83a6963286
Rewrote get_file_extension.
2015-11-26 20:53:13 +01:00
73313dc5b7
Merge pull request #1107 from FerhatMihoubi/Branch_bytecode_display_and_exogenous_in_extended_path
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Branch bytecode display and exogenous in extended path
2015-11-19 17:09:09 +01:00
e555c8181d
Corrections in the way to handle the exogenous
2015-11-19 17:04:56 +01:00
215de7e8dc
Closes #1057 .
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Use a static file with a list of routines to cleared before each run (because they have
persistent variables).This static file (the script
matlab/list_of_functions_to_be_cleared.m) is distributed with Dynare and
needs to be updated for each release (or each time we add/remove
persistent variables). To update the file just do:
>> clear_persistent_variables(DYNARE_MATLAB_PATH, true)
and add/commit the generated file.
2015-11-12 14:38:16 +01:00
dd2cf673d2
Updated the dates submodule.
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The setdiff method can return a second output argument (vector of indices). If A and B are two dates objects, and if setdiff is called with two output argument:
[C, IA] = setdiff(A, B)
then we have:
C = A(IA)
2015-11-11 22:51:25 +01:00
edd275bfcc
Merge pull request #1103 from FerhatMihoubi/Branch_fix_bug_det_cond_forecast
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Fix bugs in det_cond_forecast.m
2015-11-11 18:37:55 +01:00
6d7218f9dc
Fix bugs in det_cond_forecast.m
2015-11-11 18:35:41 +01:00
6ee212331f
submodule update: reporting
2015-11-11 15:11:31 +01:00
f3ee32690e
fixed bug introduced in commit 660fc6
2015-11-10 09:27:36 +01:00
53e9307fe2
modified too big message in evaluate_planner_objective
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Mention the issue in the doc
2015-11-09 09:15:44 +01:00
953ac851c0
& into &&
2015-11-09 09:03:55 +01:00
660fc64471
adding check for model size before computing value of planner objective.
2015-11-09 09:03:55 +01:00
4222269324
Merge pull request #1100 from JohannesPfeifer/initial_check_par_names
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Fix display of parameter names changed during estimation
2015-11-04 14:40:43 +01:00
cbfe1e77ce
Merge pull request #1098 from JohannesPfeifer/particle_filter_missing_check
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Filter out datasets with missing values before particle filtering
2015-11-04 14:39:56 +01:00
1def4f357a
Fix display of parameter names changed during estimation
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Relied on the wrong ordering
2015-10-28 15:34:14 +01:00
1f18a2468b
Deblank field names to prevent crashes during computation of posterior moments
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Necessary after switching to indirect indexing of structure fields
2015-10-23 08:53:23 +02:00
4d573e600d
Cosmetic change.
2015-10-22 16:10:34 +02:00
aabbed0542
Fixed syntax for declaring subfields in oo_ (conditional_variance_decomposition_mc_analysis).
2015-10-22 16:10:34 +02:00
fe0f19dc37
Fixed bug. Wrong size of the state vector...
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When dsge_likelihood enters (because of of a detected singularity) in
univariate_kalman_filter routine with correlated measurement errors.
2015-10-22 16:10:34 +02:00
af0193fe41
submodule update: reporting
2015-10-21 17:50:26 +02:00
ab893696eb
submodule update: dseries
2015-10-21 17:49:48 +02:00
fbe57c0d08
submodule update: reporting
2015-10-21 12:02:49 +02:00
554f3df659
Filter out datasets with missing values before particle filtering
2015-10-20 15:49:07 +02:00
713fc3eae8
submodule update: reporting
2015-10-19 15:14:35 +02:00
f8efe5dec0
Updated dseries submodule.
2015-10-19 14:28:20 +02:00
0b04804a73
submodule update: dseries
2015-10-19 11:10:10 +02:00
b01867c47e
Bug fix. Closes issue #1094 .
2015-10-17 17:44:25 +02:00
dc20cac3e2
Updated dseries submodule.
2015-10-17 17:43:32 +02:00
36992933d2
Merge pull request #1062 from FerhatMihoubi/cond_forecast_and_bytecode
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Allows to compute the extended path and the conditional forecasts wit…
2015-10-16 17:12:54 +02:00
529ccd3773
submodule update: reporting
2015-10-16 15:38:20 +02:00
f5043e11b0
update reporting path
2015-10-16 15:37:39 +02:00
1d3b1ae6c3
submodule update: reporting
2015-10-15 12:33:23 +02:00
c477d25fe2
Merge pull request #1086 from JohannesPfeifer/constant_moments
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Save posterior moments even if the distribution is degenerate
2015-10-14 22:15:09 +02:00
f12a468bb3
Merge pull request #1085 from rattoma/optimizer_number_5
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enhancements to optimizer 5
2015-10-14 17:33:27 +02:00
f583add550
prior_posterior_function: save results to different structures, depending on which command was called
2015-10-14 11:19:12 +02:00
b4bd896b89
Merge pull request #1087 from JohannesPfeifer/resid_fix
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Remove automatic error from resid.m when steady state does not solve.
2015-10-14 01:12:34 +02:00
61abe6dfc7
Merge pull request #1088 from rattoma/diffuse_filter_and_smoother
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Diffuse filter and smoother
2015-10-14 01:09:08 +02:00
01329a4e0e
Merge pull request #1084 from rattoma/gsa
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Gsa and identification commits
2015-10-13 23:59:54 +02:00
6ea5bdde34
Merge branch 'johannes_bandpass'
2015-10-13 23:56:22 +02:00
f7175745ac
Add one-sided HP filter
2015-10-13 20:50:03 +02:00
145e2d5542
preprocessor: prior_posterior_function: change option 'prior_posterior_sampling_draws' to 'sampling_draws' #1076
2015-10-13 17:41:31 +02:00
93e7be66e7
proper use on diffuse_kalman_tol in univariate diffuse filter and smoother
2015-10-13 17:28:29 +02:00
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
05fc096569
Make multivariate kalman filter and smoother robust to badly scaled covariance matrix of observables.
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This avoids shifting to univariate filter in most cases.
2015-10-13 17:15:01 +02:00
c45a054c6f
modify calling structure of execute_prior_posterior_function and update doc
2015-10-13 15:13:35 +02:00
cb3804ab51
Remove automatic error from resid.m when steady state does not solve.
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Closes #573
2015-10-13 13:45:54 +02:00
1043a019c2
Save posterior moments even if the distribution is degenerate
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Closes #1024
2015-10-13 11:47:35 +02:00
2d59920a70
- systematically check bounds for each parameter during optimization
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- make htol adaptive to each parameter to speed up computations
2015-10-13 11:07:01 +02:00
61d6e49dfd
Fix rank condition check, using default MATLAB tolerance (thanks to Jesper Linde and Malin Adolfson)
2015-10-13 10:45:35 +02:00
bc8f546cbb
Provisions to to show in plots the parameter value around which the sensitivity analysis with the option neighborhood_width is done.
2015-10-13 10:44:13 +02:00
d3eca9338b
Merge pull request #1038 from JohannesPfeifer/kernel_density
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Allow computing posterior kernel density
2015-10-12 23:23:07 +02:00
40877685f2
Add LaTeX-output option to table from stoch_simul.m
2015-10-12 20:42:04 +02:00
38d293b864
Replace globals in disp_th_moments.m by function arguments
2015-10-12 20:42:03 +02:00
f7ae5e4f60
Adjust table titles to accommodate new filter options
2015-10-12 20:42:02 +02:00
281e87f807
Add simulated variance decomposition
2015-10-12 20:42:01 +02:00
a524681e40
Replace globals in disp_moments.m by function arguments
2015-10-12 20:42:00 +02:00
9459ff5d8f
Add bandpass filtering to simulated moments
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Also takes precautions for future implementation of one-sided hp filter
2015-10-12 20:42:00 +02:00
a4b04ca9b4
Fix UnivariateSpectralDensity.m for filtered variables
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- Adds bandpass filter
- Writes results to oo_
2015-10-12 20:41:59 +02:00
25df325899
Add bandpass filter to th_autocovariances.m
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Also adds documentation
2015-10-12 20:41:58 +02:00
e9f2be0c1a
Cosmetic changes to UnivariateSpectralDensity.m
2015-10-12 20:41:57 +02:00
6d23db41d0
Merge pull request #1082 from JohannesPfeifer/steady_state_file_check
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Check whether steady state file returns column vector
2015-10-12 16:33:29 +02:00
8ef96c46ca
Check whether steady state file returns column vector
2015-10-12 16:17:56 +02:00
203455d2a1
Updates particles submodule (mainly bug fixes).
2015-10-12 15:51:16 +02:00
7ebbc41d8a
Get rid of eval statements by using indirect indexing of structures
2015-10-12 15:36:42 +02:00
b7cbb563d6
Allow suppressing density of smoother and forecast objects
2015-10-12 15:34:52 +02:00
1ef1f9c75d
Transform hard-coded kernel density options to real options
2015-10-12 15:34:51 +02:00
aa894f8613
Merge pull request #1075 from JohannesPfeifer/stochastic_singularity
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Condition check for stochastic singularity on maximum of non-missing …
2015-10-12 09:12:31 +02:00
c2565e803f
Merge pull request #1079 from JohannesPfeifer/k_order_pert_fail
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Filter out failure of k_order_pert in likelihood computation
2015-10-11 20:45:51 +02:00
fd9f2db79d
Allow resuming previous run of CMAES
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Also enables saving of intermediate results, consistent with the manual.
2015-10-11 19:13:48 +02:00
e3e34e1c7d
Reduce default accuracy criterion in cmaes.m
2015-10-11 18:50:05 +02:00
df47be4076
Properly set bounds and H0 for CMAES
2015-10-11 18:21:25 +02:00
d513d38f73
Filter out failure of k_order_pert in likelihood computation
2015-10-11 17:55:27 +02:00
33aa22a80f
Condition check for stochastic singularity on maximum of non-missing observations
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closes #1071
2015-10-11 10:49:15 +02:00
866ab33575
Merge pull request #1042 from JohannesPfeifer/discretionary
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Various fixes for discretionary_policy
2015-10-10 22:25:46 +02:00
b51b037ef2
Merge pull request #871 from JohannesPfeifer/prior_posterior_function
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Add functionality Prior posterior function
2015-10-10 22:17:53 +02:00
6502c311a0
replaced global timer by local timer
2015-10-10 14:33:30 +02:00
18a5eea7e0
Fixed bug in clear_persistent_variables routine.
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The generated mat file (which saves a list of routines containing persistent variables) has to be saved in the dynare/matlab folder.
2015-10-10 00:21:18 +02:00
3490e400bc
Merge pull request #1015 from JohannesPfeifer/model_comparison
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Bugfixes and improvements for model_comparison
2015-10-09 17:11:15 +02:00
f7f158f078
Revert "removed global objective_function_penalty_base"
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This reverts commit 5ade8d7c6f
2015-10-09 14:23:32 +02:00
784b8d893c
Revert "reducing penalty value to 0.1 when there is no ground to make it proportional"
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This reverts commit a6f123fd50
2015-10-09 14:23:32 +02:00
818fa47375
Revert "adding new functions for penalty optimization"
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This reverts commit b9e535e99e
2015-10-09 14:23:31 +02:00
295eed6118
Revert "adapted dsge-var code for new handling of penalties"
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This reverts commit 3966296aca
2015-10-09 14:23:31 +02:00
f464760c45
Revert "remove global objective_function_penalty_base"
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This reverts commit cf858c7fcb
2015-10-09 14:23:31 +02:00
035adeb89e
Revert "More fixing related to objective_function_penalty_base"
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This reverts commit 1ad8df4635
2015-10-09 14:23:31 +02:00
1a9aa17c9e
Revert "More fixings around objective_function"
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This reverts commit 05cd51111c
2015-10-09 14:23:31 +02:00
9be5c31761
Revert "More fixing of the same"
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This reverts commit a54dda165f
2015-10-09 14:23:31 +02:00
063a548bd3
Revert "changed persitent variables into local ones in mr_hessian.m"
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This reverts commit fe077fc710
2015-10-09 14:23:31 +02:00
bc37c838c7
Revert "more fixes for penalty objective function"
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This reverts commit 3dac7f8809
2015-10-09 14:23:31 +02:00
a7a3bbef89
Revert "reset newratflag = 0 in dynare_minimize_objective"
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This reverts commit d4cf3576e4
2015-10-09 14:23:31 +02:00
7202c497de
Revert "removed initialization of mr_hessian()"
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This reverts commit f48a026d89
2015-10-09 14:23:31 +02:00
f48a026d89
removed initialization of mr_hessian()
2015-10-08 20:57:00 +02:00
d4cf3576e4
reset newratflag = 0 in dynare_minimize_objective
2015-10-08 20:57:00 +02:00
3dac7f8809
more fixes for penalty objective function
2015-10-08 20:57:00 +02:00
fe077fc710
changed persitent variables into local ones in mr_hessian.m
2015-10-08 20:57:00 +02:00
a54dda165f
More fixing of the same
2015-10-08 20:57:00 +02:00
05cd51111c
More fixings around objective_function
2015-10-08 20:57:00 +02:00
1ad8df4635
More fixing related to objective_function_penalty_base
2015-10-08 20:57:00 +02:00
cf858c7fcb
remove global objective_function_penalty_base
2015-10-08 20:57:00 +02:00
3966296aca
adapted dsge-var code for new handling of penalties
2015-10-08 20:57:00 +02:00
b9e535e99e
adding new functions for penalty optimization
2015-10-08 20:57:00 +02:00
a6f123fd50
reducing penalty value to 0.1 when there is no ground to make it proportional
2015-10-08 20:57:00 +02:00
5ade8d7c6f
removed global objective_function_penalty_base
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added penalty_objective_function.m and penalty_hessian.m
2015-10-08 20:57:00 +02:00
9131472429
Do not ask for confirmation when deleting a non empty directory (Octave)
2015-10-07 18:13:44 +02:00
c064e9ed5e
Make unit test compatible with Octave.
2015-10-07 17:47:14 +02:00
44c198f3f4
Updated dseries module (fix for csv files).
2015-10-07 11:58:17 +02:00
f4e8fc74da
Merge pull request #1068 from JohannesPfeifer/trust_region
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Test for solution before breaking with error code -3 in trust_region
2015-10-06 14:17:25 +02:00
934901036b
Test for solution before breaking with error code -3 in trust_region.m
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Fixes #1067
2015-10-06 13:59:59 +02:00
489bffdfd8
Fixed option names for mode_compute=6.
2015-10-06 11:34:56 +02:00
03b92c6387
Added file to clear all functions with persistent variables.
2015-10-06 11:34:56 +02:00
07e29125a2
Revert "Merge pull request #1064 from JohannesPfeifer/trust_region"
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This reverts commit 9cc96b93c01bc965625c
2015-10-06 09:52:16 +02:00
51463929d1
reporting submodule update
2015-10-02 16:22:35 +02:00
a42a9a427f
Added a routine to test if a file is older than all the files in a folder (and subfolders).
2015-09-25 23:37:45 +02:00
c01352ea3b
Fix exit criterion in trust_region.m
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Otherwise, error code -3 (Trust region became uselessly small) was accepted as a solved steady state
2015-09-25 09:11:47 +02:00
7c5272d852
Allows to compute the extended path and the conditional forecasts with bytecode
2015-09-22 15:39:49 +02:00
a911568b37
Updated dseries submodule and reference manual.
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Remove the possibility to instantiate an empty dseries with a range of dates.
2015-09-14 14:07:51 +02:00
268384572b
Merge pull request #1017 from JohannesPfeifer/gsa_fix
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Fix bugs in gsa with morris and posterior sampling
2015-09-09 11:44:49 +02:00
e5e9bdb892
Adding missing exception...
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For cases where a generalized eigenvalue is too close to 0/0.
2015-09-04 11:02:39 +02:00
59618d132e
Do not print warning backtrace when some parameters are not initialized.
2015-09-03 18:31:02 +02:00
267218b5b2
Updated m-unit-tests submodule.
2015-09-01 14:55:23 +02:00
edcddd9008
Merge pull request #1037 from JohannesPfeifer/rolling_window
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Add capacities for rolling window estimation
2015-08-31 12:56:02 +02:00
ffa281a058
Merge pull request #1043 from JohannesPfeifer/check_matlab_path
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Make check_matlab_path.m able to deal with one-letter files
2015-08-31 09:12:35 +02:00
b592987fb4
Base evaluation of linearity at steady state for exogenous variables
2015-08-30 11:56:26 +02:00
9e504a1293
discretionary_policy: Add check whether equation number is consistent with declared number of instruments
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Also fixes unit test that violated this.
2015-08-30 11:43:54 +02:00
3b64c37cb3
Update information in M_ if discretionary_policy_1.m changes lead_lag_incidence
2015-08-30 11:42:49 +02:00
9d90a204f7
Clean up evaluate_planner_objective.m
2015-08-30 11:16:26 +02:00
c66ee8941a
Document discretionary_policy_engine.m
2015-08-30 11:14:35 +02:00
d8eff0843f
Updated particles submodule.
2015-08-28 11:20:24 +02:00
14e2b6ec67
Make check_matlab_path.m able to deal with one-letter files
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Closes #1040
2015-08-27 15:34:54 +02:00
9179d331e0
Merge pull request #1036 from JohannesPfeifer/cosmetics
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Speedup and compatibility
2015-08-27 11:46:16 +02:00
d125c2effc
Fixed bug (wrong syntax for switch, case 5).
2015-08-27 11:37:07 +02:00
cc3aeafd00
Save planner objective function with discretionary_policy
2015-08-26 10:00:35 +02:00
f5dac58ffc
Remove redundant check whether nobs is empty from dynare_estimation.m
2015-08-25 15:40:44 +02:00
f80f0f9258
Add capacities for rolling window estimation
2015-08-25 15:37:25 +02:00
26437e1c32
Replace eval by indirect addressing of fields.
2015-08-25 09:45:39 +02:00
24a91ab6bc
Replace inline by anonymous functions
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Inline will be removed from future Matlab versions
2015-08-25 09:44:48 +02:00
511801c903
finalize svar_global_identification_check
2015-08-24 14:53:27 +02:00
a88d1bd0f8
Merge pull request #1032 from JohannesPfeifer/mode_check
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Add missing fclose to mode_check.m
2015-08-17 14:45:25 +02:00
ee66f892ca
Add missing fclose to mode_check.m
2015-08-17 14:42:52 +02:00
e8b894c791
submodule update: dseries
2015-08-17 12:16:21 +02:00
b7b9202672
Merge pull request #1029 from JohannesPfeifer/display_Jacobian
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Fix wrong display type in display_problematic_vars_Jacobian.m
2015-08-17 11:00:25 +02:00
6f8000f0f3
Condition test whether varobs was defined on existence of field
2015-08-17 10:48:41 +02:00
c322315010
Fix wrong display type in display_problematic_vars_Jacobian.m
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Equation number is a double, not a string.
2015-08-15 11:58:43 +02:00
9b6d7dc68a
Make irf_plot_threshold consistent with manual
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IRFs smaller and not smaller equal should not be displayed
2015-08-14 12:36:08 +02:00
6e93c83b69
model_comparison: Do not issue warning if all prior densities are 1
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If the user specifies nothing, this is the default, which should not result in a warning
2015-08-13 17:49:15 +02:00
a072294cab
Improve documentation for model_comparison.m
2015-08-13 17:49:15 +02:00
680625f260
Save results of model_comparison to oo_
2015-08-13 17:48:09 +02:00
9651f62aa0
Fix bug preventing selecting modified harmonic mean for model_comparison
2015-08-13 17:48:09 +02:00
de9f5cd8e1
Merge pull request #1023 from JohannesPfeifer/posterior_std
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Clarify that oo_.posterior_std comes from mode computing
2015-08-13 16:10:12 +02:00
1fa050830b
Manually merged PR #1022 .
2015-08-13 14:49:39 +02:00
2476ffdbb9
Add indicator for successful run of MCMC and provide error message if load_mh_file is used with crashed chain
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Closes #917
2015-08-11 14:37:37 +02:00
Stéphane Adjemian (Charybdis)
Houtan Bastani
ferhat
Michel Juillard
Johannes Pfeifer
Marco Ratto