3ebc982b02
Add state_uncertainty to Bayesian smoother
2016-11-04 09:23:55 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
8166707dd4
Document missing_DiffuseKalmanSmootherH3_Z.m
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Also properly initializes Kinf
2016-11-04 09:21:53 +01:00
86534a5f9f
missing_DiffuseKalmanSmootherH1_Z.m: introduce proper case distinction in diffuse backward pass if Finf is singular
2016-11-04 09:21:53 +01:00
9ce577b126
Cosmetic changes to missing_DiffuseKalmanSmootherH1_Z.m
2016-11-04 09:21:53 +01:00
e3aecd4e74
Diffuse Kalman filter: add comment for better comparison to Koopman/Durbin (2003) as there is a typo in their paper
2016-11-04 09:21:53 +01:00
c94011eeb8
missing_DiffuseKalmanSmootherH1_Z.m: fix crash when Pinf is singular for more than 1 period
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iFstar was accessed as three-dimensional array with t along third dimension, but it is only two-dimensional
2016-11-04 09:21:53 +01:00
ff1522a571
2 bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
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1. In case of missing observations, a_t was not propagated forward to updated a_t+1
2. In the rank-deficient Finf case, Kstar was defined as T^(-1)*K^(0), while in the full rank it was defined as Kstar=K^(0), leading to wrong results when switches between the two clauses occurred. Moreover, the later backwards pass relied on Kstar=K^(0), leading to wrong results when the rank-deficient Finf case was triggered. The implementation now consistently follows the one in kalman_filter_d.m
2016-11-04 09:21:53 +01:00
57d600301b
Correct description of Kstar
2016-11-04 09:21:53 +01:00
e2e16339a8
Merge pull request #1326 from JohannesPfeifer/posterior_IRFs
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Posterior IRFs: only plot HPDIs when sufficient draws were generated
2016-11-04 09:14:13 +01:00
b069241d18
Merge pull request #1217 from JohannesPfeifer/qz_estimation
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Make sure diffuse_filter triggers qz_criterium>1
2016-11-04 06:47:17 +01:00
09d374a0be
Merge pull request #1303 from JohannesPfeifer/shock_decomp
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Shock decomposition and posterior moments
2016-11-04 00:41:04 +01:00
a60f5a81fe
Reverted merge of pr#1323.
2016-11-03 23:09:31 +01:00
a11e355587
Merge pull request #1327 from JohannesPfeifer/line_break
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Add missing line break in stoch_simul.m
2016-11-03 18:04:10 +01:00
9543f3b3ae
Add missing line break in stoch_simul.m
2016-11-03 18:02:03 +01:00
c9571b794c
Merge pull request #1320 from JohannesPfeifer/var_decomp
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Initialize variance decomposition array to NaN instead of 0
2016-11-03 17:36:22 +01:00
a4fc0cb1a6
Fixed typo.
2016-11-03 17:22:44 +01:00
f303378f54
Added warnings about the BVAR identification scheme.
2016-11-03 17:22:44 +01:00
9900c05560
Added missing command in list of BVAR commands.
2016-11-03 17:22:44 +01:00
fac3348dfe
Add information on bvar_irf to bvar-a-la-sims.tex
2016-11-03 17:22:44 +01:00
b2954b4103
Add bvar_irf to unit test
2016-11-03 17:22:44 +01:00
ef2ee9d2b0
Fix typo in manual
2016-11-03 17:22:44 +01:00
c0e5cc6abf
Merge pull request #1313 from JohannesPfeifer/evaluate_steady_state
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evaluate_steady_state.m: make sure ys contains auxiliary variables in…
2016-11-03 15:30:02 +01:00
0c3065b39b
Posterior IRFs: only plot HPDIs when sufficient draws were generated
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Otherwise a crash during plotting will happen
2016-10-30 18:31:11 +01:00
9bdc0286d6
Fix bug in dyn_forecast.m that led to crashes when periods-option was not specified
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Condition for setting ex did not account for equality of horizon and periods
2016-10-30 10:41:14 +01:00
08617bb740
fix typo
2016-10-28 16:30:43 +02:00
cf3d82f0f8
Merge pull request #1323 from JohannesPfeifer/qz_test
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Add unit test for qz_criterium
2016-10-28 10:37:43 +02:00
5fe79aeda2
Add unit test for qz_criterium
2016-10-27 20:16:43 +02:00
0a2f3f0f10
Merge pull request #1322 from JohannesPfeifer/cosmetic
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Fix typo in comment of dsge_likelihood.m
2016-10-27 17:20:51 +02:00
4502369617
Fix typo in comment of dsge_likelihood.m
2016-10-27 17:15:24 +02:00
e3fbefc616
mjdgges: fix bug where qz_criterium was not taken into account if a threshold argument is also passed
2016-10-27 11:19:34 +02:00
f38f9b0268
submodule update: dseries
2016-10-26 12:09:26 +02:00
2499a13e5a
test suite: add stats directory for stats tests so that those functions are called instead of the built in octave functions
2016-10-25 18:13:07 +02:00
7370d49792
test suite: suppress dynare_config output
2016-10-25 16:31:33 +02:00
0b6588c932
test suite: change related to b5f0621f02. revert when new Octave is released
2016-10-25 16:31:33 +02:00
982fc38504
Updated dseries submodule (fixes for method interfaces).
2016-10-25 11:57:15 +02:00
bc8a7f1b09
build system: change min os x version to build mex with libstdc++
2016-10-24 16:00:26 +02:00
7dafeb2bc8
test suite: fix bug introduced in f5f71ca838
2016-10-24 12:56:26 +02:00
764d2e6ba5
test suite: use dynare_config instead of calling dynare on non_existant_mod_file.mod to set up paths
2016-10-24 11:39:54 +02:00
46cdaf8e0a
fiminsearch only has two output args under Octave
2016-10-21 17:40:27 +02:00
f5f71ca838
test suite: load Octave packages potentially needed when running test suite
2016-10-21 17:40:27 +02:00
28af4678b2
Updated dseries submodule.
2016-10-21 16:13:48 +02:00
d7fc50796c
submodule update: dseries, m-unit-tests
2016-10-21 15:16:14 +02:00
847feb17fa
fix mex compilation commands for Matlab R2016b on macOS. Closes #1288
2016-10-20 14:03:35 +02:00
4a1ad80747
test suite: add license/copyright info
2016-10-19 15:12:44 +02:00
22a5739eb7
test suite: don't use when running octave test
2016-10-19 15:11:30 +02:00
d045fc65a5
test suite: remove ‘exit;’ causes octave 4.2.0 rc2 to terminate with uncaught exception of type octave::exit_exception
2016-10-18 15:04:03 +02:00
9b8a542661
Initialize variance decomposition array to NaN instead of 0
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Because only stationary variables are updated, prevents non-stationary variables from showing up with 0 instead of NaN
2016-10-18 10:52:57 +02:00
084df40535
fix mex compilation commands for Matlab R2016b on Linux. #1288
2016-10-17 18:40:48 +02:00
5218c747c2
Merge pull request #1319 from JohannesPfeifer/dll_test
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Add correctness check for trigonometric functions to use_dll test
2016-10-17 15:02:08 +02:00
Johannes Pfeifer
Stéphane Adjemian
Houtan Bastani