1dbbef9f2e
Merge branch 'moment_estimation' into 'master'
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First implementation of moment estimation
See merge request Dynare/dynare!1750
2020-07-16 15:41:15 +00:00
19b7d202d2
testsuite: Add test cases
2020-07-16 14:54:04 +02:00
b273a2792b
Fix iterated method of moments
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Also improve fprintf descriptions and comments and other cosmetical changes
2020-07-16 14:47:20 +02:00
cda3253d2c
Merge branch 'ME_traceplots' into 'master'
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Fix trace plots with measurement errors and their correlations
See merge request Dynare/dynare!1752
2020-07-16 09:39:47 +00:00
499451d50a
Merge branch 'pruned_state_space' into 'master'
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Speed up pruned_state_space_system.m by e.g. using persistent variables
See merge request Dynare/dynare!1749
2020-07-16 09:39:01 +00:00
9c99eac55c
Move more options to substructure options_mom_.mom
2020-07-16 11:38:41 +02:00
552b995215
Remove stuff and checks that are already done in the preprocessor
2020-07-16 11:38:41 +02:00
540f0454d2
Code Review of GMM routines
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- fix prefilter option
- Implement iterative GMM
2020-07-16 11:38:40 +02:00
a40807caa9
plot_priors.m: Allow for optional title
2020-07-16 11:38:39 +02:00
e14e9641e8
Factorize checking of positive definiteness
2020-07-16 11:38:38 +02:00
3615962a61
First draft of method of moments toolbox with GMM and SMM
2020-07-16 11:38:38 +02:00
77dbeab98a
Preprocessor update
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— add syntax for methods of moments estimation
— allow empty shocks(overwrite) blocks
— PAC MCE: fix incorrect detection of the target variable
— Do not print aux. var. for PAC expectation in dynamic_set_auxiliary_series routine.
— PAC MCE expectations: add corresponding auxiliary variables in
dynamic_set_auxiliary_series.m and set_auxiliary_variables.m
— Unary ops substitution: bugfix, actually restrict the substitution to the
chosen equations
2020-07-16 10:58:05 +02:00
8a00ee3dff
AnSchorfheide_pruned_state_space.mod: remove test part that only showcases that in Andreasen's code there is an error
2020-07-15 15:37:49 +02:00
f717712ed6
Fix trace plots with measurement errors and their correlations
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Problem was introduced when transitioning to cell arrays
2020-07-15 14:34:04 +02:00
62fc244576
Merge branch 'singularity' into 'master'
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DsgeSmoother: add warning if there is stochastic singularity
See merge request Dynare/dynare!1751
2020-07-15 10:45:06 +00:00
1cc29d765b
DsgeSmoother: add warning if there is stochastic singularity
2020-07-15 11:00:48 +02:00
51278b2f90
Testsuite / External functions: also test coefficients of 2nd order policy function
2020-07-10 18:25:23 +02:00
acdca03e43
Testsuite / External functions: add file missing in previous commit
2020-07-09 18:42:17 +02:00
5b88113668
Testsuite / External functions: add check for numerical results
2020-07-09 18:40:36 +02:00
e525798a64
External functions: decrease step used for numerical derivation
2020-07-09 18:40:36 +02:00
11ef652136
Manual, external functions: when derivatives are not provided, finite difference is used
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[skip ci]
2020-07-09 18:03:35 +02:00
9e92dfd7c4
Speed up pruned_state_space_system.m by e.g. using persistent variables
2020-07-08 19:50:31 +02:00
e9810d7e71
Merge branch 'JSON_manual' into 'master'
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Add description of JSON output folder
See merge request Dynare/dynare!1748
2020-07-08 14:42:17 +00:00
d4a45962d3
Add description of JSON output folder
2020-07-08 16:39:43 +02:00
37a03e7d77
Merge branch 'newrat' into 'master'
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newrat: Further replacement of varargins by explicit options
See merge request Dynare/dynare!1747
2020-07-08 14:25:02 +00:00
d10242fbab
dynare_minimize_objective.m: change parameter names to expected cell array
2020-07-08 11:44:47 +02:00
6b592cbb00
newrat: Further replacement of varargins by explicit options
2020-07-08 11:44:34 +02:00
dc6e3406e5
Merge branch 'tolerance' into 'master'
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Correctly distinguish tolerance between steady and perfect foresight
See merge request Dynare/dynare!1746
2020-07-07 09:46:28 +00:00
6a6271225c
Merge branch 'minimize_objective' into 'master'
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Minimize objective
See merge request Dynare/dynare!1737
2020-07-07 09:35:39 +00:00
607a273bb0
Correctly distinguish tolerance between steady and perfect foresight
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steady uses options_.solve_tolf as a termination criterion, so subsequent checks should do the same. Similarly, solve_tolx was never used.
2020-07-06 13:11:23 +02:00
3736272331
Merge branch 'lyap' into 'master'
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disclyap_fast.m: bugfixes and improvements
See merge request Dynare/dynare!1745
2020-07-01 08:14:46 +00:00
287ec91982
disclyap_fast.m: bugfixes and improvements
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- loop termination criterion did not match subsequent check
- dimensions of NaN were incorrect
- exitflag was mostly meaningless due to erroring out
- Make max_iter an optional input
- Move file from partial information folder to Matlab
2020-06-30 16:43:00 +02:00
4913cfb3f0
Merge branch 'third_order_moments' into 'master'
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Add display of theoretical moments at order=3 with pruning
See merge request Dynare/dynare!1744
2020-06-30 14:38:22 +00:00
9d2ec5f040
disp_th_moments.m: cosmetic changes
2020-06-30 15:31:55 +02:00
dfc7357636
Add display of theoretical moments at order=3 with pruning
2020-06-30 13:46:54 +02:00
e5cf2a3739
Merge branch 'ME_moments' into 'master'
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Bugfixes around moment computation with measurement errors
See merge request Dynare/dynare!1743
2020-06-29 14:05:42 +00:00
f3329c2db6
compute_moments_varendo.m: delete stale results field
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Otherwise, results from old runs will not be updated
2020-06-29 13:21:25 +02:00
ac728c0492
Add test cases for moments with measurement errors
2020-06-29 13:21:08 +02:00
6e06acc7f4
Fix moment computation with Measurement errors
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- check logic for M_.H was faulty
- M_.H was not updated in posterior sampling
2020-06-29 13:20:02 +02:00
69fc7acb9c
Add function for updating measurement error covariance matrix
2020-06-26 18:28:07 +02:00
695ec4b6c1
set_parameters_locally.m: fix comment
2020-06-26 18:28:07 +02:00
ed8845c60f
Manual: compatibility fix with Sphinx 3
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sphinx.locale.l_ has been deprecated since Sphinx 1.8, and removed in Sphinx 3.
Use sphinx.locale._ instead.
2020-06-26 14:10:48 +02:00
faa4416b99
Merge branch 'pnames' into 'master'
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Move definition of prior distribution names to separate function to make it...
See merge request Dynare/dynare!1742
2020-06-26 11:55:28 +00:00
e92054e16b
Move definition of prior distribution names to separate function to make it useable in other contexts.
2020-06-26 12:07:16 +02:00
fdd9676071
Merge branch 'dyn_latex_table' into 'master'
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dyn_latex_table.m: move latex output to latex subfolder
See merge request Dynare/dynare!1741
2020-06-26 10:04:28 +00:00
1c759bb232
dyn_latex_table.m: move latex output to latex subfolder
2020-06-25 17:09:49 +02:00
d7a8b6de4f
Preprocessor: block decomposition + use_dll: fix bug in timing of exogenous variables
2020-06-25 15:20:22 +02:00
71c20d76df
dseries: daily frequency; DBnomics support
2020-06-25 11:45:04 +02:00
530f2fa5a6
Merge remote-tracking branch 'jpfeifer/rplot'
2020-06-25 10:50:56 +02:00
df35b684d9
Merge remote-tracking branch 'jpfeifer/disp_moments'
2020-06-25 10:50:49 +02:00
Sébastien Villemot
Willi Mutschler
Johannes Pfeifer