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8132 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) 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
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
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 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 04c3fb3a31
Merge branch 'slice_record' of git.dynare.org:JohannesPfeifer/dynare 
See merge request !1869
 2021-06-09 14:41:03 +02:00
Johannes Pfeifer f38a1edaee posterior_sampler.m: trap case where record.ProposalCovariance is not filled (slice sampler) 2021-06-08 21:03:08 +02:00
Johannes Pfeifer e546d686eb dynare_solve.m: allow calling function directly 2021-06-04 21:24:53 +02:00
Johannes Pfeifer 4e0f2bf695 dynare_solve.m: have csolve honor selected options 2021-06-02 16:21:16 +02:00
Johannes Pfeifer f4c0781f45 calibrate_mh_scale_parameter.m: Expand header 2021-06-01 11:34:39 +02:00
Johannes Pfeifer f51a57374a mh_tune_jscale: fix display of stepsize and provide warning if no updating can occur. 2021-06-01 11:23:07 +02:00
Johannes Pfeifer fad86785da evaluate_planner_objective.m: do not evaluate non-existing terms for linear models 
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. 
Also add an integration test and fix homotopy error message.
 2021-05-28 14:11:34 +02:00
MichelJuillard 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' 
non_linear_dsge_likelihood.m: filter out explosive initial simulation

See merge request Dynare/dynare!1861
 2021-05-28 11:42:24 +00:00
Johannes Pfeifer f97c138685 sim1_purely_backward.m: for purely static model, do not use past value for first iteration 
Index 0 does not exist.
 2021-05-27 22:37:45 +02:00
Johannes Pfeifer cac6f82e34 non_linear_dsge_likelihood.m: filter out explosive initial simulation 2021-05-27 21:04:35 +02:00
Sébastien Villemot abe8a05b43 Merge branch 'smoother_redux' into 'master' 
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
Sébastien Villemot c4e0cd0565 Merge branch 'posterior_smoother' into 'master' 
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
Marco Ratto 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 
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
Johannes Pfeifer 7541b1b116 prior_draw.m: cosmetic fix 2021-05-27 16:46:40 +02:00
Johannes Pfeifer 5d1d5b8a85 prior_posterior_statistics_core.m: filter out cases where model does not solve 
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
Sébastien Villemot ae574fff78 Merge branch 'diagnostics' into 'master' 
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. 
[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
Marcoo Ratto 1645f38269
Implement heteroskedastic filter and smoother 2021-05-26 18:45:16 +02:00
Sébastien Villemot ba3522a9ba Merge branch 'compute_decision_rules' into 'master' 
Use of the compute_decision_rules function to factorize code

See merge request Dynare/dynare!1856
 2021-05-25 16:18:43 +00:00