Stéphane Adjemian
|
c477d25fe2
|
Merge pull request #1086 from JohannesPfeifer/constant_moments
Save posterior moments even if the distribution is degenerate
|
2015-10-14 22:15:09 +02:00 |
Stéphane Adjemian
|
f12a468bb3
|
Merge pull request #1085 from rattoma/optimizer_number_5
enhancements to optimizer 5
|
2015-10-14 17:33:27 +02:00 |
Houtan Bastani
|
f583add550
|
prior_posterior_function: save results to different structures, depending on which command was called
|
2015-10-14 11:19:12 +02:00 |
Stéphane Adjemian
|
b4bd896b89
|
Merge pull request #1087 from JohannesPfeifer/resid_fix
Remove automatic error from resid.m when steady state does not solve.
|
2015-10-14 01:12:34 +02:00 |
Stéphane Adjemian
|
61abe6dfc7
|
Merge pull request #1088 from rattoma/diffuse_filter_and_smoother
Diffuse filter and smoother
|
2015-10-14 01:09:08 +02:00 |
Stéphane Adjemian
|
01329a4e0e
|
Merge pull request #1084 from rattoma/gsa
Gsa and identification commits
|
2015-10-13 23:59:54 +02:00 |
Stéphane Adjemian (Charybdis)
|
6ea5bdde34
|
Merge branch 'johannes_bandpass'
|
2015-10-13 23:56:22 +02:00 |
Johannes Pfeifer
|
f7175745ac
|
Add one-sided HP filter
|
2015-10-13 20:50:03 +02:00 |
Houtan Bastani
|
145e2d5542
|
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
|
2015-10-13 17:41:31 +02:00 |
Marco Ratto
|
93e7be66e7
|
proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
|
2015-10-13 17:28:29 +02:00 |
Marco Ratto
|
0aa7e15d58
|
- Once Schur stape space transformation is done, map immediately Pinf and Pstar onto the original variablesm to avoid propagation of errors related to multiple unit and zero eigenvalues.
- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
|
2015-10-13 17:26:39 +02:00 |
Marco Ratto
|
05fc096569
|
Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
This avoids shifting to univariate filter in most cases.
|
2015-10-13 17:15:01 +02:00 |
Houtan Bastani
|
c45a054c6f
|
modify calling structure of execute_prior_posterior_function and update doc
|
2015-10-13 15:13:35 +02:00 |
Johannes Pfeifer
|
cb3804ab51
|
Remove automatic error from resid.m when steady state does not solve.
Closes #573
|
2015-10-13 13:45:54 +02:00 |
Johannes Pfeifer
|
1043a019c2
|
Save posterior moments even if the distribution is degenerate
Closes #1024
|
2015-10-13 11:47:35 +02:00 |
Marco Ratto
|
2d59920a70
|
- systematically check bounds for each parameter during optimization
- make htol adaptive to each parameter to speed up computations
|
2015-10-13 11:07:01 +02:00 |
Marco Ratto
|
61d6e49dfd
|
Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson)
|
2015-10-13 10:45:35 +02:00 |
Marco Ratto
|
bc8f546cbb
|
Provisions to to show in plots the parameter value around which the sensitivity analysis with the option neighborhood_width is done.
|
2015-10-13 10:44:13 +02:00 |
Stéphane Adjemian
|
d3eca9338b
|
Merge pull request #1038 from JohannesPfeifer/kernel_density
Allow computing posterior kernel density
|
2015-10-12 23:23:07 +02:00 |
Johannes Pfeifer
|
40877685f2
|
Add LaTeX-output option to table from stoch_simul.m
|
2015-10-12 20:42:04 +02:00 |
Johannes Pfeifer
|
38d293b864
|
Replace globals in disp_th_moments.m by function arguments
|
2015-10-12 20:42:03 +02:00 |
Johannes Pfeifer
|
f7ae5e4f60
|
Adjust table titles to accommodate new filter options
|
2015-10-12 20:42:02 +02:00 |
Johannes Pfeifer
|
281e87f807
|
Add simulated variance decomposition
|
2015-10-12 20:42:01 +02:00 |
Johannes Pfeifer
|
a524681e40
|
Replace globals in disp_moments.m by function arguments
|
2015-10-12 20:42:00 +02:00 |
Johannes Pfeifer
|
9459ff5d8f
|
Add bandpass filtering to simulated moments
Also takes precautions for future implementation of one-sided hp filter
|
2015-10-12 20:42:00 +02:00 |
Johannes Pfeifer
|
a4b04ca9b4
|
Fix UnivariateSpectralDensity.m for filtered variables
- Adds bandpass filter
- Writes results to oo_
|
2015-10-12 20:41:59 +02:00 |
Johannes Pfeifer
|
25df325899
|
Add bandpass filter to th_autocovariances.m
Also adds documentation
|
2015-10-12 20:41:58 +02:00 |
Johannes Pfeifer
|
e9f2be0c1a
|
Cosmetic changes to UnivariateSpectralDensity.m
|
2015-10-12 20:41:57 +02:00 |
MichelJuillard
|
6d23db41d0
|
Merge pull request #1082 from JohannesPfeifer/steady_state_file_check
Check whether steady state file returns column vector
|
2015-10-12 16:33:29 +02:00 |
Johannes Pfeifer
|
8ef96c46ca
|
Check whether steady state file returns column vector
|
2015-10-12 16:17:56 +02:00 |
Stéphane Adjemian (Charybdis)
|
203455d2a1
|
Updates particles submodule (mainly bug fixes).
|
2015-10-12 15:51:16 +02:00 |
Johannes Pfeifer
|
7ebbc41d8a
|
Get rid of eval statements by using indirect indexing of structures
|
2015-10-12 15:36:42 +02:00 |
Johannes Pfeifer
|
b7cbb563d6
|
Allow suppressing density of smoother and forecast objects
|
2015-10-12 15:34:52 +02:00 |
Johannes Pfeifer
|
1ef1f9c75d
|
Transform hard-coded kernel density options to real options
|
2015-10-12 15:34:51 +02:00 |
MichelJuillard
|
aa894f8613
|
Merge pull request #1075 from JohannesPfeifer/stochastic_singularity
Condition check for stochastic singularity on maximum of non-missing …
|
2015-10-12 09:12:31 +02:00 |
MichelJuillard
|
c2565e803f
|
Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail
Filter out failure of k_order_pert in likelihood computation
|
2015-10-11 20:45:51 +02:00 |
Johannes Pfeifer
|
fd9f2db79d
|
Allow resuming previous run of CMAES
Also enables saving of intermediate results, consistent with the manual.
|
2015-10-11 19:13:48 +02:00 |
Johannes Pfeifer
|
e3e34e1c7d
|
Reduce default accuracy criterion in cmaes.m
|
2015-10-11 18:50:05 +02:00 |
Johannes Pfeifer
|
df47be4076
|
Properly set bounds and H0 for CMAES
|
2015-10-11 18:21:25 +02:00 |
Johannes Pfeifer
|
d513d38f73
|
Filter out failure of k_order_pert in likelihood computation
|
2015-10-11 17:55:27 +02:00 |
Johannes Pfeifer
|
33aa22a80f
|
Condition check for stochastic singularity on maximum of non-missing observations
closes #1071
|
2015-10-11 10:49:15 +02:00 |
MichelJuillard
|
866ab33575
|
Merge pull request #1042 from JohannesPfeifer/discretionary
Various fixes for discretionary_policy
|
2015-10-10 22:25:46 +02:00 |
MichelJuillard
|
b51b037ef2
|
Merge pull request #871 from JohannesPfeifer/prior_posterior_function
Add functionality Prior posterior function
|
2015-10-10 22:17:53 +02:00 |
Michel Juillard
|
6502c311a0
|
replaced global timer by local timer
|
2015-10-10 14:33:30 +02:00 |
Stéphane Adjemian (Charybdis)
|
18a5eea7e0
|
Fixed bug in clear_persistent_variables routine.
The generated mat file (which saves a list of routines containing persistent variables) has to be saved in the dynare/matlab folder.
|
2015-10-10 00:21:18 +02:00 |
Stéphane Adjemian
|
3490e400bc
|
Merge pull request #1015 from JohannesPfeifer/model_comparison
Bugfixes and improvements for model_comparison
|
2015-10-09 17:11:15 +02:00 |
Michel Juillard
|
f7f158f078
|
Revert "removed global objective_function_penalty_base"
This reverts commit 5ade8d7c6f .
|
2015-10-09 14:23:32 +02:00 |
Michel Juillard
|
784b8d893c
|
Revert "reducing penalty value to 0.1 when there is no ground to make it proportional"
This reverts commit a6f123fd50 .
|
2015-10-09 14:23:32 +02:00 |
Michel Juillard
|
818fa47375
|
Revert "adding new functions for penalty optimization"
This reverts commit b9e535e99e .
|
2015-10-09 14:23:31 +02:00 |
Michel Juillard
|
295eed6118
|
Revert "adapted dsge-var code for new handling of penalties"
This reverts commit 3966296aca .
|
2015-10-09 14:23:31 +02:00 |
Michel Juillard
|
f464760c45
|
Revert "remove global objective_function_penalty_base"
This reverts commit cf858c7fcb .
|
2015-10-09 14:23:31 +02:00 |
Michel Juillard
|
035adeb89e
|
Revert "More fixing related to objective_function_penalty_base"
This reverts commit 1ad8df4635 .
|
2015-10-09 14:23:31 +02:00 |
Michel Juillard
|
1a9aa17c9e
|
Revert "More fixings around objective_function"
This reverts commit 05cd51111c .
|
2015-10-09 14:23:31 +02:00 |
Michel Juillard
|
9be5c31761
|
Revert "More fixing of the same"
This reverts commit a54dda165f .
|
2015-10-09 14:23:31 +02:00 |
Michel Juillard
|
063a548bd3
|
Revert "changed persitent variables into local ones in mr_hessian.m"
This reverts commit fe077fc710 .
|
2015-10-09 14:23:31 +02:00 |
Michel Juillard
|
bc37c838c7
|
Revert "more fixes for penalty objective function"
This reverts commit 3dac7f8809 .
|
2015-10-09 14:23:31 +02:00 |
Michel Juillard
|
a7a3bbef89
|
Revert "reset newratflag = 0 in dynare_minimize_objective"
This reverts commit d4cf3576e4 .
|
2015-10-09 14:23:31 +02:00 |
Michel Juillard
|
7202c497de
|
Revert "removed initialization of mr_hessian()"
This reverts commit f48a026d89 .
|
2015-10-09 14:23:31 +02:00 |
Michel Juillard
|
f48a026d89
|
removed initialization of mr_hessian()
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
d4cf3576e4
|
reset newratflag = 0 in dynare_minimize_objective
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
3dac7f8809
|
more fixes for penalty objective function
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
fe077fc710
|
changed persitent variables into local ones in mr_hessian.m
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
a54dda165f
|
More fixing of the same
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
05cd51111c
|
More fixings around objective_function
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
1ad8df4635
|
More fixing related to objective_function_penalty_base
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
cf858c7fcb
|
remove global objective_function_penalty_base
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
3966296aca
|
adapted dsge-var code for new handling of penalties
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
b9e535e99e
|
adding new functions for penalty optimization
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
a6f123fd50
|
reducing penalty value to 0.1 when there is no ground to make it proportional
|
2015-10-08 20:57:00 +02:00 |
Michel Juillard
|
5ade8d7c6f
|
removed global objective_function_penalty_base
added penalty_objective_function.m and penalty_hessian.m
|
2015-10-08 20:57:00 +02:00 |
Stéphane Adjemian (Charybdis)
|
9131472429
|
Do not ask for confirmation when deleting a non empty directory (Octave)
|
2015-10-07 18:13:44 +02:00 |
Stéphane Adjemian (Charybdis)
|
c064e9ed5e
|
Make unit test compatible with Octave.
|
2015-10-07 17:47:14 +02:00 |
Stéphane Adjemian (Charybdis)
|
44c198f3f4
|
Updated dseries module (fix for csv files).
|
2015-10-07 11:58:17 +02:00 |
MichelJuillard
|
f4e8fc74da
|
Merge pull request #1068 from JohannesPfeifer/trust_region
Test for solution before breaking with error code -3 in trust_region
|
2015-10-06 14:17:25 +02:00 |
Johannes Pfeifer
|
934901036b
|
Test for solution before breaking with error code -3 in trust_region.m
Fixes #1067
|
2015-10-06 13:59:59 +02:00 |
Stéphane Adjemian (Charybdis)
|
489bffdfd8
|
Fixed option names for mode_compute=6.
|
2015-10-06 11:34:56 +02:00 |
Stéphane Adjemian (Charybdis)
|
03b92c6387
|
Added file to clear all functions with persistent variables.
|
2015-10-06 11:34:56 +02:00 |
Houtan Bastani
|
07e29125a2
|
Revert "Merge pull request #1064 from JohannesPfeifer/trust_region"
This reverts commit 9cc96b93c0 , reversing
changes made to 1bc965625c .
|
2015-10-06 09:52:16 +02:00 |
Houtan Bastani
|
51463929d1
|
reporting submodule update
|
2015-10-02 16:22:35 +02:00 |
Stéphane Adjemian (Charybdis)
|
a42a9a427f
|
Added a routine to test if a file is older than all the files in a folder (and subfolders).
|
2015-09-25 23:37:45 +02:00 |
Johannes Pfeifer
|
c01352ea3b
|
Fix exit criterion in trust_region.m
Otherwise, error code -3 (Trust region became uselessly small) was accepted as a solved steady state
|
2015-09-25 09:11:47 +02:00 |
ferhat
|
7c5272d852
|
Allows to compute the extended path and the conditional forecasts with bytecode
|
2015-09-22 15:39:49 +02:00 |
Stéphane Adjemian (Charybdis)
|
a911568b37
|
Updated dseries submodule and reference manual.
Remove the possibility to instantiate an empty dseries with a range of dates.
|
2015-09-14 14:07:51 +02:00 |
Houtan Bastani
|
268384572b
|
Merge pull request #1017 from JohannesPfeifer/gsa_fix
Fix bugs in gsa with morris and posterior sampling
|
2015-09-09 11:44:49 +02:00 |
Stéphane Adjemian (Charybdis)
|
e5e9bdb892
|
Adding missing exception...
For cases where a generalized eigenvalue is too close to 0/0.
|
2015-09-04 11:02:39 +02:00 |
Stéphane Adjemian (Charybdis)
|
59618d132e
|
Do not print warning backtrace when some parameters are not initialized.
|
2015-09-03 18:31:02 +02:00 |
Stéphane Adjemian (Charybdis)
|
267218b5b2
|
Updated m-unit-tests submodule.
|
2015-09-01 14:55:23 +02:00 |
Stéphane Adjemian
|
edcddd9008
|
Merge pull request #1037 from JohannesPfeifer/rolling_window
Add capacities for rolling window estimation
|
2015-08-31 12:56:02 +02:00 |
Stéphane Adjemian
|
ffa281a058
|
Merge pull request #1043 from JohannesPfeifer/check_matlab_path
Make check_matlab_path.m able to deal with one-letter files
|
2015-08-31 09:12:35 +02:00 |
Johannes Pfeifer
|
b592987fb4
|
Base evaluation of linearity at steady state for exogenous variables
|
2015-08-30 11:56:26 +02:00 |
Johannes Pfeifer
|
9e504a1293
|
discretionary_policy: Add check whether equation number is consistent with declared number of instruments
Also fixes unit test that violated this.
|
2015-08-30 11:43:54 +02:00 |
Johannes Pfeifer
|
3b64c37cb3
|
Update information in M_ if discretionary_policy_1.m changes lead_lag_incidence
|
2015-08-30 11:42:49 +02:00 |
Johannes Pfeifer
|
9d90a204f7
|
Clean up evaluate_planner_objective.m
|
2015-08-30 11:16:26 +02:00 |
Johannes Pfeifer
|
c66ee8941a
|
Document discretionary_policy_engine.m
|
2015-08-30 11:14:35 +02:00 |
Stéphane Adjemian (Charybdis)
|
d8eff0843f
|
Updated particles submodule.
|
2015-08-28 11:20:24 +02:00 |
Johannes Pfeifer
|
14e2b6ec67
|
Make check_matlab_path.m able to deal with one-letter files
Closes #1040
|
2015-08-27 15:34:54 +02:00 |
Stéphane Adjemian
|
9179d331e0
|
Merge pull request #1036 from JohannesPfeifer/cosmetics
Speedup and compatibility
|
2015-08-27 11:46:16 +02:00 |
Stéphane Adjemian (Charybdis)
|
d125c2effc
|
Fixed bug (wrong syntax for switch, case 5).
|
2015-08-27 11:37:07 +02:00 |
Johannes Pfeifer
|
cc3aeafd00
|
Save planner objective function with discretionary_policy
|
2015-08-26 10:00:35 +02:00 |
Johannes Pfeifer
|
f5dac58ffc
|
Remove redundant check whether nobs is empty from dynare_estimation.m
|
2015-08-25 15:40:44 +02:00 |