25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
f5bd4c6b3a
Fix bug where smoother selected wrong observables with selected_variables_only option
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Closes #1161
2016-04-12 11:36:43 +02:00
be2221286c
Add note on setting of bayestopt_.mf to DsgeSmoother.m
2016-04-12 10:52:40 +02:00
98384eb6f2
Document variable ordering in various headers
2016-04-12 10:52:37 +02:00
ee6b81284a
Correct header of DsgeSmoother.m and write_smoother_results.m
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Definition of updated variables was incorrect
2016-03-23 10:47:26 +01:00
dcf0d75d55
Add output of trend to DsgeSmoother.m and use it to reconstruct smoothed and filtered values
2016-03-23 10:19:41 +01:00
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
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.
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- ensure that smoother and filter get the same Pstar and Pinf in diffuse steps
2015-10-13 17:26:39 +02:00
0fd76e0c6f
Assigning unique function for each input argument of lyapunov_symm.m
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The old way of redefining input arguments to satisfy different options was too error-prone. See 69daaa0460b0ddee97292c39d40355201e316622 of tholden
2015-07-22 15:11:39 +02:00
22b1aa7a0d
Filter out case where estimated_params block is present but smoother on calibration is requested
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In this case, xparam1 will be empty while estim_params_ does not have conformable dimensions.
2015-06-09 14:51:32 +02:00
6aa5ceabb2
Fixed bug introduced in 363c4a61222103fda22adff9bdb1115a6073428a.
2015-04-03 18:02:03 +02:00
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
7c838b133f
Use local variables for restrict var list, to avoid overwriting the global and messing likelihood evaluations later on.
2015-04-03 18:02:03 +02:00
ed8b47bbf4
Add info to header about additional output argument
2014-12-11 20:59:31 +01:00
97b63105a0
Add a parameter to the lyapunov_symm routine (debug mode).
2014-10-13 17:42:53 +02:00
b90f3deed2
Bugfixes and improvements related to method 3 of lyapunov_symm.m
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- the function was called with the wrong input argument for this case (Q instead of R*Q*R'), crashing with incompatible matrix dimensions
- the persistent variable X was not updated when the size of it changed, leading to crashes when estimation is followed by calls to DsgeSmoother.m where the state-space is different
- Also eliminates the printed output in lyapunov_symm.m that could not be turned off and clutters estimation
2014-10-13 17:42:52 +02:00
7b089ec2b3
Cosmetic change. Renamed nobs as vobs.
2014-07-17 22:05:07 +02:00
66d08ac3bf
Merge branch 'master' into use-dynSeries
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Conflicts:
matlab/dynare_estimation_init.m
matlab/global_initialization.m
matlab/prior_posterior_statistics.m
matlab/read_variables.m
matlab/set_prior.m
matlab/utilities/dataset/initialize_dataset.m
preprocessor/ComputingTasks.cc
2014-04-30 10:10:30 +02:00
8359b90cdf
Cosmetic changes.
2014-01-30 13:00:25 +01:00
4e789452b2
Allows to use alternative algorithms to solve lyapunov equation
2014-01-14 17:32:01 +01:00
907e087ea9
Consider options_.varobs as a cell of strings.
2013-09-07 16:39:04 +02:00
e60d438e86
Fixed bug.
2013-06-28 16:59:47 +02:00
b281830983
Added new initialization mode ofr the Kalman filter and smoother.
2013-06-28 16:26:53 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
0da05ae29d
Removed globals from set_all_parameters routine.
2012-06-07 15:13:39 +02:00
0b0c939849
fixing bug with smoother with univariate filters
2011-11-02 14:02:12 +01:00
013c599ec9
Removed globals from dynare_resolve. Removed unused first input argument. Adapted routines calling dynare_resolve.
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Added texinfo header to dynare_resolve.
2011-09-19 16:41:53 +02:00
fa9f6ac90b
Added option lik_init=4. Initialization of the Kalman filter/smoother with the fixed point of the Riccati equation.
2011-06-23 23:39:15 +02:00
78d882900a
more bug corrections in smoother routines
2011-03-25 21:32:45 +01:00
5f8b5fa467
removing useless 'd' output argument from the Kalman smoother functions. Removed global initialization of options_.diffuse_d. Fixed minor bugs in Kalman smoother functions.
2011-03-24 18:38:01 +01:00
b247c329d8
replaced expressions X == 0 by more efficient and robust isequal(X,0) when X is a matrix
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porting earlier changes from DsgeLikelihood.m to DsgeLikelihood_hh.
cleaning code
2011-02-09 06:23:27 +01:00
02652f6eb8
Updated copyright notices
2011-02-04 17:27:33 +01:00
757a9067c0
Global reindentation of MATLAB files
2011-02-04 17:17:48 +01:00
bff8de837b
modifying dynare_resolve() calling sequence
2011-01-26 21:24:46 +01:00
e2a1d77f6e
- added schur_statespace_transformation.m to factor it out of DsgeLikelihood.m and DsgeSmoother.m
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and corrected a bug in the code
- added missing functions missing_DiffuseKalmanSmootherH1_Z.m (multivariate version) and
missing_DiffuseKalmanSmootherH3_Z.m (univariate version)
- use only these two versions of the Kalman smoother in DsgeSmoother.m
2011-01-13 21:50:26 +01:00
32bf5e9a0e
Diffuse smoother: bug correction when singularity occurs
2010-10-04 21:59:22 +02:00
3db736f31d
corrected bugs in estimation of models with measurement errors
2010-08-06 17:54:56 +02:00
f85049e9a6
removed oo_.smoother.integration_order
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removed integration_order (d) from the output arguments of DsgeSmoother. It is still computed by a few Kalman smoother routines. I don't change them now as they need to be rewritten soon.
2010-04-03 08:00:22 +02:00
7668bc4a11
-new smoother function kalman/smoother/kalman_smoother.m
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-fixing bugs in dynare_estimation_1.m
2010-03-23 18:17:15 +01:00
1be52aaa5f
Beautification: removed tabulation characters which were left in previous beautification pass
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3300 ac1d8469-bf42-47a9-8791-bf33cf982152
2010-01-05 10:46:10 +00:00
502e3e1df8
Beautified MATLAB code (Unix newline convention + Emacs indentation), except: AIM, swz, particle
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@3250 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-12-16 17:17:34 +00:00
b8f5e80099
Matches new output list for
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missing_DiffuseKalmanSmoother3.m
and
DiffuseKalmanSmoother3.m
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2969 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-09-24 12:44:33 +00:00
a089e59f3c
dynare/trunk::
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+ Added a new option for likinit=2 used to define the numbers on the
initial diagonal Pstar matrix.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2828 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-07-09 15:41:11 +00:00
4e9b23363a
Reorganized the way we deal with functions which exist under only some versions of MATLAB and/or some versions of Octave:
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* Created a directory matlab/missing to store them under subdirectories
* Add the needed subdirectories to the path from dynare_config.m
* Moved content of matlab/matlab/ and matlab/octave/ to matlab/missing/*/
* matlab/missing/ordeig/ordeig.m: new name of matlab/my_ordeig
* matlab/missing/ordschur/ordschur.m: fake replacement, displays an error message
* Removed old matlab/matlab/ and matlab/octave/ directories
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2805 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-07-03 10:20:42 +00:00
af9d1fbb6a
Bug fix. The DsgeSmoother was crashing when M_.exo_nbr=1. Added a new function that generalizes the matlab's squeeze
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function (the problem is that squeeze does not affect 2D arrays).
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2543 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-04-01 10:04:53 +00:00
ba080ab910
v4.1:: Changes related to lyapunov_symm.
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+ Fixed a bug introduced in the previous commit.
+ Added a threshold parameter for the complex blocks in the upper
triangular matrix T in lyapunov_symm.m (new field in options_)
+ Cosmetic changes.
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2414 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-02-12 14:16:10 +00:00
2495aca72a
trunk:
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* updated copyright headers of all files modified since January 1st: the copyright notice now encompasses 2009
* fixed various other copyright header issues
git-svn-id: https://www.dynare.org/svn/dynare/trunk@2364 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-01-21 14:39:24 +00:00
1aac4e7e0a
fixing update issues for mode_compute=5,6
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git-svn-id: https://www.dynare.org/svn/dynare/trunk@2350 ac1d8469-bf42-47a9-8791-bf33cf982152
2009-01-02 08:36:45 +00:00
706651641f
adding missing data smoother + small corrections
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2278 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-12-01 12:50:53 +00:00
eba6164cae
fixing bugs around missing observations and starting to add smoother with missing observations
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git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@2274 ac1d8469-bf42-47a9-8791-bf33cf982152
2008-11-25 17:31:37 +00:00
Houtan Bastani
Johannes Pfeifer
Johannes Pfeifer
Marco Ratto
Stéphane Adjemian (Charybdis)
ferhat
Sébastien Villemot
Michel Juillard
Michel Juillard
sebastien
ratto
stepan
michel