Stéphane Adjemian (Charybdis)
18b54dfa98
Updated dseries submodule.
2021-01-07 22:00:51 +01:00
b2efc7a604
smoother2histval.m: fix bug when variable names are similar
2021-01-07 21:44:06 +01:00
4434edae0b
Merge branch 'MoM_testsuite' into 'master'
...
Method of Moments: Updates to testsuite
See merge request Dynare/dynare!1799
2021-01-07 19:52:13 +00:00
b3e3501a6d
MoM: Fix bug in SMM with ME
...
Occurs by running RBC_MoM_SMM_ME with mode_compute=9
2021-01-07 14:25:26 +01:00
2b554e0511
MoM: cosmetical changes to description of options in testsuite
2021-01-07 13:39:45 +01:00
ba8d5d364d
MoM: Update copyright years
2021-01-07 10:32:35 +01:00
8e7d0d2c5d
Preprocessor binary renamed and moved, various other improvements to make install rules
...
– preprocessor binary renamed to dynare-preprocessor
— the preprocessor binary is now installed under a preprocessor/ top-level directory
— a backward-compatibility symlink is still provided under
matlab/preprocessor64/dynare_m
— the make install rule now install PDF and HTML documentation when those have
been built
Closes : #1728
2021-01-06 18:17:20 +01:00
860775ca49
Merge branch 'labels' of git.dynare.org:JohannesPfeifer/dynare
2021-01-06 14:30:52 +01:00
25d5352350
Include Dynare version and input arguments into log file
...
The log file is now started from dynare.m.
Closes : #1743
2021-01-06 14:29:37 +01:00
e2f16b504c
MoM: Improve mode_compute=0 and more details on optimizers
2021-01-06 13:57:07 +01:00
ca978b6bf7
get_labels_transformed_vars.m: fix header
...
[skip CI]
2021-01-06 10:27:53 +01:00
8b3da285d2
Merge branch 'msbvar' of git.dynare.org:JohannesPfeifer/dynare
2021-01-04 14:27:32 +01:00
3ef988dfcd
msbvar: provide error is chain is not specified
...
See https://forum.dynare.org/t/cannot-have-number-of-chains-for-variance-or-coefficient-bigger-than-1/16650
2021-01-01 11:31:33 +01:00
9c52aec23d
Adjust output of loglinear option to make clear when a logged variable is used
...
- use of function for getting labels will allow to accommodate https://git.dynare.org/Dynare/dynare/-/issues/349
- incidentally fixes a bug in the display of the simulated variance decomposition for observables with measurement error
2020-12-23 13:53:44 +01:00
5deaca993b
Merge branch 'discretion' of git.dynare.org:JohannesPfeifer/dynare
2020-12-22 12:29:38 +01:00
9728a52889
evaluate_planner_objective.m: lift size restriction by solving Lyapunov equation instead of using Kronecker
2020-12-19 14:12:12 +01:00
4b793da2c3
discretionary_policy: allow for non-linear model to be used
2020-12-18 18:22:39 +01:00
205b87d195
MoM: Fix typos, improve messages and checks, schur_vec_tol option, dname
2020-12-18 16:16:30 +01:00
2359a1496c
MoM: Changed default qz_criterium and added Schur_vec_tol
2020-12-18 16:16:30 +01:00
4d9ee3f8e5
MoM: Update To-Do list
...
- lsqnonlin takes less time in Andreasen toolbox due to different handling of bounds; our approach is better (objective is smaller for RBC model)
- user-specified weightning matrix does work
- qz_criterium is set to 1+e-6 to allow for unit-roots (but observables need to be stationary)
- informative message is printed that NaN values in data moments are replaced by mean
- estimated_params_bounds work as well as informative message when parameters are not calibrated
- SMM at any order without pruning works
- SMM with pruning works for orders 1,2,3; for orders above 3 simult_.m throws an error that pruning is not available
- Analytical standard errors for GMM and Bayesian estimation is included
- dirname is not needed
- Remaining to dos are updated
2020-12-18 16:16:30 +01:00
5d475d4527
MoM: Checks and fixes for perturbation order and pruning
...
- Set pruning to false as default, for GMM we turn it on for order>2 and display a message for the user that we do so
- Provide error if users try GMM with order > 3
- For SMM, order > 2 and no pruning, simult_.m uses Dynare++ routines which require a seed
2020-12-18 16:16:10 +01:00
363610affe
MoM: Save checkplot data also in graphs folder
2020-12-18 16:16:10 +01:00
eae5e2f029
MoM: Add analytical standard errors for GMM
...
Reset analytic_derivation_mode for steadystate file parameter changes
MoM: Fix GMM analytical standard errors wrong dimensions in autocovs
2020-12-18 16:16:10 +01:00
ec8ea32b3e
Merge branch 'dname' of git.dynare.org:JohannesPfeifer/dynare
2020-12-18 15:43:30 +01:00
ba71db647e
Merge branch 'Schur_vec_tol' of git.dynare.org:JohannesPfeifer/dynare
2020-12-18 15:40:57 +01:00
7bdf07631a
Provide better warnings when using ramsey_constraints
2020-12-18 12:59:29 +00:00
83774a1f44
global_initialization.m: Remove automatic creation of directories
...
When using `dname` they would be redundant
2020-12-17 20:10:58 +01:00
f2cde3b6d9
Make schur_vec_tol settable and document it
...
Related to https://git.dynare.org/Dynare/preprocessor/-/merge_requests/29
Also convert it to lowercase as all other options
2020-12-17 19:59:22 +01:00
b8d396e388
Merge branch 'pruned_moments' of git.dynare.org:JohannesPfeifer/dynare
2020-12-17 16:47:02 +01:00
49e73e48d3
dseries: Octave 6 compatibility fixes
2020-12-17 16:44:26 +01:00
44f3a26042
Octave 6 compatibility fix
...
By the way, remove an obsolete version test for MATLAB (since we now require
R2014a).
2020-12-17 16:08:32 +01:00
4cf9f7d1a7
stoch_simul.m: reports second moments based on pruned state space at order=2 when pruning is specified
...
Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1744
2020-12-17 09:45:28 +01:00
da3943beba
Make sure output is saved in dname-folder
...
That's where other functions are looking for them
2020-12-16 22:41:55 +01:00
4aa25e26b2
Merge branch 'ramsey_tag' into 'master'
...
get_complementarity_conditions.m: fix variable naming
See merge request Dynare/dynare!1788
2020-12-14 17:55:37 +00:00
3f18acb1f2
get_complementarity_conditions.m: fix variable naming
...
Model structure must be named M_ for eval-statement with parameters replaced by position in M_.params to work
2020-12-14 17:46:08 +01:00
9351fd662f
Merge branch 'cova_compute' into 'master'
...
🐛 allow cova_compute=0 with user-defined MCMC_jumping_covariance
See merge request Dynare/dynare!1787
2020-12-10 11:35:51 +00:00
35b1a6859f
🐛 allow cova_compute=0 with user-defined MCMC_jumping_covariance
2020-12-09 22:31:43 +01:00
Stéphane Adjemian (Charybdis)
12ef75314a
Apply d8ddd9ef6 to deterministic exogenous variables.
...
(cherry picked from commit eceba8d6da
2020-12-09 14:59:20 +01:00
Stéphane Adjemian (Charybdis)
ffa828a659
Fixed multiple periods expected shocks in the case of mshocks.
...
(cherry picked from commit d8ddd9ef61
2020-12-09 14:59:20 +01:00
Stéphane Adjemian (Charybdis)
a669c3765d
Cosmetic change in doc headers.
2020-12-07 22:25:54 +01:00
Stéphane Adjemian (Charybdis)
eceba8d6da
Apply d8ddd9ef6 to deterministic exogenous variables.
2020-12-07 22:25:54 +01:00
7e9a87c313
evaluate_steady_state.m: small simplification
2020-12-07 16:25:01 +01:00
1c0d1409ea
Fix the use of [static]/[dynamic] equations with the “block” option
2020-12-07 16:24:13 +01:00
a16023103b
ensure only lowercase files are retrieved
2020-12-07 12:31:37 +01:00
05c7925620
Accessors for posterior distributions of objects, needed by the MATLAB GUI
2020-12-07 12:31:26 +01:00
8ba1a15262
Remove outdated Occbin files
2020-12-03 10:50:58 +01:00
c160d24074
Octave 6 implements intersect(…, 'stable')
...
[skip ci]
2020-11-30 18:26:50 +01:00
03641585e4
✅ Fix lsqnonlin in Octave
2020-11-26 17:07:46 +01:00
25f1641db1
Change order of checks for NaN moments, improve warnings and errors
2020-11-26 16:45:07 +01:00
21e61ef954
Merge branch 'identification_fixes' of git.dynare.org:wmutschl/dynare
2020-11-26 16:36:34 +01:00
6076c1a140
Remove obsolete VAR estimation routine
2020-11-26 15:59:23 +01:00
a710532c3a
🐛 Fix identification error with unit root observables and diffuse_filter set
...
Fixes #1752
2020-11-26 13:49:14 +01:00
4aa0fa540e
Display minimum in check plots in method of moments
2020-11-26 13:28:29 +01:00
2b17a711e0
Provisions for MATLAB R2020b
...
(cherry picked from commit fa12e5abfc
2020-11-24 20:47:40 +01:00
Stéphane Adjemian (Charybdis)
d8ddd9ef61
Fixed multiple periods expected shocks in the case of mshocks.
2020-11-24 15:04:41 +01:00
8c63c97d3c
Merge branch 'numprocs' into 'master'
...
Add num_procs.m function in missing
See merge request Dynare/dynare!1778
2020-11-23 16:51:42 +00:00
eb52fd1eaa
Add num_procs.m function in missing
...
Preserves ability to run Dynare with m-replacements
[skip CI]
2020-11-23 15:51:55 +01:00
27946a7553
dyn_second_order_solver.m: remove unused code
...
Redundant due to transformation to one lead-lag problem
2020-11-22 21:23:55 +01:00
3c1087a369
Fix for sylvester3a for purely forward-looking models
...
In purely forward-looking models ghx is empty and sylvester3a gives a "Operands to the || and && operators must be convertible to logical scalar values" error, as e becomes a "1×0 empty double row vector" and not a logical.
2020-11-21 09:46:10 +01:00
e42654b812
method_of_moments.m: Octave compatibility fix
...
Octave does not support randstream; related to https://git.dynare.org/Dynare/dynare/-/issues/1749
2020-11-19 10:07:35 +01:00
Stéphane Adjemian (Charybdis)
2cf5c5d0c1
Removed Octave's idiosyncrasies.
...
Matlab Production Server (MPS) fails when onboarding the dynare package
because of `endif` and `endfunction` which are not available in matlab's
syntax.
2020-11-17 17:32:30 +01:00
426e52e2d9
Merge branch 'mjdgges' into 'master'
...
Add mjdgges.m unit test
Closes #1438
See merge request Dynare/dynare!1771
2020-11-13 17:10:14 +00:00
c4c8a0256d
Add mjdgges.m unit test
...
Closes https://git.dynare.org/Dynare/dynare/-/issues/1438
2020-11-13 15:55:20 +01:00
6dac5a5d1f
Particules submodule update
...
– Consistently use LaTeX labels in figures instead of relying on psfrag
– Fix eps-TeX-loaders
– auxiliary_particle_filter.m: set undefined variable (Ref. #1718 )
2020-11-13 13:19:34 +01:00
79652f13d7
Merge branch 'nanmean_octave' into 'master'
...
nanmean: Compatibility fix for Octave
See merge request Dynare/dynare!1769
2020-11-13 12:18:40 +00:00
e6c8daf922
Merge branch 'endog_prior_NaN' into 'master'
...
endogenous_prior.m: deal with missing data
Closes #1744
See merge request Dynare/dynare!1768
2020-11-13 11:53:19 +00:00
e9ef9a5f4b
nanmean: Compatibility fix for Octave
...
Octave does not support Matlab's recommended syntax
2020-11-13 12:03:17 +01:00
445cbf67d2
endogenous_prior.m: deal with missing data
...
Closes https://git.dynare.org/Dynare/dynare/-/issues/1744
2020-11-13 10:54:44 +01:00
74d7c8a7f4
Merge branch 'pf_init' into 'master'
...
Fix initialization of state variances
See merge request Dynare/dynare!1762
2020-11-12 11:22:41 +00:00
dab5d38068
Fix initialization of state variances
...
- incomplete computation of variances in case 1
- wrong ordering for case 2
2020-11-12 10:43:04 +01:00
c0c1b98326
discretionary_policy_1.m: take care of presence of auxiliary equations
...
Happens e.g. with news shocks
2020-11-11 22:08:19 +01:00
fcb52478e4
Preprocessor: replace exogenous with lead/lags by auxiliary variables in deterministic models
...
Several tests need to be adapted, because they were implicitly making the
assumption that there is no auxiliary variable.
Incidentally, this closes #1731 . This commit therefore also removes the
workaround introduced in 0391dbbeb1
2020-11-09 16:34:12 +01:00
029ab65e68
Perfect foresight with initval_file: fix another bug when M_.orig_maximum_lag ≠ M_.maximum_lag
...
Similar to 95dcb5f4b7
2020-11-05 16:08:57 +01:00
95dcb5f4b7
Perfect foresight with initval_file: fix bug when M_.orig_maximum_lag ≠ M_.maximum_lag
...
By the way, remove inexact comment about a similar code in histvalf.m
2020-11-05 15:39:55 +01:00
Stéphane Adjemian (Charybdis)
b066012033
Fixed R² in SUR model when estimating a subset of equations.
...
Closes #5
2020-10-26 15:07:50 +01:00
Stéphane Adjemian (Charybdis)
f36ee06041
Updated dseries submodule (matlab-fame-io improved initialization of daily dseries from FAME).
2020-10-21 19:29:07 +02:00
5fab01c534
Perfect foresight: fix case where max lead/lag on exo is greater than max lead/lag on endo
...
Bug introduced in commit e21cb1ad6b#1720
2020-10-21 19:12:22 +02:00
e21cb1ad6b
LMMCP: fix the purely backward and purely forward cases
...
Closes : #1720
2020-10-21 16:30:40 +02:00
4ba0f0a9c3
LMMCP: don’t report a wrong maxerror, rather put NaN
2020-10-20 18:27:19 +02:00
46da76c0ce
LMMCP: fix bug when periods=1
...
The fix in commit 24cc67e585
2020-10-20 18:20:04 +02:00
87cc519321
LMMCP / linear perfect foresight: fix bug for models with a single equation
...
The routines use the find() function applied to a subset of columns of the
Jacobian, which in this case is a row vector. When passed a row vector, find()
returns row vectors (while it returns column vectors when passed a column
vector or a matrix). This case was not correctly handled.
2020-10-20 18:20:02 +02:00
df58037feb
Reporting: rename @graph class to @report_graph, to avoid name clash with MATLAB’s @graph
2020-10-20 14:39:47 +02:00
e3207b1d8c
Extended path: remove ep.use_bytecode flag
...
It’s actually useless and complicates the code. Simply rely on
options_.bytecode.
Ref. #1742
2020-10-15 11:06:59 +02:00
10333f99e2
Fix extended_path + bytecode under Octave
...
Ref. #1742
2020-10-15 10:59:15 +02:00
71e3e0d49e
Fix extended_path with bytecode
...
By the way, document and enforce the fact that stochastic extended_path (i.e.
order > 0) is not compatible with either bytecode or block.
Closes : #1742
2020-10-14 17:25:58 +02:00
Stéphane Adjemian (Charybdis)
2428aa7e28
Updated dseries submodule (matlab-fame-io).
2020-10-14 10:44:05 +02:00
Stéphane Adjemian (Charybdis)
415c024445
Updated dseries submodule (added conversion to lower frequency routines).
2020-10-09 10:02:35 +02:00
e576dc8c81
Block decomposition: fix evaluation of recursive variables in solved blocks
...
Ref. #1726
2020-10-06 18:31:13 +02:00
Stéphane Adjemian (Charybdis)
2eb77f2323
Updated dseries submodule (bug fixes related to daily frequency).
2020-10-02 19:28:37 +02:00
Stéphane Adjemian (Charybdis)
80bfbc0736
Merge non linear shock decomposition for backward models.
...
Closes #2 .
2020-09-29 18:17:25 +02:00
2acacf61f1
Matrix notation: fix bug in numerical Hessian of external functions
2020-09-29 16:52:02 +02:00
1975e467b5
update jacob_element & hess_element for vector arguments
2020-09-29 16:52:02 +02:00
Stéphane Adjemian (Charybdis)
511908e011
Factorized initialization of fields required by solve_algo={12,14}.
...
Closes #3 .
2020-09-25 23:45:21 +02:00
Stéphane Adjemian (Charybdis)
e690c5de5a
Merge Enterprise/block_trust_region into enterprise.
2020-09-24 16:05:55 +02:00
fa12e5abfc
Provisions for MATLAB R2020b
2020-09-24 15:43:06 +02:00
Stéphane Adjemian (Charybdis)
c7c7358a5b
Cosmetic changes.
...
Closes #5
2020-09-24 13:33:46 +02:00
8fe39ded76
Change R2 computation in multivariate models (SUR)
2020-09-24 13:17:21 +02:00
Stéphane Adjemian (Charybdis)
17e6421ea3
Merged master into enterprise.
...
Fixed conflict in
- doc/manual/source/running-dynare.rst
2020-09-23 15:28:19 +02:00
Stéphane Adjemian (Charybdis)
202bf913c0
Cosmetic changes.
2020-09-23 13:56:08 +02:00
c366a8c3da
fix bugs
2020-09-20 16:52:31 +02:00
c2e43c0093
fix histval_initval_file unit tests
2020-09-20 11:11:26 +02:00
57c94a1c76
revise options checks
2020-09-19 19:17:42 +02:00
b6582c2d5f
fix handling firstsimulationperiod
2020-09-19 12:18:24 +02:00
91b4cfd3a8
fixes handling of periods in histval_file/initval_file
2020-09-19 12:14:43 +02:00
865ab47fa9
Provide block_trust_region MEX under solve_algo 13 and 14
...
- block trust region solver now available under solve_algo=13
It is essentially the same as solve_algo=4, except that Jacobian by finite
difference is not handled. A test file is added for that case
- block trust region solver with shortcut for equations that can be evaluated
is now available under solve_algo=14 (in replacement of the pure-MATLAB solver)
Closes : Enterprise/dynare#3
2020-09-18 18:01:56 +02:00
0b41d17374
dynare_solve: fix display of number of dmperm blocks
2020-09-18 17:55:58 +02:00
4c2b906962
Add routine for shock decomposition of backward models
...
Closes : Enterprise/dynare#2
2020-09-18 17:40:45 +02:00
Stéphane Adjemian (Odysseus)
248ad18846
Merge remote-tracking branch 'Dynare/master' into enterprise
...
Fixed conflicts in:
- .gitlab-ci.yml
- matlab/dynare_config.m
- matlab/dynare_solve.m
- matlab/initvalf.m
- matlab/perfect-foresight-models/make_ex_.m
- matlab/perfect-foresight-models/perfect_foresight_setup.m
- mex/build/matlab/Makefile.am
- mex/build/matlab/configure.ac
- mex/build/octave/Makefile.am
- mex/build/octave/configure.ac
- mex/sources/Makefile.am
- preprocessor
- tests/Makefile.am
2020-09-17 14:53:32 +02:00
b9812a0ff0
Fix another issue with extended_path + bytecode
...
As reported in https://forum.dynare.org/t/extended-path-bytecode/16577
2020-09-08 13:13:00 +02:00
0391dbbeb1
fix bug with lag on exogenous variables on more than one period
...
(cherry picked from commit 492124ce9886e6aef4f4cefef302241d7edfe024)
2020-09-04 14:02:04 +00:00
26597bf093
Remove more utilities related to conversion of oo_ between Dynare versions
...
Ref. #915
2020-09-03 16:45:21 +02:00
d7b7ce8940
AnalyseComputationalEnvironment.m: define missing command string used in error message
2020-09-02 12:41:31 +02:00
b891695680
Merge branch 'JohannesPfeifer/dynare-MoM'
2020-09-01 15:14:43 +02:00
96be513ecf
Remove matched_moments_ as input argument as it is now a field of M_
2020-08-05 15:58:58 +02:00
f6c2471eef
New MEX for solving discrete Lyapunov equations with doubling algorithm
...
This is a Fortran 2008 rewrite of disclyap_fast.m.
Closes : #1737
2020-07-30 16:34:35 +02:00
daea99d1b0
Merge branch 'parameter_setting' into 'master'
...
Move setting of parameters out of check_bounds_and_definiteness_estimation.m
See merge request Dynare/dynare!1754
2020-07-21 08:30:57 +00:00
3b85fea02e
Move setting of parameters out of check_bounds_and_definiteness_estimation.m
...
Increases transparency
2020-07-17 15:02:12 +02:00
4d22c4c0c0
Drop 32-bit binaries from Windows package
...
Closes : #1713
2020-07-17 12:52:58 +02:00
1dbbef9f2e
Merge branch 'moment_estimation' into 'master'
...
First implementation of moment estimation
See merge request Dynare/dynare!1750
2020-07-16 15:41:15 +00:00
b273a2792b
Fix iterated method of moments
...
Also improve fprintf descriptions and comments and other cosmetical changes
2020-07-16 14:47:20 +02:00
cda3253d2c
Merge branch 'ME_traceplots' into 'master'
...
Fix trace plots with measurement errors and their correlations
See merge request Dynare/dynare!1752
2020-07-16 09:39:47 +00:00
499451d50a
Merge branch 'pruned_state_space' into 'master'
...
Speed up pruned_state_space_system.m by e.g. using persistent variables
See merge request Dynare/dynare!1749
2020-07-16 09:39:01 +00:00
9c99eac55c
Move more options to substructure options_mom_.mom
2020-07-16 11:38:41 +02:00
552b995215
Remove stuff and checks that are already done in the preprocessor
2020-07-16 11:38:41 +02:00
540f0454d2
Code Review of GMM routines
...
- fix prefilter option
- Implement iterative GMM
2020-07-16 11:38:40 +02:00
a40807caa9
plot_priors.m: Allow for optional title
2020-07-16 11:38:39 +02:00
e14e9641e8
Factorize checking of positive definiteness
2020-07-16 11:38:38 +02:00
3615962a61
First draft of method of moments toolbox with GMM and SMM
2020-07-16 11:38:38 +02:00
f717712ed6
Fix trace plots with measurement errors and their correlations
...
Problem was introduced when transitioning to cell arrays
2020-07-15 14:34:04 +02:00
1cc29d765b
DsgeSmoother: add warning if there is stochastic singularity
2020-07-15 11:00:48 +02:00
e525798a64
External functions: decrease step used for numerical derivation
2020-07-09 18:40:36 +02:00
9e92dfd7c4
Speed up pruned_state_space_system.m by e.g. using persistent variables
2020-07-08 19:50:31 +02:00
Stéphane Adjemian (Charybdis)
31de6f20fd
Updated dseries submodule.
...
- Fixes plot method with additional arguments (bug introduced in 56e0645)
- Adds daily frequency
- Adds interface to dbnomics
2020-07-08 14:55:38 +02:00
d10242fbab
dynare_minimize_objective.m: change parameter names to expected cell array
2020-07-08 11:44:47 +02:00
6b592cbb00
newrat: Further replacement of varargins by explicit options
2020-07-08 11:44:34 +02:00
dc6e3406e5
Merge branch 'tolerance' into 'master'
...
Correctly distinguish tolerance between steady and perfect foresight
See merge request Dynare/dynare!1746
2020-07-07 09:46:28 +00:00
6a6271225c
Merge branch 'minimize_objective' into 'master'
...
Minimize objective
See merge request Dynare/dynare!1737
2020-07-07 09:35:39 +00:00
607a273bb0
Correctly distinguish tolerance between steady and perfect foresight
...
steady uses options_.solve_tolf as a termination criterion, so subsequent checks should do the same. Similarly, solve_tolx was never used.
2020-07-06 13:11:23 +02:00
3736272331
Merge branch 'lyap' into 'master'
...
disclyap_fast.m: bugfixes and improvements
See merge request Dynare/dynare!1745
2020-07-01 08:14:46 +00:00
287ec91982
disclyap_fast.m: bugfixes and improvements
...
- loop termination criterion did not match subsequent check
- dimensions of NaN were incorrect
- exitflag was mostly meaningless due to erroring out
- Make max_iter an optional input
- Move file from partial information folder to Matlab
2020-06-30 16:43:00 +02:00
4913cfb3f0
Merge branch 'third_order_moments' into 'master'
...
Add display of theoretical moments at order=3 with pruning
See merge request Dynare/dynare!1744
2020-06-30 14:38:22 +00:00
9d2ec5f040
disp_th_moments.m: cosmetic changes
2020-06-30 15:31:55 +02:00
dfc7357636
Add display of theoretical moments at order=3 with pruning
2020-06-30 13:46:54 +02:00
e5cf2a3739
Merge branch 'ME_moments' into 'master'
...
Bugfixes around moment computation with measurement errors
See merge request Dynare/dynare!1743
2020-06-29 14:05:42 +00:00
f3329c2db6
compute_moments_varendo.m: delete stale results field
...
Otherwise, results from old runs will not be updated
2020-06-29 13:21:25 +02:00
6e06acc7f4
Fix moment computation with Measurement errors
...
- check logic for M_.H was faulty
- M_.H was not updated in posterior sampling
2020-06-29 13:20:02 +02:00
69fc7acb9c
Add function for updating measurement error covariance matrix
2020-06-26 18:28:07 +02:00
695ec4b6c1
set_parameters_locally.m: fix comment
2020-06-26 18:28:07 +02:00
faa4416b99
Merge branch 'pnames' into 'master'
...
Move definition of prior distribution names to separate function to make it...
See merge request Dynare/dynare!1742
2020-06-26 11:55:28 +00:00
e92054e16b
Move definition of prior distribution names to separate function to make it useable in other contexts.
2020-06-26 12:07:16 +02:00
fdd9676071
Merge branch 'dyn_latex_table' into 'master'
...
dyn_latex_table.m: move latex output to latex subfolder
See merge request Dynare/dynare!1741
2020-06-26 10:04:28 +00:00
1c759bb232
dyn_latex_table.m: move latex output to latex subfolder
2020-06-25 17:09:49 +02:00
663ee96376
dseries: daily frequency; DBnomics support
2020-06-25 13:55:42 +02:00
71c20d76df
dseries: daily frequency; DBnomics support
2020-06-25 11:45:04 +02:00
530f2fa5a6
Merge remote-tracking branch 'jpfeifer/rplot'
2020-06-25 10:50:56 +02:00
f0f02c3159
disp_moments.m: filter out 0 variance variables
...
Otherwise, division by 0 will result in incorrect moment displays
Closes #1736
2020-06-25 09:42:17 +02:00
61fd9d7c7d
rplot.m: fix TeX-ylabel
2020-06-25 09:28:03 +02:00
5c56295c82
imcforecast.m: fix typo in description
...
[skip CI]
2020-06-24 21:36:41 +02:00
Stéphane Adjemian (Charybdis)
693aedda7d
Make the update of M_.params optional.
2020-06-24 13:22:36 +02:00
49b35be90a
Preprocessor: various improvements to the use_dll mode
...
In particular, higher order derivatives are now returned as sparse matrices by
the static/dynamic files, instead of 3-column matrices (which was inconsistent
with the M-file mode).
2020-06-23 19:38:49 +02:00
bcc213644f
Merge branch 'factorize_checks' into 'master'
...
Factorize prior bound and definiteness checks
See merge request Dynare/dynare!1736
2020-06-23 16:17:55 +00:00
75211742b8
MATLAB+Windows: workaround to allow the preprocessor to delete the +modfile folder
...
For an instance of this bug, see
https://forum.dynare.org/t/issue-with-dynare-preprocessor-4-6-1/15448/1
2020-06-23 18:14:12 +02:00
81f3e81f3e
Remove obsolete workaround for Octave
2020-06-23 17:59:33 +02:00
4a9f9263df
Make newrat and gmhmaxlik independent of varargin inputs
...
Makes the optimizers useable in other contexts where varargin is different
2020-06-23 15:04:11 +02:00
3e725e3292
mr_hessian.m
...
Do not save files by default; prevents horse-race write access crashes for fast mod-files under Windows
2020-06-23 15:00:08 +02:00
cfe1069367
Factorize prior bound and definiteness checks
...
also removes useless isestimation check
2020-06-22 20:37:31 +02:00
b0fddeeef3
➖ Remove duplicate output of identification ranks tol
...
We already print it in the Settings
2020-06-20 22:38:47 +02:00
97134cc362
🐛 Fix issue with endogenous params in steady state
...
Identification should switch to analytic_derivation_mode=-2 if steady state block/file changes parameter values. Dynare/dynare!1732 already adresses this when there is a prior specified. This fix also addresses this when there are no priors.
kim2.mod is now not only an integration test but also a unit test for this.
2020-06-20 22:38:47 +02:00
347be1f89a
🐛 Fix wrong computations when identification(useautocorr)
2020-06-20 22:38:47 +02:00
926a54388e
🐛 wrong setting of small values to zeros in identification
2020-06-20 22:38:47 +02:00
db01f54357
🐛 Add warning and turn off identification strength if not enough mom
2020-06-20 22:38:47 +02:00
41fe087106
Block decomposition: static and dynamic files are now pure wrappers around the per-block files
...
Systematically call top-level static/dynamic files, instead of per-block ones.
2020-06-19 18:46:56 +02:00
ebc0b7ecb2
Block decomposition: move logic for Jacobians in stochastic mode outside the dynamic file
2020-06-19 18:46:56 +02:00
39c5867cd4
Merge branch 'Tex_figures' into 'master'
...
Use LaTeX labels in figures
See merge request Dynare/dynare!1734
2020-06-18 14:23:50 +00:00
312d053ae1
Use LaTeX labels in figures
2020-06-17 21:48:25 +02:00
0305b427a6
Block decomposition: use same orientation convention as oo_.endo_simul for matrix of simulated paths
...
Improves consistency, but also efficiency (less transpose needed).
2020-06-17 18:19:35 +02:00
20431ed312
Block decomposition: in the dynamic file, y and T are now vectors as in non-block mode
2020-06-17 18:19:21 +02:00
adbb9c9117
Block decomposition, stack_solve_algo=4: fix set of variables over which line search is done
2020-06-16 18:46:40 +02:00
6931614809
Block decomposition: for “solve two-boundaries” blocks, move the iteration loop outside the dynamic file
2020-06-16 18:46:40 +02:00
c25ff09307
Block decomposition: for “solve two boundaries” block, no longer compute “b” (-residuals+g1*y) in the dynamic function
2020-06-16 18:46:40 +02:00
e72bce1a67
Block decomposition: remove useless “y” output for static/dynamic files of solved blocks
2020-06-16 18:46:40 +02:00
616d2b0faf
Bug fix in initializing analytic_derivation option. This is then checked in dynare_estimation_init for parameter endogenized in steady state.
...
Ref. #1733
2020-06-16 16:07:48 +00:00
7bec234f7f
Block decomposition: for evaluate blocks, move the iteration loop outside the dynamic file
2020-06-15 18:29:42 +02:00
bfbff6a2fb
Block decomposition: remove duplicate “periods” arg. to dynamic file of complete two-boundaries blocks
2020-06-15 18:29:42 +02:00
87718ce8b7
Merge branch 'disp_moments' into 'master'
...
disp_moments.m: make error message informative
See merge request Dynare/dynare!1730
2020-06-15 09:47:22 +00:00
c47682caae
disp_moments.m: make error message informative
...
[skip CI]
2020-06-15 11:45:45 +02:00
d54b45cbac
PosteriorIRF_core1.m: Add missing else statement that triggered crashes in rare cases
2020-06-12 17:53:46 +02:00
1d172528d7
Block decomposition: fixed bug introduced in 2ec5e4075a
2020-06-04 19:43:57 +02:00
fae433fb18
Block decomposition: fix bug introduced in 0d11f8182a
2020-06-04 18:15:54 +02:00
07914b58a2
dseries submodule update
...
— add bi-annual frequency
— do not return NaNs if a variable is 0 in all periods
— fixed bug (dates member was wrong)
2020-06-04 14:39:16 +02:00
2ec5e4075a
Block decomposition: remove unused 2nd and 3rd derivatives in output of dynamic functions
2020-06-03 17:00:17 +02:00
0d11f8182a
Block decomposition: no longer compute deterministic simulation from dynamic.m file
...
By the way, fix bug where oo_ was not modified by solve_one_boundary.
Also convert oo_.deterministic_simulations.status to a boolean in the block
routines, for consistency with the non-block case.
2020-06-02 17:46:29 +02:00
Stéphane Adjemian (Charybdis)
c5d131b3ab
Bug fix.
2020-05-29 12:03:25 +02:00
Stéphane Adjemian (Charybdis)
04b0e8aaa1
Bug fix related to missing aux variables if fourth argument is empty.
2020-05-26 17:43:07 +02:00
50209dc56e
Block decomposition: no longer use global variables for temporary terms in the dynamic M-file
...
Rather use a single vector as in non-block mode.
By the way, change the order of output arguments in static functions, to be
closer to the dynamic ones.
2020-05-26 16:23:46 +02:00
ea4d3f4d83
Block decomposition: fix interaction with steady_state_model block
...
This cas was omitted in previous commit.
2020-05-25 21:10:42 +02:00
2c6807a66b
Block decomposition: no longer use global variables for temporary terms in the static M-file
...
Rather use a single vector as in non-block mode.
2020-05-25 18:36:55 +02:00
caea047c2d
solve_one_boundary: remove unused codepaths for solve_algo={0,1,2,3}
...
Those cases are handled by dynare_solve.
2020-05-25 17:59:54 +02:00
bd7eb2f88d
Fixes to solve_algo ≥ 9
...
— allow solve_algo=9 without block nor bytecode
— allow solve_algo≥9 with block without bytecode
— test solve_algo=9
2020-05-25 17:22:17 +02:00
2015b79279
solve_{one_boundary,two_boundaries}: convert some input arguments to logical type
2020-05-25 16:59:20 +02:00
154fced8b7
Remove old SMM code
...
Ref. #1724
2020-05-18 17:30:40 +02:00
Stéphane Adjemian (Charybdis)
a6ea878627
Fixed bug introduced in 179d57f13.
...
initvalf was failing if the datafile was in the current folder.
2020-05-18 13:42:53 +02:00
Stéphane Adjemian (Charybdis)
9a66f3ebd9
Allow shocks with initval_file.
2020-05-18 12:21:43 +02:00
Stéphane Adjemian (Charybdis)
179d57f138
Fixed path issue.
2020-05-18 12:21:27 +02:00
b70d99d1b4
Refactoring of initval_file and histval_file
...
initval_file and hisvfal_file are now more flexible and have functionalities
similar to option datafile in estimation.
Closes : #1671
2020-05-14 16:45:54 +02:00
Stéphane Adjemian (Charybdis)
f72160aa60
Fixed bug introduced in e41080fed (dseries with initval_file).
2020-05-07 11:17:59 +02:00
Stéphane Adjemian (Charybdis)
c9efef0782
Updated dseries submodule (bug fix in rename method).
...
[skip ci]
2020-05-07 11:04:06 +02:00
Stéphane Adjemian (Charybdis)
e41080fede
Pass dseries (saved in .mat or .m) to initval_file.
...
Allows to pass a dseries object saved on disk in a .mat file or .m to
initialize the paths for the endogenous variables and set the paths
for the exogenous variables. It is not required to pass the auxiliary
variables (automatically computed by initvalf routine), which is useful
if the baseline comes from another model. In this case, the
initval_file command or the datafile option of the
perfect_foresight_setup command sets the value of periods (deduced
from the number of observation in the dseries object and the number of
lags/leads in the model).
2020-05-06 22:36:06 +02:00
Stéphane Adjemian (Charybdis)
2566320834
Updated dseries submodule (new method).
2020-05-06 11:39:11 +02:00
09617453ea
Ensure that “extended_path” obeys the “bytecode” option
...
Closes : #1717
2020-05-04 22:42:08 +02:00
25a977f4be
jacob_element & hess_element: remove unnecessary loops
2020-05-04 12:15:15 -04:00
Stéphane Adjemian (Charybdis)
79c09743d8
Updated dseries submodule (bug fix).
2020-04-30 11:47:30 +02:00
Stéphane Adjemian (Charybdis)
84ec142463
Return paths for the exogenous variables.
2020-04-09 10:40:46 +02:00
Stéphane Adjemian (Charybdis)
f8bb514632
Return paths for all the endogenous variables if fourth argument is empty.
2020-04-08 17:59:23 +02:00
6e0f104d7e
Bump minimal MATLAB version to R2014a
...
Ref. #1713
2020-04-07 16:32:32 +02:00
e95b93f783
dseries submodule update
...
— Efficiency change. OCTAVE_VERSION is a builtin function in Octave
— Fix bug dseries#43
— Cosmetic changes
— Fixed subsasgn method (when calling merge)
2020-04-07 12:48:00 +02:00
Stéphane Adjemian (Charybdis)
0cf1913e9c
Fixe displayed percentage in waitbar.
2020-04-06 09:13:36 +02:00
Stéphane Adjemian (Charybdis)
046960c4a8
Merge remote-tracking branch community/master into enterprise
2020-04-03 11:33:46 +02:00
b8b05300c1
missing_DiffuseKalmanSmootherH1_Z.m: fix bug with variable dimension
2020-04-02 19:22:55 +02:00
Stéphane Adjemian (Charybdis)
7f2cf925c8
Fixed YhatObs and Yobs returned by dyn_ols.
...
Adding back the calibrated part of the RHS.
(cherry picked from commit 545eb47abea080c4b1cf411f89b9f56226aeb724)
2020-04-02 10:50:10 +02:00
64a2a4388a
🐛 📖 Fixes TaRB with student t proposal distribution
2020-04-01 14:46:22 +02:00
8df9813a0e
Merge branch 'perfect_foresight' into 'master'
...
fix bug when no convergence and backward model
See merge request Dynare/dynare!1726
2020-03-31 15:18:05 +00:00
fd09b98150
fix bug when no convergence and backward model
2020-03-31 15:40:49 +02:00
43ed7b2b69
Merge remote-tracking branch 'community/master' into enterprise
2020-03-27 16:28:41 +01:00
Stéphane Adjemian (Charybdis)
23c927b708
Updated build for matlab R2020a.
...
(cherry picked from commit 166865149e
2020-03-26 15:38:41 +01:00
Stéphane Adjemian (Charybdis)
e90549d2df
Bug fix. Dynare configuration hook was not evaluated.
...
(cherry picked from commit e2b20f3e3e
2020-03-26 15:37:55 +01:00
Stéphane Adjemian (Charybdis)
166865149e
Updated build for matlab R2020a.
2020-03-26 11:20:24 +01:00
Stéphane Adjemian (Charybdis)
109bc5883c
Check the existence of the user configuration file.
2020-03-26 10:15:35 +01:00
Stéphane Adjemian (Charybdis)
e2b20f3e3e
Bug fix. Dynare configuration hook was not evaluated.
2020-03-26 10:15:35 +01:00
071ab1e14f
imcforecast.m: fix faulty logic of warning
...
Steady state and time shift were missing
2020-03-21 12:06:24 +01:00
ef8671bb99
Correctly pass prior_trunc option in identification
2020-03-17 13:28:40 +01:00
Stéphane Adjemian (Charybdis)
6ffbda470e
Use merge instead of horcat.
2020-03-13 17:44:35 +01:00
Stéphane Adjemian (Charybdis)
4bd775948e
Allow empty argument.
2020-03-13 17:44:09 +01:00
e93c7b6b25
Reorder files generated by “moments_varendo” option of “estimation”
...
If there were more than 10 files of Metropolis parameter draws, the ordering
the files containing the posterior moments could be different from that of the
parameter draws. This is because the “dir()” command was used to order the
files containing the parameter draws, and because the command uses alphabetic
ordering, file #10 would come before #2 .
This commit enforces the numerical ordering of files.
2020-03-12 15:56:55 +01:00
Stéphane Adjemian (Charybdis)
2bc7944286
Removed warning.
2020-03-11 12:47:23 +01:00
Stéphane Adjemian (Charybdis)
b4db697e0f
Cosmetic change.
2020-03-11 12:47:02 +01:00
Stéphane Adjemian (Charybdis)
a4519f6b86
Bug fix (solve_algo={12,14}).
...
Removed threshold for detecting the non zero elements in the rows of
the Jacobian matrix. Using tolf as a threshold parameter for identifying
the non zero elements leaded (not systematically) the algorithm to not
reevaluate the residuals of the dynamic model while necessary.
2020-03-11 12:38:59 +01:00
Stéphane Adjemian (Charybdis)
492b0fffea
Cosmetic change.
2020-03-11 12:34:21 +01:00
d01846e5be
Fix incorrect test for options_.posterior_sampler_options.posterior_sampling_method
...
Thanks to checkcode().
2020-03-10 14:13:49 +01:00
99f4fcadcc
model_diagnostics.m
...
Update parameter vector from steady state file and provide correct nocheck flag
2020-03-10 11:06:35 +01:00
16f65a2f33
prior.m: fix missing function input
...
Prevents crashes in "prior moments"
2020-03-08 09:00:33 +01:00
b7ef2181f9
print_info.m: Fix bug in error handling
...
get_error_message.m needs to always provide the error string, only throwing out the error message needs to depend on noprint
Closes https://git.dynare.org/Dynare/dynare/issues/1714
2020-03-08 09:00:01 +01:00
2004641a10
dyn_ramsey_static.m: abort of steady state file signals error code
2020-03-06 18:55:01 +01:00
0a52dedfda
Ramsey with multiple instruments: return properly sized vector if residuals are complex
2020-03-06 18:50:40 +01:00
Stéphane Adjemian (Charybdis)
0f96df82e9
Updated dseries submodule.
2020-03-06 11:27:25 +01:00
eb6ab0696a
gui: added fields to `oo_` to indicate which commands have been run
2020-03-03 11:45:46 +01:00
2d468b5c1d
replace unused variables with `~`
2020-03-03 11:43:38 +01:00
9e5cb1422d
Save jscale to record structure before running MCMC
...
Useful in conjunction with mh_tune_jscale in cases where the posterior sampler crashes
2020-02-29 10:28:50 +01:00
Stéphane Adjemian (Charybdis)
864d4c25c7
Updated simulation routine for nonlinear backward models.
...
Changes necessary for the latest patches on dynare_solve (solve_algo={12,14}).
2020-02-27 22:58:19 +01:00
Stéphane Adjemian (Charybdis)
67b18710e8
Bug fix and efficiency change.
...
- Even in models where there is only one endogenous variable in the
LHS and where all the LHS are unique, it may be that because of the
preprocessor transformations an auxiliary variable appears in more
than one LHS. If diff(X) is on the LHS of an equation in the original
model, the preprocessor will create an auxiliary variable AUX_DIFF
which will appear in the the original equation, replacing diff(X),
and in a new equation defining the auxiliary variable. In this case
the, the Dulmage-Mendelsohn decomposition will associate AUX_DIFF
with the original equation and X with the equation. This was
problematic in the previous version of the algorithm, since it was
assumed that each equation determines the LHS variable (here AUX_DIFF
= X - X(-1) determines a RHS variable (X).
- Changed the expression for evaluating an LHS variable under a log.
- Improved efficiency by not evaluating the residuals of the model if
not required for solving the current univariate block.
2020-02-27 22:08:21 +01:00
Stéphane Adjemian (Charybdis)
Johannes Pfeifer
Sébastien Villemot
Willi Mutschler
Houtan Bastani
Dóra Kocsis
Michel Juillard
Marco Ratto
Michel Juillard