2a8436aa44
Extends the block Kalman filter to the missing observations case (not called for the moment)
2012-06-11 10:39:25 +02:00
129553579a
Merge remote-tracking branch 'ratto/master'
2012-06-08 18:24:18 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
69d015a777
Asymptotic Hessian now works also for univariate stationary KF.
2012-06-08 15:26:14 +02:00
2fecf9946b
1) Extended optimizer = 5 for analytic derivatives;
...
2) Start adapting identification routines to allow computation of analytic asymptotic Hessian with KF routines
2012-06-08 14:23:18 +02:00
c26a211827
analytic_derivation and loglinear are incompatible
2012-06-08 11:33:33 +02:00
7f9d2968d9
fixed bug introduced in previous commit: offset needs to be computed for analytic derivatives.
2012-06-08 08:50:07 +02:00
06ca265272
Complete the bug fix for the calibrated correlations in the structural and measurement covariance matrices.
...
Call set_all_parameters routine in dsge_likelihood. Note that
correlations between innovations are not allowed in dsge-var models.
2012-06-07 15:13:39 +02:00
3cbd702b3e
Fixed bugs (initialization of the Kalman filter with the fixed point of the Riccatti equation).
2012-06-06 18:25:07 +02:00
dc7c0fa74d
Include prior info in penalty with Bayesian estimation.
...
This can improve a bit optimization routines when parameter go beyond prior bounds during line search algorithms or when numerical gradient is computed.
2012-05-31 14:44:16 +02:00
da9ec0f187
Estimation with analytic scores and hessian;
...
This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
bb02c4d6df
Bug fix for univariate KF (nobs was not defined, replaced with pp) + provisions fro eliminating dsge_likelihood_hh function;
2012-04-29 21:18:33 +02:00
eed54fb08a
- Adds new algorithms to solve Lyapunov equations: Doubling algorithm and Square root solver. Their respective names are "doubling" and "square_root_solver".
...
- Adds the tolerance criteria for the iterative solvers (sylvester_fixed_point_tol, lyapunov_fixed_point_tol and lyapunov_doubling_tol)
- Updates the reference manual
2012-04-20 19:23:00 +02:00
8ac14f8c80
Adds fixed point solvers for Sylvester and Lyapunov equations
2012-03-06 12:03:23 +01:00
636cd1bae6
calling always multivariate Kalman filter first, even if univariate
...
diffuse Kalman filter was used before
2012-01-22 18:59:19 +01:00
cfb5114d41
corecting logic for selecting univariate diffuse filter and dealing
...
with correlated measurement errors
2012-01-22 18:37:29 +01:00
111347469f
adding comment explaining initialization of persistent variable
...
penalty in dsge_likelihood.m and dsge_likelihood_hh.m Removed misleading
initialization code. Added call to dsge_likelihood_hh in
initial_estimation_checks to initialize persistent variable in that
function as well.
2012-01-09 21:23:17 +01:00
f9d2dec97f
preparing dsge_loglikelihood.m for future integration of estimation DLL
2012-01-08 21:55:02 +01:00
d12e1b7801
replaced BayesInfo.penalty by penalty as it is now a persistent variable
2012-01-08 17:58:22 +01:00
bf69bac140
Fixed typo in comments.
2011-12-26 17:46:49 +01:00
41c8faf176
Fixed header.
2011-12-26 17:46:49 +01:00
ecac871435
Changed the name of DsgeLikelihood (-> dsge_likelihood).
2011-12-26 17:46:48 +01:00
Ferhat Mihoubi
Sébastien Villemot
Marco Ratto
Stéphane Adjemian (Charybdis)
Ferhat
Michel Juillard