Commit Graph

337 Commits (25121bca4f9c97fed28599e9f9adeba2028e5bd0)

Author SHA1 Message Date
Stéphane Adjemian (Charybdis) f30b88f50c Changed default options_.initial_period (has to be a dates object). 2013-10-15 16:18:46 +02:00
Johannes Pfeifer 65a16fd293 Allow users to determine the threshold below which IRFs are suppressed.
- Prepares moving future IRF options to a substructure
- Adds new option for determining threshold
- Harmonizes threshold values across estimation and stoch_simul
- Fixes some header typos
2013-10-12 10:38:47 +02:00
Stéphane Adjemian (Charybdis) 28740370e6 Removed general maxit from options_ (maxit_). 2013-10-09 12:32:37 +02:00
Stéphane Adjemian (Charybdis) 8997ae8a70 Merge branch 'master' into maxit 2013-10-09 12:19:17 +02:00
Stéphane Adjemian (Charybdis) 8d8407f906 Changed default options for cmaes (reduced tolfun and tolx). 2013-10-08 15:56:14 +02:00
Stéphane Adjemian (Charybdis) 334d9976d6 Add interface to the main options of the simpsa optimization algorithm. 2013-10-08 15:18:14 +02:00
Stéphane Adjemian (Charybdis) 60e1d1b75e Changed the organization of the options for the dynare's implementation of the simplex optimization algorithm. 2013-10-08 12:55:11 +02:00
Stéphane Adjemian (Charybdis) f5c9621ca9 Changed the definition of the maximum number of function evaluations in dynare'es iplementation of simplex algorithm (mode_compute=8). 2013-10-08 11:11:35 +02:00
Stéphane Adjemian (Charybdis) 51be957fb6 Changed the organization of the options for gmhmaxlik (mode_compute=6) so that options can be set using the optim option of the estimation command. Added an option (targeted acceptance rate). 2013-10-04 16:12:14 +02:00
Houtan Bastani d369b8ad0e front end for maxit: ref #293, #262 2013-09-24 15:40:13 +02:00
Johannes Pfeifer 241fd07424 Add Geweke 1992 convergence diagnostics 2013-09-16 18:47:15 +02:00
Stéphane Adjemian (Charybdis) fd284003ce Merge branch 'master' into use-dynSeries
Conflicts:
	matlab/load_xls_file_data.m
2013-09-12 11:01:06 +02:00
Houtan Bastani de590fb2f7 bug fix: include nofunctions in global_initialization.m 2013-09-11 14:09:22 -04:00
Stéphane Adjemian (Charybdis) 8be8bf1b1b Recycle options_.dataset. If not empty (default) dataset field has to be a dynSeries object. 2013-09-07 16:05:01 +02:00
Stéphane Adjemian (Charybdis) 3dc372e5bc Added (command line) nointeractive option. 2013-07-10 12:02:12 +02:00
Johannes Pfeifer c4998f93d3 Transfer hardcoded osr options to options structure
Implements #423. To be done: add preprocessor options for tolf and maxit.
2013-06-24 22:53:28 +02:00
Stéphane Adjemian (Charybdis) 340bcc2739 Added an option for setting the number of points where the posterior kernel is evaluated when using mode_check. Reorganized the options_ global structure wrt mode_check. 2013-06-20 17:19:44 +02:00
Stéphane Adjemian (Charybdis) 39ef86f118 Partially reverted commit 06237375db. 2013-06-18 22:30:49 +02:00
Frédéric Karamé 06237375db Added the possibility to set the number of points in mode_check for computing the transversal cuts. 2013-06-18 16:16:56 +02:00
Stéphane Adjemian (Charybdis) cb2228acad Merge branch 'master' into experimental-mjdgges-threshold 2013-06-12 17:27:25 +02:00
Sébastien Villemot 61485ab809 Fix copyright notices 2013-06-12 17:04:46 +02:00
Stéphane Adjemian (Charybdis) a71b770fec Added default value for the threshold level of the 0/0 generalized eigenvalue test (1e-6). 2013-06-12 09:53:18 +02:00
Sébastien Villemot 9145d3691f Merge pull request #409 from rattoma/endo_prior_restrictions
New option to set prior (sign) restrictions irfs.
2013-05-31 01:33:32 -07:00
Marco Ratto 4923ba0952 Introduced new option that allows to set prior (sign) restrictions to irf's 2013-05-30 10:57:39 +02:00
Marco Ratto 7bef23f1b3 Allow asymmetric mode check plots, using the new option
mode_check_symmetric_plots (=1 at default, i.e. current behaviour)
2013-05-23 11:37:00 +02:00
Marco Ratto 09bc0a0aaa fixed bug with seeds in hybrid matlab-octave parallel clusters 2013-04-05 17:25:34 +02:00
Johannes Pfeifer 7518072e77 Fix several bugs related to estimated measurement errors
1. The first call to set_prior overwrote the first column of
estim_params_.var_endo storing the position of the variable with
measurement error in M_.endo_names with the position in
options_.var_obs. All subsequent calls to set_prior then lead to
crashes.
2. At the same time, for correlations of ME, the first column of
estim_params_.corrn still stored the position of the variable with
measurement error in M_.endo_names. But subsequent calls to it were done
as if it stored the position in options_.var_obs

I introduced two new variables in estim_params_ storing the respective
positions in var_obs so as to not necessitate changes in the
preprocessors.

3. For cases of calibrated measurement error correlations, the
covariance matrix was not updated.

4. Fixing a lot of smaller bugs related to measurement errors, including
some copy and paste errors
-
2013-03-21 20:51:12 +01:00
Johannes Pfeifer a090a7c35e Add endogenous priors
Add option and code for endogenous priors according to
Christiano/Trabandt/Walentin 2011, JEDC. Still needs to be integrated to
manual and pre-processor.
2013-03-17 22:51:23 +01:00
Michel Juillard ebf93d672f stochastic extended path: additional changes 2013-03-12 09:36:58 +01:00
Sébastien Villemot 46a59423f2 Revert "Remove unused options_.verbosity"
This reverts commit cacb0470f8.

It was making bytecode crashing. This field will still have to be removed later
when dealing with #295.
2013-02-28 12:20:21 +01:00
Sébastien Villemot cacb0470f8 Remove unused options_.verbosity 2013-02-26 15:14:33 +01:00
Stéphane Adjemian (Charybdis) 5c0d387c4f Cosmetic change. Changed the organization of options for (stochastic) extended path 2012-11-29 12:56:01 +01:00
Frédéric Karamé b6c72f18fa -add a variable to make a difference between gaussian approximations during importance sampling and approximation of states (for gaussian and gaussian-mixture filters)
-modify the default of parameters for the gaussian approximation using the scaled unscented transformation
2012-11-16 12:18:55 +01:00
Houtan Bastani ddddb5ad0f console => nodisplay (Completes ticket #282) 2012-11-12 16:48:44 +01:00
Houtan Bastani 6c7501d906 move console setting to global_initialization.m 2012-10-30 14:10:54 +01:00
Sébastien Villemot 2f9e34c5e5 Various fixes related to data-loading
- fix support for filenames with extension (.m, .mat, .xls), since the manual
  and the bison grammar both support it
- fix support for XLS files under Octave
- add support for XLSX files
- run test for loading XLS files
2012-10-08 13:00:55 +02:00
Stéphane Adjemian (Charybdis) e81f9d48ac Improved display of mode_compute=6 optimization algorithm. Fixed bugs. Changed the options. 2012-09-29 00:08:05 +02:00
Houtan Bastani 12af7298ef ms-sbvar: remove unused field removal statements (and set options_.datafile='' in global_initialization) 2012-09-27 15:32:33 +02:00
Stéphane Adjemian (Charybdis) 894b3d69f4 Added an option to decide if dsge_likelihood should call univariate filters when the covariance matrix of
the prediction error is singular (default is yes).
2012-09-27 14:48:07 +02:00
Stéphane Adjemian (Scylla) 205b455ad7 Added the possibility, for each given size of the sample, to restart an arbitrary number of times the estimation when estimating a model with a recursive approach.
Deactivated by default (options_.recursive_estimation_restart is defined to be zero in global_initialization.m).
2012-09-06 14:13:29 +02:00
Stéphane Adjemian (Charybdis) 0508bf9a41 Added missing default options for stochastic simulation of nonlinear backward looking models.
(cherry picked from commit 4053f664ecec14ffb7269c6bbf78355ca46b6b92)
2012-08-27 12:53:11 +02:00
Michel Juillard edf826f315 added code to optionally run cycle_reduction algorithm on GPU. Added
options_.gpu (no interface yet, use options_.gpu=1). Added test
./tests/first_order/fs2000_cr.mod
2012-07-20 17:06:12 +02:00
Michel Juillard d39bbdaa85 forcing reinitialization of persistent variables of
dyn_first_order_solver.m in global_initialization.m This is necessary
if noclearall option is used.
2012-07-19 17:08:42 +02:00
Stéphane Adjemian (Charybdis) c850f03be3 Added the possibility to use the logarithmic reduction algorithm (mainly for testing purpose). 2012-07-11 18:26:22 +02:00
Marco Ratto ed4d37341c Fix problem with models where steadystate files change parameter values.
1) allow to compute derivatives starting from NUMERICAL derivatives of jacobian and steady state: this has a minor cost in accuracy and allow apply without errors identification and estimation with numerical derivatives;
2) added trap in dynare_estimation_init: if steadystate changes param values, automaticly shifts to numerical derivs of jacoban and steady state +  analytic derivatives of all the rest;
3) bug fixes for 2nd order derivatives w.r.t. model parameters;
2012-07-05 10:14:10 +02:00
Ferhat Mihoubi 4488357f59 Adds the cycle reduction algorithm to solve the polynomial equation for retrieving the coefficients
associated to the endogenous variables in the decision rule.
2012-07-01 15:19:10 +02:00
Sébastien Villemot 8fe2eb23b9 New option simul_replic in preprocessor and documentation 2012-06-11 11:53:55 +02:00
Stéphane Adjemian (Charybdis) d006bd2aaf Made replic option specific to stochastic simulations (options_.simul_replic). 2012-06-11 09:41:59 +02:00
Stéphane Adjemian (Charybdis) e12748329b Fixed bug reported by Johannes (http://www.dynare.org/pipermail/dev/2012-May/002015.html), see also trac#257. 2012-06-06 18:25:08 +02:00
Houtan Bastani 9a2e4cc6cf config file: support GlobalInitFile option 2012-06-06 16:18:09 +02:00
Michel Juillard 1316bd9555 fixed issues relative to homotopy (type I) when the user wants to
continue after homotopy fails. Option stop_on_error is removed. Option
homotopy_force_continue is added.
2012-05-17 17:27:07 +02:00
Stéphane Adjemian (Charybdis) 41def7caaa Added the possibility of a user defined configuration file (only for linux users).
At the end of global_initialization.m the existence of /home/USER/dynare_configuration.m is tested. In case of a positive answer this script is evaluated.
2012-05-09 15:39:58 +02:00
JohannesPfeifer c0624738c9 Fixed bug introduced in bda0b1b228
Created separate field options_.SpectralDensity.trigger to trigger Spectral Density
2012-04-26 08:48:31 +02:00
Sébastien Villemot 08894086b0 Revert "Move hardcoded options from UnivariateSpectralDensity.m to global_initialization."
This reverts commit bda0b1b228.
2012-04-26 08:22:15 +02:00
Johannes Pfeifer bda0b1b228 Move hardcoded options from UnivariateSpectralDensity.m to global_initialization. 2012-04-25 11:49:01 +02:00
Johannes Pfeifer 4c255cf2ae Starts implementing Ticket 216. Most plotting and figure is now controlled by the functions dyn_figure and dyn_saveas, allowing for option_.nodisplay to suppress the displaying of figures and using options_.graph_format to control the format of saved figures. 2012-04-25 11:47:40 +02:00
Sébastien Villemot 1dfba1b99f Merge remote-tracking branch 'ferhat/master' 2012-04-20 21:15:09 +02:00
Ferhat eed54fb08a - Adds new algorithms to solve Lyapunov equations: Doubling algorithm and Square root solver. Their respective names are "doubling" and "square_root_solver".
- Adds the tolerance criteria for the iterative solvers (sylvester_fixed_point_tol, lyapunov_fixed_point_tol and lyapunov_doubling_tol)
- Updates the reference manual
2012-04-20 19:23:00 +02:00
Sébastien Villemot edbf3bd175 Remove useless calls to set_default_option 2012-04-20 17:08:11 +02:00
Michel Juillard 41e027aee3 added steady option stop_on_error. stop_on_error = 0 permits to
continue (for example, when chaining homotopy steps), even if the
steady state computation was not successful.
2012-04-16 22:40:50 +02:00
Houtan Bastani 08bcf39fe7 estimation: clear subsamples substructure whenever a subsamples statement is encountered 2012-04-03 18:33:23 +02:00
Houtan Bastani 7e6bd80f17 estimation: remove s from parameters substructure 2012-04-03 18:33:23 +02:00
Houtan Bastani 31e0bc2e1e estimation: simplify global_initialization 2012-04-03 18:33:23 +02:00
Houtan Bastani 9741b3b3ec estimation: reorganize options output 2012-03-30 15:37:15 +02:00
Houtan Bastani 93db8937ab estimation: reorganize Matlab structure output 2012-03-30 15:37:14 +02:00
Stéphane Adjemian (Charybdis) 6c6b62937f Added smooth resampling. 2012-03-30 11:47:24 +02:00
Houtan Bastani 7feb27fe1c estimation: rewrite options output 2012-03-29 16:45:46 +02:00
Houtan Bastani d54e4c4b17 estimation: rewrite prior output 2012-03-29 16:07:01 +02:00
Houtan Bastani 46a655fbd5 estimation: rewrite subsamples statement as an actual statement 2012-03-28 18:51:52 +02:00
Michel Juillard a899594f3d initializing globals ys0_ ex0_ ex_det0_ 2012-03-17 20:34:58 +01:00
Michel Juillard d6f8e252e5 Merge remote-tracking branch 'origin/master' into dr1break 2012-03-15 16:18:37 +01:00
Stéphane Adjemian (Charybdis) c5fa0b82a9 Merge remote-tracking branch 'marco/master' 2012-03-14 12:49:56 +01:00
Michel Juillard 1fcf708b80 Merge remote-tracking branch 'origin/master' into dr1break 2012-03-10 18:21:14 +01:00
Stéphane Adjemian (Charybdis) 323e6fdf4f Added a second gstep option used as a parameter for the routine computing the hessian matrix.
In some cases, for instance for the non linear filters, it helps to reduce this new gstep parameter
to get a positive definite hessian matrix. options_.gstep is now a 2*1 vector. The first element is
the old gstep parameter, the second element is the new gstep parameter. The step defined for the
computation of the hessian matrix is now:

h1=max(abs(x),sqrt(gstep(1))*ones(n,1))*eps^(1/6)*gstep(2);
2012-03-09 16:36:26 +01:00
Stéphane Adjemian (Charybdis) ec9b47426a Added an option for the threshold level of neff in the generic case of the resampling routines. 2012-03-09 12:44:25 +01:00
Houtan Bastani ec2528ae9b estimation: fixes to options statement 2012-03-09 11:47:25 +01:00
Houtan Bastani dd67a81e57 estimation: place parameter priors in their own substructure 2012-03-09 11:46:09 +01:00
Stéphane Adjemian (Charybdis) 464dcb651e Changed defaults related to extended path. Removed some unused options. 2012-03-08 12:45:53 +01:00
Ferhat Mihoubi 8ac14f8c80 Adds fixed point solvers for Sylvester and Lyapunov equations 2012-03-06 12:03:23 +01:00
Stéphane Adjemian (Charybdis) a2f3a53634 Parallelization of local_state_space_iteration_2 (used in non linear filters). 2012-03-05 23:11:49 +01:00
Stéphane Adjemian (Charybdis) cf19df92ef Added an option fot the mode_check plots for defining the size of the neighbourhood around the estimated posterior mode. 2012-03-05 15:03:55 +01:00
Stéphane Adjemian (Charybdis) 83b536c618 Moved CMAES options in global_initialization, so that the options of this routine can be modified by
the user by writting in options_.cmaes.
2012-03-04 22:13:00 +01:00
Stéphane Adjemian (Charybdis) 724b99412f Added option for kitagawa/stratified approach in traditional resampling. 2012-03-04 22:12:59 +01:00
Stéphane Adjemian (Charybdis) fb4def04bd Fixed bug related to the name of the sub-structure for the non linear filters. 2012-03-04 22:12:59 +01:00
Marco Ratto c848b3337a added nodisplay and graph_format options and applied to prior plots and graphs in estimstion routine. Tex tables also splitted when more than 50 params are estimated.
nograph: no figure is done
nodisplay: plots are done behind the scenes
graph_format: default only eps figs are saved. it accepts cell vector like {'eps','pdf','fig'}
2012-02-13 11:58:28 +01:00
Stéphane Adjemian (Charybdis) 87f4dad51a Changed default value of use_bytecode option. By default, the bytecode solver is not used.
Note that, even for small models, there is a (very) substantial gain in using the use_dll option.
2012-02-04 16:56:09 +01:00
Stéphane Adjemian (Charybdis) 704b0c9659 Added an option specifying if the bytecode solver has to be used first. 2012-02-04 16:26:22 +01:00
Stéphane Adjemian (Charybdis) 8a35ee7363 Added an option to skip the test on the number of periods over which the perfect foresight models are solved. 2012-02-04 16:19:15 +01:00
Stéphane Adjemian (Charybdis) 64ebd1d0d7 Changed the default value of options_.ep.fp. Test the stability of the solution only for the first period (when the value of periods is increased). 2012-02-03 14:05:06 +01:00
Stéphane Adjemian (Charybdis) f63ce01859 Put debug and memory modes in options_.ep. 2012-01-21 14:13:31 +01:00
Stéphane Adjemian (Charybdis) 58f4feb6ad Cosmetic change + Added scramble mode (possibility to add noise in the future). 2012-01-20 16:40:17 +01:00
Michel Juillard f9d2dec97f preparing dsge_loglikelihood.m for future integration of estimation DLL 2012-01-08 21:55:02 +01:00
Michel Juillard 80ca47d62a Merge remote-tracking branch 'local_master/master' into dr1break 2011-12-31 10:10:41 +01:00
Sébastien Villemot 30cbcdbb55 Store histval information for endogenous in M_.endo_histval
Really closes: #157
2011-12-28 11:35:22 +01:00
Sébastien Villemot c541ceb849 Remove unused options_.deterministic_simulation_initialization 2011-12-28 10:44:34 +01:00
Stéphane Adjemian (Charybdis) 45d85f19fa Added options for non linear filters + Cosmetic changes. 2011-12-26 17:46:48 +01:00
Stéphane Adjemian (Charybdis) 3e84e333b4 Changed verbosity options (fast deterministic simulations). Default is options_.verbosity==1. 2011-12-26 17:46:48 +01:00
Stéphane Adjemian (Charybdis) e2f69ab4fc Added arbitrary order of approximation for the Stochastic Extended Path approach.
Default is that we only consider shocks in t+1 to approximate the expectations. If
options_.ep.stochastic.order is set to s>1, shocks in t+1, t+2, ..., t+s are
considered. Obviously the (tensorial) tree of future shocks is growing
exponentially.

Other numerical rules of integration have to be added...
2011-12-23 17:57:41 +01:00
Houtan Bastani 87ffab3200 preprocessor: add symbol.options statement 2011-12-21 12:21:30 +01:00
Houtan Bastani f5bfdbb23f preprocessor: add prior statement 2011-12-21 12:21:29 +01:00
Houtan Bastani 1e78d70659 preprocessor: add data command 2011-12-21 12:21:29 +01:00
Houtan Bastani 29bead75c9 preprocessor: add set_time command 2011-12-21 12:21:29 +01:00
Michel Juillard 316c1b4dd6 Merge branch 'master' into dr1break 2011-12-16 20:50:18 +01:00
Stéphane Adjemian (Charybdis) 857eb7438f Added provisions for future shocks (using Gaussian quadratures). 2011-12-16 11:42:03 +01:00
Michel Juillard edd95a94c8 added options_.sub_draws in estimation for controlling the number of draws used in
computing the posterior distributions of various objects. Changed
options_.subdraws, used in the code, into options_.sub_draws.
2011-12-15 17:35:26 +01:00
Marco Ratto b23c508671 Initialize new option analytic_derivation for estimation. 2011-12-13 17:05:55 +01:00
Stéphane Adjemian (Charybdis) a36cf30118 Make options_.dynatol specific to x/f by adding dynatol.x and dynatol.f. By default dynatol.x=dynatol.f= old default value of dynatol. 2011-12-12 14:20:14 +01:00
Michel Juillard 7c62fafe0c Merge branch 'master' into dr1break 2011-12-10 20:10:31 +01:00
Stéphane Adjemian (Charybdis) 6d9983df0c New version of the extended path routines. 2011-12-09 18:03:30 +01:00
Stéphane Adjemian (Charybdis) 3318542895 Removed old verison of extended path routine. Added new version in dynare/matlab/ep. Added field (ep) in option_ for the extended path routines. 2011-12-05 10:58:39 +01:00
Michel Juillard d14d0f8b45 initialazing bayestopt_ 2011-10-31 18:26:53 +01:00
Michel Juillard 36d5462328 options_.jacobian_flag is now set in global_initialization.m 2011-10-20 20:40:15 +02:00
Sébastien Villemot ddc029394c Clean-up last remnants of unit_root_vars (Closes: #167) 2011-10-14 16:22:47 +02:00
Michel Juillard ee7078e56c factoring out steady-state computations; steady_state_model now
generates <fname>_steadystate2.m returning parameters as well in case
they have been modified by the user. Added several test cases.
2011-10-12 21:51:14 +02:00
Michel Juillard 80c69c404b Revert "added default options_.nobs = []; reset options_.nobs after call to"
This reverts commit 8dc6b78dde.
2011-09-18 14:37:29 +02:00
Michel Juillard 8dc6b78dde added default options_.nobs = []; reset options_.nobs after call to
intialize_dataset()
2011-09-18 12:00:11 +02:00
Stéphane Adjemian (Charybdis) fe55f6a506 Added field for nonlinear filters (initialized as an empty matrix). 2011-09-14 23:41:37 +02:00
Houtan Bastani da8fabf43c remove upper/lower_cholesky options from ms_estimation and sbvar 2011-09-13 11:45:42 -04:00
Houtan Bastani 09df8bcf77 clean up sbvar code 2011-05-31 16:07:05 +02:00
Houtan Bastani 2b2de22956 bug fix: add sbvar options back to global_initialization 2011-05-30 17:46:11 +02:00
Houtan Bastani f5b6142f04 add option 'file' to exist function 2011-05-30 16:31:56 +02:00
Michel Juillard 82600953f1 MS-SBVAR: added automatic saving of graphs in <mod_name>/Output; added possibility to select endogenous variables for IRF plots; updated plot functions. 2011-05-30 15:54:46 +02:00
Michel Juillard 557ee2c004 removing options_.discount_factor that is replaced by parameter optimal_policy_discount_factor 2011-05-24 16:02:42 +02:00
Houtan Bastani 7f374f491f SWZ: updates for irf, forecast and variance decomposition mex calls 2011-05-20 14:34:26 +02:00
Houtan Bastani 074b6acb7d SWZ: changes for new code 2011-05-13 17:23:41 +02:00
Jacob Smith da43f3d0f5 Adding Mex Functionality to work with new MS-SBVAR Code, includes Forecasting,IRF,Variance Decomposition, Plotting and new global settings 2011-05-13 15:13:02 +02:00
Stéphane Adjemian (Sedna) 1f236dca66 Added new simplex optimization routine (mode_compute=8). 2011-05-10 14:18:23 +02:00
Stéphane Adjemian (Sedna) 50e9422c34 Added the possibility to initialize the estimated parameters to the prior mode instead of the (default) prior mean. 2011-05-06 14:39:00 +02:00
Michel Juillard 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
Michel Juillard e029d46697 adding discretionary policy for linear quadratic models, thanks to code provided by Junior 2011-03-13 21:19:55 +01:00
Michel Juillard e5d9a7eb42 corrected bug for options_.kalman_tol and increased its default value to 1e-10 2011-02-10 18:48:08 +01:00
Michel Juillard 6ad29c9879 SWZ: fixing options vlistlog and vlistpercentage 2011-02-09 06:29:21 +01:00
Sébastien Villemot 02652f6eb8 Updated copyright notices 2011-02-04 17:27:33 +01:00
Michel Juillard 2e0a36ae9f Initialize estim_params_ in global_estimation.m. Necessary for smoothing models with no estimated parameters. 2011-01-13 21:10:06 +01:00
Michel Juillard dcc46959b4 The default for options_.qz_criterium is now different for different contexts:
qz_criterium = 1+1e-6
- stoch_simul
- osr
- check
- dynare_estimation_1 with lik_init =2 or 3
qz_criterium = 1+1e-6 for dynare_estimation_1 with lik_init = 1

This correct a bug in estimation and computation of the posterior distribution of moments of endogenous variables when the priors permit roots too close to 1.
2010-12-23 08:34:13 +01:00
Michel Juillard dfbd10a524 added choice of parameter set to shock_decomposition. This corrects a bug when shock_decomposition is requested after Metropolis iterations. 2010-12-08 13:02:59 +01:00
Stéphane Adjemian (Charybdis) 73fb71b9c8 Removed references to options_.simul_seed. 2010-11-27 00:19:22 +01:00
Stéphane Adjemian (Charybdis) db54c2d76e Added a routine for setting the random number generator and the seed, independantly of the version of matlab. Removed the calls to rand('state',x) in simult.m and added a test file. Still need to adapt the routines related to mcmc and swz. 2010-11-26 17:16:12 +01:00
Stéphane Adjemian (Charybdis) 5c709e4733 Changed set_dynare_threads.m. The number of threads in parallelized mex files to be used if dynare is built with the openmp flag
(--with-openmp) is not passed by an environment variable anymore. The function set_dynare_threads changes the default value of the
number of threads (default is 1) in the options_.threads structure. Changed calls to sparse_hessian_times_B_kronecker_C and
A_times_B_kronecker_C dlls accordingly.
2010-11-15 13:06:39 +01:00
Marco Ratto e846c5cda7 New parallel dynare:
1) safe management of remote folder;
2) shh scp (and windows equivalent) commands are concentrated in the master;
3) management of remote crashes;
4) begin building option to interrupt remote processes;
5) better parallel waitbar: pops up only at STARTUP (can be minimized subsequently); adaptive dimension;
2010-10-08 16:15:50 +02:00
Stéphane Adjemian (Scylla) 29f9bb953e Fixed bug related to the mh based approximation of the posterior covariance matrix (used
for the jumping distribution).
2010-09-01 22:15:47 +02:00
Stéphane Adjemian (Scylla) be1e0f1b8a Fixed bug for mode_compute=6 in Octave. Added an option to replace waitbar in matlab by
textbar (as in Octave). The user has to set options_.console_mode before the
estimation command. Cosmetic changes in gmhmaxlik (mode_compute=6).
2010-06-25 15:03:04 +02:00
Houtan Bastani 9b5df05804 DSGE-VAR: introduce dsge_var and dsge_varlag options to estimation statement 2010-06-22 10:38:43 +02:00
Stéphane Adjemian (Charybdis) 945c434afe (1) Added pruning algorithm for second order simulations (matlab code).
(2) Speed improvement in second order simulations (replaced call to matlab's kron function by call to
A_times_B_kronecker_C).

(3) Removed useless globals.

(4) Cosmetic changes and corrections on headers.
2010-05-25 14:00:08 +02:00
Michel Juillard 956b42fdff corrected bugs in shock_decomposition 2010-04-27 19:50:42 +02:00
Sébastien Villemot da74e53204 Preprocessor:
* give the possibility of calibrating measurement errors in the "shocks" blocks (only for observed endogenous variables)
* M_.H is now initialized in the preprocessor
* only one "varobs" statement is now accepted in a MOD file
2010-04-14 15:03:41 +02:00
Michel Juillard 6a2d2a7b46 smoother deals with all variables in M_.endo_names unless option SELECTED_VARIABLES_ONLY is used 2010-04-02 21:40:50 +02:00
Michel Juillard b261eb0ba2 integration of partial information in stoch_simul (thanks to George, Joe and Paul) 2010-03-23 11:09:59 +01:00
Michel Juillard 9b20ae958c added options filter_covariance filter_decomposition for new version of the smoother 2010-03-22 21:57:46 +01:00
Michel Juillard 6d4b0ecab7 SWZ:
- reverting part of last change to handling of Qi and Ri in ComputingTasks.cc: r is the number of lags present in the restrictions
- fixing handling of Dirichlet option in mhm_input.dat. This fixes the strange Signal messages when running C executables.
- fix path in test_upper_cholesky.mod
2010-03-15 12:03:37 +01:00