:14 +02:00
161f674dd9
Fix two TeX loaders where apostrophe was missing
2016-05-20 12:43:52 +02:00
7c97d7c662
Allow displaying 0 rows in disp_dr.m
2016-05-20 12:42:43 +02:00
2baf88da47
Remove adaptive_metropolis_hastings
2016-05-19 23:16:29 +02:00
89fd14f026
Filter out unit root cases that lead to crashes
2016-05-19 18:57:47 +02:00
1f71331e58
Fix dynareParallelGetFiles.m call to random_walk_metropolis_hastings
2016-05-19 17:43:48 +02:00
12ee5b7276
Fix copyrights and references to random_walk_metropolis_hastings headers
2016-05-19 17:15:31 +02:00
781ea45777
Remove old independent_metropolis_hastings routines
2016-05-19 14:37:05 +02:00
3073988ac1
Fix vector dimension for independent_metropolis_hastings
2016-05-19 14:37:05 +02:00
86fcde0879
Cosmetic changes to dynare_estimation_1.m and store_smoother_results.m
2016-05-19 14:37:05 +02:00
4898a66d2a
Allow passing of optim option for TaRB
2016-05-19 14:37:05 +02:00
90ab263587
Fix location of TaRB options
2016-05-19 14:37:05 +02:00
413a264b21
Make read_key_value_string.m compatible with sublists
2016-05-19 14:37:05 +02:00
091f94221f
Delete unused TaRB_metropolis_hastings_core.m
2016-05-19 14:37:05 +02:00
c7e8489481
Rename autocorr into dyn_autocorr.m as it does not mirror the behavior of the econometric toolbox function
2016-05-19 14:37:05 +02:00
1d6961cc4c
initialize mode field in slice sampler options
2016-05-19 14:37:05 +02:00
e5ab7ed992
fixed unknown options warning messages
2016-05-19 14:37:05 +02:00
088db78118
Document computation of Inefficiency factors
2016-05-19 14:37:05 +02:00
ebe34bc40f
Make display of inefficiency factors use existing table util [thanks to Johannes]
2016-05-19 14:37:05 +02:00
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
cf6e3cb14c
preprocessor: rework posterior sampler options, #1177
2016-05-19 14:37:05 +02:00
35a1c7ac17
Commented options for slice sampler, including default values and associated restrictions/default for main options_ fields
2016-05-19 14:34:09 +02:00
9c62021d3c
Move TaRB to posterior_sampler_iteration.m [PATCH from Johannes: thanks a lot]
2016-05-19 14:34:09 +02:00
0c01565298
Allow sampler specific options via optim;
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bug fixes on options logic
2016-05-19 14:34:09 +02:00
22f51d1e75
moved autocorr to missing matlab econometrics toolbox [it is not in stats toolbox]
2016-05-19 14:34:09 +02:00
4445f17efa
Manual merge with commit history of metropolis_hastings_initialization.m and random_walk_metropolis_hastings_core.m
2016-05-19 14:34:09 +02:00
357e3c2ac7
Make posterior_sampler_initialization.m compatible with new form of prior_draw.m
2016-05-19 14:34:09 +02:00
8e751be5ee
bug fix for non integer Nc
2016-05-19 14:34:09 +02:00
e69c5f6864
Bug fix for odd Nc
2016-05-19 14:34:09 +02:00
8bd963de64
Fill in posterior_mode with info from posterior samples.
2016-05-19 14:34:09 +02:00
b830805cb6
Trap empty d [e.g. from slice sampler]
2016-05-19 14:34:09 +02:00
a96dd5b964
for slice, always initialize empty invhess unless a new chain is initialized from a mode file
2016-05-19 14:34:09 +02:00
9089fc340c
Initialize posterior_sampler_options.
2016-05-19 14:34:09 +02:00
46908d20c6
Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
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I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
c30b6f20a6
Added routines that factor out posterior samplers into the iteration routine posterior_sampler_iteration.m.
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It generalizes the random_walk_metropolis_hastings.m structure but adds two new items:
- check_posterior_sampler_options.m which is a wrapper for method specific options (stored in options_.posterior_options)
- posterior_sampler_iteration.m which is a wrapper of the individual iteration of any posterior sampler.
It already embeds, with parallelization implementation:
- random_walk metropolis hastings
- independent metropolis hastings
- slice sampler
It also contains a quick fix for TARB, although the latter should be embedded in posterior_sampler_iteration.m as well.
Any new posterior sampler can be simply added to posterior_sampler_iteration.m, with wrapper to specific iterations in check_posterior_sampler_options.m
2016-05-19 14:34:09 +02:00
b1b901fc61
Added SLICE sampler core routines
2016-05-19 14:34:09 +02:00
951dfe8ff4
When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary.
2016-05-19 14:34:09 +02:00
a3ab6de6c8
Added function to compute of inefficiency factors, used in McMCDiagnostics.m
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Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
0e2e1376c9
Fix bug in simulated moments
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Closes #1105
2016-05-18 22:51:20 +02:00
58eb60c95d
fix copyright dates, headers
2016-05-18 15:06:49 +02:00
6a0de7a724
Merge pull request #1189 from rattoma/gsa
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gsa and identification fixes
2016-05-18 15:01:19 +02:00
c05c66cbaa
Filter out error code 6 in dsge_var_likelihood.m
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Crashes otherwise
2016-05-17 20:56:25 +02:00
42170c6c13
Fixes around models with unit roots.
2016-05-17 11:47:07 +02:00
c9bc685049
Fix determination of full rank subspace of simulated moment uncertainty
2016-05-17 09:38:06 +02:00
f0b346b397
added waitbar, to monitor computations [especially useful for large models]
2016-05-17 08:41:55 +02:00
7c8878c071
Allow neighborhood_width sampling in Morris + bug fix.
2016-05-17 08:41:16 +02:00
28aeb9f308
bug fix
2016-05-17 08:40:32 +02:00
5723e7ea58
build system: remove support for 32-bit Matlab on OS X
2016-05-13 10:53:55 +02:00
89667ea8da
remove unused file. closes #1172
2016-05-11 15:12:27 +02:00
31f8d61586
make estimation honor steady state nocheck option
2016-05-10 15:54:11 +02:00
ccb197e74f
fix copyright dates
2016-05-09 12:42:58 +02:00
5e5157e375
loglinear: bug correction
2016-05-06 10:12:12 +02:00
67ea280773
adding missing semi-colon
2016-05-06 10:11:53 +02:00
ef232ac436
fixed log_variable function
2016-05-05 20:53:22 +02:00
3c7c2f46a4
more fixes for loglinear with lead/lagged exogenous variables
2016-05-05 20:41:02 +02:00
7e13fe5ef7
fix loglinear option with leaded or lagged exogenous variables
2016-05-05 20:41:02 +02:00
e07d97a16e
Merge pull request #1186 from rattoma/gsa
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gsa and identification fixes
2016-05-05 19:19:10 +02:00
1b769d1d5f
1) fixed bug with initialization of infox
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2) distinguish between no solution (iwrong index) and violation of prior restrictions (inorestriction)
3) smirnov tests for indeterminacy and explosive roots should be done EXCLUDING no solution cases
2016-05-05 16:53:18 +02:00
Johannes Pfeifer
MichelJuillard
Marco Ratto
Stéphane Adjemian (Lupi)
Houtan Bastani