59cbee2b56
Provide output on posterior variance decomposition
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Closes #1219
2016-06-14 11:53:38 +02:00
c7472a5020
Add some TeX names to ls2003.mod
2016-06-14 11:52:49 +02:00
42f47e0f55
Correctly indent filt_mc_.m
2016-06-14 11:52:49 +02:00
9b82c72e4f
Remove global options structure from dyntable
2016-06-14 11:52:17 +02:00
06a8eeeea7
Speed up runtime of ls2003.mod by reducing number of MC samples
2016-06-14 11:52:17 +02:00
ab378138c2
Add unit test for correlated errors and TeX-Output
2016-06-14 11:52:17 +02:00
e06bb9e057
Adjust ident_unit_root.mod to reflect change in unit root treatment introduced in #1191
2016-06-14 11:51:14 +02:00
b454c28096
fix latex compilation on linux. #1207
2016-06-14 11:37:16 +02:00
e789cc7d91
Added example of perfect forsesight model (julia).
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Note that PyPlot package must be installed.
2016-06-14 11:21:23 +02:00
9ca893ca1d
Added routines for steady state computation (julia).
2016-06-14 11:21:23 +02:00
7df352a60b
correct the name of simulated dataset files.
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(cherry picked from commit e35beb605bafbd462ec7dc79f0d67f7455a93dbd)
2016-06-01 16:40:26 +02:00
c159dff19c
adding hook for PATH solver
2016-05-31 12:10:12 +02:00
eca30eff75
Modify lmmcp unit test to have second (name) tag
2016-05-28 19:31:53 +02:00
03da338b05
Added more informative error messages.
2016-05-25 12:54:47 +02:00
6007d51ef4
Code factorization.
2016-05-25 12:42:56 +02:00
0ea9bc4e90
Fixed typo introduced in 0abb9dc6f9.
2016-05-24 21:18:13 +02:00
edce6b4779
Added integration test for Monte-Carlo EP.
2016-05-24 17:28:24 +02:00
6dcfd1c072
Added integration test.
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Test that the extended path and stoch_simul (with order equal to 1)
algorithms return the same paths for the endogenous variables if the
RE model is linear.
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
4bd8ef7a9f
Added new integration tests.
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Simulation of the Smets and Wouters perfect foresight model, with a
productivity shock such that the nominal interest rate hits the
ZLB. Comparison of the solutions returned by a Newton
algorithm (stack_solve_algo==0) and the LMMCP algorithm. AT the time of
this commit, the results are different... Probably an issue with the
LMMCP algorithm.
2016-05-24 17:28:24 +02:00
7eed391eb7
Do not display max. abs. error.
2016-05-24 17:26:06 +02:00
4e8fcf6d47
Use lmmcp option in integration tests.
2016-05-24 17:26:06 +02:00
7355214413
Added integration tests for lmmcp in testsuite.
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Also merged rbcii.mod and rbciia.mod.
2016-05-24 17:26:06 +02:00
8763c29f34
Renamed and changed integration test for sim1_purely_forward routine.
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Check the results against analytical solution. Also added a new
integration test (ar1.mod).
2016-05-24 17:26:06 +02:00
02c71eb270
Renamed and changed integration test for sim1_purely_backward routine.
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Compare the solution returned by sim1_purely_backward with the true solution.
2016-05-24 17:26:06 +02:00
0abb9dc6f9
Added integration test.
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Comparison of the solutions for the endogenous variables in perfect
foresight models with stack_solve_algo equal to 0 and 6 (LBJ, legacy
algorithm).
2016-05-24 17:26:06 +02:00
f0229f3b1c
Removed workspace() in examples.
2016-05-23 13:48:19 +02:00
2e8f528bef
Cosmetic changes.
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+ Renamed model as model_
+ Renamed options as options_
+ Renamed output as oo_
+ Also export oo_ and options_
+ Fixed typos in comments.
2016-05-23 13:48:19 +02:00
c3b5aee714
Specialize @dynare macro if one model is processed.
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In this case importall is used instead of import.
2016-05-23 13:48:19 +02:00
4bf436ec33
Fixed typo in comments.
2016-05-23 13:48:19 +02:00
5998558c32
Fixed deprecated require issue + Changed interface
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+ Fixed deprecated require().
+ Changed @dynare macro and added new macro @compile.
The new macro @compile just runs the preprocessor, while the macro
@dynare calls compile and put the generated objects in the
workspace. Note that this macro can take an arbitrary number of mod
files as argument.
*Example*
@dynare "rbc.mod" "nk.mod"
Will run the preprocessor on both models, and the generated
data (model descriptions, options, ...) are available in the
workspace. For instance, to obtain the number of equations:
julia> rbc.model.eq_nbr
6
julia> nk.model.eq_nbr
10
@compile "rbc.mod" "nk.mod"
Will run the preprocessor on both models, but will not load the
generated data in the workspace. This can be done as follows:
julia> using rbc
+ Changed examples (rbc1 has a steady state block but not rbc2), using
new interface.
2016-05-23 13:48:19 +02:00
fb57ef453d
Put all OSR unit tests into subfolder and add one for parameter bounds
2016-05-22 11:41:54 +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
5fcd502f3c
preprocessor: allow comments in parallel config file. closes #1194
2016-05-20 17:22:26 +02:00
aaa7318da4
Add unit test for independent MH
2016-05-19 14:37:05 +02:00
969aa44963
Move slice test to separate folder
2016-05-19 14:37:05 +02:00
fad10d63b6
Adjust unit tests to reflect factorization of posterior sampler interface
2016-05-19 14:37:05 +02:00
a9fc65fbce
Use steady_state_model block in fs2000_slice.mod
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
ab8aa917e3
slice test moved to estimation folder
2016-05-19 14:34:09 +02:00
0497943f02
two steps slice sampling with rotation
2016-05-19 14:34:09 +02:00
6aa65e2a6a
Added test function for slice sampler
2016-05-19 14:34:09 +02:00
e1bdd830af
testsuite: fix race condition in accessing .mat file
2016-05-10 11:34:17 +02:00
ccb197e74f
fix copyright dates
2016-05-09 12:42:58 +02:00
d9e73b5477
fixing test case for loglinear models
2016-05-06 09:07:43 +02:00
034bd0367b
test cases for loglinear with lead/lagged exogenous variables
2016-05-05 20:41:02 +02:00
5d321c86ce
add test case for purely backward model
2016-04-16 17:21:42 +02:00
bfe3dded99
Add diffuse filter statement to nonstationary mod-file to prevent unit test from crashing
2016-04-15 15:00:50 +02:00
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
a21aa064c9
Merge pull request #1166 from JohannesPfeifer/kalman_fixes
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Kalman fixes
2016-04-15 09:50:25 +02:00
aff80b4ee3
Improve speed of filtering unit tests and clean up setting of options
2016-04-15 09:23:07 +02:00
920d212d95
shock decomposition: adding test case for groups
2016-04-15 09:06:26 +02:00
30be2ed62a
Add unit test for smoother only on nonstationary model
2016-04-14 20:11:50 +02:00
9d6126c5f6
Make fs2000_smoother_only.mod call all Kalman options
2016-04-14 20:11:50 +02:00
efc193e429
Fixed typo in testsuite.
2016-04-13 22:25:52 +02:00
994b9e5f16
Reduce runtime of unit tests by decreasing iteration number
2016-04-12 14:58:11 +02:00
a8cc21eb97
Merge pull request #1163 from JohannesPfeifer/Smoother_fixes
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Various fixes and documentation improvements related to smoother, trends and selected_variables_only option
2016-04-12 14:22:19 +02:00
aa1a0b5e25
Merge pull request #1052 from JohannesPfeifer/lin_solve_robust
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Integrate robust linear solver for stack_solve_algo=0
2016-04-12 12:06:22 +02:00
5c40bcef8d
Fix trend unit tests to account for classical smoother returning results in declaration rule order after fixing #1161
2016-04-12 11:41:15 +02:00
f5900aa03b
Add unit test for selected_variables_only option in smoother
2016-04-12 11:37:57 +02:00
5b1a97f777
Add unit test for conditional_forecast with trends and loglinear
2016-04-09 09:45:21 +02:00
450dd465fd
Reduce time intensity of unit tests by reducing number of iterations
2016-04-09 09:45:21 +02:00
44b3092162
Fix merge conflict that undid commit 943db6fb24
2016-04-09 09:45:21 +02:00
31c422e3d1
Add datafile to observation trends and prefiltering tests
2016-04-09 09:45:21 +02:00
ec1bb2138a
Enable erroneously disabled unit tests
2016-04-09 09:45:21 +02:00
4b83c1bf76
Integrates Tom Holden's robust linear solver
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Supersedes #984
2016-03-25 09:59:20 +01:00
b688cbe5b2
Merge branch 'master' into johannes_perfect_foresight_test
2016-03-24 23:01:11 +01:00
fd850ca5bd
Merge branch 'master' into lik_init_5_fixes
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Conflicts:
doc/dynare.texi
tests/Makefile.am
2016-03-24 17:40:27 +01:00
d84bf3e107
Add unit tests for perfect foresight to detect issues with histval
2016-03-23 20:15:57 +01:00
da5f7243e9
Add missing data file and options for kalman_filter_smoother/compare_results_simulation unit tests
2016-03-23 10:48:23 +01:00
2139420336
Factorize unit tests for observation trends
2016-03-23 10:48:22 +01:00
acd08bba0e
Add means and trends to Bayesian smoother results
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Also adjusts unit test
2016-03-23 10:47:25 +01:00
df54e8fcab
Add unit tests for correctness of smoother results
2016-03-23 10:46:30 +01:00
018fed21cd
Add unit test for calibrated smoother
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Tests loglinear, prefilter, and first_obs options
2016-03-23 10:35:40 +01:00
8c8587d89b
Add factored unit tests for mh_recover
2016-03-16 19:04:03 +01:00
066c79f46a
test case for previous commit
2016-03-07 21:51:45 +01:00
2e359cac02
Widen tolerance criterion in unit test
2015-12-17 17:06:53 +01:00
af627b8ecf
Adapt estimated parameters to not hit prior bounds
2015-12-17 17:06:33 +01:00
e5894c4157
Add eps-loaders to GSA output
2015-12-14 14:09:37 +01:00
4f9b141c76
Add eps-loaders to identification codes
2015-12-14 11:26:33 +01:00
1c630a8172
Add trace_plot to LaTeX unit test
2015-12-13 17:45:10 +01:00
5ef86416bf
Merge branch 'cmr-prior'
2015-12-04 15:06:28 +01:00
a0119404c5
Added integration test for the Weibull prior.
2015-12-04 15:04:10 +01:00
943db6fb24
testsuite: move tests/reporting/example1.mod to examples/example1_reporting.mod. closes #1111
2015-12-01 13:53:08 +01:00
717967f31f
adding forgotten test file
2015-11-28 21:02:10 +01:00
c373d1e1be
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
cbe236730c
Factorized tests and removed time consuming and out of scope parts.
2015-11-04 22:19:14 +01:00
a7ed27b889
Document lik_init=5 and add unit test for lik_init
2015-10-18 18:55:33 +02:00
cf17040915
Added integration test for PR #1062 (conditional forecasts).
2015-10-16 17:22:33 +02:00
f583add550
prior_posterior_function: save results to different structures, depending on which command was called
2015-10-14 11:19:12 +02:00
fd5ce1366e
preprocessor: change prior_posterior_function into two arguments. closes #1076
2015-10-14 11:02:35 +02:00
6ea5bdde34
Merge branch 'johannes_bandpass'
2015-10-13 23:56:22 +02:00
a13c852feb
Removed calls to autocorr routine in integration test.
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This routine is part of the matlab's statistical toolbox which is not
required by Dynare (and not available on karaba). Use
sample_autocovariance routine instead.
2015-10-13 23:50:38 +02:00
f7175745ac
Add one-sided HP filter
2015-10-13 20:50:03 +02:00
8c44936846
prior_posterior_function: modify test to accord with preprocessor changes #1076
2015-10-13 17:41:45 +02:00
c45a054c6f
modify calling structure of execute_prior_posterior_function and update doc
2015-10-13 15:13:35 +02:00
d3eca9338b
Merge pull request #1038 from JohannesPfeifer/kernel_density
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Allow computing posterior kernel density
2015-10-12 23:23:07 +02:00
8be2841582
fixing Makefile.am error
2015-10-12 22:39:03 +02:00
2c63ca8843
Add unit tests for HP filter, bandpass filter, and spectral density
2015-10-12 21:18:51 +02:00
40877685f2
Add LaTeX-output option to table from stoch_simul.m
2015-10-12 20:42:04 +02:00
3902c86407
Add unit test for variance decomposition
2015-10-12 20:42:02 +02:00
b7cbb563d6
Allow suppressing density of smoother and forecast objects
2015-10-12 15:34:52 +02:00
866ab33575
Merge pull request #1042 from JohannesPfeifer/discretionary
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Various fixes for discretionary_policy
2015-10-10 22:25:46 +02:00
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
dcf7cfbc4b
Cosmetic change (testsuite).
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Do not print warnings with Matlab>=R2015b because of the exit command at the end of the run_test_matlab script.
Do not print
2015-10-10 02:26:40 +02:00
3490e400bc
Merge pull request #1015 from JohannesPfeifer/model_comparison
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Bugfixes and improvements for model_comparison
2015-10-09 17:11:15 +02:00
035adeb89e
Revert "More fixing related to objective_function_penalty_base"
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This reverts commit 1ad8df4635
2015-10-09 14:23:31 +02:00
9be5c31761
Revert "More fixing of the same"
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This reverts commit a54dda165f
2015-10-09 14:23:31 +02:00
bc37c838c7
Revert "more fixes for penalty objective function"
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This reverts commit 3dac7f8809
2015-10-09 14:23:31 +02:00
bf51be7efd
Revert "Revert "test suite: add rule for text files""
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This reverts commit 4825745047
2015-10-08 23:20:35 +02:00
6396794b5b
Revert "Revert "test suite: adjust display of results appropriately depending on whether octave/matlab or both were used""
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This reverts commit 62b1c85fd4
2015-10-08 23:20:08 +02:00
276c34f394
Revert "Temporarily removed an integration test."
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This reverts commit 7b2ccc5a52
2015-10-08 21:53:22 +02:00
3dac7f8809
more fixes for penalty objective function
2015-10-08 20:57:00 +02:00
a54dda165f
More fixing of the same
2015-10-08 20:57:00 +02:00
1ad8df4635
More fixing related to objective_function_penalty_base
2015-10-08 20:57:00 +02:00
7b2ccc5a52
Temporarily removed an integration test.
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tests/recursive/ls2003_bayesian_xls.mod causes a seg fault under Octave
3.8.2 (Debian/Jessie).
2015-10-07 12:22:50 +02:00
38059daccf
Added integration test.
2015-10-07 12:20:40 +02:00
62b1c85fd4
Revert "test suite: adjust display of results appropriately depending on whether octave/matlab or both were used"
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This reverts commit 1bc965625c
2015-10-06 16:38:59 +02:00
4825745047
Revert "test suite: add rule for text files"
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This reverts commit 7e41cc170b
2015-10-06 16:38:59 +02:00
c0bc1f949b
removing old test files
2015-10-06 13:44:52 +02:00
f215e77a3e
Reduced execution time of tests/optimizers/fs2000_6.
2015-10-06 11:34:56 +02:00
7e41cc170b
test suite: add rule for text files
2015-10-05 12:30:01 +02:00
1bc965625c
test suite: adjust display of results appropriately depending on whether octave/matlab or both were used
2015-09-23 13:56:16 +02:00
d7d8af34a0
preprocessor: remove create_timing_csv.sh (moved to testsuite.git)
2015-09-21 10:59:20 +02:00
51ab885e68
test suite: fix naming in graph when a point is highlighted
2015-09-17 15:50:34 +02:00
06e76386eb
fix bug in 9d81916b82
2015-09-17 11:35:26 +02:00
9d81916b82
test suite: make test work for non-dynbot users on Linux and OS X
2015-09-17 11:30:10 +02:00
b28f9ef0b3
test suite: prettier printing of timing results
2015-09-17 11:05:52 +02:00
67410d87cf
fix permissions on create_timing_csv.sh
2015-09-16 10:35:19 +02:00
42d100f8c1
test suite: add header to timing files
2015-09-15 17:38:32 +02:00
c6e75df544
test suite: save timing info for graphs. #298
2015-09-11 15:24:05 +02:00
5c006a4370
test suite: add timing, report 10 slowest tests. #298
2015-09-11 15:21:51 +02:00
268384572b
Merge pull request #1017 from JohannesPfeifer/gsa_fix
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Fix bugs in gsa with morris and posterior sampling
2015-09-09 11:44:49 +02:00
09e5440b69
test suite: fix bugs introduced in ad66a7bb35 and fe221bbc42 that broke parallel processing of test suite
2015-09-09 10:44:52 +02:00
55acc0e557
Merge pull request #1049 from JohannesPfeifer/ramsey_test
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Add unit test for Ramsey policy that checks correctness with analytic…
2015-09-08 13:57:07 +02:00
71fd7730f0
Add unit test for Ramsey policy that checks correctness with analytical results
2015-09-08 13:47:54 +02:00
8d54aeeaf6
preprocessor: add relative_irf option to irf_calibration block. closes #720
2015-09-07 11:49:17 +02:00
11eaf27453
Merge branch 'julia'
2015-09-01 11:35:16 +02:00
fbe50131be
test: add @#includepath to test
2015-08-31 14:33:00 +02:00
edcddd9008
Merge pull request #1037 from JohannesPfeifer/rolling_window
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Add capacities for rolling window estimation
2015-08-31 12:56:02 +02:00
752bc543b4
Add unit test for correctness of discretionary policy
2015-08-30 12:03:43 +02:00
9e504a1293
discretionary_policy: Add check whether equation number is consistent with declared number of instruments
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Also fixes unit test that violated this.
2015-08-30 11:43:54 +02:00
ae49cddd1d
preprocessor: allow for [paths] block in dynare config file. closes #1039
2015-08-28 18:06:30 +02:00
f80f0f9258
Add capacities for rolling window estimation
2015-08-25 15:37:25 +02:00
511801c903
finalize svar_global_identification_check
2015-08-24 14:53:27 +02:00
bba553ff32
modify *_set_auxiliary_variables to work in julia
2015-08-17 15:36:18 +02:00
a917d5e998
only add path to LOAD_PATH if it is not already there
2015-08-17 12:29:59 +02:00
96869fbd76
add workspace() command to the beginning of test.jl
2015-08-17 11:45:24 +02:00
Johannes Pfeifer
Houtan Bastani
Stéphane Adjemian (Hermes)
Frédéric Karamé
Michel Juillard
Marco Ratto
Johannes Pfeifer