Houtan Bastani
4c133ac23a
olsgibbs: small fixes
2019-01-16 14:53:22 +01:00
Houtan Bastani
556b5b6e88
small change to avoid an extra conditional
2019-01-16 14:53:22 +01:00
Houtan Bastani
4dbbdb2c09
move common dates to parsing function
2019-01-16 14:53:22 +01:00
Houtan Bastani
ee8e8c4282
small simplification
2019-01-16 14:53:22 +01:00
Houtan Bastani
0fb88114c1
rename functions and change error message to be more general is parsing is shared between several different functions
2019-01-16 14:53:22 +01:00
Houtan Bastani
bb9418a473
dyn_ols: only one output from function, remove varargout
2019-01-16 14:53:21 +01:00
Houtan Bastani
03eaac8b6d
make plot_contributions use get_ast_jsonmodel
2019-01-16 14:53:21 +01:00
Houtan Bastani
9a61c57102
remove functions that are no longer used
2019-01-16 14:53:21 +01:00
Houtan Bastani
f755cfdcd4
surgibbs: small fixes
2019-01-16 14:53:21 +01:00
Houtan Bastani
3247b1aa02
pooled_fgls: fix and update
2019-01-16 14:53:21 +01:00
Houtan Bastani
e4dc7c403e
parse residual information
2019-01-16 14:53:21 +01:00
Houtan Bastani
72081e640e
pooled_ols: fix dates
2019-01-16 14:53:20 +01:00
Houtan Bastani
efe0a15e0e
comment out code
2019-01-16 14:53:20 +01:00
Houtan Bastani
9ed97b88c1
account for potentially differing number of observations per equation when creating SUR matrices
2019-01-16 14:53:20 +01:00
Houtan Bastani
a7181a8151
fix common parsing function to impose same dates per equation
2019-01-16 14:53:20 +01:00
Houtan Bastani
3427d93c09
add comment to function
2019-01-16 14:53:20 +01:00
Houtan Bastani
5d80fc903b
pooled_ols: fix up and use common parsing
2019-01-16 14:53:20 +01:00
Houtan Bastani
1e41235b6b
common parsing: small fixes
2019-01-16 14:53:19 +01:00
Houtan Bastani
934a22c3a7
sur: small fixes
2019-01-16 14:53:19 +01:00
Houtan Bastani
ef391b1304
surgibbs: fix up and make work with sur changes
2019-01-16 14:53:19 +01:00
Houtan Bastani
f8c0282b01
sur: fix up and use common code to create matrices
2019-01-16 14:53:19 +01:00
Houtan Bastani
d8f26525b0
olsgibbs: fix up and use common parsing functions
2019-01-16 14:53:19 +01:00
Houtan Bastani
a477075825
ols: further simplifications
2019-01-16 14:53:19 +01:00
Houtan Bastani
a35fd291c5
ols: move json file parsing to a separate file
2019-01-16 14:53:19 +01:00
Houtan Bastani
013124eedf
ols: move parsing to a helper function
2019-01-16 14:53:18 +01:00
Houtan Bastani
093dd493d8
ols: catch unexpected case
2019-01-16 14:53:18 +01:00
Houtan Bastani
df713e907b
add tests to makefile
2019-01-16 14:52:01 +01:00
Houtan Bastani
4804e729e8
makefile: fix spacing
2019-01-16 12:54:30 +01:00
Houtan Bastani
7d35cb5c5a
fix typo
2019-01-14 15:02:32 +01:00
Houtan Bastani
e8333421e7
remove unnecessary file
2019-01-10 10:44:19 +01:00
Stéphane Adjemia (Scylla)
3bc6b34161
Bug fix.
...
Be agnostic about the name of the PAC model.
2019-01-07 13:33:08 +01:00
Stéphane Adjemia (Scylla)
4d95484e60
Changed optimization algorithm.
2018-12-19 16:10:08 +01:00
Stéphane Adjemia (Scylla)
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
Stéphane Adjemia (Scylla)
df57bf7eb9
Fixed bug.
...
PAC/NLS routine was only working if the PAC model was named `pacman`.
2018-12-19 16:00:57 +01:00
Stéphane Adjemia (Scylla)
11b24a0663
Add a constraint on the share of optimizing agents PAC/Iterative OLS.
...
Ensure that the parameter value lies betwwen 0 and 1.
2018-12-19 15:43:36 +01:00
Stéphane Adjemia (Scylla)
c0570ff0af
Fixed typo.
2018-12-19 15:41:32 +01:00
Stéphane Adjemia (Scylla)
23e37e45c4
Cosmetic change.
...
create a namespace for each {VAR/PAC} expectation model.
2018-12-19 11:43:26 +01:00
Stéphane Adjemia (Scylla)
351da3b865
Do not update a dseries object, but instantiate a new object.
2018-12-19 10:53:09 +01:00
Stéphane Adjemia (Scylla)
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
Stéphane Adjemia (Scylla)
2cff485113
Fixed bug in the routine evaluating the (PAC/VAR) expectations.
2018-12-14 17:29:46 +01:00
Stéphane Adjemia (Scylla)
38c8462142
If NLS, do not check the ordering of estimated parameters in PAC.
2018-12-12 16:28:19 +01:00
Stéphane Adjemia (Scylla)
0d5b310207
Added integration tests (for constrained OLS).
2018-12-07 19:54:33 +01:00
Stéphane Adjemia (Scylla)
bbf437bebd
Replaced histograms by non parameteric density estimators + other cosmetic changes.
2018-12-07 19:54:32 +01:00
Stéphane Adjemia (Scylla)
bfd9680f85
Fixed encoding.
2018-12-07 19:54:32 +01:00
Houtan Bastani
44e5a88ddd
dyn_ols: use AST instead of regex to parse equations
2018-12-07 19:54:32 +01:00
Stéphane Adjemia (Scylla)
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
Stéphane Adjemia (Scylla)
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
Stéphane Adjemia (Scylla)
650c78f99d
Merge branch 'master' into ecb-master
2018-11-30 21:34:56 +01:00
Stéphane Adjemia (Scylla)
9c75f6e913
Updated the preprocessor submodule.
2018-11-30 21:30:08 +01:00
Stéphane Adjemia (Scylla)
d501d6d511
Added interface to lsqnonlin (Mathworks' optimization toolbox) in pac.estimate.nls.
2018-11-29 10:29:55 +01:00