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8166 Commits (4c0f8ec6be368ac12e1b6f71e6372944288cb8e8)

Author SHA1 Message Date
Stéphane Adjemian (Ryûk) ebfa72740f
Changed default for initial step bound factor. 
Should fix simulation failure in pac/trend-component-10/example1, that
seems to be caused by a too large value of this parameter.
 2021-07-24 12:20:29 +02:00
Stéphane Adjemian (Ryûk) 873a9b1a38
Fix call to solve1 routine. 2021-07-23 22:16:43 +02:00
Stéphane Adjemian (Ryûk) 993872d5af
Update dseries submodule (track master branch). 2021-07-23 20:39:00 +02:00
Stéphane Adjemian (Ryûk) 0d092a36a0
Acknowledge option trust_region_initial_step_bound_factor in matlab based trust_region routine. 2021-07-23 19:44:16 +02:00
Stéphane Adjemian (Ryûk) e72dde69d3
Add option for trust region algorithm (mex). 
trust_region_initial_step_bound_factor is determinining thye initial
step bound. Default value is 100 (previous hard coded value was 1).
 2021-07-23 19:44:16 +02:00
Sébastien Villemot b34be496c5 Merge branch 'evaluate_planner' into 'master' 
evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight

See merge request Dynare/dynare!1890
 2021-07-23 14:01:22 +00:00
Johannes Pfeifer 440a0e460b
Storage of results: use subfolder 
Ref. #1758
 2021-07-23 14:12:17 +02:00
Johannes Pfeifer e09d215964 evaluate_planner_objective.m: correctly rely on lag/lead structure for perfect foresight 
Also cosmetic changes to indentation
 2021-07-23 13:27:30 +02:00
Johannes Pfeifer 3d5601caec check_model.m: fix logic of check for non-contemporaneous variables and remove redundant checks 
Closes https://git.dynare.org/Dynare/dynare/-/issues/1792
 2021-07-23 11:25:43 +02:00
Sébastien Villemot 41814becf1 Merge branch 'moments_varendo' into 'master' 
dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance:...

Closes #1769

See merge request Dynare/dynare!1888
 2021-07-22 16:25:01 +00:00
Johannes Pfeifer 4d43e1850d dsge_simulated_theoretical_correlation/dsge_simulated_theoretical_covariance: only do computations once 
Closes https://git.dynare.org/Dynare/dynare/-/issues/1769
 2021-07-22 17:03:27 +02:00
Sébastien Villemot 3206ea9684 Merge branch 'evaluate_planner_objective' into 'master' 
Streamline evaluate planner objective

See merge request Dynare/dynare!1887
 2021-07-22 14:42:22 +00:00
Johannes Pfeifer 11c75592fb evaluate_planner_objective.m: compute required moments directly 2021-07-22 15:01:15 +02:00
Sébastien Villemot 8b8f919a0f Merge branch 'smoother2histval' into 'master' 
Improvements for smoother2histval

See merge request Dynare/dynare!1886
 2021-07-22 12:03:59 +00:00
Johannes Pfeifer 3fb41e075f Matlab implementation of the consider_all_endogenous_and_auxiliary option 2021-07-22 13:12:27 +02:00
Johannes Pfeifer a04c348d73 smoother2histval.m: provide warning when smoothed variables are missing 2021-07-22 12:22:18 +02:00
Sébastien Villemot 0e793faeb2 Merge branch 'pf_options' into 'master' 
Particle filter: enable passing of option values and prepare for other samplers

Closes preprocessor#59

See merge request Dynare/dynare!1884
 2021-07-22 09:50:10 +00:00
Johannes Pfeifer 80cad32068 Particle filter: enable passing of option values and prepare for other samplers 2021-07-21 23:00:32 +02:00
Sébastien Villemot dc45ac6361 Merge branch 'master' into 'master' 
occbin fixes and two small new features

See merge request Dynare/dynare!1883
 2021-07-21 18:21:16 +00:00
Marco Ratto 4caebd76c9 added 2 new occbin.simul options (defaults preserve current behavior): 
1) algo_truncation: sets the number of iterations for a truncated guess-verify algorithm (i.e. if max_iter<=algo_truncation, no error is triggered on output, but the user is happy with the last regime in the algorithm)
2) reset_regime_in_new_period: is set to true, it resets the guess regimes to unconstrained when a new shock arrives, instead of starting with a guess regime consistent with the one identified in previous time periods. this sometimes allows more robust convergence/identification of the regimes
 2021-07-21 18:03:23 +02:00
Stéphane Adjemian (Ryûk) cd2ed823b6
Fix constant in VAR and PAC expectations... 
When the VAR auxiliary model has a constant.
 2021-07-21 18:02:11 +02:00
Stéphane Adjemian (Ryûk) a69f68bb7c
Modify companion matrix if VAR model has a constant. 2021-07-21 18:02:04 +02:00
Marco Ratto ebdfcc80ec fixed bug introduced in 229282a1c4 2021-07-21 17:59:01 +02:00
Marco Ratto c48f737633 make header names compatible with earlier versions of MATLAB (e.g. it would crash with MATLAB 2017b) 2021-07-21 17:51:05 +02:00
Marco Ratto 85e35b1654 1) if not using relaxation, initial guess regime in verify step(occbin simul) is set equal to the guess regime used to updated states and shocks 
2) fixed treatment of periodic solution in algo=3, now harmonized to algo=1
 2021-07-21 17:51:03 +02:00
Marco Ratto d3e5e7b8ef Initialize state space matrices with occbin smoother, when realtime regimes are computed, otherwise they are set to 0 for t<first_period_occbin_update! 2021-07-21 17:51:00 +02:00
Marco Ratto bec52fe731 with occbin smoother do not overwrite updated variables that have been already computed with reduced state space 2021-07-21 17:50:58 +02:00
Sébastien Villemot 4c94da514e
CI: bump to Octave 6.3.0 2021-07-21 17:29:12 +02:00
Sébastien Villemot 1045c442a9
Merge branch 'occbin_mean' of git.dynare.org:JohannesPfeifer/dynare 
Ref. !1882
 2021-07-21 16:42:00 +02:00
Sébastien Villemot a142907e44
Particles / Alternative samplers: header fixes and indentation 2021-07-21 16:37:56 +02:00
Johannes Pfeifer 944bf2b68e occbin: work with non-demeaned data and in constraints 2021-07-21 13:42:38 +02:00
Sébastien Villemot 229282a1c4
Occbin: the +<basename>/occbin_difference.m file is now generated by the preprocessor 
Some fields have also changed under M_.occbin.

Ref. #569
 2021-07-20 12:35:15 +02:00
Sébastien Villemot d5c35e3664
Occbin: fix function header 2021-07-19 15:30:54 +02:00
Marco Ratto 02072dde39
Add Occbin routines 
Syntax is not yet finalized (see preprocessor#68).
Documentation still to be done.

Ref. #569
 2021-07-16 17:20:11 +02:00
Stéphane Adjemian (Ryûk) 54f80e88d2
Add structural VAR as an auxiliary model for VAR based expectations and PAC expectations. 
Ref. #1785

Just add option `structural` to the `var_model` command.
 2021-07-16 10:25:18 +02:00
Stéphane Adjemian (Ryûk) 1d60c271d7
Add trap if equation has leads. 
NLS estimation does not work if the equation has expected variables.
 2021-07-15 17:36:02 +02:00
Stéphane Adjemian (Ryûk) 4b7a0ee29e
Change definition of islaggedvariables. 
Previous definition could detect lags in an equation without any lag, for
instance if we have the following expression in the RHS: +(-1)*x.
 2021-07-15 17:31:55 +02:00
Stéphane Adjemian (Ryûk) 14bc82b287
Add single equation estimation by NLS. 
Ref. #1798.

See example in tests/estimation/example_nls.mod.
 2021-07-15 16:55:49 +02:00
Johannes Pfeifer b2c6a6f7a1 initial_estimation_checks.m: error out if data is complex 
Prevents cryptic message that likelihood became complex
 2021-07-14 19:30:50 +02:00
Stéphane Adjemian (Ryûk) 2b4572affd
Allow arbitrary nonzero mean exogenous variables in PAC equations. 
Previously any nonzero mean exogenous variable had to be centered on
the growth rate (first difference) of the (PAC's LHS) endogenous
variable.
 2021-07-11 17:06:53 +02:00
Stéphane Adjemian (Ryûk) d9298ca03a
Bug fix, wrong definition of the growth neutrality correction... 
In PAC equations with optimizing and rule of thumb agents (division
by lambda was missing). Also add comments.
 2021-07-11 17:06:53 +02:00
Sébastien Villemot abd64c256e
New perfect_foresight_with_expectation_errors_{setup,solver} commands 
These command solve the problem where agents think they know perfectly the
future (they behave as in perfect foresight), but make expectation errors.
Hence they can potentially be surprised in every period, and their expectations
about the future (incl. the final steady state) may change.

Currently the sequence of information sets needs to be passed through a CSV
file. Another interface may be added in the future.

The algorithm uses a sequence of (true) perfect foresight simulations (not
necessarily as many as there are periods, because if the information set does
not change between two periods, there is no need to do a new computation).

There are two possibilities for guess values:
— the default is to use the initial steady state for the simulation using the
  first-period information set; then use previously simulated values as guess
  values
— alternatively, with the terminal_steady_state_as_guess_value option, use the
  terminal steady state as guess value for all future periods (this is actually
  what the “true” perfect foresight solver does by default)
 2021-07-09 18:16:46 +02:00
Stéphane Adjemian (Ryûk) fe63082c42
Add lagged information set in VAR based expectations. 2021-07-06 23:06:46 +02:00
Johannes Pfeifer f7a232061a
Remove unused options_-output 
Prevents accidentally changing something
 2021-06-22 18:17:11 +02:00
Sébastien Villemot 43607acf38
Merge branch 'resolveheader' of git.dynare.org:JohannesPfeifer/dynare 
See merge request !1875
 2021-06-16 17:41:40 +02:00
Sébastien Villemot 18a172bd45
Merge branch 'mcp_ramsey' of git.dynare.org:JohannesPfeifer/dynare 
See merge request !1874
 2021-06-16 17:41:40 +02:00
Sébastien Villemot 820df39ff7
Compatibility fix for MATLAB < R2019b 
MATLAB < R2019b does not accept “bar(1, [2 3])”.
 2021-06-16 17:41:40 +02:00
Johannes Pfeifer 1d10659b59 get_complementarity_conditions.m: fix equation numbering with ramsey_model 
M_.equation_tags already contains the correct equation number
 2021-06-16 13:21:49 +02:00
Johannes Pfeifer 32e1f34579 dynare_resolve.m: correct header and change naming of globals 2021-06-16 13:17:29 +02:00
Stéphane Adjemian (Ryuk) 8611143409
Updated particles submodule (fix for the online filter). 2021-06-15 22:09:35 +02:00