Houtan Bastani
476a8a27cc
preprocessor: add aux var/equation when var_model is of order > max lag of its variables in the model block
2017-03-22 09:41:10 +01:00
Houtan Bastani
19dc4deb9f
var_forecast: make calls more efficient
2017-03-22 09:41:10 +01:00
Houtan Bastani
df1ef46135
var_forecast: only make one call per var model, regardless of forecast horizon
2017-03-22 09:41:09 +01:00
Houtan Bastani
4d01f8c975
var_forecast: fix writing in dynamic file
2017-03-22 09:41:09 +01:00
Houtan Bastani
25a2c3bc22
stoi was introduced in C++11. replace with stringstream
2017-03-22 09:41:09 +01:00
Houtan Bastani
c8f432d2f4
var_forecast: create separate VarExpectationNode class to better handle calls to .m function that calculates var forecasts
2017-03-22 09:41:09 +01:00
Houtan Bastani
5e53c7909b
var_expectation: create possibility for h-step-ahead forecast
2017-03-22 09:41:09 +01:00
Houtan Bastani
dfce1ece1e
var_forecast: create individual .m files for each forecast
2017-03-22 09:41:09 +01:00
Houtan Bastani
98a86d341c
var_expectation: first draft
2017-03-22 09:41:09 +01:00
Houtan Bastani
c99aa4aed0
var_forecast: move var declaration from options_ to M_, simplify structure in which it is stored
2017-03-22 09:41:09 +01:00
Houtan Bastani
b8c5dfa472
VAR(p) forecast first draft, preprocessor for var command and backend for forecast
2017-03-22 09:41:09 +01:00
Stéphane Adjemian (Charybdis)
71c0e7f40c
Remove preprocessor warning.
...
Do not issue a warning when observed exogenous variables do not appear
in the model.
2017-03-22 09:41:09 +01:00
Stéphane Adjemian (Charybdis)
e1033c76b9
Added declaration of observed exogenous variables.
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With integration test.
2017-03-22 09:41:09 +01:00
Houtan Bastani
5282e737e7
preprocessor: add realtime_shock_decomposition statement. #1406
2017-03-21 15:20:32 +01:00
Houtan Bastani
e6f5316b99
preprocessor: fix bug introduced in a4eb8d6b91
2017-03-21 14:07:30 +01:00
Houtan Bastani
a4eb8d6b91
preprocessor: add init_state option to shock_decomposition
2017-03-21 12:48:11 +01:00
Johannes Pfeifer
5d8d5e90d8
evaluate_smoother.m: pass updated M_.params and oo_ back to base workspace
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Closes #1373
2017-03-17 13:15:39 +01:00
Johannes Pfeifer
569de10511
Make sure block-decomposed model returns with correct error code if Inf or NaN is encountered
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Missing from 5f85d3a200
where only residual was set to error code. If oo_.deterministic_simulation.status is not set to 0, model will erroneously be considered as solved and homotopy will not be triggered.
2017-03-17 10:07:13 +01:00
Houtan Bastani
ea13b12cf2
preprocessor: add lag info to equation cross references. closes #1398
2017-03-10 16:59:52 +01:00
Houtan Bastani
33b38ab643
preprocessor: write error messages to cerr instead of cout, replace \n with endl
2017-03-01 12:44:31 +01:00
Houtan Bastani
2d25858886
preprocessor: fix bug that caused temporary terms not to be printed for the parameter derivatives of the static model. closes #1397
2017-03-01 12:20:55 +01:00
Houtan Bastani
0b52b778ed
preprocessor: for consistency, use equations.size() instead of equation_number() in classes that have equations as a field
2017-02-24 11:20:54 +01:00
Houtan Bastani
39855c95d2
preprocessor: aesthetic fix
2017-02-10 12:47:43 +01:00
Houtan Bastani
fabca90345
preprocessor: aesthetic fix
2017-02-09 16:23:42 +01:00
Houtan Bastani
7ced4b5580
preprocessor: change error to warning because we don’t end processing in this situation; fix error message
2017-02-09 16:21:18 +01:00
Houtan Bastani
edd2e98086
preprocessor: replace exit(1) with exit(EXIT_FAILURE)
2017-02-09 12:46:37 +01:00
Stéphane Adjemian (Charybdis)
9fbef0c107
Removed penalty_hessian routine.
...
+ Code factorization.
+ Added an option for using the penalized objective when computing numerically
the hessian at the mode.
Previous behaviour (introduced with penalty_hessian routine) was to compute the
hessian matrix at the mode with the penalized objective function (instead of
the original objective function). This behaviour hides problematic situations,
where the computed hessian (using the original objective) would not be full
rank. For instance, if the estimation ends up with a parameter on (or very
close to) the bounds of its possible values (which is often not a desirable
outcome), the estimated posterior variance would be zero for this
parameter (with the original objective) because the hessian is not finite in
this direction, while the posterior variance would be positive if the penalized
objective is used instead. But this estimate would not be reliable by
construction of the penalty which is quite ad-hoc (more fundamentally I do not
think that there exists any rational for approximating the covariance matrix
with the inverse of the hessian matrix if the mode is on the border of the set
of possible values).
This commit restore the behaviour previous to 2446ab02ba
.
An option is available for computing the hessian with the penalized
objective function.
2017-02-08 13:07:25 +00:00
Houtan Bastani
5b6a888d7f
preprocessor: fix typo
2017-01-31 17:11:03 +01:00
Houtan Bastani
f1d607af99
preprocessor: remove extra exogenous variables. closes #841
2017-01-27 22:48:17 +01:00
Houtan Bastani
3a0b9a1143
preprocessor: don’t automatically declare external functions
2017-01-27 20:36:26 +01:00
Houtan Bastani
3d4619fd85
preprocessor: handle undeclared external functions and lagged variables
2017-01-27 20:36:26 +01:00
Houtan Bastani
cfae273038
keep track of all times an undeclared variable is encountered
2017-01-27 20:36:26 +01:00
Houtan Bastani
bfd239aa26
preprocessor: issue warnings for undeclared model variables when the end of the model block is encountered. #1286
2017-01-27 20:36:26 +01:00
Stéphane Adjemian (Charybdis)
da31cca7d4
Fixed bug.
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NO_POSTERIOR_KERNEL_DENSITY option was not modifying the expected field in
options_, consequently this option was no honored.
2017-01-20 17:35:43 +01:00
Houtan Bastani
7fb7dd7ccc
fix nested parens for params derivatives. closes #1201
2017-01-05 18:19:37 +01:00
Houtan Bastani
157369b505
when >32 nested parens encountered in matlab, print error message once per file in which such a situation occurred. #1201
2017-01-05 15:19:13 +01:00
Stéphane Adjemian
b464226eaa
Merge pull request #1358 from JohannesPfeifer/nograph
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Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
Houtan Bastani
09e7dde0ea
fix warnings introduced in 3b20d41a92
related to size_t/int comparison #1201
2017-01-02 11:38:13 +01:00
Houtan Bastani
6bd1ff8e1c
3b20d41a92
used to_string from C++11 standard which breaks the snapshot build. #1201
2017-01-02 11:21:28 +01:00
Houtan Bastani
952f545cd7
avoid unnecessary processing when a stream has 32 or fewer nested parenthesis. #1201
2016-12-30 18:32:20 +01:00
Houtan Bastani
3b20d41a92
first iteration of fix for nested parenthesis in matlab. #1201
2016-12-30 18:14:08 +01:00
Houtan Bastani
9582431bd5
bug fix: end preprocessing with error when more than 32 nested parenthesis are encountered. closes #1201
2016-12-28 14:02:50 +01:00
Houtan Bastani
013043b1dd
ramsey_policy: accept all endogenous variables in var_list_, even auxiliary variables. closes #1355
2016-12-27 14:08:50 +01:00
Johannes Pfeifer
452d3cd986
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +01:00
Johannes Pfeifer
28d4ed1918
Finish implementation and documentation of nograph option of shock_decomposition.m
2016-12-26 12:52:28 +01:00
Johannes Pfeifer
352786c2b4
load_mh_file: recompute results by default and load on request
...
Prevents general overwriting of results in oo_ and having stale results
2016-12-19 19:37:34 +01:00
Johannes Pfeifer
5707b4d965
Make evaluate_smoother.m output former global variables for correct updating of these objects
2016-12-18 12:43:29 +01:00
Johannes Pfeifer
2f717b5adc
Eliminate global variables from shock_decomposition.m
2016-12-18 09:57:51 +01:00
Johannes Pfeifer
5515da191a
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
Johannes Pfeifer
0f04a0f921
Geweke diagnostics: fix bug in interface that prevents setting the respective options
2016-12-17 17:22:05 +01:00