stepan
/
dynare
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity
13,810 Commits
56 Branches
0 Tags
117 MiB
Commit Graph

7919 Commits (547969df452d1d1b65d447fce1dc88f8bfe8756e)

Author SHA1 Message Date
Johannes Pfeifer 35b1a6859f 🐛 allow cova_compute=0 with user-defined MCMC_jumping_covariance 2020-12-09 22:31:43 +01:00
Stéphane Adjemian (Charybdis) 12ef75314a
Apply d8ddd9ef6 to deterministic exogenous variables. 
(cherry picked from commit eceba8d6da)
 2020-12-09 14:59:20 +01:00
Stéphane Adjemian (Charybdis) ffa828a659
Fixed multiple periods expected shocks in the case of mshocks. 
(cherry picked from commit d8ddd9ef61)
 2020-12-09 14:59:20 +01:00
Stéphane Adjemian (Charybdis) a669c3765d
Cosmetic change in doc headers. 2020-12-07 22:25:54 +01:00
Stéphane Adjemian (Charybdis) eceba8d6da
Apply d8ddd9ef6 to deterministic exogenous variables. 2020-12-07 22:25:54 +01:00
Sébastien Villemot 7e9a87c313
evaluate_steady_state.m: small simplification 2020-12-07 16:25:01 +01:00
Sébastien Villemot 1c0d1409ea
Fix the use of [static]/[dynamic] equations with the “block” option 2020-12-07 16:24:13 +01:00
Houtan Bastani a16023103b
ensure only lowercase files are retrieved 2020-12-07 12:31:37 +01:00
Sébastien Villemot 05c7925620
Accessors for posterior distributions of objects, needed by the MATLAB GUI 2020-12-07 12:31:26 +01:00
Sébastien Villemot 8ba1a15262
Remove outdated Occbin files 2020-12-03 10:50:58 +01:00
Sébastien Villemot c160d24074
Octave 6 implements intersect(…, 'stable') 
[skip ci]
 2020-11-30 18:26:50 +01:00
Willi Mutschler 03641585e4
✅ Fix lsqnonlin in Octave 2020-11-26 17:07:46 +01:00
Willi Mutschler 25f1641db1
Change order of checks for NaN moments, improve warnings and errors 2020-11-26 16:45:07 +01:00
Sébastien Villemot 21e61ef954
Merge branch 'identification_fixes' of git.dynare.org:wmutschl/dynare 2020-11-26 16:36:34 +01:00
Sébastien Villemot 6076c1a140
Remove obsolete VAR estimation routine 2020-11-26 15:59:23 +01:00
Willi Mutschler a710532c3a
🐛 Fix identification error with unit root observables and diffuse_filter set 
Fixes #1752
 2020-11-26 13:49:14 +01:00
Willi Mutschler 4aa0fa540e
Display minimum in check plots in method of moments 2020-11-26 13:28:29 +01:00
Sébastien Villemot 2b17a711e0
Provisions for MATLAB R2020b 
(cherry picked from commit fa12e5abfc)
 2020-11-24 20:47:40 +01:00
Stéphane Adjemian (Charybdis) d8ddd9ef61
Fixed multiple periods expected shocks in the case of mshocks. 2020-11-24 15:04:41 +01:00
Sébastien Villemot 8c63c97d3c Merge branch 'numprocs' into 'master' 
Add num_procs.m function in missing

See merge request Dynare/dynare!1778
 2020-11-23 16:51:42 +00:00
Johannes Pfeifer eb52fd1eaa Add num_procs.m function in missing 
Preserves ability to run Dynare with m-replacements

[skip CI]
 2020-11-23 15:51:55 +01:00
Johannes Pfeifer 27946a7553 dyn_second_order_solver.m: remove unused code 
Redundant due to transformation to one lead-lag problem
 2020-11-22 21:23:55 +01:00
Willi Mutschler 3c1087a369
Fix for sylvester3a for purely forward-looking models 
In purely forward-looking models ghx is empty and sylvester3a gives a "Operands to the || and && operators must be convertible to logical scalar values" error, as e becomes a "1×0 empty double row vector" and not a logical.
 2020-11-21 09:46:10 +01:00
Johannes Pfeifer e42654b812 method_of_moments.m: Octave compatibility fix 
Octave does not support randstream; related to https://git.dynare.org/Dynare/dynare/-/issues/1749
 2020-11-19 10:07:35 +01:00
Stéphane Adjemian (Charybdis) 2cf5c5d0c1
Removed Octave's idiosyncrasies. 
Matlab Production Server (MPS) fails when onboarding the dynare package
because of `endif` and `endfunction` which are not available in matlab's
syntax.
 2020-11-17 17:32:30 +01:00
Sébastien Villemot 426e52e2d9 Merge branch 'mjdgges' into 'master' 
Add mjdgges.m unit test

Closes #1438

See merge request Dynare/dynare!1771
 2020-11-13 17:10:14 +00:00
Johannes Pfeifer c4c8a0256d Add mjdgges.m unit test 
Closes https://git.dynare.org/Dynare/dynare/-/issues/1438
 2020-11-13 15:55:20 +01:00
Sébastien Villemot 6dac5a5d1f
Particules submodule update 
– Consistently use LaTeX labels in figures instead of relying on psfrag
– Fix eps-TeX-loaders
– auxiliary_particle_filter.m: set undefined variable (Ref. #1718)
 2020-11-13 13:19:34 +01:00
Sébastien Villemot 79652f13d7 Merge branch 'nanmean_octave' into 'master' 
nanmean: Compatibility fix for Octave

See merge request Dynare/dynare!1769
 2020-11-13 12:18:40 +00:00
Sébastien Villemot e6c8daf922 Merge branch 'endog_prior_NaN' into 'master' 
endogenous_prior.m: deal with missing data

Closes #1744

See merge request Dynare/dynare!1768
 2020-11-13 11:53:19 +00:00
Johannes Pfeifer e9ef9a5f4b nanmean: Compatibility fix for Octave 
Octave does not support Matlab's recommended syntax
 2020-11-13 12:03:17 +01:00
Johannes Pfeifer 445cbf67d2 endogenous_prior.m: deal with missing data 
Closes https://git.dynare.org/Dynare/dynare/-/issues/1744
 2020-11-13 10:54:44 +01:00
Sébastien Villemot 74d7c8a7f4 Merge branch 'pf_init' into 'master' 
Fix initialization of state variances

See merge request Dynare/dynare!1762
 2020-11-12 11:22:41 +00:00
Johannes Pfeifer dab5d38068 Fix initialization of state variances 
- incomplete computation of variances in case 1
- wrong ordering for case 2
 2020-11-12 10:43:04 +01:00
Johannes Pfeifer c0c1b98326 discretionary_policy_1.m: take care of presence of auxiliary equations 
Happens e.g. with news shocks
 2020-11-11 22:08:19 +01:00
Sébastien Villemot fcb52478e4
Preprocessor: replace exogenous with lead/lags by auxiliary variables in deterministic models 
Several tests need to be adapted, because they were implicitly making the
assumption that there is no auxiliary variable.

Incidentally, this closes #1731. This commit therefore also removes the
workaround introduced in 0391dbbeb1.
 2020-11-09 16:34:12 +01:00
Sébastien Villemot 029ab65e68
Perfect foresight with initval_file: fix another bug when M_.orig_maximum_lag ≠ M_.maximum_lag 
Similar to 95dcb5f4b7.
 2020-11-05 16:08:57 +01:00
Sébastien Villemot 95dcb5f4b7
Perfect foresight with initval_file: fix bug when M_.orig_maximum_lag ≠ M_.maximum_lag 
By the way, remove inexact comment about a similar code in histvalf.m
 2020-11-05 15:39:55 +01:00
Stéphane Adjemian (Charybdis) b066012033
Fixed R² in SUR model when estimating a subset of equations. 
Closes #5
 2020-10-26 15:07:50 +01:00
Stéphane Adjemian (Charybdis) f36ee06041
Updated dseries submodule (matlab-fame-io improved initialization of daily dseries from FAME). 2020-10-21 19:29:07 +02:00
Sébastien Villemot 5fab01c534
Perfect foresight: fix case where max lead/lag on exo is greater than max lead/lag on endo 
Bug introduced in commit e21cb1ad6b

Ref. #1720
 2020-10-21 19:12:22 +02:00
Sébastien Villemot e21cb1ad6b
LMMCP: fix the purely backward and purely forward cases 
Closes: #1720
 2020-10-21 16:30:40 +02:00
Sébastien Villemot 4ba0f0a9c3
LMMCP: don’t report a wrong maxerror, rather put NaN 2020-10-20 18:27:19 +02:00
Sébastien Villemot 46da76c0ce
LMMCP: fix bug when periods=1 
The fix in commit 24cc67e585 was incorrect.
 2020-10-20 18:20:04 +02:00
Sébastien Villemot 87cc519321
LMMCP / linear perfect foresight: fix bug for models with a single equation 
The routines use the find() function applied to a subset of columns of the
Jacobian, which in this case is a row vector. When passed a row vector, find()
returns row vectors (while it returns column vectors when passed a column
vector or a matrix). This case was not correctly handled.
 2020-10-20 18:20:02 +02:00
Sébastien Villemot df58037feb
Reporting: rename @graph class to @report_graph, to avoid name clash with MATLAB’s @graph 2020-10-20 14:39:47 +02:00
Sébastien Villemot e3207b1d8c
Extended path: remove ep.use_bytecode flag 
It’s actually useless and complicates the code. Simply rely on
options_.bytecode.

Ref. #1742
 2020-10-15 11:06:59 +02:00
Sébastien Villemot 10333f99e2
Fix extended_path + bytecode under Octave 
Ref. #1742
 2020-10-15 10:59:15 +02:00
Sébastien Villemot 71e3e0d49e
Fix extended_path with bytecode 
By the way, document and enforce the fact that stochastic extended_path (i.e.
order > 0) is not compatible with either bytecode or block.

Closes: #1742
 2020-10-14 17:25:58 +02:00
Stéphane Adjemian (Charybdis) 2428aa7e28
Updated dseries submodule (matlab-fame-io). 2020-10-14 10:44:05 +02:00
Stéphane Adjemian (Charybdis) 415c024445
Updated dseries submodule (added conversion to lower frequency routines). 2020-10-09 10:02:35 +02:00
Sébastien Villemot e576dc8c81
Block decomposition: fix evaluation of recursive variables in solved blocks 
Ref. #1726
 2020-10-06 18:31:13 +02:00
Stéphane Adjemian (Charybdis) 2eb77f2323
Updated dseries submodule (bug fixes related to daily frequency). 2020-10-02 19:28:37 +02:00
Stéphane Adjemian (Charybdis) 80bfbc0736
Merge non linear shock decomposition for backward models. 
Closes #2.
 2020-09-29 18:17:25 +02:00
Sébastien Villemot 2acacf61f1
Matrix notation: fix bug in numerical Hessian of external functions 2020-09-29 16:52:02 +02:00
Houtan Bastani 1975e467b5
update jacob_element & hess_element for vector arguments 2020-09-29 16:52:02 +02:00
Stéphane Adjemian (Charybdis) 511908e011
Factorized initialization of fields required by solve_algo={12,14}. 
Closes #3.
 2020-09-25 23:45:21 +02:00
Stéphane Adjemian (Charybdis) e690c5de5a
Merge Enterprise/block_trust_region into enterprise. 2020-09-24 16:05:55 +02:00
Sébastien Villemot fa12e5abfc
Provisions for MATLAB R2020b 2020-09-24 15:43:06 +02:00
Stéphane Adjemian (Charybdis) c7c7358a5b
Cosmetic changes. 
Closes #5
 2020-09-24 13:33:46 +02:00
Dóra Kocsis 8fe39ded76
Change R2 computation in multivariate models (SUR) 2020-09-24 13:17:21 +02:00
Stéphane Adjemian (Charybdis) 17e6421ea3
Merged master into enterprise. 
Fixed conflict in
 - doc/manual/source/running-dynare.rst
 2020-09-23 15:28:19 +02:00
Stéphane Adjemian (Charybdis) 202bf913c0
Cosmetic changes. 2020-09-23 13:56:08 +02:00
Michel Juillard c366a8c3da fix bugs 2020-09-20 16:52:31 +02:00
Michel Juillard c2e43c0093 fix histval_initval_file unit tests 2020-09-20 11:11:26 +02:00
Michel Juillard 57c94a1c76 revise options checks 2020-09-19 19:17:42 +02:00
Michel Juillard b6582c2d5f fix handling firstsimulationperiod 2020-09-19 12:18:24 +02:00
Michel Juillard 91b4cfd3a8 fixes handling of periods in histval_file/initval_file 2020-09-19 12:14:43 +02:00
Sébastien Villemot 865ab47fa9
Provide block_trust_region MEX under solve_algo 13 and 14 
- block trust region solver now available under solve_algo=13
  It is essentially the same as solve_algo=4, except that Jacobian by finite
  difference is not handled. A test file is added for that case
- block trust region solver with shortcut for equations that can be evaluated
  is now available under solve_algo=14 (in replacement of the pure-MATLAB solver)

Closes: Enterprise/dynare#3
 2020-09-18 18:01:56 +02:00
Sébastien Villemot 0b41d17374
dynare_solve: fix display of number of dmperm blocks 2020-09-18 17:55:58 +02:00
Sébastien Villemot 4c2b906962
Add routine for shock decomposition of backward models 
Closes: Enterprise/dynare#2
 2020-09-18 17:40:45 +02:00
Stéphane Adjemian (Odysseus) 248ad18846 Merge remote-tracking branch 'Dynare/master' into enterprise 
Fixed conflicts in:

 - .gitlab-ci.yml
 - matlab/dynare_config.m
 - matlab/dynare_solve.m
 - matlab/initvalf.m
 - matlab/perfect-foresight-models/make_ex_.m
 - matlab/perfect-foresight-models/perfect_foresight_setup.m
 - mex/build/matlab/Makefile.am
 - mex/build/matlab/configure.ac
 - mex/build/octave/Makefile.am
 - mex/build/octave/configure.ac
 - mex/sources/Makefile.am
 - preprocessor
 - tests/Makefile.am
 2020-09-17 14:53:32 +02:00
Sébastien Villemot b9812a0ff0
Fix another issue with extended_path + bytecode 
As reported in https://forum.dynare.org/t/extended-path-bytecode/16577
 2020-09-08 13:13:00 +02:00
MichelJuillard 0391dbbeb1 fix bug with lag on exogenous variables on more than one period 
(cherry picked from commit 492124ce9886e6aef4f4cefef302241d7edfe024)
 2020-09-04 14:02:04 +00:00
Sébastien Villemot 26597bf093
Remove more utilities related to conversion of oo_ between Dynare versions 
Ref. #915
 2020-09-03 16:45:21 +02:00
Johannes Pfeifer d7b7ce8940 AnalyseComputationalEnvironment.m: define missing command string used in error message 2020-09-02 12:41:31 +02:00
Sébastien Villemot b891695680
Merge branch 'JohannesPfeifer/dynare-MoM' 2020-09-01 15:14:43 +02:00
Johannes Pfeifer 96be513ecf Remove matched_moments_ as input argument as it is now a field of M_ 2020-08-05 15:58:58 +02:00
Sébastien Villemot f6c2471eef
New MEX for solving discrete Lyapunov equations with doubling algorithm 
This is a Fortran 2008 rewrite of disclyap_fast.m.

Closes: #1737
 2020-07-30 16:34:35 +02:00
Sébastien Villemot daea99d1b0 Merge branch 'parameter_setting' into 'master' 
Move setting of parameters out of check_bounds_and_definiteness_estimation.m

See merge request Dynare/dynare!1754
 2020-07-21 08:30:57 +00:00
Johannes Pfeifer 3b85fea02e Move setting of parameters out of check_bounds_and_definiteness_estimation.m 
Increases transparency
 2020-07-17 15:02:12 +02:00
Sébastien Villemot 4d22c4c0c0
Drop 32-bit binaries from Windows package 
Closes: #1713
 2020-07-17 12:52:58 +02:00
Sébastien Villemot 1dbbef9f2e Merge branch 'moment_estimation' into 'master' 
First implementation of moment estimation

See merge request Dynare/dynare!1750
 2020-07-16 15:41:15 +00:00
Willi Mutschler b273a2792b Fix iterated method of moments 
Also improve fprintf descriptions and comments and other cosmetical changes
 2020-07-16 14:47:20 +02:00
Sébastien Villemot cda3253d2c Merge branch 'ME_traceplots' into 'master' 
Fix trace plots with measurement errors and their correlations

See merge request Dynare/dynare!1752
 2020-07-16 09:39:47 +00:00
Sébastien Villemot 499451d50a Merge branch 'pruned_state_space' into 'master' 
Speed up pruned_state_space_system.m by e.g. using persistent variables

See merge request Dynare/dynare!1749
 2020-07-16 09:39:01 +00:00
Willi Mutschler 9c99eac55c Move more options to substructure options_mom_.mom 2020-07-16 11:38:41 +02:00
Willi Mutschler 552b995215 Remove stuff and checks that are already done in the preprocessor 2020-07-16 11:38:41 +02:00
Johannes Pfeifer 540f0454d2 Code Review of GMM routines 
- fix prefilter option
- Implement iterative GMM
 2020-07-16 11:38:40 +02:00
Johannes Pfeifer a40807caa9 plot_priors.m: Allow for optional title 2020-07-16 11:38:39 +02:00
Johannes Pfeifer e14e9641e8 Factorize checking of positive definiteness 2020-07-16 11:38:38 +02:00
Willi Mutschler 3615962a61 First draft of method of moments toolbox with GMM and SMM 2020-07-16 11:38:38 +02:00
Johannes Pfeifer f717712ed6 Fix trace plots with measurement errors and their correlations 
Problem was introduced when transitioning to cell arrays
 2020-07-15 14:34:04 +02:00
Johannes Pfeifer 1cc29d765b DsgeSmoother: add warning if there is stochastic singularity 2020-07-15 11:00:48 +02:00
Sébastien Villemot e525798a64
External functions: decrease step used for numerical derivation 2020-07-09 18:40:36 +02:00
Johannes Pfeifer 9e92dfd7c4 Speed up pruned_state_space_system.m by e.g. using persistent variables 2020-07-08 19:50:31 +02:00
Stéphane Adjemian (Charybdis) 31de6f20fd
Updated dseries submodule. 
- Fixes plot method with additional arguments (bug introduced in 56e0645)
 - Adds daily frequency
 - Adds interface to dbnomics
 2020-07-08 14:55:38 +02:00
Johannes Pfeifer d10242fbab dynare_minimize_objective.m: change parameter names to expected cell array 2020-07-08 11:44:47 +02:00
Johannes Pfeifer 6b592cbb00 newrat: Further replacement of varargins by explicit options 2020-07-08 11:44:34 +02:00
Sébastien Villemot dc6e3406e5 Merge branch 'tolerance' into 'master' 
Correctly distinguish tolerance between steady and perfect foresight

See merge request Dynare/dynare!1746
 2020-07-07 09:46:28 +00:00