13bf261088
prior_posterior_statistics_core.m: remove unused variables
2023-09-25 17:17:37 +02:00
bf7ac27fd7
prior_posterior_statistics_core.m: consolidate both forecast functions into one inline function
2023-09-25 17:17:37 +02:00
8da98057b9
Have computation of decision rules and smoother only input and output required arguments instead of full oo_ and M_
2023-09-25 17:17:34 +02:00
5231fc04c1
Remove global variables from prior_posterior_statistics.m and PosteriorIRF.m
2023-09-25 12:08:41 +02:00
5f68504919
prior sampling: suppress loop output
2023-09-06 14:14:31 +02:00
Stéphane Adjemian (Ryûk)
015513380f
Add new class for priors.
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This commit only changes the routine used to draw random deviates from
the prior distribution, without relying on persistent variables (which allows
parallelisation).
2023-04-26 10:39:13 +02:00
63a299f64e
new error codes introduced and applied for occbin smoother.
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- 321 when simulation within occbin smoother fails
- 322 when occbin smoother does not converge.
2023-02-06 14:58:42 +01:00
10af04c6d8
Use Unicode copyright symbol (in UTF-8 encoding) in all source files
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It is now supported by the MATLAB editor (as of R2022a).
The old ASCII notation is left in some files that we copy as-is from other
sources (e.g. in the contrib/ and m4/ subdirectories).
The particles submodule is not updated at this point, because it is in an
inconsistent state.
[skip ci]
2022-04-13 14:54:25 +02:00
8130125fa7
reset nested waitbars when computing posterior smoother with occbin
2022-01-06 14:57:57 +01:00
02072dde39
Add Occbin routines
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Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.
Ref. #569
2021-07-16 17:20:11 +02:00
f7a232061a
Remove unused options_-output
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Prevents accidentally changing something
2021-06-22 18:17:11 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
5d1d5b8a85
prior_posterior_statistics_core.m: filter out cases where model does not solve
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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
8b4fa7c2d6
Factorize call to solver routines under optimal policy and without
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Related to https://git.dynare.org/Dynare/dynare/issues/1173
2020-02-12 13:19:46 +01:00
177c5c359f
Implement estimation under discretionary optimal policy
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Also add a test case.
For the time being, estimating parameters that appear in the discount factor is
not supported.
Ref. #1173
2020-02-03 18:29:45 +01:00
89a3e94cbf
Use true/false instead of 1/0 for boolean options
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This is more elegant, and makes it easier to distinguish them from integer
options.
Also simplify test expressions for these boolean options.
2019-03-19 15:21:16 +01:00
7a75872f72
Modernization: use tilde (~) syntax for ignored output arguments
2018-11-13 18:02:09 +01:00
818a07a4ef
Fix get_posterior_parameters
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Get rid of setting variables from the base workspace in the function, making the function read-only (as the name suggests)
2017-10-05 09:54:08 +02:00
1f20ceb461
Fixed bug in filtered variables with trend.
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Was crashing in models with only one observed variable. The squeeze function
cannot be used in this case, only the first dimension of
stock_filter_step_ahead should be squeezed.
2017-07-23 23:21:36 +02:00
5417b27ac7
Fixed indentation of matlab files.
2017-05-16 15:10:20 +02:00
a53636e24e
Fixed copyright notices.
2017-05-16 14:11:15 +02:00
88e1701289
Removed useless commas and semicolons.
2017-05-16 13:24:46 +02:00
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
3ebc982b02
Add state_uncertainty to Bayesian smoother
2016-11-04 09:23:55 +01:00
9cdd2cc965
add missing semicolon
2016-09-29 12:31:59 +02:00
7050cab9c9
Consider measurement error for uncertainty bands in Bayesian estimation
2016-08-23 17:22:41 +02:00
bf293396b6
Harmonize FilteredVariables with Updated and Smoothed ones, by adding steady state to stored values, both point estimate and MCMC
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(cherry picked from commit fd0d7d6d27a7937b135521c4dd76d7fa242d89ab)
2016-07-01 20:40:17 +02:00
3b09ab5424
Save Smoother.Trend and Smoother.Constant after MCMC
2016-06-16 12:05:38 +02:00
5d6d1336ef
Enable filter_covariance option in posterior sampling
2016-06-16 12:05:38 +02:00
12ee5b7276
Fix copyrights and references to random_walk_metropolis_hastings headers
2016-05-19 17:15:31 +02:00
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
acd08bba0e
Add means and trends to Bayesian smoother results
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Also adjusts unit test
2016-03-23 10:47:25 +01:00
df1c7fce8a
Do not condition handing over of observable index on requesting forecasts
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Already the smoother uses them due to potential trends being present
2016-03-23 10:35:58 +01:00
fb20b464d4
Remove bayestopt_.mean_varobs and use dataset_info instead
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Closes #255
2016-03-23 10:31:09 +01:00
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
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
a44b3fbfe7
Bug fixed for incomplete stock matrices of log-posterior kernel and steady state
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[used in gsa/filt_mc_.m]
2015-04-14 12:10:46 +02:00
5062f2ec7b
Fix length of stored and plotted forecasts for Bayesian estimation
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It stored the initial condition(s) in addition to the forecasts for the specified horizon. In plots, the first point was actually not the forecast, but the initial condition. This contrasted with the behavior or ML and recursive Bayesian forecasts. Now the stored and plotted forecasts always have the first forecast horizon as the first entry/data point
2014-11-16 21:08:17 +01:00
11f00d041e
Fixed bug (options_.varobs is a row cell array of strings) + Cosmetic changes.
2014-06-23 12:53:39 +02:00
8359b90cdf
Cosmetic changes.
2014-01-30 13:00:25 +01:00
74ef1aa7ed
Fixing bug introduced in ae82c284dc
2013-03-19 20:48:09 +01:00
8d941931a0
Fix bug introduced in ae82c28
2013-03-05 10:31:39 +01:00
ae82c284dc
Deleting redundant line and initializing arrays
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Deleted redundant global statement and initialized arrays used
2013-03-01 11:52:11 -05:00
012c1743dd
bug fixes for when run_smoother==0
2013-02-08 14:30:40 +01:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
0da05ae29d
Removed globals from set_all_parameters routine.
2012-06-07 15:13:39 +02:00
7408714ea1
added dname as argument to CheckPath function and changed all calls to
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this function. Suppressed use of globals in CheckPath.
2011-12-15 17:35:27 +01:00
c3b5b65fc3
Further generalization of dyn_waitbar for parallel execution and simplification of _core functions accordingly.
2011-12-13 18:32:57 +01:00
ec0af45fc8
further fixes to gsa testsuite; make gsa compatible with Linux
2011-12-09 20:55:02 +01:00
ca76a31b94
added console mode features for serial computations.
2011-10-25 17:58:35 +02:00
Johannes Pfeifer
Stéphane Adjemian (Ryûk)
Marco Ratto
Sébastien Villemot
Stéphane Adjemian (Scylla)
Houtan Bastani
Marco Ratto
Johannes Pfeifer
Sébastien Villemot
Michel Juillard