3d27672c58
kth-order approximation of conditional welfare
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Partially addresses issue #1680 :
- unconditional welfare resorts to dynare++ simulation tools, which shall be updated very soon
TO DO:
- implement a function computing kth-order approximation of simulated moments of y
2021-06-15 15:04:31 +02:00
Stéphane Adjemian (Ryuk)
edeb7911f3
Fix bug (initial period in extended path).
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extended_path was crashing in preceeded by a call to the set_time command.
2021-06-15 14:24:38 +02:00
be38866487
Fix handling of heteroskedastic_shocks block with several declared periods
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Closes : #1791
2021-06-15 12:54:54 +02:00
e5b51f3257
DsgeSmoother.m: header cosmetics
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[skip CI]
2021-06-15 11:16:41 +02:00
6258699060
Merge branch 'disclyap' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1872
2021-06-14 15:29:01 +02:00
68bca0cd2a
Merge branch 'pruned_state_space' into 'master'
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pruned_state_space: handle shocks with 0 variances
See merge request Dynare/dynare!1871
2021-06-14 10:37:45 +00:00
e8c3758fc7
disclyap_fast.m: fix check for convergence with NaN
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[skip CI]
2021-06-11 14:22:10 +02:00
0116870399
pruned_state_space: handle shocks with 0 variances
2021-06-11 14:15:31 +02:00
45933779a4
Merge branch 'simult_' into 'master'
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simult_.m: fix error message at order>3
See merge request Dynare/dynare!1870
2021-06-10 15:24:45 +00:00
907066ae95
simult_.m: fix error message at order>3
2021-06-10 14:40:19 +02:00
766fff88f6
Use secure URL for link to GNU licenses
2021-06-09 17:35:05 +02:00
4733d97ceb
dseries: fix concatenation with empty dates objects
2021-06-09 17:33:25 +02:00
04c3fb3a31
Merge branch 'slice_record' of git.dynare.org:JohannesPfeifer/dynare
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See merge request !1869
2021-06-09 14:41:03 +02:00
f38a1edaee
posterior_sampler.m: trap case where record.ProposalCovariance is not filled (slice sampler)
2021-06-08 21:03:08 +02:00
e546d686eb
dynare_solve.m: allow calling function directly
2021-06-04 21:24:53 +02:00
4e0f2bf695
dynare_solve.m: have csolve honor selected options
2021-06-02 16:21:16 +02:00
f4c0781f45
calibrate_mh_scale_parameter.m: Expand header
2021-06-01 11:34:39 +02:00
f51a57374a
mh_tune_jscale: fix display of stepsize and provide warning if no updating can occur.
2021-06-01 11:23:07 +02:00
fad86785da
evaluate_planner_objective.m: do not evaluate non-existing terms for linear models
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1781
2021-05-28 17:00:44 +02:00
Stéphane Adjemian (Charybdis)
27ee801a67
Add specialized version of sim1 for static models.
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Also add an integration test and fix homotopy error message.
2021-05-28 14:11:34 +02:00
5ab724d38f
Following a change in the calling sequence. Fixes #1789
2021-05-28 13:49:58 +02:00
Stéphane Adjemian
77612e6bb7
Merge branch 'particle' into 'master'
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non_linear_dsge_likelihood.m: filter out explosive initial simulation
See merge request Dynare/dynare!1861
2021-05-28 11:42:24 +00:00
f97c138685
sim1_purely_backward.m: for purely static model, do not use past value for first iteration
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Index 0 does not exist.
2021-05-27 22:37:45 +02:00
cac6f82e34
non_linear_dsge_likelihood.m: filter out explosive initial simulation
2021-05-27 21:04:35 +02:00
abe8a05b43
Merge branch 'smoother_redux' into 'master'
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Implement new option smoother_redux, to allow fast smoother for very large...
See merge request Dynare/dynare!1859
2021-05-27 16:33:21 +00:00
c4e0cd0565
Merge branch 'posterior_smoother' into 'master'
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prior_posterior_statistics_core.m: filter out cases where model does not solve
See merge request Dynare/dynare!1860
2021-05-27 16:09:19 +00:00
5fa6265944
Implement new option smoother_redux, to allow fast smoother for very large models. It runs smoother only for state variables and computes the remaining ones ex-post
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Contains improvements, in order to recover as much as possible static unobserved (filtered, smoothed, updated, k-step ahead), Variance, State_uncertainty, k-step ahead variances trying to map lagged states onto current ones using pinv(T). This has exceptions (namely lagged shocks which are ONLY used to recover static NON observed variables). this exception is also trapped.
For such extensions we can only recover smoothed variables starting from d+1. Variances CANNOT be recovered for such variables (the smoother gives ZERO.)
2021-05-27 16:59:15 +02:00
7541b1b116
prior_draw.m: cosmetic fix
2021-05-27 16:46:40 +02:00
5d1d5b8a85
prior_posterior_statistics_core.m: filter out cases where model does not solve
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Relax qz_criterium by factor of 10, when taking posterior subdraws. Also makes sure `prior` option works as intended.
2021-05-27 16:46:28 +02:00
ae574fff78
Merge branch 'diagnostics' into 'master'
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model_diagnostics.m: only provide message if imaginary component reaches tolerance level
See merge request Dynare/dynare!1855
2021-05-27 14:23:55 +00:00
Stéphane Adjemian (Charybdis)
3e7cd877d3
Fix error message consistently with 2743ca8fd.
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[skip ci]
2021-05-26 19:11:01 +02:00
Stéphane Adjemian (Charybdis)
2743ca8fdb
Fix workspace if dynare is called from a function.
2021-05-26 19:07:44 +02:00
1645f38269
Implement heteroskedastic filter and smoother
2021-05-26 18:45:16 +02:00
ba3522a9ba
Merge branch 'compute_decision_rules' into 'master'
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Use of the compute_decision_rules function to factorize code
See merge request Dynare/dynare!1856
2021-05-25 16:18:43 +00:00
9c6cc04b0d
Use of the compute_decision_rules function to factorize code (Ref.#1173)
2021-05-20 11:36:29 +02:00
7e72b52677
model_diagnostics.m: only provide message if imaginary component reaches tolerance level
2021-05-20 11:23:48 +02:00
456dc86ad1
identification: support optimal policy
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Related to https://git.dynare.org/Dynare/dynare/-/merge_requests/1837
2021-05-14 13:38:42 +02:00
7d4b01883d
get_identification_jacobians.m: remove unnecessary reordering of equations
2021-05-14 13:35:01 +02:00
c8bc12ab6c
forcst.m: fix case with measurement error
2021-05-12 17:44:35 +02:00
0d6bc47158
Merge branch 'rattoma/dynare-mh_initialize_from_previous_mcmc'
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Ref. !1841
2021-05-11 18:51:57 +02:00
a0f2b2399b
New option mh_initialize_from_previous_mcmc that allows to pick initial values for a new MCMC from a previous one
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If an additional parameter is estimated, it is initialized using prior_draw.
2021-05-11 18:48:43 +02:00
cc045caa6f
loglinear: Take care of non-logged lagged/leaded exogenous variables
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Closes : #1783
2021-05-11 17:47:25 +02:00
5a2fbe2f89
dynare.m: remove non-working line feed
2021-05-11 14:24:02 +02:00
bdb743eaa7
Merge branch 'rattoma/dynare-fast_realtime_shock_decomp'
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Closes !1842
2021-05-10 15:55:28 +02:00
2d39991a0a
allow for a more accurate (and more expensive) fast realtime modality, triggered by fast_realtime=INTEGER_VECTOR and where vector fast_realtime controls periods for which the smoother is run. If max(fast_realtime)<nobs, the smoother is also run for the full sample. Manual updated accordingly.
2021-05-10 15:55:03 +02:00
3c7865a950
Merge branch 'rattoma/dynare-initial_estimation_checks_errors'
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Ref. !1839
2021-05-07 17:52:45 +02:00
74121c2aee
New no_init_estimation_check_first_obs option that allows to skip check of singularity in first observation
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(like deficient # of shocks in the presence of stockflow observed)
2021-05-07 17:51:03 +02:00
088fd64114
Merge branch 'rattoma/dynare-smoother_fixes'
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Ref. !1847
2021-05-07 16:35:36 +02:00
551917581f
Bug fixes in fitered variances of smoother
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- kalman_algo=1: kstep-ahead variances were WRONG, since Pf was initialized using P in PREVIOUS period
- kalman_algo=2: output argument for filtered varainces should be P1, not P (P are UPDATED variances, there).
For kalman_algo=2, also make a small factorization fix (compute P(:,:,t+1) before defining Pf, so to compute 1-step ahead variance only once)
2021-05-07 16:34:53 +02:00
d43a057af3
store_smoother_results: fix header explanation of output arguments
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Variances are now in declaration order.
2021-05-07 16:34:35 +02:00
ca43df16e0
Merge branch 'dot_error' into 'master'
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Filter out "Dot indexing is not supported for variables of this type." error...
See merge request Dynare/dynare!1846
2021-05-06 14:49:39 +00:00
58db4a4c21
Merge branch 'rattoma/dynare-parallel_without_psexec'
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Ref. !1843
2021-05-06 16:31:15 +02:00
9ed9aa5963
For local clusters only, allow using start instead of psexec with windows, to properly allocate affinity when there are more than 32 cores. Manual updated accordingly.
2021-05-06 16:31:06 +02:00
f43ee91ed8
Filter out "Dot indexing is not supported for variables of this type." error if variable conflicts with namespace
2021-05-06 10:59:19 +02:00
f9fb3bb386
Octave compatibility fix: xlswrite() from the io package does not return a 2nd output
2021-05-05 15:47:14 +02:00
96ad0fbec5
SUR / pooled OLS: workaround for Octave bug in dbstack(N)
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See https://savannah.gnu.org/bugs/?60531
By the way, also add a safety check in pooled OLS for the case where the
function is directly called from the top-level.
2021-05-05 15:27:15 +02:00
04ba15e5cc
Preprocessor: forbid check and stoch_simul in block-decomposed mode with mfs > 0
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Closes : #1726
2021-05-04 17:18:20 +02:00
0a7d60e7a6
Stochastic solution under block decomposition: minor simplification
2021-05-04 16:33:15 +02:00
f617631b68
Merge branch 'mode_compute6' into 'master'
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gmhmaxlik.m: show mode value in addition to change in mode
See merge request Dynare/dynare!1845
2021-05-04 09:12:27 +00:00
9a4bbfef09
gmhmaxlik.m: show mode value in addition to change in mode
2021-05-03 20:33:21 +02:00
1e4d2f5aef
dseries: fix double() method for dates at yearly frequenc
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Ref. dseries#47
2021-05-03 15:03:42 +02:00
ec28179043
Perfect foresight: add warning when lmmcp and linear option are used together
2021-04-20 16:53:54 +02:00
0cef790498
Preprocessor: fix treatment of “series” option of “initval_file”
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As a consequence, adapt histval_initvalf.m to the new format.
2021-04-20 10:44:18 +02:00
Stéphane Adjemian (Charybdis)
6fe97182da
Deactivate unit tests for gamrnd if statistical toolbox is available.
2021-04-09 12:44:59 +02:00
Stéphane Adjemian (Charybdis)
237aa465d2
Fix precision in perfect_foresight_solver for backward models.
2021-04-08 20:31:40 +02:00
Stéphane Adjemian (Charybdis)
a03b65bab7
Honour option solve_algo with backward models in perfect_foresight_solver.
2021-04-08 20:31:40 +02:00
Stéphane Adjemian (Charybdis)
8683790927
Throw error if solve_algo={12,14} is used without JSON output.
2021-04-08 20:31:40 +02:00
d5c8e8115e
Preprocessor update
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— Properly escape some characters in JSON. As a consequence, remove the
workaround that was in matlab/loadjson_.m
— Fix JSON output for load_params_and_steady_state
— Add maximum lead/lag and varobs to JSON output
2021-04-08 14:51:49 +02:00
Stéphane Adjemian (Charybdis)
3a823c488f
Fix PAC equations with lags on exogenous variables.
2021-04-02 15:52:30 +02:00
3c11ee9581
posterior_sampler.m: make sure proposal density fields are set in parallel
2021-03-25 17:11:48 +01:00
a42a9fff75
Merge branch 'foresight_debug' into 'master'
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perfect foresight: provide debugging information for singular Jacobian
Closes #1732
See merge request Dynare/dynare!1834
2021-03-22 09:41:24 +00:00
baa6c8dbbd
Provisions for MATLAB R2021a
2021-03-17 17:47:27 +01:00
b5a4c0695f
perfect foresight: provide debugging information for singular Jacobian
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Closes https://git.dynare.org/Dynare/dynare/-/issues/1732
2021-03-17 15:02:30 +01:00
47477e152a
Bump minimal Octave version to 6.2.0
2021-03-12 16:21:57 +01:00
Stéphane Adjemian (Charybdis)
3859ea0de0
Fix read_key_value_string if commas are followed by spaces.
2021-02-26 17:50:47 +01:00
Stéphane Adjemian (Charybdis)
6752426809
Bug fixes in particles submodule.
2021-02-26 10:40:37 +01:00
Stéphane Adjemian (Charybdis)
9e37e07075
Updated dseries submodule (time aggregation routines).
2021-02-26 09:44:24 +01:00
9db1265892
Asssesing welfare in perfect-foresight frameworks
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Ref. #1680
2021-02-25 15:12:28 +01:00
9066d31dd7
Merge branch 'ramsey_problem' into 'master'
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Ref. #1680 : 2nd-order welfare
See merge request Dynare/dynare!1828
2021-02-23 16:08:53 +00:00
75882bcc11
Improve command suggestion for installing statistics package from Octave Forge
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The “io” package is a dependency, hence must be explicitly installed first.
[skip ci]
2021-02-19 14:24:32 +01:00
3939544498
Remove remnants from estimation DLL
2021-02-18 14:26:10 +01:00
f532de0f29
Adds the discretionary case to the evaluate_planner_objective function
2021-02-18 12:00:44 +01:00
e880d1bcc3
Ref. #1680 : 2nd-order welfare
2021-02-17 13:53:55 +01:00
a51bdf8948
Merge branch 'smoother2histval' of git.dynare.org:JohannesPfeifer/dynare
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Ref. !1831
2021-02-16 16:58:59 +01:00
6d95abdb95
Merge remote-tracking branch 'origin/JohannesPfeifer-master-patch-11225'
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Ref. !1830
2021-02-16 16:58:04 +01:00
9ddad32e4e
Merge branch 'shock_decomp_fixes' of git.dynare.org:rattoma/dynare
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Ref. !1829
2021-02-16 16:56:52 +01:00
9d06016dc3
Merge branch 'fixes_4.7' of git.dynare.org:rattoma/dynare
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See !1827
2021-02-16 16:55:31 +01:00
592cd69e25
Bug-fix: staticmodel type.
2021-02-16 15:06:43 +01:00
99c7d88c53
dyn_forecast.m: set first_obs and allow for Bayesian smoother input
2021-02-16 11:26:35 +01:00
6b2555f0ad
smoother2histval: fix computation of data length
2021-02-16 09:00:11 +00:00
50e80fe496
write xls output in Output subdir
2021-02-16 09:56:22 +01:00
a0d0270679
smoother2histval.m: suppress output
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[skip CI]
2021-02-16 08:11:13 +00:00
f592cca59d
fixed wrong naming of shock decompositions
2021-02-13 19:07:28 +01:00
b1ae98845d
fixed bug in var list for expand menu
2021-02-13 19:07:02 +01:00
dbcdaf75a6
fixed bug when SteadyState is not used for shock decompositions
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fixed names of files, removing spaces and dots
use writetable with mac OS
2021-02-13 19:05:54 +01:00
c8cd0a06ce
allow to export expand groups to excel (instead than plotting them)
2021-02-13 19:04:39 +01:00
f8b8ec6c18
fixes around init2shocks in plotting utilities
2021-02-13 19:04:01 +01:00
faa203e029
condition computation of posterior statistics also to (options_.load_mh_file && ~options_.load_results_after_load_mh) and apply it to all cases
2021-02-13 18:53:17 +01:00
5c3b0ebc95
better handle newrat options, avoiding to treat newratflag in two places
2021-02-13 16:44:50 +01:00
915502ce13
copyright year and indentation
2021-02-13 11:29:40 +01:00
Normann Rion
Stéphane Adjemian (Ryuk)
Sébastien Villemot
Johannes Pfeifer
MichelJuillard
Marco Ratto
Selma Malmberg
Nikola Bokan