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1423 Commits (2679e190e8f7f66ea9936f2b6167e56541ce3f7f)

Author SHA1 Message Date
Stéphane Adjemian (Gpm) de1ba423b5 Bug fixes. 2010-02-17 18:27:20 +01:00
Stéphane Adjemian (Gpm) cbfd0fd562 Added estimation of the variance of the SMM estimator. 2010-02-17 17:48:43 +01:00
Stéphane Adjemian (Gpm) b65178aadb Added a function computing the gradient of a function (R^m -> R^n). 2010-02-17 17:33:52 +01:00
Stéphane Adjemian (Gpm) f1b07fb789 Added a function computing the gap between simulated and sample moments. 2010-02-17 16:53:04 +01:00
Stéphane Adjemian (Gpm) 77570f40c7 Added mode options.optimization_routine==0 (no optimization, just read the optimization_path.mat file). 2010-02-17 16:20:37 +01:00
Sébastien Villemot c1e7ade63e get_variance_of_endogenous_variables.m: fixed error introduced in commit b9173a211f 2010-02-17 12:52:25 +01:00
Sébastien Villemot 9e2885d17f Merge remote branch 'michel/master' 2010-02-17 12:51:20 +01:00
Sébastien Villemot b9173a211f get_variance_of_endogenous_variables.m: 
* fixed bug when no unit root
* removed unused and never initialized second return argument
 2010-02-17 12:02:17 +01:00
Sébastien Villemot d6faa47807 Cosmetic changes: converted files to Unix end-of-line convention + fixed copyright notices and dates 2010-02-15 16:52:36 +01:00
JUILLARD Michel 9509a46497 corrected bug when all variables are stationary and u is empty 2010-02-15 14:17:02 +01:00
Stéphane Adjemian (Karaba) 44623a1d3f Fixed bug related to squeeze. Replaced matlab's squeeze function by dynare_squeeze. 2010-02-13 19:19:57 +01:00
Marco Ratto be510a4b93 bug fixes for use with octave for windows 2010-02-12 19:31:39 +01:00
Marco Ratto 0d2448c375 bug fix for use with octave for windows (filesep in place of '/') 2010-02-12 19:31:05 +01:00
Marco Ratto c8568a7fb8 fixed bug: transpose after squeeze 2010-02-12 19:30:27 +01:00
Marco Ratto cfda6bf6bb added global variables needed 2010-02-12 18:01:53 +01:00
Marco Ratto fd31489982 simplified screen output for parallel runs in octave 2010-02-12 18:00:16 +01:00
Marco Ratto c4a6c47588 1) moved waitbar instances to core 
2) new input argument parallel_info for masterparallel
3) force not closing slave (consecutive pm3 calls)
 2010-02-12 17:54:52 +01:00
Marco Ratto 187e55739c provisions for octave and small fixed bug 2010-02-12 17:53:43 +01:00
Marco Ratto 4b6d5f3357 provisions for octave 2010-02-12 17:46:12 +01:00
Marco Ratto b9ae99d367 Several fixes: 
1) moved all waitbar instances to core routines;
2) added IRUN argument for core1
3) added global variables for core2 and removed wrong definitions for local ones
 2010-02-12 17:41:38 +01:00
Marco Ratto 1e31815805 New option parallel_info 2010-02-12 17:38:47 +01:00
Marco Ratto 7581960fb2 use of parallel info to redirect to masterParallelman when requested by the user 2010-02-12 17:38:15 +01:00
Marco Ratto cb5fcdef10 New input parallel_info for masterparallel 2010-02-12 17:37:28 +01:00
Marco Ratto e1b64eae1d Unix new line format 2010-02-12 17:35:53 +01:00
Marco Ratto bc4c342e6a debugged nvar wrongly put in local vars for core 2010-02-12 17:27:29 +01:00
Marco Ratto 0764c03001 New utility to close remote slaves when using the options of leaving slaves open after finishing a job. 2010-02-12 17:25:58 +01:00
Marco Ratto 5bb4ff02bc Added parallel_info argument to masterparallel 2010-02-12 17:24:24 +01:00
Marco Ratto d6027ad50f Merge branch 'master' of ssh://kirikou.dynare.org/srv/d_kirikou/git/dynare-ratto 2010-02-12 17:17:42 +01:00
Stéphane Adjemian (Charybdis) a83c0e68c7 Bug fix and efficiency changes in smoothing routines. 2010-02-12 12:31:32 +01:00
Stéphane Adjemian (Karaba) a828c3d2c1 Do not compute the harmonic mean estimator of the marginal density and various posterior 
statistics if options_.mh_replic==0.
 2010-02-11 14:26:30 +01:00
Marco Ratto 3cecfb0f22 More comments and traps 2010-02-10 18:53:16 +01:00
Marco Ratto c76c0744ff If only one chain, don't go parallel 2010-02-10 18:52:16 +01:00
Marco Ratto 060e36da1a parallel version. 2010-02-10 18:51:07 +01:00
Marco Ratto 837399182c parallelized pm3. 2010-02-10 18:47:20 +01:00
Marco Ratto e2c38b4028 Parallel version of PosteriorIRF.m 2010-02-10 18:46:24 +01:00
Marco Ratto c566613d6d Bug fix: 'initialize' was always empty ... 2010-02-10 18:45:04 +01:00
Marco Ratto e4afa02054 Use of new utility distributeJobs 2010-02-10 18:43:29 +01:00
Marco Ratto f9bc14f02c Utility to distribute jobs, used by masterparallel 2010-02-10 18:42:15 +01:00
Marco Ratto 184ca19317 Utility to get the number of CPU's in a computer 2010-02-10 18:41:08 +01:00
Marco Ratto d62cd457ac Utility to check that cluster works properly and can run a remote matlab session. 2010-02-10 18:39:16 +01:00
Stéphane Adjemian (Charybdis) dcf49d606f Added the possibility of computing hp-filtered simulated moments. 2010-02-10 14:20:28 +01:00
Michel Juillard 7019b382d7 added initialization of priodens.m in global_initialization.m 2010-02-08 11:15:14 +01:00
Michel Juillard 84aae713a6 explicit initialization of persistent variables in priordens.m 2010-02-06 14:43:16 +01:00
Stéphane Adjemian (Charybdis) cc06f60ab2 Merge branch 'master' of kirikou.dynare.org:/srv/d_kirikou/git/dynare 2010-02-05 23:21:10 +01:00
Stéphane Adjemian (Charybdis) 3f1fad9cd2 Added trap for cases where diffuse filters fail (replaced error messages by warning messages). 2010-02-05 23:18:08 +01:00
Sébastien Villemot d244278adf Fixed bug in dynasave (thanks to P. M. Lafourcade for reporting) 2010-02-05 16:54:00 +01:00
Stéphane Adjemian (Charybdis) 55c210ef47 Bug fix (fval is give by DsgeVarLikelihood if a dsge-var model is estimated) and cosmetic 
changes (removed trap).
 2010-02-04 21:36:21 +01:00
Michel Juillard 0c26e187b3 Merge branch 'master' of http://www.dynare.org/git/dynare 2010-02-04 16:34:53 +01:00
Michel Juillard 2e53bb0807 bug correction in mode_check when incomplete last page of plots 2010-02-04 16:30:19 +01:00
Stéphane Adjemian (Charybdis) 8878c10a75 Added a warning if the user put order>1 as an option in the estimation command. 2010-02-04 10:30:45 +01:00
stepan@charybdis bfde3d2beb Removed non linear kalman filter files. 2010-02-03 12:37:46 +01:00
ratto c666b79001 trap for NaN's in mm and MM 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3390 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-27 14:03:28 +00:00
ratto 7a743a9594 Added partial correlation plots for reduced form model and moments; 
warning of for the loop of  normalized sensitivities;

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3389 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-27 14:02:56 +00:00
sebastien c44452d820 Fast deterministic simulations: 
* when using "bytecode" without "block", enforce "stack_solve_algo=5"
* added a test for "bytecode" without "block" option


git-svn-id: https://www.dynare.org/svn/dynare/trunk@3388 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-27 10:13:14 +00:00
ratto 3f8bc2b2a1 Added steady state to derivatives of LRE form. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3387 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-26 16:48:45 +00:00
ratto 234cc8ef7a header 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3381 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-26 14:11:15 +00:00
ratto 966a1b4896 boxplot utility, used in identification. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3380 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-26 14:10:17 +00:00
ratto a02dd60d1e Modified version of parallel routines, with more sophisticated management of slave processes, which are not closed after the completion of each job but can stay in stand-by until a new job is assigned to them. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3379 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-26 13:18:15 +00:00
ratto 0378c80427 deleted a bit still linked to sshfs 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3378 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-26 13:11:17 +00:00
michel f06b4e180a 4.2: fixed bug in k_order_pert.m for order == 1 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3376 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-25 14:52:48 +00:00
michel ce7af53855 v4.2: changed vech functions names to avoid conflict with other toolboxes 
vech.m      -> dyn_vech.m
      unvech.m    -> dyn_unvech.m
      diag_vech.m -> dyn_diag_vech.m


git-svn-id: https://www.dynare.org/svn/dynare/trunk@3375 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-23 16:55:28 +00:00
ferhat 0efd5b1621 "bytecode" option can be used without "block" option 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3373 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-22 10:03:29 +00:00
stepan 29fc9354ef Adapted SMM for the estimation of variances. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3370 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-21 10:56:32 +00:00
stepan 397d531990 Bug fix. Variable use_dll_flag is not defined if remote computers are not used. Don't need to compile the 
(dynamic model) mex file in this case.



git-svn-id: https://www.dynare.org/svn/dynare/trunk@3366 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-16 10:28:09 +00:00
stepan 46cf2ea243 * Bug fixes and cosmetic files in parallelized SMM. 
* Bug fix in extended_path.m



git-svn-id: https://www.dynare.org/svn/dynare/trunk@3365 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-15 15:45:07 +00:00
ratto f8f8434977 removed useless comments 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3364 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-15 10:02:22 +00:00
ratto f1795cb909 1) added ismac for MATLAB >= 7.4 
2) some commenting added;
3) eliminated sshfs mounting
4) eliminate use of ifconfig, use hostname utility of linux/unix instead (still may  not work for solaris environments?)

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3363 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-15 10:01:21 +00:00
ratto 414ea4daf0 forced order=1 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3362 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-15 09:58:38 +00:00
ratto 94d215d73e Modifications linked to previous commit: 
Added first order moments 
Added LRE analysis for trivial no-identification

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3361 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-15 09:58:09 +00:00
ratto cda0f571b4 Added first order moments 
Added LRE analysis for trivial no-identification

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3360 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-15 09:57:05 +00:00
ratto a018e231de distinguishing between noprint and nomoments/nocorr options 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3359 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-15 09:55:05 +00:00
stepan c5cf610fdf Removed persistent variable. Don't know if persistent variables are working as expected 
with recursively called functions.



git-svn-id: https://www.dynare.org/svn/dynare/trunk@3354 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-13 10:14:55 +00:00
stepan 1b37985435 Added a generated mat file keeping track of the estimated parameters' values. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3347 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-11 16:36:36 +00:00
stepan 5f42e79bfc Changed the code so that if we are not able to solve for the deterministic equilibrium path 
at time t (even with the homotopic steps) then the size of the structural innovations is 
reduced (at time t *only*). The advantage of this trick is that the seed of the random 
number generator is not affected. The problem is that the structural innovations are now 
heteroscedastic. Should add something to evaluate the importance of this heteroscedasticity problem. 




git-svn-id: https://www.dynare.org/svn/dynare/trunk@3346 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-11 16:29:50 +00:00
stepan 77eec32811 Replaced disp() by error(). This condition (master running a job) is mandatory. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3345 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-11 13:58:45 +00:00
stepan 3ad3372f76 Correction of a bug introduced in the previous commit (3343). 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3344 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-11 13:53:57 +00:00
stepan 868ef77d89 Tests if master is running a job. Master has to run a job, otherwise we 
cannot define a time limit for the evaluation of the objective function. 




git-svn-id: https://www.dynare.org/svn/dynare/trunk@3343 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-11 13:49:31 +00:00
stepan da8638ccc7 * Added the possibility to use the matlab's simplex routine for 
minimizing the objective function.
* Added a test for the platform (parellelized version of SMM is 
only implemented for linux).
* Added upper and lower bounds for the estimated parameters. A 
penalty is defined when a vector of parameters does not satisfy 
the upper and lower bounds.
* Cosmetic changes.



git-svn-id: https://www.dynare.org/svn/dynare/trunk@3342 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-11 13:33:23 +00:00
stepan 6d7c31de9b The second output argument has to be non empty. flag is equal to zero if, for some reason, 
the evaluation of the objective function failed.
 


git-svn-id: https://www.dynare.org/svn/dynare/trunk@3339 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-10 23:27:43 +00:00
stepan 2fdc41ab36 Removed printed gradient. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3338 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-10 23:23:57 +00:00
stepan 2d8945939d Commit 3335 was incomplete. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3337 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-10 23:10:14 +00:00
stepan 696e8ee140 Added a new input argument (epsilon) in gradient routines and csminwel.m. This parameter defines the length of the steps considered 
by numgrad routines to compute the gradient. The default value (defined in global_initialization.m) for this parameter is 1e-6. The
value of epsilon is stored in options_.gradient_epsilon.




git-svn-id: https://www.dynare.org/svn/dynare/trunk@3335 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-10 16:51:33 +00:00
stepan 3c4d69ace2 * Efficiency change in numgrad (two, three and five points formulas) files. Do not evaluate the objective function at x, this is already 
done in csminwel.m or in csminit.m.
* Fixed bug in the calling sequence of numgrad5.m (five points formula) in csminwel.m.
* Cosmetic changes.




git-svn-id: https://www.dynare.org/svn/dynare/trunk@3334 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-10 14:36:45 +00:00
stepan 139491219b * Bug fixes. 
* Simulated moments (computed by the slaves) are saved in ascii files instead of mat files.



git-svn-id: https://www.dynare.org/svn/dynare/trunk@3333 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-10 13:49:18 +00:00
stepan 8c89170cf6 Bug fixes and cosmmetic changes. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3330 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-09 15:46:55 +00:00
stepan 4beedc8f85 * Replaced file system matlab commands by unix commands. 
* Added (missing) call to dynare_config for each slave.
* Other bug fixes.
* Cosmetic changes.



git-svn-id: https://www.dynare.org/svn/dynare/trunk@3329 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-09 00:40:10 +00:00
stepan c2e3aa8f58 Bug fix. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3328 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 17:42:38 +00:00
stepan 6a9624a78b * Added missing definition of the hostname in smm_objective.m. 
* Fixed bug related to the name of the remote computer in smm_objective.m.

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3327 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 17:39:10 +00:00
stepan f8dc2e4c0a Fixed a bug related to the number of slaves per remote computer. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3326 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 17:33:31 +00:00
stepan 0787ea0201 Fixed bug related to the default seed on the slaves. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3325 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 17:30:44 +00:00
stepan 76c736275c Fixed ssh forwarding of the authentication key (added -A option). 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3324 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 17:20:08 +00:00
stepan 7c17ab9cca Added parallelized Simulated Moments Method (to be tested). 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3323 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 17:14:50 +00:00
ratto 16794e4ec9 Updated version following new revision of dsgelikelihood.m 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3318 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 10:06:21 +00:00
sebastien e7adf28fbd A few more copyright fixes 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3316 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 09:54:43 +00:00
sebastien 129b6fe060 Fixed a few copyright dates 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3315 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 09:48:23 +00:00
sebastien e1ac48414c Fixed RMSE in bvar_forecast 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3313 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 09:31:57 +00:00
fred d8f13d4dae SIS = standard particular filter 
_2 = variation around mat var-cov calculations

git-svn-id: https://www.dynare.org/svn/dynare/trunk@3312 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-08 08:21:57 +00:00
stepan 301c840ace Adapted csminwel calling sequence to match the previous commit. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3311 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-06 14:54:27 +00:00
stepan 961b539dfd Removed dataset from the inputs (only one field of this structure was used). 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3310 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-06 14:49:31 +00:00
stepan 1b3dce7d1b Added files for SMM estimation. 
git-svn-id: https://www.dynare.org/svn/dynare/trunk@3309 ac1d8469-bf42-47a9-8791-bf33cf982152
 2010-01-06 14:38:32 +00:00