Stéphane Adjemian (Charybdis)
64ebd1d0d7
Changed the default value of options_.ep.fp. Test the stability of the solution only for the first period (when the value of periods is increased).
2012-02-03 14:05:06 +01:00
Stéphane Adjemian (Charybdis)
7978070814
Fixed bug.
2012-02-03 12:52:37 +01:00
Stéphane Adjemian (Charybdis)
fed2e229e5
Try first Ferhat's code and if it fails try the matlab's implementation of the the perfect foresight model solver.
2012-02-03 12:39:48 +01:00
Stéphane Adjemian (Charybdis)
ac54f7f528
Added comments and the possibility to use a matlab implementation of the perfect foresight model solver.
2012-02-03 11:25:03 +01:00
Stéphane Adjemian (Charybdis)
2f5ce2403d
Fixed typo related to the sign of the Lagrange multiplier. Deleted trailing whitespaces.
2012-02-03 11:25:03 +01:00
Sébastien Villemot
b8e1ecbcec
Merge remote-tracking branch 'houtanb/master'
2012-02-03 08:51:06 +01:00
Michel Juillard
c6849a0194
relaxing slightly the accuracy check in ep/linear.mod (the higher
...
accuracy didn't pass the test in Octave and could generate problems
accross machine or Matlab versions)
2012-02-02 21:26:49 +01:00
Michel Juillard
3cdde731dc
propagating the change in calling sequence for CheckPass()
2012-02-02 21:10:47 +01:00
Houtan Bastani
dd1a48c7c7
MS-SBVAR: support non 4 digit years (fix thanks to Margarita Zabelina)
2012-02-02 12:30:50 +01:00
Houtan Bastani
837451c724
MS-SBVAR: support annual data (fix thanks to Margarita Zabelina)
2012-02-02 12:30:50 +01:00
Houtan Bastani
e4546ba32f
change file format to unix
2012-02-02 12:30:49 +01:00
Michel Juillard
f44db9370d
fixing problem with Ramsey policy and auxiliary variables
2012-02-02 12:04:41 +01:00
Houtan Bastani
4ac4fdb2f0
matlab: add missing error code
2012-01-30 18:04:24 +01:00
Houtan Bastani
adedd7d37f
matlab: add missing error message
2012-01-30 18:04:15 +01:00
Houtan Bastani
0ca000cdc9
preprocessor: display a summary of preprocessor warnings at the end of a Dynare run
2012-01-30 10:44:14 +01:00
Michel Juillard
32054371b8
new algorithm for deterministic simulations. Not yet integrated into
...
Dynare (no function calls it).
2012-01-28 16:17:59 +01:00
Stéphane Adjemian (Charybdis)
6328a44f33
Streamlined extended paths routines.
...
* Removed the necessity (for the user) to run stoch_simul bebore
executing the exetended path routine (when options_.init>0).
* The value of options_.ep.init defines the mix (used for the
initialization of the perfect foresight solver) between the previous
perfect foresight solution and the path obtained with an order one
perturbation approach.
* Removed timing related statements.
* Changed homotopy set-up for stochastic extended path: add future
multivariate innovations one by one.
* Endogeneously increase step_length in the homotopy routine.
* Removed homotopy_2 related code.
2012-01-27 18:27:42 +01:00
Michel Juillard
d86daa0169
fixing bug in recent commit 919c2f8fb4
2012-01-23 16:24:47 +01:00
Stéphane Adjemian (Charybdis)
119a8eee3b
Added plot (Lagrange multiplier).
2012-01-23 14:47:01 +01:00
Stéphane Adjemian (Charybdis)
0f1dd850ed
Added one variable (LM) and one equation to ensure that the Lagrange multiplier is positive.
...
It appeared that the Lagrange multiplier simulated by EP is positive,
but the series simulated by SEP are most of the time negative.
2012-01-23 14:46:25 +01:00
Stéphane Adjemian (Charybdis)
5e87dfcd0f
Prevent homotopy routine to enter in the second loop (doi not (re)start the homotopy from weight=0).
2012-01-23 13:59:25 +01:00
Stéphane Adjemian (Charybdis)
9abb2e9ff8
Adapted homotopy routine to SEP.
2012-01-23 13:57:30 +01:00
Stéphane Adjemian (Charybdis)
02d6987685
Fixed bug in EP algorithm.
2012-01-23 13:56:46 +01:00
Michel Juillard
919c2f8fb4
correcting bug with presample and diffuse filter + simplified logic
...
for computation of likelihood with presample
2012-01-22 22:40:46 +01:00
Michel Juillard
636cd1bae6
calling always multivariate Kalman filter first, even if univariate
...
diffuse Kalman filter was used before
2012-01-22 18:59:19 +01:00
Michel Juillard
cfb5114d41
corecting logic for selecting univariate diffuse filter and dealing
...
with correlated measurement errors
2012-01-22 18:37:29 +01:00
Michel Juillard
f0d1f033b0
correcting bug in univariate diffuse filter with presample
2012-01-22 18:36:31 +01:00
Michel Juillard
1f055cd539
adding two tests to the list of daily tests
...
(./optimal_policy/nk_ramsey.mod ./ep/linear.mod)
2012-01-22 16:13:14 +01:00
Michel Juillard
1433bb6485
the overall time of execution is now saved in the log file
2012-01-22 16:09:42 +01:00
Michel Juillard
380fd37092
fixing bug in ramsey policy when using initval instead of steady_state_model
2012-01-22 00:25:30 +01:00
Michel Juillard
62b1ed7923
correcting bug in extended path and added a test
2012-01-21 17:50:11 +01:00
Stéphane Adjemian (Charybdis)
692708859e
Fixed bug.
2012-01-21 14:40:27 +01:00
Stéphane Adjemian (Charybdis)
f63ce01859
Put debug and memory modes in options_.ep.
2012-01-21 14:13:31 +01:00
Stéphane Adjemian (Charybdis)
651c5e7fba
Fixed bug (wrong index variable).
2012-01-21 14:12:05 +01:00
Stéphane Adjemian (Charybdis)
0d8371c299
Added an option to track the expectation in the (S)EP approach.
2012-01-20 18:43:34 +01:00
Sébastien Villemot
b5c71ed1c8
Add kalman_algo option to identification and dynare_sensitivity
...
Only in preprocessor and ref. manual for the moment
2012-01-20 12:11:14 -05:00
Sébastien Villemot
bcc091a58d
Preprocessor: compute temp. terms for 2nd deriv of residuals and jacobian wrt
...
params and 1st deriv of hessian wrt to params
2012-01-20 12:07:36 -05:00
Stéphane Adjemian (Charybdis)
adb8ef3c8a
Added routine for computing weights and nodes of the Gauss Legendre quadrature.
2012-01-20 16:40:17 +01:00
Stéphane Adjemian (Charybdis)
58f4feb6ad
Cosmetic change + Added scramble mode (possibility to add noise in the future).
2012-01-20 16:40:17 +01:00
Houtan Bastani
58a03937ec
bug_fix: add missing ifstream close statement
2012-01-18 14:43:04 +01:00
Houtan Bastani
c977b666b3
warning output stream should be cerr
2012-01-18 14:42:57 +01:00
Marco Ratto
a64362f43d
* bug fix when posterior filter or forecast are not triggered. (thanks to Daniel from the Dynare Forum)
...
Manual cherry pick from 4.2 commit:fdb364e44e79473978f9ff27bba8caa36665052c
2012-01-12 17:48:29 +01:00
Marco Ratto
e6b9912bb4
Added utilities for dynare figure creation and saving.
2012-01-12 17:46:40 +01:00
Stéphane Adjemian (Charybdis)
1ba89be300
Undo last commit#3dc015592c9da527f7d2ad218bc53422ac7edc83.
2012-01-11 17:10:24 +01:00
Stéphane Adjemian (Charybdis)
3dc015592c
Cosmetic change. Removed useless input argument to dyn_waitbar.
2012-01-11 16:08:24 +01:00
Stéphane Adjemian (Charybdis)
f074679f14
Code factorization. Use dyn_waitbar in extended_path routine.
2012-01-11 16:01:24 +01:00
Stéphane Adjemian (Charybdis)
83bfaa814e
Added sequential importance particle filter routine.
2012-01-11 16:01:24 +01:00
Stéphane Adjemian (Charybdis)
195ad9f71d
Added Routines for resampling (particle filter).
2012-01-11 16:01:24 +01:00
Michel Juillard
111347469f
adding comment explaining initialization of persistent variable
...
penalty in dsge_likelihood.m and dsge_likelihood_hh.m Removed misleading
initialization code. Added call to dsge_likelihood_hh in
initial_estimation_checks to initialize persistent variable in that
function as well.
2012-01-09 21:23:17 +01:00
Michel Juillard
de8962b239
Revert "added calls to re-initialize persistent variable 'penalty' in dsge_likelihood() and dsge_likelihood_hh() before calling the optimizer"
...
This reverts commit 108444b703
.
The initialization works indeed differently and I will document it in next commit.
2012-01-09 20:47:11 +01:00