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1626 Commits (31f3bfa3d05af8b5e4fa97c96b1c70df2c387e2e)

Author SHA1 Message Date
Stéphane Adjemian (Ryûk) bdc95dd1d0
Add unit tests (trust_region algorithm). 
Using mex implementation (block_trust_region).
 2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk) e8cc23d3af
Bug fixes (typos). 2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk) a905539f60
Add test functions for nonlinear solvers. 2021-07-23 19:44:16 +02:00
Sébastien Villemot b34be496c5 Merge branch 'evaluate_planner' into 'master' 
evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight

See merge request Dynare/dynare!1890
 2021-07-23 14:01:22 +00:00
Johannes Pfeifer 440a0e460b
Storage of results: use subfolder 
Ref. #1758
 2021-07-23 14:12:17 +02:00
Johannes Pfeifer e09d215964 evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight 
Also cosmetic changes to indentation
 2021-07-23 13:27:30 +02:00
Sébastien Villemot 3206ea9684 Merge branch 'evaluate_planner_objective' into 'master' 
Streamline evaluate planner objective

See merge request Dynare/dynare!1887
 2021-07-22 14:42:22 +00:00
Johannes Pfeifer a517c1f1de neo_growth_ramsey_k_order.mod: call evaluate_planner_objective 2021-07-22 15:20:30 +02:00
Sébastien Villemot 8b8f919a0f Merge branch 'smoother2histval' into 'master' 
Improvements for smoother2histval

See merge request Dynare/dynare!1886
 2021-07-22 12:03:59 +00:00
Johannes Pfeifer 3fb41e075f Matlab implementation of the consider_all_endogenous_and_auxiliary option 2021-07-22 13:12:27 +02:00
Sébastien Villemot 0e793faeb2 Merge branch 'pf_options' into 'master' 
Particle filter: enable passing of option values and prepare for other samplers

Closes preprocessor#59

See merge request Dynare/dynare!1884
 2021-07-22 09:50:10 +00:00
Johannes Pfeifer 80cad32068 Particle filter: enable passing of option values and prepare for other samplers 2021-07-21 23:00:32 +02:00
Stéphane Adjemian (Ryûk) cd2ed823b6
Fix constant in VAR and PAC expectations... 
When the VAR auxiliary model has a constant.
 2021-07-21 18:02:11 +02:00
Stéphane Adjemian (Ryûk) a69f68bb7c
Modify companion matrix if VAR model has a constant. 2021-07-21 18:02:04 +02:00
Sébastien Villemot 1045c442a9
Merge branch 'occbin_mean' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1882
 2021-07-21 16:42:00 +02:00
Johannes Pfeifer 944bf2b68e occbin: work with non-demeaned data and in constraints 2021-07-21 13:42:38 +02:00
Johannes Pfeifer ac3f04c2ff borrcon*.mod: nostrict option is not needed anymore 2021-07-20 22:38:21 +02:00
Sébastien Villemot c4e1d1e802
Occbin: new syntax for constructing multi-regime equations 
Ref. #569
 2021-07-20 18:19:19 +02:00
Sébastien Villemot 229282a1c4
Occbin: the +<basename>/occbin_difference.m file is now generated by the preprocessor 
Some fields have also changed under M_.occbin.

Ref. #569
 2021-07-20 12:35:15 +02:00
Marco Ratto 02072dde39
Add Occbin routines 
Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.

Ref. #569
 2021-07-16 17:20:11 +02:00
Stéphane Adjemian (Ryûk) 54f80e88d2
Add structural VAR as an auxiliary model for VAR based expectations and PAC expectations. 
Ref. #1785

Just add option `structural` to the `var_model` command.
 2021-07-16 10:25:18 +02:00
Stéphane Adjemian (Ryûk) 547b7aef45
Activate integration test for NLS estimation. 2021-07-15 17:39:41 +02:00
Stéphane Adjemian (Ryûk) 14bc82b287
Add single equation estimation by NLS. 
Ref. #1798.

See example in tests/estimation/example_nls.mod.
 2021-07-15 16:55:49 +02:00
Stéphane Adjemian (Ryûk) 2b4572affd
Allow arbitrary nonzero mean exogenous variables in PAC equations. 
Previously any nonzero mean exogenous variable had to be centered on
the growth rate (first difference) of the (PAC's LHS) endogenous
variable.
 2021-07-11 17:06:53 +02:00
Sébastien Villemot abd64c256e
New perfect_foresight_with_expectation_errors_{setup,solver} commands 
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
Stéphane Adjemian (Ryûk) fe63082c42
Add lagged information set in VAR based expectations. 2021-07-06 23:06:46 +02:00
Johannes Pfeifer f7a232061a
Remove unused options_-output 
Prevents accidentally changing something
 2021-06-22 18:17:11 +02:00
Sébastien Villemot 18a172bd45
Merge branch 'mcp_ramsey' of git.dynare.org:JohannesPfeifer/dynare 
See merge request !1874
 2021-06-16 17:41:40 +02:00
Sébastien Villemot 88b427f7bc
Compatibility fix for MATLAB R2014a 
MATLAB R2014a does not like the syntax “abs(x).data” where “x” is a dseries.
 2021-06-16 17:41:40 +02:00
Johannes Pfeifer 1d10659b59 get_complementarity_conditions.m: fix equation numbering with ramsey_model 
M_.equation_tags already contains the correct equation number
 2021-06-16 13:21:49 +02:00
Stéphane Adjemian (Ryuk) 2a5ed79be5
Do not run MCMC after online filter (integration test) 2021-06-15 22:09:35 +02:00
Normann Rion 3d27672c58
kth-order approximation of conditional welfare 
Partially addresses issue #1680:
- unconditional welfare resorts to dynare++ simulation tools, which shall be updated very soon
TO DO:
- implement a function computing kth-order approximation of simulated moments of y
 2021-06-15 15:04:31 +02:00
Sébastien Villemot 2952d18343
Testsuite: improve and integrate unit test for A·(B⊗C) MEX files 
In particular, add a test for the sparse A·(B⊗C) where B≠C.
 2021-06-14 15:28:34 +02:00
Johannes Pfeifer 0116870399 pruned_state_space: handle shocks with 0 variances 2021-06-11 14:15:31 +02:00
Sébastien Villemot 766fff88f6
Use secure URL for link to GNU licenses 2021-06-09 17:35:05 +02:00
Stéphane Adjemian (Charybdis) 27ee801a67
Add specialized version of sim1 for static models. 
Also add an integration test and fix homotopy error message.
 2021-05-28 14:11:34 +02:00
Stéphane Adjemian (Charybdis) 9867203f25
Reduce simulation length in integration test. 
Also removed commented codes.

Closes #1857
 2021-05-28 13:56:13 +02:00
Johannes Pfeifer f78ac9f5ac
EP with MCP: add test case 2021-05-28 13:49:58 +02:00
Sébastien Villemot abe8a05b43 Merge branch 'smoother_redux' into 'master' 
Implement new option smoother_redux, to allow fast smoother for very large...

See merge request Dynare/dynare!1859
 2021-05-27 16:33:21 +00:00
Sébastien Villemot c4e0cd0565 Merge branch 'posterior_smoother' into 'master' 
prior_posterior_statistics_core.m: filter out cases where model does not solve

See merge request Dynare/dynare!1860
 2021-05-27 16:09:19 +00:00
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 
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
Johannes Pfeifer 5d1d5b8a85 prior_posterior_statistics_core.m: filter out cases where model does not solve 
Relax qz_criterium by factor of 10, when taking posterior subdraws. Also makes sure `prior` option works as intended.
 2021-05-27 16:46:28 +02:00
Marcoo Ratto 1645f38269
Implement heteroskedastic filter and smoother 2021-05-26 18:45:16 +02:00
Johannes Pfeifer 456dc86ad1 identification: support optimal policy 
Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1837
 2021-05-14 13:38:42 +02:00
Sébastien Villemot cf37b5151a
Testsuite: indicate that glibc bug has been fixed in version 2.34 
[skip ci]
 2021-05-11 18:54:07 +02:00
Sébastien Villemot 0d6bc47158
Merge branch 'rattoma/dynare-mh_initialize_from_previous_mcmc' 
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 
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' 
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 
(like deficient # of shocks in the presence of stockflow observed)
 2021-05-07 17:51:03 +02:00
Sébastien Villemot 749fc219e5
Testsuite: increase test tolerance under Octave for ecb/SURGibbs/fulton_fish.mod 2021-05-05 15:43:19 +02:00