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
ef9338bfd6
Fixed bugs in Reference Manual.
2017-03-17 12:42:00 +01:00
27f4f81bbd
document save_realtime option of shock decomp
2017-03-17 12:41:59 +01:00
0053e7018f
special characters fixed again.
2017-03-17 12:41:59 +01:00
ddd25fb817
Improve documentation of shock decomposition commands
2017-03-17 12:41:59 +01:00
06176caf64
manual updates
2017-03-17 12:41:59 +01:00
9fbef0c107
Removed penalty_hessian routine.
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+ 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
2017-02-08 13:07:25 +00:00
5b73d7d59c
Added new optimization routine (particleswarm).
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Only available under Matlab if the Global Optimization Toolbox is installed.
2017-02-08 13:07:25 +00:00
e88739a5ea
doc: add preprocessor copyright info
2017-02-01 18:16:51 +01:00
25e9a81b71
doc: update for preprocessor
2017-02-01 18:06:44 +01:00
3776b910a1
preprocessor: remove introduction to C++ programming
2017-01-31 17:11:28 +01:00
f1d607af99
preprocessor: remove extra exogenous variables. closes #841
2017-01-27 22:48:17 +01:00
a6e74ac7af
doc: update manual copyright date
2017-01-23 14:24:30 -05:00
12b8a915e9
submodule update: reporting
2017-01-09 16:20:15 +01:00
562b8f7a5c
Merge pull request #1139 from JohannesPfeifer/Ramsey_documentation
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Correct manual on Ramsey
2017-01-08 20:03:59 +01:00
1554f15a65
- rephrased description of objective function value when Lagrange multipliers are
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set to 0
- type correction
2017-01-08 17:16:41 +01:00
420fb3896b
Merge pull request #1361 from JohannesPfeifer/endogenous_prior_restrictions
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Document irf_calibration and moment_calibration in the context of est…
2017-01-05 09:08:52 +01:00
b464226eaa
Merge pull request #1358 from JohannesPfeifer/nograph
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Implement posterior_nograph option
2017-01-05 06:52:08 +01:00
90982d5fa0
Merge pull request #1357 from rattoma/parallel
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Provisions for new node option NumberOfThreadsPerJob. Document option
2017-01-04 23:29:24 +01:00
95ac8536ba
doc: update menue for compiler installation
2016-12-28 11:10:02 +01:00
ca6cd152f2
Document that ramsey_policy now takes multipliers in the variable list.
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Related to #1355
2016-12-27 14:36:51 +01:00
91abae9ce0
Document graph option
2016-12-26 13:10:45 +01:00
452d3cd986
Implement preprocessor interface for posterior_nograph option
2016-12-26 13:07:46 +01:00
28d4ed1918
Finish implementation and documentation of nograph option of shock_decomposition.m
2016-12-26 12:52:28 +01:00
c7290a5f03
Document irf_calibration and moment_calibration in the context of estimation
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Also adds unit test. Closes #1318
2016-12-23 12:11:10 +01:00
5e010f57c0
Document different treatment of mh_recover and load_mh_file under Octave
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Also adjusts unit tests accordingly. Closes #1332
2016-12-23 10:47:58 +01:00
a55cbdd5fe
Provisions for new node option NumberOfThreadsPerJob. Document option
2016-12-19 23:28:46 +01:00
352786c2b4
load_mh_file: recompute results by default and load on request
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Prevents general overwriting of results in oo_ and having stale results
2016-12-19 19:37:34 +01:00
5515da191a
Add Raftery/Lewis (1992) convergence diagnostics
2016-12-17 17:22:05 +01:00
5334c7433d
Merge pull request #1345 from JohannesPfeifer/robust_lin_solve
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robust_lin_solve: Fix mistakes introduced in 4b83c1bf763fe5029c94b7e5…
2016-12-17 17:18:19 +01:00
de7d239f7c
preprocessor: parallel: change default for singleCompThread. #1349
2016-12-13 11:12:04 +01:00
f1b4d63045
doc: fix endval typo and add @math{} markup
2016-12-08 10:54:03 +01:00
d491b8c1ef
Minor modification of 26baff91c.
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An exogenous variable appearing in t+1 (as productivity in the expected
return of capital in the Euler equation) is not a forward variable.
2016-12-08 08:53:55 +01:00
da113029aa
Correct initval, endval, and histval documentation
2016-12-08 08:53:55 +01:00
d5e20752ac
robust_lin_solve: Fix mistakes introduced in 4b83c1bf76
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Interface was still missing and documentation of option was in wrong place in manual and wrong
2016-12-01 17:31:29 +01:00
392829ef40
doc: fix typo
2016-11-24 15:19:50 +01:00
31d2c7e332
Merge pull request #1324 from JohannesPfeifer/kalman
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Three bugfixes for missing_DiffuseKalmanSmootherH1_Z.m that led to wrong results
2016-11-13 19:13:10 +01:00
7831dccd2a
Transform save_tmp_file into an option and change defaults
2016-11-04 19:56:55 +01:00
4532d13fd3
Merge pull request #1295 from JohannesPfeifer/stochastic_singularity
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Stochastic singularity
2016-11-04 10:56:50 +01:00
98cf1bfc1d
Add smoothed state uncertainty to Kalman smoother routines
2016-11-04 09:23:55 +01:00
b069241d18
Merge pull request #1217 from JohannesPfeifer/qz_estimation
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Make sure diffuse_filter triggers qz_criterium>1
2016-11-04 06:47:17 +01:00
09d374a0be
Merge pull request #1303 from JohannesPfeifer/shock_decomp
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Shock decomposition and posterior moments
2016-11-04 00:41:04 +01:00
a4fc0cb1a6
Fixed typo.
2016-11-03 17:22:44 +01:00
f303378f54
Added warnings about the BVAR identification scheme.
2016-11-03 17:22:44 +01:00
9900c05560
Added missing command in list of BVAR commands.
2016-11-03 17:22:44 +01:00
fac3348dfe
Add information on bvar_irf to bvar-a-la-sims.tex
2016-11-03 17:22:44 +01:00
ef2ee9d2b0
Fix typo in manual
2016-11-03 17:22:44 +01:00
d75651a8c7
Correct non-unique nodes in manual that breaks compilation
2016-10-15 11:01:00 +02:00
c7b751bd50
Add mingw to dyn_mex.m and document compiler options and installation.
2016-10-14 16:35:05 +02:00
fe9d024d9f
Manual: add that if several files differ only by the extension, the filaname must include the extension and be written between quotes
2016-10-09 22:28:29 +02:00
Johannes Pfeifer
Stéphane Adjemian (Charybdis)
Marco Ratto
Houtan Bastani
MichelJuillard
Michel Juillard