Johannes Pfeifer
6abc984d5e
Fix mh_posterior_mode_estimation option
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1044
2021-09-22 10:00:47 +02:00
Johannes Pfeifer
341aca25ad
Liu West: Remove redundant option
2021-08-16 12:34:10 +02:00
Stéphane Adjemian (Ryûk)
ebfa72740f
Changed default for initial step bound factor.
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Should fix simulation failure in pac/trend-component-10/example1, that
seems to be caused by a too large value of this parameter.
2021-07-24 12:20:29 +02:00
Stéphane Adjemian (Ryûk)
e72dde69d3
Add option for trust region algorithm (mex).
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trust_region_initial_step_bound_factor is determinining thye initial
step bound. Default value is 100 (previous hard coded value was 1).
2021-07-23 19:44:16 +02:00
Johannes Pfeifer
80cad32068
Particle filter: enable passing of option values and prepare for other samplers
2021-07-21 23:00:32 +02:00
Marco Ratto
02072dde39
Add Occbin routines
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Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.
Ref. #569
2021-07-16 17:20:11 +02:00
Sébastien Villemot
abd64c256e
New perfect_foresight_with_expectation_errors_{setup,solver} commands
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These command solve the problem where agents think they know perfectly the
future (they behave as in perfect foresight), but make expectation errors.
Hence they can potentially be surprised in every period, and their expectations
about the future (incl. the final steady state) may change.
Currently the sequence of information sets needs to be passed through a CSV
file. Another interface may be added in the future.
The algorithm uses a sequence of (true) perfect foresight simulations (not
necessarily as many as there are periods, because if the information set does
not change between two periods, there is no need to do a new computation).
There are two possibilities for guess values:
— the default is to use the initial steady state for the simulation using the
first-period information set; then use previously simulated values as guess
values
— alternatively, with the terminal_steady_state_as_guess_value option, use the
terminal steady state as guess value for all future periods (this is actually
what the “true” perfect foresight solver does by default)
2021-07-09 18:16:46 +02:00
Sébastien Villemot
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
Marco Ratto
5fa6265944
Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post
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Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
2021-05-27 16:59:15 +02:00
Marcoo Ratto
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
Sébastien Villemot
0d6bc47158
Merge branch 'rattoma/dynare-mh_initialize_from_previous_mcmc'
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Ref. !1841
2021-05-11 18:51:57 +02:00
Marco Ratto
a0f2b2399b
New option mh_initialize_from_previous_mcmc that allows to pick initial values for a new MCMC from a previous one
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If an additional parameter is estimated, it is initialized using prior_draw.
2021-05-11 18:48:43 +02:00
Sébastien Villemot
3c7865a950
Merge branch 'rattoma/dynare-initial_estimation_checks_errors'
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Ref. !1839
2021-05-07 17:52:45 +02:00
Marco Ratto
74121c2aee
New no_init_estimation_check_first_obs option that allows to skip check of singularity in first observation
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(like deficient # of shocks in the presence of stockflow observed)
2021-05-07 17:51:03 +02:00
Marco Ratto
9ed9aa5963
For local clusters only, allow using start instead of psexec with windows, to properly allocate affinity when there are more than 32 cores. Manual updated accordingly.
2021-05-06 16:31:06 +02:00
Sébastien Villemot
3939544498
Remove remnants from estimation DLL
2021-02-18 14:26:10 +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
992e375bfa
Merge branch 'use_mh_covariance' of git.dynare.org:JohannesPfeifer/dynare
2021-01-25 18:16:23 +01:00
Johannes Pfeifer
32bdb82cf8
Make load_mh_file honor use_mh_covariance option
2021-01-22 15:01:02 +01:00
Sébastien Villemot
bc053018a0
Remove risky steady state (unfinished) code
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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
Stéphane Adjemian (Odysseus)
0e1c9312e2
Merge remote-tracking branch 'Dynare/master' into enterprise
2021-01-11 11:06:55 +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
Stéphane Adjemian (Odysseus)
248ad18846
Merge remote-tracking branch 'Dynare/master' into enterprise
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Fixed conflicts in:
- .gitlab-ci.yml
- matlab/dynare_config.m
- matlab/dynare_solve.m
- matlab/initvalf.m
- matlab/perfect-foresight-models/make_ex_.m
- matlab/perfect-foresight-models/perfect_foresight_setup.m
- mex/build/matlab/Makefile.am
- mex/build/matlab/configure.ac
- mex/build/octave/Makefile.am
- mex/build/octave/configure.ac
- mex/sources/Makefile.am
- preprocessor
- tests/Makefile.am
2020-09-17 14:53:32 +02:00
Sébastien Villemot
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
Johannes Pfeifer
f0f02c3159
disp_moments.m: filter out 0 variance variables
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Otherwise, division by 0 will result in incorrect moment displays
Closes #1736
2020-06-25 09:42:17 +02:00
Johannes Pfeifer
3e725e3292
mr_hessian.m
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Do not save files by default; prevents horse-race write access crashes for fast mod-files under Windows
2020-06-23 15:00:08 +02:00
Sébastien Villemot
43ed7b2b69
Merge remote-tracking branch 'community/master' into enterprise
2020-03-27 16:28:41 +01:00
Sébastien Villemot
e371b1a94b
New option “filtered_theoretical_moments_grid”, that supersedes “hp_ngrid”
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The old option is left for backward-compatibility purposes, but it has the same
effect as the new one.
Closes : #1093
2020-01-20 16:23:10 +01:00
Sébastien Villemot
c04c111d97
Merge branch 'rattoma/dynare-epilogue'
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Ref. !1688
2019-12-20 11:51:41 +01:00
Sébastien Villemot
996bdd6c64
New local_state_space_iteration_k MEX, for nonlinear filters at k-order
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It applies the approximated policy function to a set of particles, using
Dynare++ routines.
There is support for parallelization, using Dynare++ multithreading
model (itself based on C++11 threads; we don’t use OpenMP because it is
incompatible with MKL). For the time being, default to a single thread. This
should be later refined through empirical testing.
2019-12-20 11:31:56 +01:00
Marco Ratto
31c29d08c9
provisions for making shock decompositions for epilogue variables.
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In case the epilogue formula is non-linear, the non additive non-linear term is distributed proportionally to the size of the individual shock contribution.
It is triggered by new option with_epilogue, applicable to commands:
1) shock_decomposition, realtime_shock_decomposition,
where preprocessor should trigger
options_.shock_decomp.with_epilogue=true;
2) initial_condition_decomposition
where preprocessor should trigger
options_.initial_condition_decomp.with_epilogue=true;
2019-12-19 22:19:39 +01:00
Johannes Pfeifer
9208bcf049
Modified harmonic mean: Transform hard-coded tolerance to parameter
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Closes https://git.dynare.org/Dynare/dynare/issues/1666
2019-12-12 11:49:57 +01:00
Sébastien Villemot
6a89783b65
Merge remote-tracking branch 'community/master' into enterprise
2019-12-03 15:39:59 +01:00
Houtan Bastani
f2205ed4a1
add nograph option to plot_shock_decomposition
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In updating the preprocessor, also update call to plot_icforecast
2019-11-29 15:17:41 +01:00
Sébastien Villemot
cbb59fe6f8
Merge remote-tracking branch 'community/master' into enterprise
2019-09-26 16:54:27 +02:00
Sébastien Villemot
4030169db9
k_order_perturbation MEX: number of threads is now configurable
2019-07-09 17:33:14 +02:00
Sébastien Villemot
7d9b2a557b
perfect_foresight_problem MEX: number of threads is now configurable
2019-06-27 17:00:12 +02:00
Sébastien Villemot
0eab36e823
sparse_hessian_times_B_kronecker_C MEX: by default, use maximum parallelization
2019-06-27 14:34:09 +02:00
Sébastien Villemot
82cef48eb4
A_times_B_kronecker_C MEX: remove the OpenMP codepath
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Testing shows that it is slower than the BLAS path.
2019-06-25 17:26:14 +02:00
Stéphane Adjemian
ee891948e0
Moved IntegrationAgorithm under options_.ep.stochastic
2019-04-18 18:03:57 +02:00
Michel Juillard
fa8ffbf3c3
fixed IntegrationAlgorithm ep option
2019-04-18 18:03:57 +02:00
Sébastien Villemot
774e60f04c
options_.risky_steadystate is an (undocumented) boolean value
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By the way, enable the option in example1_korder.mod (it does not work, but no
harm since it’s not in the testsuite).
2019-04-02 19:16:13 +02:00
Sébastien Villemot
89a3e94cbf
Use true/false instead of 1/0 for boolean options
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This is more elegant, and makes it easier to distinguish them from integer
options.
Also simplify test expressions for these boolean options.
2019-03-19 15:21:16 +01:00
Stéphane Adjemian (Charybdis)
4798c07ced
Avoid infinite loop in pac.estimation.iterative_ols().
2019-03-05 07:21:08 +01:00
Sébastien Villemot
8cb51e26e6
options_.instruments is now a cell array
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This fixes crashes under Octave (while MATLAB seems to accept array-indexing
with cell arrays).
2018-10-25 15:01:53 +02:00
Stéphane Adjemian(Charybdis)
2d321cb0e3
Increased default number of iterations in simplex.
2018-07-19 15:15:05 +02:00
Sébastien Villemot
a1b8bd39b2
Move the location of various generated files on the filesystem
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- M and MEX files are now under +${MODELNAME}/
- bytecode, C source and JSON now under ${MODELNAME}/model/
2018-06-27 17:03:39 +02:00
Houtan Bastani
4e79d12e53
move declaration of default values from global_initialization to a separate function
2018-05-28 14:07:32 +02:00