c68038dfc8
imcforecast.m: make sure qz_criterium is properly set
2016-10-02 10:51:47 +02:00
940ff7fb7d
Make sure diffuse_filter triggers qz_criterium>1
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Closes #1215
2016-10-02 10:51:47 +02:00
5b60ffa0f7
Option fast_kalman_filter is also available with kalman_algo=0.
2016-08-22 23:31:02 +02:00
20e5d76d54
Fix missing negation in check for fast Kalman filter
2016-08-22 19:24:35 +02:00
6368636ee0
Move Kalman filter options consistency checks to dynare_estimation_init.m
2016-08-22 19:24:35 +02:00
df8ad833fb
Transform automatic loading of optimal_mh_scale_parameter.mat into option scale_file
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Closes #503
2016-08-22 16:27:32 +02:00
9d9cb322c8
Make sure fields of estim_params are always properly initialized
2016-08-21 11:24:29 +02:00
b1f1826d5f
Fix two bugs in dynare_estimation_init.m
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Makes sure that i) name field is always present and ii) that number fields of estim_params are only accessed after they have been set by set_prior
2016-08-17 21:47:46 +02:00
0c00e28799
Remove objective_function_penalty_base
2016-06-15 00:30:28 +02:00
7b3c42c6e1
provisions for reworked posterior sampling options:
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- handle sub lists of individual samplers
- split checks in dynare_estimation_init.m and before running posterior_sampler.m [invhess checks]
- posterior sampler options checks moved from initial_estimation_checks.m to check_posterior_sampler_options.m
- added use_mh_covariance_matrix to imh and rwmh
- slice re-sets mode_compute=0 cova_compute=0
- updated test function
2016-05-19 14:37:05 +02:00
46908d20c6
Provisions for new posterior sampler routines that factorize the individual iteration of individual samplers.
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I contains a quick fix to adaptive_posterior_sampler.m, which cannot be embedded in the new structure.
2016-05-19 14:34:09 +02:00
31f8d61586
make estimation honor steady state nocheck option
2016-05-10 15:54:11 +02:00
9a9b8f2a70
Account for smoother setting parameter count fields in dynare_estimation_init.m
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Otherwise, subsequent calls to the smoother will result in crashes
2016-04-14 20:11:22 +02:00
a78ebbce72
Document setting of element of restricted state space
2016-04-12 10:51:33 +02:00
6d35dad894
Remove duplicate setting of bayestopt_.mf* in dynare_estimation_init Closes #820
2016-04-12 10:46:44 +02:00
efee7b1a47
Remove duplication of restrict_var_list in bayestopt_
2016-04-12 10:43:28 +02:00
80086ff4ab
Clarify naming of var_obs_index to indicate it refers to decision rule order
2016-04-12 10:42:44 +02:00
16d8ee0c7b
Cosmetic changes to various function headers
2016-03-25 22:05:36 +01:00
f597709228
Condition setting of nobs and first_obs on existence of dataset
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Required in identification.
2016-03-23 10:48:26 +01:00
fb20b464d4
Remove bayestopt_.mean_varobs and use dataset_info instead
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Closes #255
2016-03-23 10:31:09 +01:00
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
d1bbe8f852
Restore backward compatibility with old data interface
2016-03-23 10:10:42 +01:00
f64b76f0d3
Move saving of data mean to data initialization instead of posterior computations
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Makes it accessible for other functions that also need it
2016-03-23 10:10:41 +01:00
b235040ae1
Fix setting of no-constant option in dynare_estimation_init.m when loglinear option is used
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Setting was based on unlogged steady states
2016-03-23 10:09:17 +01:00
846a391eb1
Fixed bug.
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Test the existence of field var_exo in estim_params_. This field does
not exist if one runs a smoother on a calibrated model.
2015-12-15 22:37:08 +01:00
f28a7a62bb
Only test non-zero measurement error covariance entries for positive definiteness
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Otherwise, not having measurement error on one variable is not allowed during estimation
2015-12-15 22:37:08 +01:00
a1aa2bcd6e
Changed second input of prior_bounds routine.
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Do not pass options_ structure but only the required field (prior_trunc).
2015-12-11 18:50:54 +01:00
eb3d0cd20e
fix problem with nobs
2015-11-28 17:38:00 +01:00
f464760c45
Revert "remove global objective_function_penalty_base"
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This reverts commit cf858c7fcb
2015-10-09 14:23:31 +02:00
cf858c7fcb
remove global objective_function_penalty_base
2015-10-08 20:57:00 +02:00
6f8000f0f3
Condition test whether varobs was defined on existence of field
2015-08-17 10:48:41 +02:00
64889b7335
Filter out non-fully calibrated model when use_calibration is used with ML
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Required after 9557142cc4Closes #849
2015-07-31 11:23:58 +02:00
f679594908
Add check whether bayestopt_ is empty
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Otherwise crashes for calibrated smoother occur
2015-07-25 07:32:48 +02:00
d67e003e03
Correct check condition in dynare_estimation_init.m introduced in b2017ffece
2015-07-23 16:45:40 +02:00
b2017ffece
Check whether estimation is fully ML or fully Bayesian
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Closes #754
2015-07-23 14:44:25 +02:00
06bd20214e
Replace strmatch by strcmp
2015-07-21 16:40:40 +02:00
319f73434c
Fix copy and paste error introduced in 3c9b031bd1
2015-07-21 16:18:15 +02:00
2d8e6e2c83
Account for strmatch returning empty array instead of 0 if nothing is found
2015-07-21 16:00:00 +02:00
15b47ef50b
Account for cases where estim_params_ is empty or has only been filled with field full_calibration_detected
2015-07-21 11:41:39 +02:00
2cb58be875
Merge pull request #969 from JohannesPfeifer/documentation
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Improve documentation of nobs, first_obs, presample, and mode_check
2015-07-20 14:27:40 +02:00
84f2b50043
Block using presample option with DSGE-VAR
2015-07-08 09:21:50 +02:00
3c9b031bd1
Fix bug in dynare_estimation_init.m if steady state does not solve
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There was no check in dynare_estimation_init.m whether the steady state solved, but the noconstant option was set nevertheless. This gave rise to cases where a steady state file returned 0 for the observables, but the steady state did not exits. Due to later using use_calibration, this problem with the initial values was not detected, but the observation equation featured no constant although it should. The solution is to move the use_calibration option before the first steady state computation and then issue an error if the parameterization does not work
2015-06-08 16:35:50 +02:00
e07607011c
Merge pull request #710 from JohannesPfeifer/estimation_init_analytic_derivation
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Fix bug in dynare_estimation_init.m with analytic_derivation where param...
2015-06-06 23:17:10 +02:00
214dc74723
- Fixed bugs around analytic derivation.
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- Fixed test routine, eliminating diffuse filter.
- Trapped incompatibility of diffuse filter with analytic derivation.
2015-04-01 09:00:51 +02:00
c7153ba2ea
Add initialization of bounds if estim_params is empty
2014-12-08 11:29:15 +01:00
6d12f2141f
Merge pull request #765 from JohannesPfeifer/analytic_derivation_message
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Fix message in dynare_estimation_init.m
2014-11-21 22:10:30 +01:00
68b27252d7
Fix selected_variables_only option with classical forecasts
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dyn_forecast requires that the smoother has been run on all endogenous variables, leading to crashes. Now, if this option is encountered with classical forecasts, it is overridden. Also documents this in the manual.
2014-11-16 21:08:18 +01:00
a159442935
Fix message in dynare_estimation_init.m
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If some parameters are NaN after computing the steady state, the message erroneously said that parameters had been changed. In a check for equality, NaN is not equal to NaN. Thus, NaNs are now taken care of separately.
2014-10-29 09:02:29 +01:00
f48566aeae
Fixed prior bounds (according to the doc in master branch).
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* Second and third positional arguments after the name of the
estimated parameter in the estimated_params block are only
considered in the optimization stage (not in the MCMC)
* Do not store bounds in bayestopt_, because bounds do not always
reflect restrictions implied by prior shapes.
* prior_bounds routine returns a structure (with fields lb and ub)
instead of a matrix.
2014-10-20 16:18:54 +02:00
3e427020d6
Cosmetic changes in headers
2014-09-21 11:51:46 +02:00
Johannes Pfeifer
Stéphane Adjemian (Hermes)
Marco Ratto
Michel Juillard
Johannes Pfeifer