Stéphane Adjemian (Charybdis)
0fa0ceb990
Added routine building endo_histval and exo_histval from a dseries object.
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(cherry picked from commit 2b0f5c7edf
)
2017-06-14 00:06:26 +02:00
Stéphane Adjemian (Charybdis)
4004d8d442
Allow for lags in exogenous variables.
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(cherry picked from commit b8e2eec878
)
2017-06-14 00:05:50 +02:00
Stéphane Adjemian (Charybdis)
b398a65eb9
Added routine for computing unconditional forecasts of a backward looking model.
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(cherry picked from commit d93b6b2f15
)
2017-06-14 00:05:32 +02:00
Stéphane Adjemian (Charybdis)
cfd82e28e4
Added routine computing IRFs of backward looking model.
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(cherry picked from commit 647505526a
)
2017-06-14 00:05:16 +02:00
Stéphane Adjemian (Charybdis)
ca7f734561
Updated dynare_config (wrt 214b534b25
)
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(cherry picked from commit 12733e94f3
)
2017-06-14 00:04:28 +02:00
Stéphane Adjemian (Charybdis)
5570bf1588
Moved backward models related routines in specific subfolder.
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(cherry picked from commit 214b534b25
)
2017-06-14 00:01:48 +02:00
Stéphane Adjemian (Charybdis)
57cab69530
Try random initial guess for dynare_solve...
...
... If for the default initial guess we obtain NaNs or Infs in the residuals
and/or the Jacobian matrix.
(cherry picked from commit d282226100
)
2017-06-14 00:01:10 +02:00
Johannes Pfeifer
b773a242c8
discretionary_policy_1.m: output which derivative is nonzero
2017-06-12 20:59:45 +02:00
Stéphane Adjemian
0500a69031
Merge pull request #1467 from JohannesPfeifer/line_breaks
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Fix two line breaks
2017-06-12 16:05:15 +02:00
Stéphane Adjemian
c45f9b776d
Merge pull request #1466 from JohannesPfeifer/discret_policy
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Adjust error message if number of instruments does not match number o…
2017-06-12 16:05:01 +02:00
Johannes Pfeifer
c063fe1843
Fix two line breaks
2017-06-11 10:58:19 +02:00
Johannes Pfeifer
4f06afea9c
Adjust error message if number of instruments does not match number of omitted equations
2017-06-11 10:55:14 +02:00
Stéphane Adjemian (Charybdis)
be61de1367
Account for negative steady state in case of log-linearization.
2017-06-08 11:59:02 +02:00
Stéphane Adjemian (Charybdis)
3f54ab04d4
Fixed mh_optimal_bandwidth.
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Bump killing mode (local bandwidth parameter), ie bandwidth=-2, was not
working. This is without consequences for Dynare because this approach is never
used.
Closes #1463 .
2017-06-07 11:02:49 +02:00
Stéphane Adjemian (Charybdis)
c8228d71d3
Added missing prior (Weibull).
2017-06-06 20:37:41 +02:00
Stéphane Adjemian (Charybdis)
a023839890
Fixed bug instroduced in e5945a4527
.
2017-06-05 10:51:30 +02:00
Stéphane Adjemian
baf7ba9031
Merge pull request #1462 from JohannesPfeifer/contemp_corr
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Make sure oo_.contemporaneous_correlation has same dimensions as othe…
2017-06-04 23:18:26 +02:00
Stéphane Adjemian
8015144817
Merge pull request #1460 from JohannesPfeifer/hessian_zero
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Make sure that reverting to order=1 if Hessian is 0 does not crash ot…
2017-06-04 21:42:52 +02:00
Stéphane Adjemian
cb25ffebaa
Merge pull request #1457 from JohannesPfeifer/ML_error
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dynare_estimation_init.m: provide informative error message if ML is …
2017-06-04 15:33:24 +02:00
Johannes Pfeifer
f9efc6c10e
Make sure oo_.contemporaneous_correlation has same dimensions as other theoretical moments, even if some variables are constant
2017-05-30 19:30:43 +02:00
Johannes Pfeifer
d75e7278c2
Make sure that reverting to order=1 if Hessian is 0 does not crash other functions
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Closes #1453
2017-05-27 19:26:12 +02:00
Johannes Pfeifer
e5945a4527
dynare_estimation_init.m: provide informative error message if ML is run without properly initialized parameters
2017-05-26 09:46:05 +02:00
Johannes Pfeifer
7cd56e9687
Get rid of unused and superseded options_.colormap and make sure options_.plot_shock_decomp.colormap is set
2017-05-23 13:20:47 +02:00
Stéphane Adjemian (Charybdis)
4195033561
Fixed typo introduced in 88e1701289
.
2017-05-20 01:21:28 +02:00
Stéphane Adjemian (Charybdis)
2e9467e511
Fixed copyright year in matlab/dynare_version.in.
2017-05-19 16:16:45 +02:00
Stéphane Adjemian (Charybdis)
803433fa5a
Updated submodules (fixed indentation and copyrigth notices).
2017-05-19 08:46:20 +02:00
Stéphane Adjemian (Charybdis)
1bf81c9f5a
Fixed copyright notices.
2017-05-18 18:36:38 +02:00
Stéphane Adjemian (Charybdis)
b6634940ff
Removed unused routine.
2017-05-17 10:27:42 +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
Stéphane Adjemian (Charybdis)
88e1701289
Removed useless commas and semicolons.
2017-05-16 13:24:46 +02:00
Stéphane Adjemian (Charybdis)
9285a80a73
Fixed function name in header.
2017-05-16 13:24:46 +02:00
Stéphane Adjemian (Charybdis)
5ef2d650b2
Fixed function name in header.
2017-05-16 13:24:46 +02:00
Stéphane Adjemian (Charybdis)
06ae919b87
Removed *.el file that should not have been commited.
2017-05-16 13:24:46 +02:00
Stéphane Adjemian (Charybdis)
1a8cba5d26
Removed @dynTimeIndex class (unused).
2017-05-16 13:24:46 +02:00
Stéphane Adjemian
ab9b512021
Merge pull request #1450 from JohannesPfeifer/var_list_problems
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Make sure varlists are correctly updated after removal of doubly defi…
2017-05-16 13:23:48 +02:00
Johannes Pfeifer
c373ed3897
Make sure varlists are correctly updated after removal of doubly defined variables via varlist_indices.m
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Otherwise the mapping between i_var and varlist does not match anymore (results in e.g. wrong display of IRFs)
2017-05-14 11:03:05 +02:00
Stéphane Adjemian (Charybdis)
ae50f25c76
Fixed detection of stochastic trends orthogonal to the observed variables.
2017-05-12 18:55:15 +02:00
Stéphane Adjemian (Charybdis)
278726f3fc
Fixed typo.
2017-05-10 18:42:46 +02:00
Stéphane Adjemian (Charybdis)
3816272414
Make load_m_file_data_legacy.m work with row vectors.
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Added unit-tests.
2017-05-10 17:39:11 +02:00
Ferhat Mihoubi
981e31c8c3
Fix issues in bytecode with option extended_path related to the size of endo_simul and exo_simul
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(cherry picked from commit ab7acc49e30fbcb292d63d58281581a308716b4c)
2017-05-08 18:40:18 +02:00
Ferhat Mihoubi
e248d8bf59
Fix memory and periods issues in bytecode
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(cherry picked from commit fa5dd681abcb3243a5ee9be1f71fdfc51bced1cd)
2017-05-08 18:39:44 +02:00
Stéphane Adjemian (Charybdis)
28f1ff8c4a
Renamed routine.
2017-05-06 16:38:19 +02:00
Stéphane Adjemian (Charybdis)
d471bede09
Call dynare_solve instead of trust region when simulating backward models.
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Gives access to other solvers.
2017-05-06 16:32:48 +02:00
Stéphane Adjemian (Charybdis)
36fb15f34c
Rewrote header.
2017-05-04 18:17:15 +02:00
Stéphane Adjemian (Charybdis)
cfc849fadc
Fixed subsample periods for exogenous variables.
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Model inversion routine was returning wrong results when the periods in
constrainedpaths where not aligned with the periods in exogenousvariables.
(cherry picked from commit d0071bd80b
)
2017-05-03 14:22:04 +02:00
Stéphane Adjemian (Charybdis)
5ce20179bd
Added specialized code for the inversion of backward models.
2017-05-02 23:04:44 +02:00
Stéphane Adjemian
f6bb392165
Merge pull request #1445 from JohannesPfeifer/ramsey_message
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Ramsey: provide informative error messages related to steady state
2017-05-02 22:56:26 +02:00
Johannes Pfeifer
37bffddef8
Provide correct error code if no steady_state-file is provided and Ramsey fails to find steady state
2017-05-02 13:48:25 +02:00
Johannes Pfeifer
5af9af06b4
Provide informative error message if steady state file is used without specifying an instrument
2017-05-01 18:59:11 +02:00
Stéphane Adjemian (Charybdis)
e1c983cc7b
Fixed bug (ensure that we concatenate column vectors).
2017-04-29 19:20:02 +02:00
Johannes Pfeifer
b52c095a6b
Add legacy function for loading mat-files with old interface
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Follows approach of #758 and closes #1364
2017-04-29 18:25:39 +02:00
Stéphane Adjemian
072246c5ab
Merge pull request #1441 from JohannesPfeifer/ksstat
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Remove redundant ksstat option
2017-04-29 18:00:25 +02:00
Johannes Pfeifer
d7b2e271d7
Update documentation on sensitivity
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Closes #789
2017-04-27 12:03:02 +02:00
Johannes Pfeifer
451646ff16
Remove redundant ksstat option
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Closes #1431
2017-04-27 11:08:17 +02:00
Stéphane Adjemian (Charybdis)
c1b6a58eb7
Manually revert 05fc096569
.
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Robust prediction error covariance matrix computation is now optional (with
rescale_prediction_error_covariance option).
Closes #1437 .
2017-04-27 10:44:27 +02:00
Stéphane Adjemian (Charybdis)
d6e1d0baa5
Added option rescale_prediction_error_covariance.
2017-04-26 18:22:03 +02:00
Stéphane Adjemian (Charybdis)
e21387c874
Bump Octave version.
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Octave 4.2.1 32bit or 64bit is now required (should work with 4.2.0 but not
tested anymore, so users should upgrade).
2017-04-26 15:51:24 +02:00
Stéphane Adjemian (Charybdis)
650a3f6da2
Point to mex/octave32 if OCtave 32bit is used on Windows platform.
2017-04-26 15:10:40 +02:00
Johannes Pfeifer
6ca415ce14
stochastic_solvers.m: Suppress redundant warning if order was already set to 1
2017-04-25 20:16:10 +02:00
Houtan Bastani
7829a25238
make stoch_simul solve linear model using order=1, even when order=2,3 specified. Also makes stoch_simul more efficient. closes #1336
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(cherry picked from commit e29be9676dd40388919819af2d366b8308763ccc)
2017-04-22 16:26:13 +02:00
Stéphane Adjemian (Charybdis)
767e45db95
Shut off warning about short circuit operators (when calling qzdiv).
2017-04-22 14:44:47 +02:00
Stéphane Adjemian (Charybdis)
ad21612967
Removed Octave specific part in mjdgges.m function.
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Also force complex QZ factorization in Octave.
2017-04-22 14:44:47 +02:00
Johannes Pfeifer
fa1563370c
Make resol.m honor nocheck flag
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Before, we never tested for correctness, allowing for wrong steady state files in the check command. Fixes bug introduced in 616efb53a448cfa59149951395838627fd1bf719 and restores behavior in 4.4.3
2017-04-21 10:10:03 +02:00
Stéphane Adjemian
7f4c1c6529
Merge pull request #1435 from JohannesPfeifer/cmaes_fitness
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mode_compute=9: Make sure initial search volume (SIGMA) is not badly …
2017-04-20 16:33:37 +02:00
Stéphane Adjemian (Charybdis)
7376498e51
Fixed branch for dseries submodule.
2017-04-20 16:28:39 +02:00
Johannes Pfeifer
52a082a1f9
Add check for positive definiteness of Sigma_u^star
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Otherwise, complex likelihoods may occur
2017-04-20 16:18:03 +02:00
Stéphane Adjemian (Charybdis)
d0682bca30
Updated dseries submodule.
2017-04-20 15:36:06 +02:00
Johannes Pfeifer
f1123200e5
mode_compute=9: Make sure initial search volume (SIGMA) is not badly conditioned
2017-04-12 13:39:34 +02:00
Stéphane Adjemian (Charybdis)
97ac502d3d
Fixed wrong threshold (unit root detection again).
2017-04-05 14:14:56 +02:00
Stéphane Adjemian (Charybdis)
288f010944
Fixed bug (detection of unit roots).
2017-04-05 14:11:23 +02:00
Stéphane Adjemian (Charybdis)
f57fc0a5a3
Added new routine for model inversion.
2017-04-05 13:42:03 +02:00
Stéphane Adjemian (Charybdis)
8a18e87d98
Removed persistent variables in evaluate_smoother routine.
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Closes #1412 .
2017-04-05 11:44:27 +02:00
Johannes Pfeifer
00299a92c1
Make sure options_.first_obs is properly set
2017-04-05 11:44:27 +02:00
Stéphane Adjemian (Charybdis)
4dcdb81a31
Changed error message introduced in 30c9b3721564d89d1b85abcdc75d493075e6ca77.
2017-04-03 11:25:05 +02:00
Stéphane Adjemian (Charybdis)
ade89a9ec1
Fixed missing initialization of qz_criterium with nonlinear filters.
2017-04-03 11:25:05 +02:00
Johannes Pfeifer
76c4bd04fe
Provide informative error message if non-stationary model is estimated using particle filter
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Closes #1377
(cherry picked from commit efaa7e54136ffd48fb69e075ecacf9708a553d3b)
2017-04-03 11:25:05 +02:00
Stéphane Adjemian (Charybdis)
f9a462bf07
Added option nonlinear_filter_initialization.
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Default value is 1 (initialization with the ergodic variance of the reduced
form solution of the model approximated at order one).
If the model has unit roots, the user must use `nonlinear_filter_initialization=3`,
which select an identity matrix for the initial covariance matrix of the state variables.
A side effect of this option is to temporarily change the value of options_.qz_criterium to
a value above one (ie 1+1e-6) so that the unit roots are not rejected. If the
model has unit roots and if the and if the option
nonlinear_filter_initialization has a value less than 3, the evaluation of the
likelihood will fail, because by default the unit root is counted as an
unstable root.
2017-04-03 11:25:05 +02:00
Stéphane Adjemian (Charybdis)
97e185bc6e
Cosmetic changes in doc header.
2017-04-03 11:25:05 +02:00
Houtan Bastani
f18c16653e
Merge pull request #1428 from JohannesPfeifer/patch-1
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Test the rank of Pinf in univariate smoother for the subset of observables
2017-04-01 09:57:32 +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
Houtan Bastani
ac851b0bac
preprocessor: initial_condition_decomposition front end. closes #1425
2017-03-31 13:19:04 +02:00
Houtan Bastani
3e779ebfee
initial_condition_decomposition: fix options_ substructure
2017-03-31 13:09:21 +02:00
Marco Ratto
792924a3b7
- test the rank of Pinf in univariate smoother for the subset of observables, in order to trap cases where this is not already trapped in compute_Pinf_Pstar.m
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- issue warning when diffuse steps never end [maybe we should issue an error?]
2017-03-30 11:21:54 +02:00
Johannes Pfeifer
bf607ce630
Make sure no stale _posterior_draws.mat files are present
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May crash compute_moments_varendo.m due to more files being present than generated in the current run
2017-03-29 14:52:32 +02:00
Johannes Pfeifer
839e7075f6
dsge_simulated_theoretical_covariance.m: fix bug that led to last _2ndOrderMoments*.mat file not being saved, instead overwriting the prior one
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Produced wrong posterior covariance estimates in large models, because the moments matrix contained zeros that were not overwritten by loaded draws due to missing file
2017-03-29 14:52:32 +02:00
Houtan Bastani
37dd5fd077
Merge pull request #1422 from JohannesPfeifer/real_time_shock
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realtime_shock_decomposition.m: Delete variable that produced unwante…
2017-03-27 11:37:16 +02:00
Houtan Bastani
2240b06487
fix typo
2017-03-27 11:20:34 +02:00
Marco Ratto
e24b1ea76e
fixes in preamble and plot_shock_decomp structure of options.
2017-03-27 08:29:52 +02:00
Johannes Pfeifer
4380b4a973
realtime_shock_decomposition.m: Delete variable that produced unwanted output
2017-03-25 12:21:47 +01:00
Marco Ratto
bab401ebbc
utility to decompose initial condition effect
2017-03-25 08:16:33 +01:00
Houtan Bastani
7315b5ae73
fix bug in merge commit e103462050
2017-03-24 18:11:45 +01:00
Houtan Bastani
b3fa669717
bug fix introduced in 234aaacf92
2017-03-24 17:13:03 +01:00
Houtan Bastani
ae921f6bf1
Merge remote-tracking branch 'rattoma/shock_decomp'
2017-03-24 16:20:47 +01:00
Houtan Bastani
b5262ca1e8
Merge remote-tracking branch 'rattoma/deterministic'
2017-03-24 16:20:01 +01:00
Houtan Bastani
e103462050
Merge remote-tracking branch 'rattoma/gsa'
2017-03-24 16:19:44 +01:00
Houtan Bastani
732aa8c30c
Merge remote-tracking branch 'rattoma/slice'
2017-03-24 16:19:04 +01:00
Houtan Bastani
598422931b
reporting: submodule update
2017-03-24 16:16:48 +01:00
Houtan Bastani
b3ecc8c003
preprocessor: add plot_shock_decomposition command. closes #1406
2017-03-24 12:11:36 +01:00
Houtan Bastani
b8b6228d67
graph_decomp_detail: fix bug, extra argument not referenced
2017-03-24 11:24:14 +01:00