440a0e460b
Storage of results: use subfolder
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Ref. #1758
2021-07-23 14:12:17 +02:00
263e97dabe
Merge branch 'check_model' into 'master'
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check_model.m: fix logic of check for non-contemporaneous variables and remove redundant checks
Closes #1792
See merge request Dynare/dynare!1885
2021-07-23 10:49:05 +00:00
3d5601caec
check_model.m: fix logic of check for non-contemporaneous variables and remove redundant checks
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1792
2021-07-23 11:25:43 +02:00
41814becf1
Merge branch 'moments_varendo' into 'master'
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dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance:...
Closes #1769
See merge request Dynare/dynare!1888
2021-07-22 16:25:01 +00:00
baa0fb6e70
Preprocessor update: cosmetic change
2021-07-22 17:58:19 +02:00
4d43e1850d
dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance: only do computations once
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1769
2021-07-22 17:03:27 +02:00
3206ea9684
Merge branch 'evaluate_planner_objective' into 'master'
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Streamline evaluate planner objective
See merge request Dynare/dynare!1887
2021-07-22 14:42:22 +00:00
a517c1f1de
neo_growth_ramsey_k_order.mod: call evaluate_planner_objective
2021-07-22 15:20:30 +02:00
66dcef2754
k_order_welfare.cc: remove gratuitous screen output
2021-07-22 15:12:59 +02:00
11c75592fb
evaluate_planner_objective.m: compute required moments directly
2021-07-22 15:01:15 +02:00
8b8f919a0f
Merge branch 'smoother2histval' into 'master'
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Improvements for smoother2histval
See merge request Dynare/dynare!1886
2021-07-22 12:03:59 +00:00
3fb41e075f
Matlab implementation of the consider_all_endogenous_and_auxiliary option
2021-07-22 13:12:27 +02:00
a04c348d73
smoother2histval.m: provide warning when smoothed variables are missing
2021-07-22 12:22:18 +02:00
0e793faeb2
Merge branch 'pf_options' into 'master'
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Particle filter: enable passing of option values and prepare for other samplers
Closes preprocessor#59
See merge request Dynare/dynare!1884
2021-07-22 09:50:10 +00:00
80cad32068
Particle filter: enable passing of option values and prepare for other samplers
2021-07-21 23:00:32 +02:00
dc45ac6361
Merge branch 'master' into 'master'
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occbin fixes and two small new features
See merge request Dynare/dynare!1883
2021-07-21 18:21:16 +00:00
8881f0ecf9
Windows package: bump dependencies
2021-07-21 20:18:36 +02:00
4caebd76c9
added 2 new occbin.simul options (defaults preserve current behavior):
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1) algo_truncation: sets the number of iterations for a truncated guess-verify algorithm (i.e. if max_iter<=algo_truncation, no error is triggered on output, but the user is happy with the last regime in the algorithm)
2) reset_regime_in_new_period: is set to true, it resets the guess regimes to unconstrained when a new shock arrives, instead of starting with a guess regime consistent with the one identified in previous time periods. this sometimes allows more robust convergence/identification of the regimes
2021-07-21 18:03:23 +02:00
Stéphane Adjemian (Ryûk)
cd2ed823b6
Fix constant in VAR and PAC expectations...
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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
ebdfcc80ec
fixed bug introduced in 229282a1c4
2021-07-21 17:59:01 +02:00
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
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
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2) fixed treatment of periodic solution in algo=3, now harmonized to algo=1
2021-07-21 17:51:03 +02:00
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
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
1d5d46e150
Windows package: bump to Octave 6.3.0
2021-07-21 17:32:02 +02:00
4c94da514e
CI: bump to Octave 6.3.0
2021-07-21 17:29:12 +02:00
1045c442a9
Merge branch 'occbin_mean' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1882
2021-07-21 16:42:00 +02:00
6b70846c58
Merge branch 'occbin_test' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1881
2021-07-21 16:38:44 +02:00
a142907e44
Particles / Alternative samplers: header fixes and indentation
2021-07-21 16:37:56 +02:00
ad390be3c7
Preprocessor update
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— 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
944bf2b68e
occbin: work with non-demeaned data and in constraints
2021-07-21 13:42:38 +02:00
ac3f04c2ff
borrcon*.mod: nostrict option is not needed anymore
2021-07-20 22:38:21 +02:00
c4e1d1e802
Occbin: new syntax for constructing multi-regime equations
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Ref. #569
2021-07-20 18:19:19 +02:00
229282a1c4
Occbin: the +<basename>/occbin_difference.m file is now generated by the preprocessor
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Some fields have also changed under M_.occbin.
Ref. #569
2021-07-20 12:35:15 +02:00
d5c35e3664
Occbin: fix function header
2021-07-19 15:30:54 +02:00
d995df9b6d
Merge branch 'occbin_license' into 'master'
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license.txt: correct Occbin license information
See merge request Dynare/dynare!1880
2021-07-19 12:43:31 +00:00
a349942797
license.txt: correct Occbin license information
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[skip CI]
2021-07-19 13:28:44 +02:00
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
Stéphane Adjemian (Ryûk)
54f80e88d2
Add structural VAR as an auxiliary model for VAR based expectations and PAC expectations.
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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.
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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.
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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.
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Ref. #1798 .
See example in tests/estimation/example_nls.mod.
2021-07-15 16:55:49 +02:00
b7b1b38e3b
Merge branch 'complex_data' into 'master'
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initial_estimation_checks.m: error out if data is complex
See merge request Dynare/dynare!1879
2021-07-15 08:34:23 +00:00
b2c6a6f7a1
initial_estimation_checks.m: error out if data is complex
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Prevents cryptic message that likelihood became complex
2021-07-14 19:30:50 +02:00
53abaf5b10
Preprocessor: new option “nocommutativity”
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Ref. #1788
2021-07-13 15:12:03 +02:00
Stéphane Adjemian (Ryûk)
2b4572affd
Allow arbitrary nonzero mean exogenous variables in PAC equations.
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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...
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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
abd64c256e
New perfect_foresight_with_expectation_errors_{setup,solver} commands
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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
Johannes Pfeifer
Sébastien Villemot
Marco Ratto
Stéphane Adjemian (Ryûk)