d969a8129c
Trap the case where only one parameter is estimated and only one non-constant row is available in Jacobian: (1) do not use vnorm; (2) do not use advanced option.
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(cherry picked from commit d9856879ea4d9a7d9e954cc9392d1f0e98634cda)
2013-12-06 08:21:10 +01:00
907e087ea9
Consider options_.varobs as a cell of strings.
2013-09-07 16:39:04 +02:00
61485ab809
Fix copyright notices
2013-06-12 17:04:46 +02:00
22e0b9cc3d
1) fixed bugs when no estimated parameters are declared;
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2) fixed bug for the ML base (bayestopt_.pshape==0);
3) make more transparent the error when the model does not solve at prior_mode or prior_mean;
4) when prior_mean or prior_mode fail, try 50 times with randomly generated samples from the prior before interrupting identification.
This commit fixes issues related to fabiac forum request and subsequent discussion with Johannes.
http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=4402&p=10771&hilit=identification&sid=64c6f9d987a2641e79dd5722137eb483#p10771
2013-03-19 16:56:10 +01:00
3b29e69e40
Prevent spectral density plots being triggered in identification
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If options_.SpectralDensity.trigger is specified, identification would
otherwise plot graphs in every MC step
2013-03-17 15:30:49 +01:00
0ab2c28fd5
-) fixed bugs when there is only one parameter estimated or when simulated moments uncertainty provides zero diagonal terms in the covariance matrix of model matrices;
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-) fixed bug in computing numerical derivatives of the LRE matrices in getJJ;
2012-12-05 09:46:12 +01:00
ed4d37341c
Fix problem with models where steadystate files change parameter values.
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1) allow to compute derivatives starting from NUMERICAL derivatives of jacobian and steady state: this has a minor cost in accuracy and allow apply without errors identification and estimation with numerical derivatives;
2) added trap in dynare_estimation_init: if steadystate changes param values, automaticly shifts to numerical derivs of jacoban and steady state + analytic derivatives of all the rest;
3) bug fixes for 2nd order derivatives w.r.t. model parameters;
2012-07-05 10:14:10 +02:00
bd9af2fa5a
Fixed bug reported by Rob Luginbuhl in dynare forum
2012-06-29 00:50:54 +02:00
129553579a
Merge remote-tracking branch 'ratto/master'
2012-06-08 18:24:18 +02:00
1f9cea669a
Update copyright notices
2012-06-08 18:22:34 +02:00
69d015a777
Asymptotic Hessian now works also for univariate stationary KF.
2012-06-08 15:26:14 +02:00
2fecf9946b
1) Extended optimizer = 5 for analytic derivatives;
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2) Start adapting identification routines to allow computation of analytic asymptotic Hessian with KF routines
2012-06-08 14:23:18 +02:00
0da05ae29d
Removed globals from set_all_parameters routine.
2012-06-07 15:13:39 +02:00
da9ec0f187
Estimation with analytic scores and hessian;
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This includes re-setting the list of output arguments in objective functions
Added test function
2012-04-29 21:18:33 +02:00
fe6aa88c27
1) check if AHess is positive semi-definite;
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2) fix memory issues related to chh
3) fix issue for the rare case of empty indok (octave)
2012-04-04 10:36:32 +02:00
ecac871435
Changed the name of DsgeLikelihood (-> dsge_likelihood).
2011-12-26 17:46:48 +01:00
c6a9650d20
Adapt identification routines after new dynare estimation commits.
2011-09-28 20:48:47 +02:00
013c599ec9
Removed globals from dynare_resolve. Removed unused first input argument. Adapted routines calling dynare_resolve.
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Added texinfo header to dynare_resolve.
2011-09-19 16:41:53 +02:00
e3485e8929
Changes around normalizing Jacobians:
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-) never use normalization for SVD and brute force covariance checks;
-) Jacobians are normalized for checking the rank condition: this should allow for more uniformity in results across models.
2011-09-01 11:18:24 +02:00
d83c5326f6
check that theoretical moments are independent when evaluating simulated moments uncertainty
2011-06-24 10:58:04 +02:00
756594fdc4
changed default ar=1 and perform automatic increase of ar if this is not sufficient
2011-06-15 23:47:27 +02:00
e5c3decbc1
trap for too many parameters to be estimated w.r.t. affected moments.
2011-06-06 16:36:39 +02:00
2c977073d2
Bug fix: thanks to Johannes Pfeifer
2011-06-06 15:21:59 +02:00
58dc9557d9
Fixes around point-estimate of sensitivity and identification strength
2011-05-30 14:36:48 +02:00
a45533caca
Added SVD for J matrix as output identification info.
2011-05-10 10:11:25 +02:00
cbfc017356
unix end of lines for new functions!
2011-05-02 11:32:26 +02:00
180a3bad9c
New wrapper for identification analysis, given the parameter set provides results.
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Allows more flexible coding and checks for particular parameter sets.
2011-05-02 11:03:18 +02:00
Marco Ratto
Stéphane Adjemian (Charybdis)
Sébastien Villemot
Johannes Pfeifer
Sébastien Villemot