Marco Ratto
c8cd0a06ce
allow to export expand groups to excel (instead than plotting them)
2021-02-13 19:04:39 +01:00
Marco Ratto
f8b8ec6c18
fixes around init2shocks in plotting utilities
2021-02-13 19:04:01 +01:00
Marco Ratto
faa203e029
condition computation of posterior statistics also to (options_.load_mh_file && ~options_.load_results_after_load_mh) and apply it to all cases
2021-02-13 18:53:17 +01:00
Marco Ratto
5c3b0ebc95
better handle newrat options, avoiding to treat newratflag in two places
2021-02-13 16:44:50 +01:00
Marco Ratto
915502ce13
copyright year and indentation
2021-02-13 11:29:40 +01:00
Marco Ratto
d56bba724c
autocov is initialized NaN with the original order and then only loop up to updted order compatible with sample size.
2021-02-13 11:27:18 +01:00
Marco Ratto
15ab85788c
adjusted message in case of diffuse filter, where cointegration is most of the time the reason for such a warning
2021-02-12 19:10:45 +01:00
Marco Ratto
22ef0b1413
get statistics also when load_mh_file
2021-02-12 18:55:50 +01:00
Marco Ratto
b9a6462462
bug fix in trapping option newratflag
2021-02-12 18:54:07 +01:00
Marco Ratto
ebec3ede8a
allow negative lag (i.e. a lead)
2021-02-12 18:50:55 +01:00
Marco Ratto
1519e4673a
trap case when order is too big wrt sample size
2021-02-12 18:49:33 +01:00
Sébastien Villemot
2ee03c7e28
OLS: Octave compatibility fix
...
Cell arrays cannot be used for derefencing fields in a structure.
For some unknown reason, this was nevertheless accepted by MATLAB in this
context.
2021-02-04 16:54:09 +01:00
Sébastien Villemot
78fdd50894
cherrypick.m: Octave compatibility fix
...
The plus sign (+) was unescaped in the regular expression, which was confusing
Octave.
By the way, also remove unneeded parenthesis groupings.
2021-02-04 16:01:54 +01:00
Sébastien Villemot
901d8355e3
PAC iterative OLS: compatibility fix for Octave < 6
2021-02-04 16:01:30 +01:00
Sébastien Villemot
50a7507f9b
options_.bnlms.set_dynare_seed_to_default is a boolean
2021-02-04 12:37:36 +01:00
Sébastien Villemot
8e9085eea4
PAC NLS estimation: Octave compatibility fix
...
In regular expressions, the end-of-word operator (\>) does not behave the same
under Octave and under MATLAB. See:
https://savannah.gnu.org/bugs/index.php?59992
In this case, we can simply drop the \> operator, since there is no risk of
matching a partial variable name (since there is already “(-1)” at the end of
the pattern).
By the way, remove a useless parenthesis grouping in the regexp.
2021-02-02 17:02:04 +01:00
Sébastien Villemot
7bbe67748b
simul_backward: Octave compatibility fix
2021-02-02 17:02:04 +01:00
Sébastien Villemot
00e36dd342
var_expectation.update: Octave compatibility fix
...
There was a conflict between matlab/+var_expectation/update.m and
matlab/+var_expectation/+update/. So we renamed the (single) file in the latter
directory.
2021-02-02 17:01:59 +01:00
Sébastien Villemot
44a2e6463b
lyapunov_solver: increase tolerance for 2 unit tests, for MATLAB R2014a
2021-02-02 15:05:41 +01:00
Sébastien Villemot
1bb5612474
Merge branch 'resol' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 15:34:57 +01:00
Sébastien Villemot
1cd3bfbfa8
Merge branch 'kalman_initial_state' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 15:34:11 +01:00
Sébastien Villemot
3e6224e0b6
plot_contributions.m: compatibility fixes for Octave
...
— use zeros instead of NaNs when decomposing between positive and negative
contributions; otherwise some contributions are not plotted
— the bar() function returns a column-vector of graphic handles, while on
MATLAB it returs a row-vector
2021-01-29 15:20:18 +01:00
Sébastien Villemot
5da473ac66
plot_contributions.m: compatibility fix for MATLAB ≤ R2019a
2021-01-29 14:55:06 +01:00
Sébastien Villemot
dcfd45bd25
missing/unique_stable.m: also support cell arrays and 2nd output argument
...
Needed by aggregate.m.
2021-01-29 14:06:40 +01:00
Sébastien Villemot
3e98918690
aggregate.m: compatibility fix for MATLAB R2014a
...
The importdata function returns empty lines on R2014a, while it omits them in
R2020a. Moreover, importdata is not meant to parse arbitrary text file. We thus
replace it by repeated calls to fgetl.
2021-01-29 12:29:39 +01:00
Sébastien Villemot
5fc29ace8f
Merge branch 'octave_typo' of git.dynare.org:JohannesPfeifer/dynare
2021-01-29 11:19:13 +01:00
Johannes Pfeifer
585781bd4c
dynare_minimize_objective.m: use analytic gradient if specified
...
Bug introduced in ce3e4412
[skip CI]
2021-01-29 11:10:59 +01:00
Sébastien Villemot
20c00d5a02
dynare_minimize_objective: fix analytic derivatives in mode_compute=13 for Octave and MATLAB < R2016a
2021-01-29 11:02:23 +01:00
Johannes Pfeifer
827a7fcaa8
resol.m: reduce inheritance of decision rule info
2021-01-29 10:16:04 +01:00
Johannes Pfeifer
7c8f486727
Allow setting initial state for Kalman filter
...
Supersedes https://git.dynare.org/Dynare/dynare/-/merge_requests/1522
2021-01-28 17:24:27 +01:00
Sébastien Villemot
3e7c0b1eef
Merge branch 'optimizer' of git.dynare.org:JohannesPfeifer/dynare
2021-01-28 16:54:58 +01:00
Sébastien Villemot
6ac1af7035
Merge branch 'filtered_variables' of git.dynare.org:JohannesPfeifer/dynare
2021-01-28 16:53:30 +01:00
Johannes Pfeifer
ce56305318
mr_hessian.m: only compute inverse of A once
2021-01-28 15:07:05 +01:00
Johannes Pfeifer
b56b7760b1
mr_hessian.m: don't manually increase run index of loop
2021-01-28 15:06:32 +01:00
Johannes Pfeifer
1ca5aad981
mr_hessian.m: account for non-scalar output
2021-01-28 14:45:13 +01:00
Johannes Pfeifer
e766ad053e
mr_hessian.m: add comments and remove redundant line
2021-01-27 22:13:15 +01:00
Johannes Pfeifer
7df35bca35
newrat.m: only compute eig(hh) if output is actually required
2021-01-27 22:02:45 +01:00
Johannes Pfeifer
ef14cdb1e9
mr_hessian.m: remove redundant lines and try-catch statement
2021-01-27 21:42:48 +01:00
Johannes Pfeifer
9a86f316c6
newrat.m: only find index once
2021-01-27 21:38:04 +01:00
Johannes Pfeifer
96b1ca3bee
mr_hessian.m: honor Save_files option
2021-01-27 21:38:03 +01:00
Johannes Pfeifer
1fc33a4c63
newrat.m: check for valid initial parameter
2021-01-27 21:38:03 +01:00
Sébastien Villemot
11f7ae2236
Merge branch 'octave_optim' of git.dynare.org:JohannesPfeifer/dynare
2021-01-27 18:28:35 +01:00
Sébastien Villemot
f662c17c5d
shock_decomposition_backward: Octave compatibility fix
2021-01-27 18:25:27 +01:00
Sébastien Villemot
d52a35889c
shock_decomposition_backward: workaround for bug in MATLAB ≤ R2019a
...
Ref. dseries#45
2021-01-27 18:25:27 +01:00
Sébastien Villemot
0402c56ee7
Compatibility fix for MATLAB R2014a when estimating with empty estim_params
...
The tests kalman_filter_smoother/fs2000_smoother_only.mod and
kalman_filter_smoother/fs2000_smoother_only_ns.mod would fail under MATLAB
R2014a.
They both run the estimation command without having declared an estim_params
block.
Their execution would fail in check_bounds_and_definiteness_estimation, at the
point where we check if initial values are below the lower bound.
The problem is that xparam1 would be of size 0×1, while bounds.lb would be
empty (0×0), and the comparison fails on older MATLABs.
The fix consists in ensuring that xparam1 remains of size 0×0 in that case.
2021-01-27 18:25:27 +01:00
Sébastien Villemot
0f19774b55
check_bounds_and_definiteness_estimation: rename last argument to BoundsInfo
...
The previous name was misleading, since this is not the same as bayestopt_.
The confusion was introduced in cfe1069367
.
2021-01-27 18:25:27 +01:00
Johannes Pfeifer
59dd96db83
Bayesian smoother: fix field naming for Filtered_Variables_X_step_ahead
...
Naming used length of vector instead of actual steps
2021-01-27 17:41:37 +01:00
Johannes Pfeifer
ce3e441205
dynare_minimize_objective.m: restore octave compatibility
2021-01-27 14:56:24 +01:00
Sébastien Villemot
8f47b276a0
Merge branch 'online_filter' of git.dynare.org:JohannesPfeifer/dynare
2021-01-26 16:54:03 +01:00
Johannes Pfeifer
847eb8050a
Check measurement error for mode_compute=11
2021-01-26 16:51:39 +01:00
Sébastien Villemot
e1bdc87ff9
Merge branch 'lmmcp' of git.dynare.org:JohannesPfeifer/dynare
2021-01-26 16:27:43 +01:00
Johannes Pfeifer
c304dea35f
stoch_simul.m: filter out mcp-tag solvers
2021-01-26 11:40:46 +01:00
Johannes Pfeifer
a5c8fa54b6
dsge_likelihood.m: error out with non-empty gradient for analytic_derivation
...
Matlab optimizers require it
2021-01-26 08:31:31 +01:00
Sébastien Villemot
09f992d584
Merge branch 'moments_varendo' of git.dynare.org:JohannesPfeifer/dynare
2021-01-25 18:18:46 +01:00
Sébastien Villemot
f9437f89c2
Merge branch 'analytic_derivation' of git.dynare.org:JohannesPfeifer/dynare
2021-01-25 18:17:52 +01:00
Sébastien Villemot
992e375bfa
Merge branch 'use_mh_covariance' of git.dynare.org:JohannesPfeifer/dynare
2021-01-25 18:16:23 +01:00
Johannes Pfeifer
1245d41a6a
moments_varendo: store var_list in files
...
Allows identifying changes in var_list in the future
2021-01-25 15:56:44 +01:00
Johannes Pfeifer
c27c4fd932
moments_varendo: delete stale files from previous runs
2021-01-25 15:55:10 +01:00
Johannes Pfeifer
1ee788e61b
dynare_minimize_objective.m: reorder 13 to come before 101
2021-01-24 17:41:17 +01:00
Johannes Pfeifer
25803a6842
dynare_minimize_objective: fix use of analytic derivatives by employing wrapper function
2021-01-24 17:40:24 +01:00
Johannes Pfeifer
ff4278070a
dynare_minimize_objective.m: replace optimset by optimoptions to allow for both Pre and post R2016a option names
2021-01-24 09:21:09 +01:00
Johannes Pfeifer
d2a55d1e49
method_of_moments: adapt analytic jacobian output to interface used elsewhere
2021-01-24 09:21:09 +01:00
Johannes Pfeifer
2b79eb2850
solvopt.m: suppress incidental output
2021-01-24 09:21:08 +01:00
Johannes Pfeifer
916058cbfd
initial_estimation_checks.m: Do not allow quadratic equation solver for non-quadratic problems
2021-01-24 09:21:08 +01:00
Johannes Pfeifer
b652b6d932
csminwel1.m: two small fixes
...
- gh always exists, no need to check
- allow having non-bad gradient in first iteration
2021-01-23 22:18:45 +01:00
Johannes Pfeifer
5bee25c06e
weibull prior: fix second derivative output and suppress display of output
2021-01-23 09:57:17 +01:00
Johannes Pfeifer
82aa669b30
prior densities: make sure derivative output has correct dimensions
2021-01-23 09:57:17 +01:00
Stéphane Adjemian (Charybdis)
2b7dbff459
Cosmetic change.
...
[skip ci]
2021-01-23 09:53:54 +01:00
Johannes Pfeifer
f19decf297
non_linear_dsge_likelihood.m: consistently use options_.particles.pruning
...
Closes https://git.dynare.org/Dynare/dynare/-/issues/1756
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
29537b761b
csminwel1.m: fix bug with user-supplied gradient function
...
transformation to function handle made subsequent ischar-checks non-functioning
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
de16e9c00a
dynare_estimation_1: restore exiting with mode_compute=0 and order=1
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
ade1dfce5e
compute_moments_varendo: cosmetic fix to display
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
b38d6f8139
compute_moments_varendo: use pruned state space at higher order
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
314948ce34
compute_moments_varendo: skip computations for various unsupported cases
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
dedfd0c08f
compute_moments_varendo: skip variance decomposition at higher order
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
9f903db283
disp_th_moments_pruned_state_space.m: cosmetic fix to header
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
417f038cc5
Particle filters: do not compute Kalman smoother
...
Related to https://git.dynare.org/Dynare/dynare/-/issues/1757
2021-01-22 21:19:07 +01:00
Johannes Pfeifer
0b87f66443
non_linear_dsge_likelihood.m: do not set use_k_order_solver with pruning
...
local_state_space_iteration_k does not support it, use local_state_space_iteration_2 at order=2 instead and error out with order=3
2021-01-22 21:19:07 +01:00
Sébastien Villemot
dfa6359dd3
Merge branch 'solve_opt' of git.dynare.org:JohannesPfeifer/dynare
2021-01-22 18:33:12 +01:00
Sébastien Villemot
565d61aad3
Merge branch 'kalman_analytic_bug' of git.dynare.org:JohannesPfeifer/dynare
2021-01-22 18:32:42 +01:00
Sébastien Villemot
35df056905
histval_file: workaround for bug in MATLAB ≤ R2019a
...
Ref. dseries#45
2021-01-22 18:31:31 +01:00
Johannes Pfeifer
731a168f69
Make mh_tune_jscale work with use_mh_covariance_matrix
2021-01-22 15:01:23 +01:00
Johannes Pfeifer
fa739c3a63
posterior_sampler_initialization.m: update record if different sampler is used
...
Also removes redundant field
2021-01-22 15:01:23 +01:00
Johannes Pfeifer
c78890d5ca
posterior_sampler_initialization.m: Allow running different samplers after each other
...
Transform error to warning
2021-01-22 15:01:22 +01:00
Johannes Pfeifer
32bdb82cf8
Make load_mh_file honor use_mh_covariance option
2021-01-22 15:01:02 +01:00
Johannes Pfeifer
a89f21b53d
solvopt.m: prevent returning with inf
2021-01-22 14:56:49 +01:00
Johannes Pfeifer
371fdb227b
solvopt.m: use gradient as second output instead of expecting separate function
2021-01-22 14:56:49 +01:00
Johannes Pfeifer
c6c9b4e356
kalman_filter.m: fix bug when using analytic_derivation
2021-01-22 14:54:17 +01:00
Sébastien Villemot
bc053018a0
Remove risky steady state (unfinished) code
...
Incidently, remove the possibility of passing model derivatives as arguments to
the k_order_perturbation. That possibility was only used by the risky steady
state code.
Closes : #1338
2021-01-22 11:32:36 +01:00
Sébastien Villemot
cc38c4e9f7
Merge branch 'kalman_headers' of git.dynare.org:JohannesPfeifer/dynare
2021-01-19 17:29:24 +01:00
Sébastien Villemot
315bfa6f51
SUR OLS: compatibility fix for MATLAB R2014a
...
Under MATLAB R2014a, the strjoin() function wants a 1×n cell array, and rejects
a n×1 cell array. Octave and MATLAB R2020b are more permissive.
2021-01-19 16:27:28 +01:00
Sébastien Villemot
57326339e9
SUR Gibbs: do not try to create plot under Octave and MATLAB < R2014b
...
The histogram() function does not exist there.
2021-01-19 16:27:26 +01:00
Sébastien Villemot
f81b330f14
Methods of moments: compatibility fix for MATLAB < R2015a
...
The mean(…, 'omitnan') syntax does not exist before R2015a. Use nanmean
instead (either provided by the statistics toolbox, or by our fallback under
matlab/missing/stats/).
2021-01-19 15:50:14 +01:00
Sébastien Villemot
4944a711db
MATLAB R2014a compatibility: fix crash of rplot with several variable names
...
Under MATLAB R2014a, the strjoin() function wants a 1×n cell array, and rejects
a n×1 cell array. Octave and MATLAB R2020b are more permissive.
2021-01-19 15:50:14 +01:00
Sébastien Villemot
f946baf6c5
Testsuite: add workaround for crash of MATLAB R2014a with TeX option
...
The TeX option crashes MATLAB R2014a run with "-nodisplay" option
(as is done from the testsuite). We disable the TeX option in that case.
Since we can’t directly test whether "-nodisplay" has been passed, we test for
the "TOP_TEST_DIR" environment variable, which is set by the testsuite.
Note that it was not tested whether the crash happens with more recent MATLAB
versions, so when OLD_MATLAB_VERSION is increased, one should make a test
before removing this workaround.
2021-01-19 15:50:11 +01:00
Johannes Pfeifer
869147c13a
Kalman filter functions: clarify header comments
2021-01-18 17:33:21 +01:00
Stéphane Adjemian (Charybdis)
38e300b94e
Merge #1786 .
...
Do not compute cholesky decomposition of H if the matrix has zeros on
the diagonal.
2021-01-16 11:24:10 +01:00
Johannes Pfeifer
ad17b8ec33
Particle filtering: provide more informative error messages in typical problematic cases
...
Also adds test cases
2021-01-15 22:11:20 +01:00
Johannes Pfeifer
fe93589148
non_linear_dsge_likelihood.m: return in case of exception without computing prior
2021-01-15 22:11:20 +01:00
Stéphane Adjemian (Charybdis)
b3e8dbe018
Do not rely on internal representation of @dates, use methods instead...
...
... Or add a new method if one is missing.
2021-01-15 20:44:09 +01:00
Sébastien Villemot
4c0b2e8c4e
Mitigation for spurious warning in Octave
...
Because of a bug, Octave wrongly complains that matlab/+pac/+bgp/{get,set}.m
shadow built-in functions (see https://savannah.gnu.org/bugs/?46849 ).
We disable the warning as early as we can after running the dynare command.
However the warning will nevertheless appear two times in a given Octave
session (the first time when the addpath to Dynare is done, the second time
when the dynare command is run).
2021-01-15 18:08:04 +01:00
Sébastien Villemot
e26a5e2805
NLS: compatibility fix for Octave and MATLAB < R2014b
2021-01-15 17:42:00 +01:00
Sébastien Villemot
547969df45
Trust region: compatibility fix for Octave and MATLAB < R2017b
...
When merging the enterprise code, the dogleg subfunction was modified to
incorporate a call to decomposition(), which does not exist under Octave and
MATLAB < R2017b.
For those cases, we reinstate the old code (which uses a plain matrix right
divide).
2021-01-15 17:30:17 +01:00
Sébastien Villemot
8f07a134a3
OLS + aggregate: compatibility fix for Octave < 6
...
unique(…, 'stable') does not exist in Octave 5.
2021-01-15 17:19:38 +01:00
Stéphane Adjemian (Charybdis)
6c5d61355b
Updated dseries submodule (new implementation of @dates).
2021-01-15 12:46:02 +01:00
Willi Mutschler
52a57eaf60
MoM: Remove duplicate check in gradient helper function
2021-01-14 14:17:55 +01:00
Willi Mutschler
a697002a4e
MoM: Gradient-based optimizers can use analytical Jacobian for GMM
...
New option analytic_jacobian for mode_compute 1, 3, and 13
2021-01-14 10:03:39 +01:00
Sébastien Villemot
6639cd8a41
Merge branch 'MoM' of git.dynare.org:JohannesPfeifer/dynare
2021-01-13 15:59:05 +01:00
Sébastien Villemot
7476d741a2
Merge branch 'estimation_forecast' of git.dynare.org:JohannesPfeifer/dynare
2021-01-13 15:58:25 +01:00
Stéphane Adjemian (Odysseus)
f4508a6ca1
Revert "update jacob_element & hess_element for vector arguments"
...
This reverts commit 1975e467b5
.
2021-01-12 16:48:49 +01:00
Stéphane Adjemian (Odysseus)
47affc94e1
Revert "Matrix notation: fix bug in numerical Hessian of external functions"
...
This reverts commit 2acacf61f1
.
2021-01-12 16:48:21 +01:00
Stéphane Adjemian (Odysseus)
8fd18fa9ba
Merge remote-tracking branch enterprise into master.
2021-01-12 16:45:51 +01:00
Stéphane Adjemian (Odysseus)
0e1c9312e2
Merge remote-tracking branch 'Dynare/master' into enterprise
2021-01-11 11:06:55 +01:00
Johannes Pfeifer
ea03868a6b
mode_compute=0: run dyn_forecast after smoother when forecast > 0
2021-01-10 19:46:18 +01:00
Johannes Pfeifer
fbb1272164
Fix mode_compute=12 and filter out mode_compute=11
2021-01-10 17:30:35 +01:00
Sébastien Villemot
c397828eb7
Merge branch 'smoother2histval' of git.dynare.org:JohannesPfeifer/dynare
2021-01-08 19:02:44 +01:00
Stéphane Adjemian (Charybdis)
18b54dfa98
Updated dseries submodule.
2021-01-07 22:00:51 +01:00
Johannes Pfeifer
b2efc7a604
smoother2histval.m: fix bug when variable names are similar
2021-01-07 21:44:06 +01:00
Sébastien Villemot
4434edae0b
Merge branch 'MoM_testsuite' into 'master'
...
Method of Moments: Updates to testsuite
See merge request Dynare/dynare!1799
2021-01-07 19:52:13 +00:00
Willi Mutschler
b3e3501a6d
MoM: Fix bug in SMM with ME
...
Occurs by running RBC_MoM_SMM_ME with mode_compute=9
2021-01-07 14:25:26 +01:00
Willi Mutschler
2b554e0511
MoM: cosmetical changes to description of options in testsuite
2021-01-07 13:39:45 +01:00
Willi Mutschler
ba8d5d364d
MoM: Update copyright years
2021-01-07 10:32:35 +01:00
Sébastien Villemot
8e7d0d2c5d
Preprocessor binary renamed and moved, various other improvements to make install rules
...
– preprocessor binary renamed to dynare-preprocessor
— the preprocessor binary is now installed under a preprocessor/ top-level directory
— a backward-compatibility symlink is still provided under
matlab/preprocessor64/dynare_m
— the make install rule now install PDF and HTML documentation when those have
been built
Closes : #1728
2021-01-06 18:17:20 +01:00
Sébastien Villemot
860775ca49
Merge branch 'labels' of git.dynare.org:JohannesPfeifer/dynare
2021-01-06 14:30:52 +01:00
Sébastien Villemot
25d5352350
Include Dynare version and input arguments into log file
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The log file is now started from dynare.m.
Closes : #1743
2021-01-06 14:29:37 +01:00
Willi Mutschler
e2f16b504c
MoM: Improve mode_compute=0 and more details on optimizers
2021-01-06 13:57:07 +01:00
Johannes Pfeifer
ca978b6bf7
get_labels_transformed_vars.m: fix header
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[skip CI]
2021-01-06 10:27:53 +01:00
Sébastien Villemot
8b3da285d2
Merge branch 'msbvar' of git.dynare.org:JohannesPfeifer/dynare
2021-01-04 14:27:32 +01:00
Johannes Pfeifer
3ef988dfcd
msbvar: provide error is chain is not specified
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See https://forum.dynare.org/t/cannot-have-number-of-chains-for-variance-or-coefficient-bigger-than-1/16650
2021-01-01 11:31:33 +01:00
Johannes Pfeifer
9c52aec23d
Adjust output of loglinear option to make clear when a logged variable is used
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- use of function for getting labels will allow to accommodate https://git.dynare.org/Dynare/dynare/-/issues/349
- incidentally fixes a bug in the display of the simulated variance decomposition for observables with measurement error
2020-12-23 13:53:44 +01:00
Sébastien Villemot
5deaca993b
Merge branch 'discretion' of git.dynare.org:JohannesPfeifer/dynare
2020-12-22 12:29:38 +01:00
Johannes Pfeifer
9728a52889
evaluate_planner_objective.m: lift size restriction by solving Lyapunov equation instead of using Kronecker
2020-12-19 14:12:12 +01:00
Johannes Pfeifer
4b793da2c3
discretionary_policy: allow for non-linear model to be used
2020-12-18 18:22:39 +01:00
Willi Mutschler
205b87d195
MoM: Fix typos, improve messages and checks, schur_vec_tol option, dname
2020-12-18 16:16:30 +01:00
Willi Mutschler
2359a1496c
MoM: Changed default qz_criterium and added Schur_vec_tol
2020-12-18 16:16:30 +01:00
Willi Mutschler
4d9ee3f8e5
MoM: Update To-Do list
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- lsqnonlin takes less time in Andreasen toolbox due to different handling of bounds; our approach is better (objective is smaller for RBC model)
- user-specified weightning matrix does work
- qz_criterium is set to 1+e-6 to allow for unit-roots (but observables need to be stationary)
- informative message is printed that NaN values in data moments are replaced by mean
- estimated_params_bounds work as well as informative message when parameters are not calibrated
- SMM at any order without pruning works
- SMM with pruning works for orders 1,2,3; for orders above 3 simult_.m throws an error that pruning is not available
- Analytical standard errors for GMM and Bayesian estimation is included
- dirname is not needed
- Remaining to dos are updated
2020-12-18 16:16:30 +01:00
Willi Mutschler
5d475d4527
MoM: Checks and fixes for perturbation order and pruning
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- Set pruning to false as default, for GMM we turn it on for order>2 and display a message for the user that we do so
- Provide error if users try GMM with order > 3
- For SMM, order > 2 and no pruning, simult_.m uses Dynare++ routines which require a seed
2020-12-18 16:16:10 +01:00
Willi Mutschler
363610affe
MoM: Save checkplot data also in graphs folder
2020-12-18 16:16:10 +01:00
Willi Mutschler
eae5e2f029
MoM: Add analytical standard errors for GMM
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Reset analytic_derivation_mode for steadystate file parameter changes
MoM: Fix GMM analytical standard errors wrong dimensions in autocovs
2020-12-18 16:16:10 +01:00
Sébastien Villemot
ec8ea32b3e
Merge branch 'dname' of git.dynare.org:JohannesPfeifer/dynare
2020-12-18 15:43:30 +01:00
Sébastien Villemot
ba71db647e
Merge branch 'Schur_vec_tol' of git.dynare.org:JohannesPfeifer/dynare
2020-12-18 15:40:57 +01:00
Johannes Pfeifer
7bdf07631a
Provide better warnings when using ramsey_constraints
2020-12-18 12:59:29 +00:00
Johannes Pfeifer
83774a1f44
global_initialization.m: Remove automatic creation of directories
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When using `dname` they would be redundant
2020-12-17 20:10:58 +01:00
Johannes Pfeifer
f2cde3b6d9
Make schur_vec_tol settable and document it
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Related to https://git.dynare.org/Dynare/preprocessor/-/merge_requests/29
Also convert it to lowercase as all other options
2020-12-17 19:59:22 +01:00
Sébastien Villemot
b8d396e388
Merge branch 'pruned_moments' of git.dynare.org:JohannesPfeifer/dynare
2020-12-17 16:47:02 +01:00
Sébastien Villemot
49e73e48d3
dseries: Octave 6 compatibility fixes
2020-12-17 16:44:26 +01:00
Sébastien Villemot
44f3a26042
Octave 6 compatibility fix
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By the way, remove an obsolete version test for MATLAB (since we now require
R2014a).
2020-12-17 16:08:32 +01:00
Johannes Pfeifer
4cf9f7d1a7
stoch_simul.m: reports second moments based on pruned state space at order=2 when pruning is specified
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Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1744
2020-12-17 09:45:28 +01:00
Johannes Pfeifer
da3943beba
Make sure output is saved in dname-folder
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That's where other functions are looking for them
2020-12-16 22:41:55 +01:00
Sébastien Villemot
4aa25e26b2
Merge branch 'ramsey_tag' into 'master'
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get_complementarity_conditions.m: fix variable naming
See merge request Dynare/dynare!1788
2020-12-14 17:55:37 +00:00
Johannes Pfeifer
3f18acb1f2
get_complementarity_conditions.m: fix variable naming
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Model structure must be named M_ for eval-statement with parameters replaced by position in M_.params to work
2020-12-14 17:46:08 +01:00
Sébastien Villemot
9351fd662f
Merge branch 'cova_compute' into 'master'
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🐛 allow cova_compute=0 with user-defined MCMC_jumping_covariance
See merge request Dynare/dynare!1787
2020-12-10 11:35:51 +00:00
Johannes Pfeifer
35b1a6859f
🐛 allow cova_compute=0 with user-defined MCMC_jumping_covariance
2020-12-09 22:31:43 +01:00
Stéphane Adjemian (Charybdis)
12ef75314a
Apply d8ddd9ef6
to deterministic exogenous variables.
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(cherry picked from commit eceba8d6da
)
2020-12-09 14:59:20 +01:00
Stéphane Adjemian (Charybdis)
ffa828a659
Fixed multiple periods expected shocks in the case of mshocks.
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(cherry picked from commit d8ddd9ef61
)
2020-12-09 14:59:20 +01:00
Stéphane Adjemian (Charybdis)
a669c3765d
Cosmetic change in doc headers.
2020-12-07 22:25:54 +01:00
Stéphane Adjemian (Charybdis)
eceba8d6da
Apply d8ddd9ef6
to deterministic exogenous variables.
2020-12-07 22:25:54 +01:00
Sébastien Villemot
7e9a87c313
evaluate_steady_state.m: small simplification
2020-12-07 16:25:01 +01:00
Sébastien Villemot
1c0d1409ea
Fix the use of [static]/[dynamic] equations with the “block” option
2020-12-07 16:24:13 +01:00
Houtan Bastani
a16023103b
ensure only lowercase files are retrieved
2020-12-07 12:31:37 +01:00
Sébastien Villemot
05c7925620
Accessors for posterior distributions of objects, needed by the MATLAB GUI
2020-12-07 12:31:26 +01:00
Sébastien Villemot
8ba1a15262
Remove outdated Occbin files
2020-12-03 10:50:58 +01:00
Sébastien Villemot
c160d24074
Octave 6 implements intersect(…, 'stable')
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[skip ci]
2020-11-30 18:26:50 +01:00
Willi Mutschler
03641585e4
✅ Fix lsqnonlin in Octave
2020-11-26 17:07:46 +01:00
Willi Mutschler
25f1641db1
Change order of checks for NaN moments, improve warnings and errors
2020-11-26 16:45:07 +01:00
Sébastien Villemot
21e61ef954
Merge branch 'identification_fixes' of git.dynare.org:wmutschl/dynare
2020-11-26 16:36:34 +01:00
Sébastien Villemot
6076c1a140
Remove obsolete VAR estimation routine
2020-11-26 15:59:23 +01:00
Willi Mutschler
a710532c3a
🐛 Fix identification error with unit root observables and diffuse_filter set
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Fixes #1752
2020-11-26 13:49:14 +01:00
Willi Mutschler
4aa0fa540e
Display minimum in check plots in method of moments
2020-11-26 13:28:29 +01:00
Sébastien Villemot
2b17a711e0
Provisions for MATLAB R2020b
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(cherry picked from commit fa12e5abfc
)
2020-11-24 20:47:40 +01:00
Stéphane Adjemian (Charybdis)
d8ddd9ef61
Fixed multiple periods expected shocks in the case of mshocks.
2020-11-24 15:04:41 +01:00
Sébastien Villemot
8c63c97d3c
Merge branch 'numprocs' into 'master'
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Add num_procs.m function in missing
See merge request Dynare/dynare!1778
2020-11-23 16:51:42 +00:00
Johannes Pfeifer
eb52fd1eaa
Add num_procs.m function in missing
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Preserves ability to run Dynare with m-replacements
[skip CI]
2020-11-23 15:51:55 +01:00
Johannes Pfeifer
27946a7553
dyn_second_order_solver.m: remove unused code
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Redundant due to transformation to one lead-lag problem
2020-11-22 21:23:55 +01:00
Willi Mutschler
3c1087a369
Fix for sylvester3a for purely forward-looking models
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In purely forward-looking models ghx is empty and sylvester3a gives a "Operands to the || and && operators must be convertible to logical scalar values" error, as e becomes a "1×0 empty double row vector" and not a logical.
2020-11-21 09:46:10 +01:00
Johannes Pfeifer
e42654b812
method_of_moments.m: Octave compatibility fix
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Octave does not support randstream; related to https://git.dynare.org/Dynare/dynare/-/issues/1749
2020-11-19 10:07:35 +01:00
Stéphane Adjemian (Charybdis)
2cf5c5d0c1
Removed Octave's idiosyncrasies.
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Matlab Production Server (MPS) fails when onboarding the dynare package
because of `endif` and `endfunction` which are not available in matlab's
syntax.
2020-11-17 17:32:30 +01:00
Sébastien Villemot
426e52e2d9
Merge branch 'mjdgges' into 'master'
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Add mjdgges.m unit test
Closes #1438
See merge request Dynare/dynare!1771
2020-11-13 17:10:14 +00:00
Johannes Pfeifer
c4c8a0256d
Add mjdgges.m unit test
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1438
2020-11-13 15:55:20 +01:00
Sébastien Villemot
6dac5a5d1f
Particules submodule update
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– Consistently use LaTeX labels in figures instead of relying on psfrag
– Fix eps-TeX-loaders
– auxiliary_particle_filter.m: set undefined variable (Ref. #1718 )
2020-11-13 13:19:34 +01:00
Sébastien Villemot
79652f13d7
Merge branch 'nanmean_octave' into 'master'
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nanmean: Compatibility fix for Octave
See merge request Dynare/dynare!1769
2020-11-13 12:18:40 +00:00
Sébastien Villemot
e6c8daf922
Merge branch 'endog_prior_NaN' into 'master'
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endogenous_prior.m: deal with missing data
Closes #1744
See merge request Dynare/dynare!1768
2020-11-13 11:53:19 +00:00
Johannes Pfeifer
e9ef9a5f4b
nanmean: Compatibility fix for Octave
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Octave does not support Matlab's recommended syntax
2020-11-13 12:03:17 +01:00
Johannes Pfeifer
445cbf67d2
endogenous_prior.m: deal with missing data
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1744
2020-11-13 10:54:44 +01:00
Sébastien Villemot
74d7c8a7f4
Merge branch 'pf_init' into 'master'
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Fix initialization of state variances
See merge request Dynare/dynare!1762
2020-11-12 11:22:41 +00:00
Johannes Pfeifer
dab5d38068
Fix initialization of state variances
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- incomplete computation of variances in case 1
- wrong ordering for case 2
2020-11-12 10:43:04 +01:00
Johannes Pfeifer
c0c1b98326
discretionary_policy_1.m: take care of presence of auxiliary equations
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Happens e.g. with news shocks
2020-11-11 22:08:19 +01:00
Sébastien Villemot
fcb52478e4
Preprocessor: replace exogenous with lead/lags by auxiliary variables in deterministic models
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Several tests need to be adapted, because they were implicitly making the
assumption that there is no auxiliary variable.
Incidentally, this closes #1731 . This commit therefore also removes the
workaround introduced in 0391dbbeb1
.
2020-11-09 16:34:12 +01:00
Sébastien Villemot
029ab65e68
Perfect foresight with initval_file: fix another bug when M_.orig_maximum_lag ≠ M_.maximum_lag
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Similar to 95dcb5f4b7
.
2020-11-05 16:08:57 +01:00
Sébastien Villemot
95dcb5f4b7
Perfect foresight with initval_file: fix bug when M_.orig_maximum_lag ≠ M_.maximum_lag
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By the way, remove inexact comment about a similar code in histvalf.m
2020-11-05 15:39:55 +01:00
Stéphane Adjemian (Charybdis)
b066012033
Fixed R² in SUR model when estimating a subset of equations.
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Closes #5
2020-10-26 15:07:50 +01:00
Stéphane Adjemian (Charybdis)
f36ee06041
Updated dseries submodule (matlab-fame-io improved initialization of daily dseries from FAME).
2020-10-21 19:29:07 +02:00
Sébastien Villemot
5fab01c534
Perfect foresight: fix case where max lead/lag on exo is greater than max lead/lag on endo
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Bug introduced in commit e21cb1ad6b
Ref. #1720
2020-10-21 19:12:22 +02:00
Sébastien Villemot
e21cb1ad6b
LMMCP: fix the purely backward and purely forward cases
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Closes : #1720
2020-10-21 16:30:40 +02:00
Sébastien Villemot
4ba0f0a9c3
LMMCP: don’t report a wrong maxerror, rather put NaN
2020-10-20 18:27:19 +02:00
Sébastien Villemot
46da76c0ce
LMMCP: fix bug when periods=1
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The fix in commit 24cc67e585
was incorrect.
2020-10-20 18:20:04 +02:00
Sébastien Villemot
87cc519321
LMMCP / linear perfect foresight: fix bug for models with a single equation
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The routines use the find() function applied to a subset of columns of the
Jacobian, which in this case is a row vector. When passed a row vector, find()
returns row vectors (while it returns column vectors when passed a column
vector or a matrix). This case was not correctly handled.
2020-10-20 18:20:02 +02:00
Sébastien Villemot
df58037feb
Reporting: rename @graph class to @report_graph, to avoid name clash with MATLAB’s @graph
2020-10-20 14:39:47 +02:00
Sébastien Villemot
e3207b1d8c
Extended path: remove ep.use_bytecode flag
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It’s actually useless and complicates the code. Simply rely on
options_.bytecode.
Ref. #1742
2020-10-15 11:06:59 +02:00
Sébastien Villemot
10333f99e2
Fix extended_path + bytecode under Octave
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Ref. #1742
2020-10-15 10:59:15 +02:00