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Author SHA1 Message Date
Stéphane Adjemian (Ryûk) 4512000f0f
Display estimation results PAC/NLS. 2021-12-17 20:53:39 +01:00
Stéphane Adjemian (Ryûk) 24c817afa7
Add integration tests for NLS estimation. 2021-12-17 18:02:24 +01:00
Stéphane Adjemian (Ryûk) 8c8a2cf0fa
Add trap if SSR is not a real number. 2021-12-17 14:54:58 +01:00
Stéphane Adjemian (Ryûk) 1cf99b5227
Do not update the database if there is no aux. variables. 2021-12-17 14:21:10 +01:00
Stéphane Adjemian (Ryûk) b297353b06
PAC decomposition between stationary and non-stationary components. 
The taget in PAC equation can be decomposed into an arbitrary number of components (variables
in the VAR auxiliary model).

TODO Iterative OLS estimation (which is not the preferred estimation routine).
TODO Decomposition in the routine evaluating the forecasts for each component.
 2021-12-17 12:17:13 +01:00
Sébastien Villemot 4db2899868
estimated_params: fixes for new semantics 
The change implemented in 21a8a5794a broke the
testsuite and was incomplete.

– new option “overwrite” to provide the old behaviour (used to fix the testsuite);
– when concatenating several “estimated_params” block, the preprocessor now
  checks that paramateres are not declared twice across blocks.
 2021-12-16 15:38:09 +01:00
Sébastien Villemot 4dc60e69b2
Merge branch 'doc' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1981
 2021-12-16 10:44:15 +01:00
Sébastien Villemot ae5be8d717
Build system: add provisions for k_order_mean MEX under Octave 2021-12-16 10:42:37 +01:00
Johannes Pfeifer d4cb7f7ff2 manual: clarify heteroskedastic_shocks-block 2021-12-16 09:09:47 +01:00
Johannes Pfeifer 1ec662673e Manual: add warning on compatibility between master and slaves 2021-12-16 09:05:34 +01:00
Sébastien Villemot 21a8a5794a
Various new model editing features 
– multiple “model” and “estimated_params” block are supported
– new “model_options” statement to set model options in a global fashion
– new “model_remove” command to remove equations
– new “model_replace” block to replace equations
– new “var_remove” command to remove variables (or parameters)
– new “estimated_params_remove” block to remove estimated parameters
 2021-12-15 17:33:01 +01:00
Sébastien Villemot f8fc786459
Merge branch 'het_shocks' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1980
 2021-12-15 10:27:06 +01:00
Sébastien Villemot 600e468448
Merge branch 'cosmetics_header' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1979
 2021-12-15 10:26:52 +01:00
Willi Mutschler 488ab7a979
Update testsuite Kalman Smoother name of data file 
gen_data.mod creates a datafile called "data.mat"
test_compute_Pinf_Pstar_data.mod creates a datafile called "Data.mat"
There could be a race condition on systems that don't distinguish between upper and lower cases.
 2021-12-15 10:26:38 +01:00
Sébastien Villemot c181bae3fd
Emacs mode: add compilation_setup statement 2021-12-15 10:26:37 +01:00
Stéphane Adjemian (Ryûk) 4dd3ee8546
Add CLI for some routines. 
- steady,
 - check,
 - evaluate_likelihood,
 - evaluate_posterior_kernel, and
 - evaluate_prior.

*Example*

After running a mod file, on the Matlab's command line:

>> cli.check

EIGENVALUES:
         Modulus             Real        Imaginary

               0                0                0
       1.389e-16        1.389e-16                0
          0.6452           0.6452                0
          0.9707           0.9707                0
           1.038            1.038                0
       1.271e+16        1.271e+16                0
        2.33e+17         2.33e+17                0

There are 3 eigenvalue(s) larger than 1 in modulus
for 3 forward-looking variable(s)

The rank condition is verified.
 2021-12-14 14:45:57 +01:00
Johannes Pfeifer 3dc398f590 dynare_estimation_1.m: improve comment on Hessian recomputation 2021-12-14 11:22:41 +01:00
Johannes Pfeifer 7303275bef dsge_likelihood.m: update header 2021-12-14 11:22:41 +01:00
Johannes Pfeifer 6f87edfa3d Manual: remove wrong end; 2021-12-14 11:21:17 +01:00
Johannes Pfeifer fdb14b3af8 IVF: turn off near-singularity warning in estimation 2021-12-14 11:21:16 +01:00
Johannes Pfeifer 8a76c689ea IVF: properly deal with error code 2021-12-14 11:21:16 +01:00
Johannes Pfeifer 1bfb9ffbb9 heteroskedastic shocks: take into account first_obs 2021-12-14 11:21:16 +01:00
Sébastien Villemot 301fe42ed8
Merge branch 'varendo' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1978
 2021-12-14 11:09:47 +01:00
Sébastien Villemot 6a41cbdb13
Merge branch 'minimal_state' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1963
 2021-12-14 11:09:28 +01:00
Sébastien Villemot 3e7e82347a
Preprocessor: fix logic of include_eqs in the presence of [static]/[dynamic] equations 2021-12-14 11:01:07 +01:00
Sébastien Villemot 7770c99f1b
dseries: prevent horse-race condition when saving and loading mat file 2021-12-14 11:00:16 +01:00
Johannes Pfeifer c60a1624d1 identification: separate error code and option 
Solves issues with Monte Carlo sampling where error code affected option for later draws
 2021-12-13 15:14:23 +01:00
Johannes Pfeifer de90c5d246 Provide warning if moments_varendo is not set but conditional_variance_decomposition 2021-12-13 13:08:59 +01:00
Sébastien Villemot 4fac512bfd
Merge branch 'dsge_var' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1973
 2021-12-13 12:40:27 +01:00
Stéphane Adjemian (Ryûk) f687b531fd
Bug fix (wrong indexing in present value evaluation). 2021-12-11 18:44:01 +01:00
Sébastien Villemot eb6af4aff3
Emacs mode: add complementary error function and hyperbolic functions 
[skip ci]
 2021-12-11 15:58:14 +01:00
Johannes Pfeifer fc05ddd5fe dsge_var_likelihood.m: remove unused output arguments 2021-12-10 12:01:40 +01:00
Johannes Pfeifer 5f732803d8 dsge_var: pass data moments as function inputs instead of via base workspace 
going via base prevents parallel execution
 2021-12-10 12:01:07 +01:00
Sébastien Villemot f7f7c77411
Merge branch 'ramsey_debug' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1977
 2021-12-10 11:12:33 +01:00
Sébastien Villemot ee5eec3224
Merge branch 'disp_th_moments' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1975
 2021-12-10 11:01:59 +01:00
Sébastien Villemot 6dd787569a
Merge branch 'SMM' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1974
 2021-12-10 11:01:37 +01:00
Sébastien Villemot 00b3064ace
Merge branch 'NK' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1972
 2021-12-10 10:58:10 +01:00
Sébastien Villemot 2c183093f1
Merge branch 'mom' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1971
 2021-12-10 10:57:39 +01:00
Johannes Pfeifer 741772d514 evaluate_steady_state.m: correctly condition debugging info on existence of objects from steady state file 2021-12-10 09:05:55 +01:00
Johannes Pfeifer f5def11a23 disp_th_moments.m: honor noprint 2021-12-09 09:01:10 +01:00
Johannes Pfeifer 137ba73c4c SMM: add forgotten error code 
[skip CI]
 2021-12-08 19:07:18 +01:00
Sébastien Villemot 1144de4167
Bump version number 2021-12-08 14:23:26 +01:00
Sébastien Villemot 48c965397a
Adapt the documentation for the new versioning scheme 
Switch to a two digit version number, and make the documentation agnostic on
the major version number.
 2021-12-08 12:27:35 +01:00
Johannes Pfeifer 51fdb6b1cb NK_baseline.mod: correct comment 
[skip CI]
 2021-12-08 11:01:31 +01:00
Johannes Pfeifer d5a2015ded mom: gracefully exit if unobserved moments are matched. 2021-12-08 09:38:41 +01:00
Sébastien Villemot 1638374b46
Merge branch 'evaluate_planner' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1970
 2021-12-07 18:06:13 +01:00
Sébastien Villemot 8eeb92e56b
Add hyberbolic primitives (sinh, cosh, tanh, asinh, acosh, atanh) 2021-12-07 18:04:56 +01:00
Sébastien Villemot 5f675eee18
Add erfc() primitive 2021-12-07 17:00:59 +01:00
Sébastien Villemot d69c14398d
Factorize test for normpdf(), normcdf(), erf() and trigonometric functions 
Incidentally:
- add trigonometric tests for bytecode
- add back a test for pure M-files
 2021-12-07 17:00:57 +01:00
Johannes Pfeifer d039bcbfec evaluate_planner_objective.m: initialize newly introduced options and fix naming 2021-12-07 13:56:01 +01:00