Johannes Pfeifer
1cc29d765b
DsgeSmoother: add warning if there is stochastic singularity
2020-07-15 11:00:48 +02:00
Sébastien Villemot
7e770f69e7
Remove workaround for errors in MEX files
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Because at some point throwing exceptions from MEX files (with mexErrMsgTxt())
was not working under Windows 64-bit, we had designed a workaround to avoid
using exceptions.
Most MEX files were returning an error code as their first (or sometimes last)
argument, and that code would have to be checked from the MATLAB code.
Since this workaround is no longer needed, this commit removes it. As a
consequence, the interface of many MEX files is modified.
For some background, see https://www.dynare.org/pipermail/dev/2010-September/000895.html
2020-01-10 18:33:11 +01:00
Stéphane Adjemian (Charybdis)
c4f1958690
Cosmetic changes + Copyright headers fixes.
2018-01-26 12:00:27 +01:00
Marco Ratto
cf8213f7a0
fix to the Kitigawa transformation that allows to reduce the computing time of the likelihood in large models, with a lot of static variables, by 30-50%.
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This fixes the bug in e97e5c3407
that led to 2f9dc09285
It is tested and completely fixes the issue highlighted in #1312 .
2018-01-26 11:47:39 +01:00
Johannes Pfeifer
8ccebd9e23
DsgeSmoother.m: provide informative error instead of crashing when model cannot be solved
2017-08-16 19:26:24 +02:00
Stéphane Adjemian (Charybdis)
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
Stéphane Adjemian (Charybdis)
a53636e24e
Fixed copyright notices.
2017-05-16 14:11:15 +02:00
Johannes Pfeifer
1755192e63
Make 792924 consistent with cases where Pinf is an empty matrix
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Fixes the crash in `analytic_derivatives/fs2000_analytic_derivation.mod`
2017-03-31 17:41:38 +02:00
Johannes Pfeifer
2c5b1fed2d
Use master function lyapunov_solver.m to call individual solvers
2017-01-04 11:25:44 +01:00
Johannes Pfeifer
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
Michel Juillard
42acb96b3d
renamed compute schur_statespace_transformation.m
...
refactored code
2016-11-22 18:40:10 +01:00
Johannes Pfeifer
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
Johannes Pfeifer
af72c1bd22
Add missing comment sign in DsgeSmoother.m
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
63b8c4d2dd
Fix smoother for univariate filter with (correlated) measurement error
2016-08-22 19:24:35 +02:00
Johannes Pfeifer
a02f7cc8f3
Correct header of DsgeSmoother.m
2016-06-14 11:52:49 +02:00
Houtan Bastani
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
Johannes Pfeifer
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
Johannes Pfeifer
be2221286c
Add note on setting of bayestopt_.mf to DsgeSmoother.m
2016-04-12 10:52:40 +02:00
Johannes Pfeifer
98384eb6f2
Document variable ordering in various headers
2016-04-12 10:52:37 +02:00
Johannes Pfeifer
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
Johannes Pfeifer
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
Johannes Pfeifer
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
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.
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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
Johannes Pfeifer
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
Johannes Pfeifer
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
Stéphane Adjemian (Charybdis)
6aa5ceabb2
Fixed bug introduced in 363c4a61222103fda22adff9bdb1115a6073428a.
2015-04-03 18:02:03 +02:00
Stéphane Adjemian (Charybdis)
090c4fedbd
Added new option (diffuse_kalman_tol) and fixed tolerance paremeters in diffuse smoother routines.
2015-04-03 18:02:03 +02:00
Marco Ratto
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
Johannes Pfeifer
ed8b47bbf4
Add info to header about additional output argument
2014-12-11 20:59:31 +01:00
Stéphane Adjemian (Karaba)
97b63105a0
Add a parameter to the lyapunov_symm routine (debug mode).
2014-10-13 17:42:53 +02:00
Johannes Pfeifer
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
Stéphane Adjemian (Scylla)
7b089ec2b3
Cosmetic change. Renamed nobs as vobs.
2014-07-17 22:05:07 +02:00
Stéphane Adjemian (Scylla)
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
Stéphane Adjemian (Scylla)
8359b90cdf
Cosmetic changes.
2014-01-30 13:00:25 +01:00
ferhat
4e789452b2
Allows to use alternative algorithms to solve lyapunov equation
2014-01-14 17:32:01 +01:00
Stéphane Adjemian (Charybdis)
907e087ea9
Consider options_.varobs as a cell of strings.
2013-09-07 16:39:04 +02:00
Stéphane Adjemian (Charybdis)
e60d438e86
Fixed bug.
2013-06-28 16:59:47 +02:00
Stéphane Adjemian (Charybdis)
b281830983
Added new initialization mode ofr the Kalman filter and smoother.
2013-06-28 16:26:53 +02:00
Sébastien Villemot
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
Stéphane Adjemian (Charybdis)
0da05ae29d
Removed globals from set_all_parameters routine.
2012-06-07 15:13:39 +02:00
Michel Juillard
0b0c939849
fixing bug with smoother with univariate filters
2011-11-02 14:02:12 +01:00
Stéphane Adjemian (Scylla)
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
Stéphane Adjemian (Charybdis)
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
Michel Juillard
78d882900a
more bug corrections in smoother routines
2011-03-25 21:32:45 +01:00
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
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
Sébastien Villemot
02652f6eb8
Updated copyright notices
2011-02-04 17:27:33 +01:00
Sébastien Villemot
757a9067c0
Global reindentation of MATLAB files
2011-02-04 17:17:48 +01:00
Michel Juillard
bff8de837b
modifying dynare_resolve() calling sequence
2011-01-26 21:24:46 +01:00
Michel Juillard
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