3427d93c09
add comment to function
2019-01-16 14:53:20 +01:00
5d80fc903b
pooled_ols: fix up and use common parsing
2019-01-16 14:53:20 +01:00
1e41235b6b
common parsing: small fixes
2019-01-16 14:53:19 +01:00
934a22c3a7
sur: small fixes
2019-01-16 14:53:19 +01:00
ef391b1304
surgibbs: fix up and make work with sur changes
2019-01-16 14:53:19 +01:00
f8c0282b01
sur: fix up and use common code to create matrices
2019-01-16 14:53:19 +01:00
d8f26525b0
olsgibbs: fix up and use common parsing functions
2019-01-16 14:53:19 +01:00
a477075825
ols: further simplifications
2019-01-16 14:53:19 +01:00
a35fd291c5
ols: move json file parsing to a separate file
2019-01-16 14:53:19 +01:00
013124eedf
ols: move parsing to a helper function
2019-01-16 14:53:18 +01:00
093dd493d8
ols: catch unexpected case
2019-01-16 14:53:18 +01:00
df713e907b
add tests to makefile
2019-01-16 14:52:01 +01:00
4804e729e8
makefile: fix spacing
2019-01-16 12:54:30 +01:00
7d35cb5c5a
fix typo
2019-01-14 15:02:32 +01:00
e8333421e7
remove unnecessary file
2019-01-10 10:44:19 +01:00
3bc6b34161
Bug fix.
...
Be agnostic about the name of the PAC model.
2019-01-07 13:33:08 +01:00
4d95484e60
Changed optimization algorithm.
2018-12-19 16:10:08 +01:00
c829e7968d
If possible define boundaries for the share of optimizing agents in PAC/NLS.
...
The parameter is constrained to be in (0,1) for the following algorithms
- lsqnonlin (without Levenberg-Marquardt)
- fmincon
- annealing
- particleswarm
Other algorithms do not allow the definition of boundaries... We should add a
penality function to the objective for these algorithms.
2018-12-19 16:05:34 +01:00
df57bf7eb9
Fixed bug.
...
PAC/NLS routine was only working if the PAC model was named `pacman`.
2018-12-19 16:00:57 +01:00
11b24a0663
Add a constraint on the share of optimizing agents PAC/Iterative OLS.
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Ensure that the parameter value lies betwwen 0 and 1.
2018-12-19 15:43:36 +01:00
c0570ff0af
Fixed typo.
2018-12-19 15:41:32 +01:00
23e37e45c4
Cosmetic change.
...
create a namespace for each {VAR/PAC} expectation model.
2018-12-19 11:43:26 +01:00
351da3b865
Do not update a dseries object, but instantiate a new object.
2018-12-19 10:53:09 +01:00
4775bca073
Fixed ordering of the columns of the Companion matrix...
...
For the level representation of the trend component model.
2018-12-14 17:37:35 +01:00
2cff485113
Fixed bug in the routine evaluating the (PAC/VAR) expectations.
2018-12-14 17:29:46 +01:00
38c8462142
If NLS, do not check the ordering of estimated parameters in PAC.
2018-12-12 16:28:19 +01:00
0d5b310207
Added integration tests (for constrained OLS).
2018-12-07 19:54:33 +01:00
bbf437bebd
Replaced histograms by non parameteric density estimators + other cosmetic changes.
2018-12-07 19:54:32 +01:00
bfd9680f85
Fixed encoding.
2018-12-07 19:54:32 +01:00
44e5a88ddd
dyn_ols: use AST instead of regex to parse equations
2018-12-07 19:54:32 +01:00
cb4384bb27
Create on the fly a routine for evaluating the (VAR/PAC) expectations.
...
The routine takes a dseries object as unique argument and return an updated
object with the expectation term.
If the mod file is named `example.mod` and if the (VAR/PAC) expectation model is
named `toto`, then after
var_expectation.print('toto');
the expectation term can be evaluated:
ts = example.var_expectations.evaluate_varexp(ts);
where ts is a dseries object containing all the time series appearign in the
auxiliary (var or trend_component).
2018-12-03 15:07:43 +01:00
53ab321de8
Added the possibility to use linear expressions in VAR_EXPECTATION_MODEL.
...
See tests/var-expectations/9/example.mod for a self documented example.
Also updated all the integration tests using the option `expression` instead of
`variable` (which is deprecated and will be removed at some point).
2018-11-30 23:36:06 +01:00
650c78f99d
Merge branch 'master' into ecb-master
2018-11-30 21:34:56 +01:00
9c75f6e913
Updated the preprocessor submodule.
2018-11-30 21:30:08 +01:00
d501d6d511
Added interface to lsqnonlin (Mathworks' optimization toolbox) in pac.estimate.nls.
2018-11-29 10:29:55 +01:00
c79be57447
Fixed definition of h (PAC expectation reduced form).
2018-11-27 10:05:40 +01:00
e6c716ae9b
Added the possibility to use Gauss-Newton in pac/nls.
...
Also added the computation of the covariance matrix of the NLS estimator (using
White and Domovitz approach) and integration test.
2018-11-26 09:53:18 +01:00
139c58dd76
Added Gauss Newton algorithm for minimizing sum of squared residuals.
2018-11-26 09:48:50 +01:00
efec664667
Preprocessor update + corresponding change in parameters derivatives
...
In the *_params_derivs.m files, in the "hp" matrix, the preprocessor now fully
outputs the symmetric elements, so getH needs to be adapted.
By the way, also clean up code for "rpp" and "gpp", were full symmetric
elements were also already present (and therefore do not need to be duplicated
in getH).
2018-11-22 17:53:39 +01:00
6b113273d3
Added integration tests (Iterative OLS and NLS for PAC equations).
2018-11-21 16:26:38 +01:00
6995e24863
The testsuite can now be run from Windows
2018-11-21 16:21:59 +01:00
cf35496c06
Fixed bug in the evaluation of the sum of squared residuals (PAC/NLS).
2018-11-21 15:21:23 +01:00
7d2d0d6590
Added the possibility to estimate the share of optimizing agents by iterative OLS (PAC).
2018-11-21 15:07:15 +01:00
59d4dd185e
Merge branch 'ident_test' into 'master'
...
kim2.mod: trigger case where estim_params_block is not detected
See merge request Dynare/dynare!1638
2018-11-16 17:55:39 +00:00
a7a46a6b75
Add missing file in c407b63e84
...
Ref Dynare/preprocessor#13
2018-11-16 18:37:20 +01:00
c407b63e84
Update preprocessor submodule + add test
...
Ref Dynare/preprocessor#13
2018-11-16 18:34:37 +01:00
33d35d8fcc
kim2.mod: trigger case where estim_params_block is not detected
2018-11-16 17:56:13 +01:00
981e2e247a
Fix MATLAB version number in announcement
2018-11-16 17:51:11 +01:00
635aa65665
Merge branch 'ident_plot_bug' into 'master'
...
identification_analysis.m: Fix bug introduced in 60d95b65f2Dynare/dynare!1637
2018-11-16 16:21:14 +00:00
b615d2d795
identification_analysis.m: Fix bug introduced in 60d95b65f2
...
We already used a variable called offset
2018-11-16 16:20:27 +01:00
Houtan Bastani
Stéphane Adjemia (Scylla)
Sébastien Villemot
Johannes Pfeifer