Johannes Pfeifer
86fcde0879
Cosmetic changes to dynare_estimation_1.m and store_smoother_results.m
2016-05-19 14:37:05 +02:00
Marco Ratto
7b3c42c6e1
provisions for reworked posterior sampling options:
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- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
2016-05-19 14:37:05 +02:00
Marco Ratto
8bd963de64
Fill in posterior_mode with info from posterior samples.
2016-05-19 14:34:09 +02:00
Marco Ratto
46908d20c6
Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
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I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
Marco Ratto
951dfe8ff4
When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary.
2016-05-19 14:34:09 +02:00
Marco Ratto
a3ab6de6c8
Added function to compute of inefficiency factors, used in McMCDiagnostics.m
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Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
Houtan Bastani
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
Johannes Pfeifer
6ad876cc18
Rename write_smoother_results to store_smoother_results.m to avoid confusion about its purpose
2016-04-12 11:37:12 +02:00
Johannes Pfeifer
6f8ca74490
Factorize saving of smoother results
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Also takes care of prefilter and loglinear option for calib_smoother
Closes #803 and #804
2016-03-23 10:31:11 +01:00
Johannes Pfeifer
fb20b464d4
Remove bayestopt_.mean_varobs and use dataset_info instead
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Closes #255
2016-03-23 10:31:09 +01:00
Johannes Pfeifer
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
Johannes Pfeifer
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
Stéphane Adjemian (Charybdis)
a1aa2bcd6e
Changed second input of prior_bounds routine.
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Do not pass options_ structure but only the required field (prior_trunc).
2015-12-11 18:50:54 +01:00
Stéphane Adjemian (Charybdis)
5fb1b1cc23
Added Weibull prior.
2015-12-04 14:50:44 +01:00
Michel Juillard
c373d1e1be
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
Michel Juillard
105100c7fe
remove global in dyn_forecast() and change input and output arguments
2015-11-28 17:38:00 +01:00
Johannes Pfeifer
ca5c714e29
Replace global variables in CutSample.m and metropolis_draw.m by function arguments
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Makes them usable outside of their current environment
2015-07-28 15:36:59 +02:00
Johannes Pfeifer
84e04522bf
Account for options_.nk potentially being empty.
2015-07-21 10:41:47 +02:00
MichelJuillard
80253835a7
Merge pull request #738 from JohannesPfeifer/Kalman
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Kalman
2015-07-20 15:02:40 +02:00
MichelJuillard
f94910173d
Merge pull request #937 from JohannesPfeifer/graph_fix
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Various fixes related to graphs and eps-TeX-loaders
2015-07-20 14:36:20 +02:00
MichelJuillard
c15e8f65c7
Merge pull request #769 from JohannesPfeifer/filtered_vars_ML
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Do not create classical filtered variables at posterior mean if Bayesian...
2015-07-20 14:21:30 +02:00
Johannes Pfeifer
b0bbab68f3
Add likelihood value to mode-file
2015-07-20 13:06:22 +02:00
Johannes Pfeifer
bcc1008d3d
Only create eps-loaders if eps-figures have been created (leaves table TeX-output unaffected)
2015-06-08 17:57:15 +02:00
Johannes Pfeifer
be567c92a3
Fix description of generating function in eps-loader in dynare_estimation_1.m
2015-06-08 17:57:15 +02:00
Johannes Pfeifer
3c9b031bd1
Fix bug in dynare_estimation_init.m if steady state does not solve
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There was no check in dynare_estimation_init.m whether the steady state solved, but the noconstant option was set nevertheless. This gave rise to cases where a steady state file returned 0 for the observables, but the steady state did not exits. Due to later using use_calibration, this problem with the initial values was not detected, but the observation equation featured no constant although it should. The solution is to move the use_calibration option before the first steady state computation and then issue an error if the parameterization does not work
2015-06-08 16:35:50 +02:00
Frédéric Karamé
df67efcb7c
add an exception for the use of gaussian filters and gradient-based estimation methods
2015-05-27 14:37:50 +02:00
Johannes Pfeifer
39ed3eb3f0
Fix bugs related to allowing mode_compute to be a string
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Crashes otherwise
2015-04-06 11:24:42 +02:00
Marco Ratto
c881cfff17
Fixed issues related to newratflag.
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This options relates to alternative numerical hessian computations:
optim=('Hessian',1) is the default dynare numeric Hessian
optim=('Hessian',0) is the outer product gradient
optim=('Hessian',2) is the 'mixed' outer product gradient, where diagonal elements using second order derivation formula,
Both 0 and 2 cases require univariate filters, to ensure using maximum number of individual densities.
2015-03-12 17:24:21 +01:00
Johannes Pfeifer
fe938c902a
Fixed another bug related to options_.optim_opt being now initialized as an empty array
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Finalizes 392486273e
2015-03-01 13:34:39 +01:00
Stéphane Adjemian (Charybdis)
0bb413e8fa
Merge branch 'experimental-optimizers'
2015-02-24 20:44:39 +01:00
Stéphane Adjemian (Charybdis)
0ffb9dd6e2
Changed order of the input arguments in dynare_mimimize_objective.
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It is more standard to have the name of the routine (defining the
objective to be minimized) as a first argument.
2015-02-23 14:35:41 +01:00
Stéphane Adjemian (Charybdis)
5865d46a74
Fixed bug. Wrong number of returned arguments when calling
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dynare_minimize_objective (missing options_).
2015-02-21 18:14:15 +01:00
Houtan Bastani
f72910ae33
fix preprocessor implimentation of filter_algorithm option to estimation. closes #843
2015-02-09 03:20:37 +01:00
Johannes Pfeifer
dc7cfd3f0d
Adjust smoother to data now being a column vector
2014-12-08 11:28:46 +01:00
Johannes Pfeifer
dd6f8c182c
Move call to optimizers in mode-computing to separate file to allow other function to access all integrated optimizers
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- also moves several options to subfields of options structure
- allows setting options of newrat
- requires newrat to have compatible kalman_algo specified in order for it to not change options_
- explicitly disallows using analytical derivation with numerical gradient (before the numerical gradient request was overwritten)
- always outputs hessian returned by optimizer (empty matrix if not computed) and deletes subsequent overwriting if cova_compute=0
2014-12-04 19:36:12 +01:00
MichelJuillard
8e9cd95a89
Merge pull request #760 from JohannesPfeifer/fix_smoother
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Fix bug when calling non-Bayesian smoother after Bayesian estimation
2014-11-20 10:27:15 +01:00
Johannes Pfeifer
86cac40362
Harmonize field length for FilteredVariables for calibrated smoother
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Analogous to 4f5e0321228c0e4aca19fcd114f26dbaa1bbbfaf
2014-11-16 21:11:06 +01:00
Johannes Pfeifer
4b1e815728
Always display value of posterior/likelihood at the mode
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Also clarifies that minus the posterior/likelihood is displayed
2014-11-16 21:11:06 +01:00
Johannes Pfeifer
1cbb17f929
Make sure classical filtered variables have the same length as the Bayesian ones, i.e. nobs.
2014-11-16 21:08:18 +01:00
Johannes Pfeifer
7c59edead2
Make simplex_optimization_routine.m usable outside of estimation
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Removes hard-coded parameter names extracted from bayestopt_ by handing them over explicitly
2014-11-10 19:53:55 +01:00
Johannes Pfeifer
8443eb58cd
Do not create classical filtered variables at posterior mean if Bayesian filtered variables were requested
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The check for running the smoother on the model at the posterior mean is only based on whether the smoother option was set. But filtered_vars is a separate option. If not also checking whether Bayesian filtered variables have already been requested, oo_.FilteredVariables will contain both "ML" and Bayesian fields, which is confusing. The change only saves the filtered variables from the classical smoother if the user did not use Bayesian estimation.
2014-10-29 19:07:49 +01:00
Stéphane Adjemian (Karaba)
f48566aeae
Fixed prior bounds (according to the doc in master branch).
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* Second and third positional arguments after the name of the
estimated parameter in the estimated_params block are only
considered in the optimization stage (not in the MCMC)
* Do not store bounds in bayestopt_, because bounds do not always
reflect restrictions implied by prior shapes.
* prior_bounds routine returns a structure (with fields lb and ub)
instead of a matrix.
2014-10-20 16:18:54 +02:00
Johannes Pfeifer
2c01113e8c
Fix bug when calling non-Bayesian smoother after Bayesian estimation
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Because xparam1 is used by the smoother, but xparam was set to the posterior mean, the non-Bayesian smoother results were based on the parameters at the mode, which are stored in xparam1.
2014-10-15 09:49:07 +02:00
Johannes Pfeifer
79c5e18bfe
Cosmetic changes
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- Suppresses spurious output from dynare_estimation_1.m
- Removes unset output argument from dynare_estimation_init.m (which seems to be totally unused as it was not set at all and nobody reported any crashes)
- Corrects header of dynare_estimation_init.m
2014-09-19 16:20:43 +02:00
Johannes Pfeifer
8655df67a9
Clean up use of verbosity option
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- in dr_block.m and ep_residuals.m the option was hardcoded and disabled
- for csminwel1.m, no verbosity option exists anymore, thus definitions preceeding calls to it were redundant as was the options_.osr.verbose
2014-09-12 10:33:37 +02:00
Stéphane Adjemian (Scylla)
576ed55dda
Merge branch optimizer_number_5.
2014-09-11 17:38:03 +02:00
Stéphane Adjemian (Scylla)
5e4b7d8d42
Added filter_algorithm (estimation command, sets the particle filter algorithm).
2014-09-08 22:36:41 +02:00
Marco Ratto
f346b734d9
when flag==0 (or options_.hess==0), we force to use the hessian from outer product gradient computed in optimizer == 5.
2014-08-07 17:49:04 +02:00
Stéphane Adjemian (Scylla)
afbd0bd47a
Cosmetic change (added white space).
2014-07-17 22:05:08 +02:00
Stéphane Adjemian (Charybdis)
03975f7d01
Fixed bug (wrong definition of rawdata).
2014-07-09 15:34:53 +02:00
Stéphane Adjemian (Scylla)
d727ba7246
Fixed bug (missing input).
2014-06-23 12:24:36 +02:00
Stéphane Adjemian (Scylla)
b11f6e2505
Adapted code for dsge-var models.
2014-06-23 10:55:08 +02:00
Stéphane Adjemian (Charybdis)
efcf6bd9c0
Use dseries object in the estimation routines.
2014-06-16 17:41:59 +02:00
Stéphane Adjemian (Scylla)
66d08ac3bf
Merge branch 'master' into use-dynSeries
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Conflicts:
matlab/dynare_estimation_init.m
matlab/global_initialization.m
matlab/prior_posterior_statistics.m
matlab/read_variables.m
matlab/set_prior.m
matlab/utilities/dataset/initialize_dataset.m
preprocessor/ComputingTasks.cc
2014-04-30 10:10:30 +02:00
Stéphane Adjemian (Scylla)
bb18c9386d
Fixed bug.
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MCMC convergence diagnostics should be computed even if mh_replic is less than 2000, provided that the total number of iterations is greater than 2000 (if option load_mh_file is used).
2014-02-25 17:26:08 +01:00
Stéphane Adjemian (Scylla)
c57aa43ca8
Bug fix.
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<M_.fname>_optimal_mh_scale_parameter.mat was not deleted if mode_compute>0.
2014-02-25 15:44:34 +01:00
Johannes Pfeifer
221660dfea
Fix capitalization error in dynare_estimation_1.m that leads to crashes if reached
2014-02-21 19:19:36 +01:00
Stéphane Adjemian (Scylla)
f8543c0a97
Fixed typo.
2014-02-21 12:23:36 +01:00
Stéphane Adjemian (Scylla)
2ee11fa860
Changed the handling of optimization options in dynare_estimation_1.m. Removed calls to strsplit. Closes #605 .
2014-02-03 12:25:29 +01:00
Stéphane Adjemian (Scylla)
63986a0ebf
Closes #567 .
2013-12-18 16:44:31 +01:00
Stéphane Adjemian (Scylla)
130125c5da
Changed the error message issued when the initial conditions for the estimated parameters are outside the bounds (the error message depends on the value of options_.prior_trunc).
2013-11-27 12:27:51 +01:00
Stéphane Adjemian (Scylla)
bd630d7210
Removed MC_record field from oo_ structure and the output argument from MCMC routines.
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Details about the MCMC can be loaded in the workspace with the following command:
>> internals --load-mh-history <NAME_OF_THE_MOD_FILE>
under the name mcmc_informations, or printed in the command window, using the following
command:
>> internals --display-mh-history <NAME_OF_THE_MOD_FILE>
2013-11-26 12:56:41 +01:00
Stéphane Adjemian (Charybdis)
ad0c29262b
Cosmetic. Renamed DsgeVarLikelihood as dsge_var_likelihood.
2013-11-16 23:33:37 +01:00
Stéphane Adjemian (Charybdis)
9238523c26
If a DSGE-VAR is estimated, check that the user do not try to estimate/calibrate correlations between structural innovations and that there is no measurement errors. Closes #521 .
2013-11-16 23:26:19 +01:00
Stéphane Adjemian (Penelope)
0c00151092
Merge branch 'master' into remove-dynDate-class
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Conflicts:
preprocessor/DynareBison.yy
2013-11-14 16:41:08 +01:00
Sébastien Villemot
ea6ee19402
More Octave compatibility fixes wrt catch
2013-11-08 16:35:52 +01:00
Sébastien Villemot
ecdbc42319
Fix error message when initial values of estimation are not suitable.
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Ref #512
2013-11-08 16:09:16 +01:00
Sébastien Villemot
179af0e4ab
Octave compatibility fix: catch does not accept an argument
2013-11-08 15:02:30 +01:00
Houtan Bastani
0fdc18e7fb
Merge branch 'ifc'
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Conflicts:
matlab/dynare_estimation_1.m
matlab/global_initialization.m
2013-11-06 13:58:57 +01:00
Johannes Pfeifer
b03697b342
Add possibility to initialize parameters from calibrated model
2013-11-06 13:50:46 +01:00
Stéphane Adjemian (Scylla)
8429321547
Merge branch 'master' into remove-dynDate-class
2013-11-06 12:43:06 +01:00
Sébastien Villemot
a72cc3ff48
Merge remote-tracking branch 'github/master'
2013-11-05 17:17:53 +01:00
Stéphane Adjemian
ead332ed97
Merge pull request #511 from JohannesPfeifer/Correlated_errors_preprocessor
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Bugfixes for correlated shocks
2013-11-05 07:49:37 -08:00
Sébastien Villemot
8a6e23845b
Merge remote-tracking branch 'jpfeifer/mode_compute'
2013-11-05 16:20:04 +01:00
Johannes Pfeifer
fddee8e1db
Bugfixes for correlated shocks
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Uses preprocessing capabilities introduced in 07137e804b
Fixes #392 and #494 . Also fixes a bug in the checking for positive definiteness of covariance matrices in likelihood functions
Allows for calibrated covariances by reading them out and setting them after covariance matrix has been reconstructed from correlation and variances.
Adds unit test
2013-11-05 15:55:29 +01:00
Johannes Pfeifer
0d669a73cb
Add options for providing the variances, an identity matrix , and user specified matrices as proposal densities
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Deals with #507 and #112
Includes a unit test
2013-11-04 19:09:24 +01:00
Sébastien Villemot
1a8bba6393
Allow a custom function named 'prior' as a value for 'mode_compute' option
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Closes #507
2013-11-04 15:42:59 +01:00
Stéphane Adjemian (Charybdis)
ddd95361ba
Cosmetic changes. Added isoctave function to replace exist('OCTAVE_VERSION').
2013-11-04 10:54:45 +01:00
Michel Juillard
b81159f12c
adding comments
2013-11-03 11:40:36 +01:00
Johannes Pfeifer
8282e76d61
Add more explicit information in case of singularity problem
2013-10-31 08:14:35 +01:00
Stéphane Adjemian (Charybdis)
1f884db8ea
If TolX is set to any negative number, let cmaes choose the value of TolX.
2013-10-08 16:18:54 +02:00
Stéphane Adjemian (Charybdis)
6a250f894d
Removed interface for H0 (cmaes).
2013-10-08 16:18:00 +02:00
Stéphane Adjemian (Charybdis)
0f12404246
Added interface for some options of cmaes.
2013-10-08 15:53:55 +02:00
Stéphane Adjemian (Charybdis)
334d9976d6
Add interface to the main options of the simpsa optimization algorithm.
2013-10-08 15:18:14 +02:00
Stéphane Adjemian (Charybdis)
60e1d1b75e
Changed the organization of the options for the dynare's implementation of the simplex optimization algorithm.
2013-10-08 12:55:11 +02:00
Stéphane Adjemian (Charybdis)
c7d82e0bf0
Do not print H0.
2013-10-08 11:02:46 +02:00
Stéphane Adjemian (Charybdis)
51be957fb6
Changed the organization of the options for gmhmaxlik (mode_compute=6) so that options can be set using the optim option of the estimation command. Added an option (targeted acceptance rate).
2013-10-04 16:12:14 +02:00
Stéphane Adjemian (Charybdis)
36e3fb496c
Do not crash if an unknown optimization option is declared (replaced an error by a warning).
2013-10-04 12:17:30 +02:00
Stéphane Adjemian (Charybdis)
05946cd684
Changed names of some options for csminwel (mode_compute=4).
2013-10-04 11:59:35 +02:00
Stéphane Adjemian (Charybdis)
b2db159cdd
Added the possibility to pass options for csminwell (mode_compute=4) through the optim option (in the estimation command).
2013-10-03 12:35:06 +02:00
Stéphane Adjemian (Charybdis)
49989504ea
Cosmetic changes.
2013-10-03 11:06:07 +02:00
Stéphane Adjemian (Charybdis)
62cad6ff44
Cosmetic changes.
2013-10-03 11:01:11 +02:00
Stéphane Adjemian (Charybdis)
979a55a334
Added missing semicolon.
2013-10-02 18:26:57 +02:00
Stéphane Adjemian (Charybdis)
581f97bada
Linked simpsa's tolerance options to dynare's defaults.
2013-10-02 17:09:05 +02:00
Stéphane Adjemian (Charybdis)
fb0ccdd5d2
Provide more sensible lower and upper bounds for simpsa algorithm.
2013-10-02 16:45:16 +02:00
Stéphane Adjemian (Charybdis)
3f16129e49
mode_compute = 10 calls simpsa algorithm.
2013-10-02 15:30:55 +02:00
Johannes Pfeifer
ad73d1fd93
Fixes bug in display of parameters at prior bound
2013-09-30 17:10:39 +02:00
Stéphane Adjemian (Charybdis)
c5c3b45f3c
Merge branch 'master' into use-dynSeries
2013-09-23 08:14:46 +02:00
Johannes Pfeifer
241fd07424
Add Geweke 1992 convergence diagnostics
2013-09-16 18:47:15 +02:00
Sébastien Villemot
e123670675
Fix bug introduced in 952139b
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The 'hh' variable is now always defined, so we now test if it is empty.
2013-09-13 18:23:24 +02:00