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14592 Commits (43d75d0e5c23926cee357f2f60392d081670af3f)

Author SHA1 Message Date
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
Marco Ratto ebdfcc80ec fixed bug introduced in 229282a1c4 2021-07-21 17:59:01 +02:00
Marco Ratto c48f737633 make header names compatible with earlier versions of MATLAB (e.g. it would crash with MATLAB 2017b) 2021-07-21 17:51:05 +02:00
Marco Ratto 85e35b1654 1) if not using relaxation, initial guess regime in verify step(occbin simul) is set equal to the guess regime used to updated states and shocks 
2) fixed treatment of periodic solution in algo=3, now harmonized to algo=1
 2021-07-21 17:51:03 +02:00
Marco Ratto d3e5e7b8ef Initialize state space matrices with occbin smoother, when realtime regimes are computed, otherwise they are set to 0 for t<first_period_occbin_update! 2021-07-21 17:51:00 +02:00
Marco Ratto bec52fe731 with occbin smoother do not overwrite updated variables that have been already computed with reduced state space 2021-07-21 17:50:58 +02:00
Sébastien Villemot 1d5d46e150
Windows package: bump to Octave 6.3.0 2021-07-21 17:32:02 +02:00
Sébastien Villemot 4c94da514e
CI: bump to Octave 6.3.0 2021-07-21 17:29:12 +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
Sébastien Villemot 6b70846c58
Merge branch 'occbin_test' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1881
 2021-07-21 16:38:44 +02:00
Sébastien Villemot a142907e44
Particles / Alternative samplers: header fixes and indentation 2021-07-21 16:37:56 +02:00
Sébastien Villemot ad390be3c7
Preprocessor update 
— Fix preprocessor crash when a [static] equation contains a “var_expectation” operator
– Occbin: handle external functions in “occbin_constraints”
— Occbin: add more sanity checks on expressions in “occbin_constraints” block
 2021-07-21 16:35:48 +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
Sébastien Villemot d5c35e3664
Occbin: fix function header 2021-07-19 15:30:54 +02:00
Sébastien Villemot d995df9b6d Merge branch 'occbin_license' into 'master' 
license.txt: correct Occbin license information

See merge request Dynare/dynare!1880
 2021-07-19 12:43:31 +00:00
Johannes Pfeifer a349942797 license.txt: correct Occbin license information 
[skip CI]
 2021-07-19 13:28:44 +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) 1d60c271d7
Add trap if equation has leads. 
NLS estimation does not work if the equation has expected variables.
 2021-07-15 17:36:02 +02:00
Stéphane Adjemian (Ryûk) 4b7a0ee29e
Change definition of islaggedvariables. 
Previous definition could detect lags in an equation without any lag, for
instance if we have the following expression in the RHS: +(-1)*x.
 2021-07-15 17:31:55 +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
Sébastien Villemot b7b1b38e3b Merge branch 'complex_data' into 'master' 
initial_estimation_checks.m: error out if data is complex

See merge request Dynare/dynare!1879
 2021-07-15 08:34:23 +00:00
Johannes Pfeifer b2c6a6f7a1 initial_estimation_checks.m: error out if data is complex 
Prevents cryptic message that likelihood became complex
 2021-07-14 19:30:50 +02:00
Sébastien Villemot 53abaf5b10
Preprocessor: new option “nocommutativity” 
Ref. #1788
 2021-07-13 15:12:03 +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
Stéphane Adjemian (Ryûk) d9298ca03a
Bug fix, wrong definition of the growth neutrality correction... 
In PAC equations with optimizing and rule of thumb agents (division
by lambda was missing). Also add comments.
 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
Sébastien Villemot 9f934bbcf1
Manual: update several links to old Dynare wiki 
In several places, there was only a general link to the old Dynare wiki. This
can be confusing, because we no longer use this wiki. Rather use specific links
to the pages that were not migrated to the new wiki.

[skip ci]
 2021-07-08 18:03:25 +02:00
Sébastien Villemot 11951b4fc8
Preprocessor update 
— New “structural” option to “var_model” (#1785)
— Remove support for obsolete syntax: var_model(order = 2) X Y Z;
— “var_model” statement: make “eqtags” option mandatory
 2021-07-08 15:02:22 +02:00
Sébastien Villemot 3c2d033a14
Windows package: bump dependencies 2021-07-08 15:01:03 +02:00
Stéphane Adjemian (Ryûk) fe63082c42
Add lagged information set in VAR based expectations. 2021-07-06 23:06:46 +02:00
Sébastien Villemot 87b1d5bdf6
Preprocessor update 
— method_of_moments: remove var_list_
— new time_shift option to var_expectation_model (#1787)
— VAR and trend component models: improve sanity checks on lead/lags on RHS
 2021-07-06 19:12:09 +02:00
Sébastien Villemot 804f44515d
macOS package: make the detection of CLT installation status more robust 
Closes: #1779

Also do some stylistic improvements.
 2021-06-24 17:39:09 +02:00
Sébastien Villemot b1b7c68870
macOS: bump to GCC 11 (for compilation and for use_dll) 
The formulas are taken from commit 2a3ba743401693c5927acc936e27377f123f6d56 of
the homebrew-core repository.

The gcc.rb formula was modified by adding “cellar: :any” to all bottles (see
https://github.com/Homebrew/brew/blob/master/docs/Bottles.md).

The preprocessor has been updated accordingly (and the detection of the GCC
installed by Dynare package has also been fixed).
 2021-06-24 15:50:12 +02:00
Sébastien Villemot e79b2798df
Merge branch 'JohannesPfeifer/dynare-options_output' 
See merge request !1878
 2021-06-22 18:17:26 +02:00
Johannes Pfeifer f7a232061a
Remove unused options_-output 
Prevents accidentally changing something
 2021-06-22 18:17:11 +02:00
Sébastien Villemot 7d57bd0e4c
macOS package: hack to statically link libquadmath in Fortran MEX files 2021-06-21 18:12:18 +02:00
Sébastien Villemot 38b2f2e5ce
Fix typo 
[skip ci]
 2021-06-21 12:23:33 +02:00
Sébastien Villemot 43607acf38
Merge branch 'resolveheader' of git.dynare.org:JohannesPfeifer/dynare 
See merge request !1875
 2021-06-16 17:41:40 +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
Sébastien Villemot 820df39ff7
Compatibility fix for MATLAB < R2019b 
MATLAB < R2019b does not accept “bar(1, [2 3])”.
 2021-06-16 17:41:40 +02:00
Sébastien Villemot 9460da5b07
Windows package: bump dependencies 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
Johannes Pfeifer 32e1f34579 dynare_resolve.m: correct header and change naming of globals 2021-06-16 13:17:29 +02:00