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14171 Commits (54f80e88d2a788594cdcb69309a8309f1833f770)

Author SHA1 Message Date
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) 547b7aef45
Activate integration test for NLS estimation. 2021-07-15 17:39:41 +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
Sébastien Villemot b7b1b38e3b Merge branch 'complex_data' into 'master' 
initial_estimation_checks.m: error out if data is complex

See merge request Dynare/dynare!1879
 2021-07-15 08:34:23 +00:00
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
Sébastien Villemot 53abaf5b10
Preprocessor: new option “nocommutativity” 
Ref. #1788
 2021-07-13 15:12:03 +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
Sébastien Villemot 9f934bbcf1
Manual: update several links to old Dynare wiki 
In several places, there was only a general link to the old Dynare wiki. This
can be confusing, because we no longer use this wiki. Rather use specific links
to the pages that were not migrated to the new wiki.

[skip ci]
 2021-07-08 18:03:25 +02:00
Sébastien Villemot 11951b4fc8
Preprocessor update 
— New “structural” option to “var_model” (#1785)
— Remove support for obsolete syntax: var_model(order = 2) X Y Z;
— “var_model” statement: make “eqtags” option mandatory
 2021-07-08 15:02:22 +02:00
Sébastien Villemot 3c2d033a14
Windows package: bump dependencies 2021-07-08 15:01:03 +02:00
Stéphane Adjemian (Ryûk) fe63082c42
Add lagged information set in VAR based expectations. 2021-07-06 23:06:46 +02:00
Sébastien Villemot 87b1d5bdf6
Preprocessor update 
— method_of_moments: remove var_list_
— new time_shift option to var_expectation_model (#1787)
— VAR and trend component models: improve sanity checks on lead/lags on RHS
 2021-07-06 19:12:09 +02:00
Sébastien Villemot 804f44515d
macOS package: make the detection of CLT installation status more robust 
Closes: #1779

Also do some stylistic improvements.
 2021-06-24 17:39:09 +02:00
Sébastien Villemot b1b7c68870
macOS: bump to GCC 11 (for compilation and for use_dll) 
The formulas are taken from commit 2a3ba743401693c5927acc936e27377f123f6d56 of
the homebrew-core repository.

The gcc.rb formula was modified by adding “cellar: :any” to all bottles (see
https://github.com/Homebrew/brew/blob/master/docs/Bottles.md).

The preprocessor has been updated accordingly (and the detection of the GCC
installed by Dynare package has also been fixed).
 2021-06-24 15:50:12 +02:00
Sébastien Villemot e79b2798df
Merge branch 'JohannesPfeifer/dynare-options_output' 
See merge request !1878
 2021-06-22 18:17:26 +02:00
Johannes Pfeifer f7a232061a
Remove unused options_-output 
Prevents accidentally changing something
 2021-06-22 18:17:11 +02:00
Sébastien Villemot 7d57bd0e4c
macOS package: hack to statically link libquadmath in Fortran MEX files 2021-06-21 18:12:18 +02:00
Sébastien Villemot 38b2f2e5ce
Fix typo 
[skip ci]
 2021-06-21 12:23:33 +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 88b427f7bc
Compatibility fix for MATLAB R2014a 
MATLAB R2014a does not like the syntax “abs(x).data” where “x” is a dseries.
 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
Sébastien Villemot 9460da5b07
Windows package: bump dependencies 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
Stéphane Adjemian (Ryuk) 2a5ed79be5
Do not run MCMC after online filter (integration test) 2021-06-15 22:09:35 +02:00
Normann Rion 3d27672c58
kth-order approximation of conditional welfare 
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). 
extended_path was crashing in preceeded by a call to the set_time command.
 2021-06-15 14:24:38 +02:00
Sébastien Villemot be38866487
Fix handling of heteroskedastic_shocks block with several declared periods 
Closes: #1791
 2021-06-15 12:54:54 +02:00
Sébastien Villemot de86089781 Merge branch 'cosmetic' into 'master' 
DsgeSmoother.m: header cosmetics

See merge request Dynare/dynare!1873
 2021-06-15 09:38:05 +00:00
Johannes Pfeifer e5b51f3257 DsgeSmoother.m: header cosmetics 
[skip CI]
 2021-06-15 11:16:41 +02:00
Sébastien Villemot 6258699060
Merge branch 'disclyap' of git.dynare.org:JohannesPfeifer/dynare 
See merge request !1872
 2021-06-14 15:29:01 +02:00
Sébastien Villemot 6c4935fa10
Preprocessor: write M_.objective_tmp_nbr to the driver file 2021-06-14 15:28:55 +02:00
Sébastien Villemot 2952d18343
Testsuite: improve and integrate unit test for A·(B⊗C) MEX files 
In particular, add a test for the sparse A·(B⊗C) where B≠C.
 2021-06-14 15:28:34 +02:00
Sébastien Villemot a7203095db
A_times_B_kronecker_C MEX: don’t bother adding “only” clauses to “use” directive 2021-06-14 15:28:34 +02:00
Sébastien Villemot 68bca0cd2a Merge branch 'pruned_state_space' into 'master' 
pruned_state_space: handle shocks with 0 variances

See merge request Dynare/dynare!1871
 2021-06-14 10:37:45 +00:00
Johannes Pfeifer e8c3758fc7 disclyap_fast.m: fix check for convergence with NaN 
[skip CI]
 2021-06-11 14:22:10 +02:00
Johannes Pfeifer 0116870399 pruned_state_space: handle shocks with 0 variances 2021-06-11 14:15:31 +02:00
Sébastien Villemot 45933779a4 Merge branch 'simult_' into 'master' 
simult_.m: fix error message at order>3

See merge request Dynare/dynare!1870
 2021-06-10 15:24:45 +00:00
Johannes Pfeifer 907066ae95 simult_.m: fix error message at order>3 2021-06-10 14:40:19 +02:00
Sébastien Villemot 766fff88f6
Use secure URL for link to GNU licenses 2021-06-09 17:35:05 +02:00
Sébastien Villemot 4733d97ceb
dseries: fix concatenation with empty dates objects 2021-06-09 17:33:25 +02:00
Sébastien Villemot 7c502b3a11
Preprocessor: when order option > 3, compute planner objective derivatives at that order 2021-06-09 17:30:51 +02:00
Sébastien Villemot 04c3fb3a31
Merge branch 'slice_record' of git.dynare.org:JohannesPfeifer/dynare 
See merge request !1869
 2021-06-09 14:41:03 +02:00
Sébastien Villemot 7ae114a392
Merge branch 'dynare_solve' of git.dynare.org:JohannesPfeifer/dynare 
See merge request !1868
 2021-06-09 14:39:46 +02:00