4733d97ceb
dseries: fix concatenation with empty dates objects
2021-06-09 17:33:25 +02:00
04c3fb3a31
Merge branch 'slice_record' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1869
2021-06-09 14:41:03 +02:00
f38a1edaee
posterior_sampler.m: trap case where record.ProposalCovariance is not filled (slice sampler)
2021-06-08 21:03:08 +02:00
e546d686eb
dynare_solve.m: allow calling function directly
2021-06-04 21:24:53 +02:00
4e0f2bf695
dynare_solve.m: have csolve honor selected options
2021-06-02 16:21:16 +02:00
f4c0781f45
calibrate_mh_scale_parameter.m: Expand header
2021-06-01 11:34:39 +02:00
f51a57374a
mh_tune_jscale: fix display of stepsize and provide warning if no updating can occur.
2021-06-01 11:23:07 +02:00
fad86785da
evaluate_planner_objective.m: do not evaluate non-existing terms for linear models
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1781
2021-05-28 17:00:44 +02:00
Stéphane Adjemian (Charybdis)
27ee801a67
Add specialized version of sim1 for static models.
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Also add an integration test and fix homotopy error message.
2021-05-28 14:11:34 +02:00
5ab724d38f
Following a change in the calling sequence. Fixes #1789
2021-05-28 13:49:58 +02:00
Stéphane Adjemian
77612e6bb7
Merge branch 'particle' into 'master'
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non_linear_dsge_likelihood.m: filter out explosive initial simulation
See merge request Dynare/dynare!1861
2021-05-28 11:42:24 +00:00
f97c138685
sim1_purely_backward.m: for purely static model, do not use past value for first iteration
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Index 0 does not exist.
2021-05-27 22:37:45 +02:00
cac6f82e34
non_linear_dsge_likelihood.m: filter out explosive initial simulation
2021-05-27 21:04:35 +02:00
abe8a05b43
Merge branch 'smoother_redux' into 'master'
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Implement new option smoother_redux, to allow fast smoother for very large...
See merge request Dynare/dynare!1859
2021-05-27 16:33:21 +00:00
c4e0cd0565
Merge branch 'posterior_smoother' into 'master'
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prior_posterior_statistics_core.m: filter out cases where model does not solve
See merge request Dynare/dynare!1860
2021-05-27 16:09:19 +00:00
5fa6265944
Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post
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Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
2021-05-27 16:59:15 +02:00
7541b1b116
prior_draw.m: cosmetic fix
2021-05-27 16:46:40 +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
ae574fff78
Merge branch 'diagnostics' into 'master'
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model_diagnostics.m: only provide message if imaginary component reaches tolerance level
See merge request Dynare/dynare!1855
2021-05-27 14:23:55 +00:00
Stéphane Adjemian (Charybdis)
3e7cd877d3
Fix error message consistently with 2743ca8fd.
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[skip ci]
2021-05-26 19:11:01 +02:00
Stéphane Adjemian (Charybdis)
2743ca8fdb
Fix workspace if dynare is called from a function.
2021-05-26 19:07:44 +02:00
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
ba3522a9ba
Merge branch 'compute_decision_rules' into 'master'
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Use of the compute_decision_rules function to factorize code
See merge request Dynare/dynare!1856
2021-05-25 16:18:43 +00:00
9c6cc04b0d
Use of the compute_decision_rules function to factorize code (Ref.#1173)
2021-05-20 11:36:29 +02:00
7e72b52677
model_diagnostics.m: only provide message if imaginary component reaches tolerance level
2021-05-20 11:23:48 +02:00
456dc86ad1
identification: support optimal policy
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Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1837
2021-05-14 13:38:42 +02:00
7d4b01883d
get_identification_jacobians.m: remove unnecessary reordering of equations
2021-05-14 13:35:01 +02:00
c8bc12ab6c
forcst.m: fix case with measurement error
2021-05-12 17:44:35 +02:00
0d6bc47158
Merge branch 'rattoma/dynare-mh_initialize_from_previous_mcmc'
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Ref. !1841
2021-05-11 18:51:57 +02:00
a0f2b2399b
New option mh_initialize_from_previous_mcmc that allows to pick initial values for a new MCMC from a previous one
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If an additional parameter is estimated, it is initialized using prior_draw.
2021-05-11 18:48:43 +02:00
cc045caa6f
loglinear: Take care of non-logged lagged/leaded exogenous variables
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Closes : #1783
2021-05-11 17:47:25 +02:00
5a2fbe2f89
dynare.m: remove non-working line feed
2021-05-11 14:24:02 +02:00
bdb743eaa7
Merge branch 'rattoma/dynare-fast_realtime_shock_decomp'
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Closes !1842
2021-05-10 15:55:28 +02:00
2d39991a0a
allow for a more accurate (and more expensive) fast realtime modality, triggered by fast_realtime=INTEGER_VECTOR and where vector fast_realtime controls periods for which the smoother is run. If max(fast_realtime)<nobs, the smoother is also run for the full sample. Manual updated accordingly.
2021-05-10 15:55:03 +02:00
3c7865a950
Merge branch 'rattoma/dynare-initial_estimation_checks_errors'
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Ref. !1839
2021-05-07 17:52:45 +02:00
74121c2aee
New no_init_estimation_check_first_obs option that allows to skip check of singularity in first observation
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(like deficient # of shocks in the presence of stockflow observed)
2021-05-07 17:51:03 +02:00
088fd64114
Merge branch 'rattoma/dynare-smoother_fixes'
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Ref. !1847
2021-05-07 16:35:36 +02:00
551917581f
Bug fixes in fitered variances of smoother
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- kalman_algo=1: kstep-ahead variances were WRONG, since Pf was initialized using P in PREVIOUS period
- kalman_algo=2: output argument for filtered varainces should be P1, not P (P are UPDATED variances, there).
For kalman_algo=2, also make a small factorization fix (compute P(:,:,t+1) before defining Pf, so to compute 1-step ahead variance only once)
2021-05-07 16:34:53 +02:00
d43a057af3
store_smoother_results: fix header explanation of output arguments
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Variances are now in declaration order.
2021-05-07 16:34:35 +02:00
ca43df16e0
Merge branch 'dot_error' into 'master'
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Filter out "Dot indexing is not supported for variables of this type." error...
See merge request Dynare/dynare!1846
2021-05-06 14:49:39 +00:00
58db4a4c21
Merge branch 'rattoma/dynare-parallel_without_psexec'
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Ref. !1843
2021-05-06 16:31:15 +02:00
9ed9aa5963
For local clusters only, allow using start instead of psexec with windows, to properly allocate affinity when there are more than 32 cores. Manual updated accordingly.
2021-05-06 16:31:06 +02:00
f43ee91ed8
Filter out "Dot indexing is not supported for variables of this type." error if variable conflicts with namespace
2021-05-06 10:59:19 +02:00
f9fb3bb386
Octave compatibility fix: xlswrite() from the io package does not return a 2nd output
2021-05-05 15:47:14 +02:00
96ad0fbec5
SUR / pooled OLS: workaround for Octave bug in dbstack(N)
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See https://savannah.gnu.org/bugs/?60531
By the way, also add a safety check in pooled OLS for the case where the
function is directly called from the top-level.
2021-05-05 15:27:15 +02:00
04ba15e5cc
Preprocessor: forbid check and stoch_simul in block-decomposed mode with mfs > 0
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Closes : #1726
2021-05-04 17:18:20 +02:00
0a7d60e7a6
Stochastic solution under block decomposition: minor simplification
2021-05-04 16:33:15 +02:00
f617631b68
Merge branch 'mode_compute6' into 'master'
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gmhmaxlik.m: show mode value in addition to change in mode
See merge request Dynare/dynare!1845
2021-05-04 09:12:27 +00:00
9a4bbfef09
gmhmaxlik.m: show mode value in addition to change in mode
2021-05-03 20:33:21 +02:00
1e4d2f5aef
dseries: fix double() method for dates at yearly frequenc
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Ref. dseries#47
2021-05-03 15:03:42 +02:00
Sébastien Villemot
Johannes Pfeifer
Stéphane Adjemian (Charybdis)
MichelJuillard
Marco Ratto
Selma Malmberg