Stéphane Adjemian (Charybdis)
5ce20179bd
Added specialized code for the inversion of backward models.
2017-05-02 23:04:44 +02:00
Stéphane Adjemian
f6bb392165
Merge pull request #1445 from JohannesPfeifer/ramsey_message
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Ramsey: provide informative error messages related to steady state
2017-05-02 22:56:26 +02:00
Johannes Pfeifer
37bffddef8
Provide correct error code if no steady_state-file is provided and Ramsey fails to find steady state
2017-05-02 13:48:25 +02:00
Johannes Pfeifer
5af9af06b4
Provide informative error message if steady state file is used without specifying an instrument
2017-05-01 18:59:11 +02:00
Stéphane Adjemian (Charybdis)
e1c983cc7b
Fixed bug (ensure that we concatenate column vectors).
2017-04-29 19:20:02 +02:00
Johannes Pfeifer
b52c095a6b
Add legacy function for loading mat-files with old interface
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Follows approach of #758 and closes #1364
2017-04-29 18:25:39 +02:00
Stéphane Adjemian
072246c5ab
Merge pull request #1441 from JohannesPfeifer/ksstat
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Remove redundant ksstat option
2017-04-29 18:00:25 +02:00
Johannes Pfeifer
d7b2e271d7
Update documentation on sensitivity
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Closes #789
2017-04-27 12:03:02 +02:00
Johannes Pfeifer
451646ff16
Remove redundant ksstat option
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Closes #1431
2017-04-27 11:08:17 +02:00
Stéphane Adjemian (Charybdis)
c1b6a58eb7
Manually revert 05fc096569
.
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Robust prediction error covariance matrix computation is now optional (with
rescale_prediction_error_covariance option).
Closes #1437 .
2017-04-27 10:44:27 +02:00
Stéphane Adjemian (Charybdis)
d6e1d0baa5
Added option rescale_prediction_error_covariance.
2017-04-26 18:22:03 +02:00
Stéphane Adjemian (Charybdis)
e21387c874
Bump Octave version.
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Octave 4.2.1 32bit or 64bit is now required (should work with 4.2.0 but not
tested anymore, so users should upgrade).
2017-04-26 15:51:24 +02:00
Stéphane Adjemian (Charybdis)
650a3f6da2
Point to mex/octave32 if OCtave 32bit is used on Windows platform.
2017-04-26 15:10:40 +02:00
Johannes Pfeifer
6ca415ce14
stochastic_solvers.m: Suppress redundant warning if order was already set to 1
2017-04-25 20:16:10 +02:00
Houtan Bastani
7829a25238
make stoch_simul solve linear model using order=1, even when order=2,3 specified. Also makes stoch_simul more efficient. closes #1336
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(cherry picked from commit e29be9676dd40388919819af2d366b8308763ccc)
2017-04-22 16:26:13 +02:00
Stéphane Adjemian (Charybdis)
767e45db95
Shut off warning about short circuit operators (when calling qzdiv).
2017-04-22 14:44:47 +02:00
Stéphane Adjemian (Charybdis)
ad21612967
Removed Octave specific part in mjdgges.m function.
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Also force complex QZ factorization in Octave.
2017-04-22 14:44:47 +02:00
Johannes Pfeifer
fa1563370c
Make resol.m honor nocheck flag
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Before, we never tested for correctness, allowing for wrong steady state files in the check command. Fixes bug introduced in 616efb53a448cfa59149951395838627fd1bf719 and restores behavior in 4.4.3
2017-04-21 10:10:03 +02:00
Stéphane Adjemian
7f4c1c6529
Merge pull request #1435 from JohannesPfeifer/cmaes_fitness
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mode_compute=9: Make sure initial search volume (SIGMA) is not badly …
2017-04-20 16:33:37 +02:00
Stéphane Adjemian (Charybdis)
7376498e51
Fixed branch for dseries submodule.
2017-04-20 16:28:39 +02:00
Johannes Pfeifer
52a082a1f9
Add check for positive definiteness of Sigma_u^star
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Otherwise, complex likelihoods may occur
2017-04-20 16:18:03 +02:00
Stéphane Adjemian (Charybdis)
d0682bca30
Updated dseries submodule.
2017-04-20 15:36:06 +02:00
Johannes Pfeifer
f1123200e5
mode_compute=9: Make sure initial search volume (SIGMA) is not badly conditioned
2017-04-12 13:39:34 +02:00
Stéphane Adjemian (Charybdis)
97ac502d3d
Fixed wrong threshold (unit root detection again).
2017-04-05 14:14:56 +02:00
Stéphane Adjemian (Charybdis)
288f010944
Fixed bug (detection of unit roots).
2017-04-05 14:11:23 +02:00
Stéphane Adjemian (Charybdis)
f57fc0a5a3
Added new routine for model inversion.
2017-04-05 13:42:03 +02:00
Stéphane Adjemian (Charybdis)
8a18e87d98
Removed persistent variables in evaluate_smoother routine.
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Closes #1412 .
2017-04-05 11:44:27 +02:00
Johannes Pfeifer
00299a92c1
Make sure options_.first_obs is properly set
2017-04-05 11:44:27 +02:00
Stéphane Adjemian (Charybdis)
4dcdb81a31
Changed error message introduced in 30c9b3721564d89d1b85abcdc75d493075e6ca77.
2017-04-03 11:25:05 +02:00
Stéphane Adjemian (Charybdis)
ade89a9ec1
Fixed missing initialization of qz_criterium with nonlinear filters.
2017-04-03 11:25:05 +02:00
Johannes Pfeifer
76c4bd04fe
Provide informative error message if non-stationary model is estimated using particle filter
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Closes #1377
(cherry picked from commit efaa7e54136ffd48fb69e075ecacf9708a553d3b)
2017-04-03 11:25:05 +02:00
Stéphane Adjemian (Charybdis)
f9a462bf07
Added option nonlinear_filter_initialization.
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Default value is 1 (initialization with the ergodic variance of the reduced
form solution of the model approximated at order one).
If the model has unit roots, the user must use `nonlinear_filter_initialization=3`,
which select an identity matrix for the initial covariance matrix of the state variables.
A side effect of this option is to temporarily change the value of options_.qz_criterium to
a value above one (ie 1+1e-6) so that the unit roots are not rejected. If the
model has unit roots and if the and if the option
nonlinear_filter_initialization has a value less than 3, the evaluation of the
likelihood will fail, because by default the unit root is counted as an
unstable root.
2017-04-03 11:25:05 +02:00
Stéphane Adjemian (Charybdis)
97e185bc6e
Cosmetic changes in doc header.
2017-04-03 11:25:05 +02:00
Houtan Bastani
f18c16653e
Merge pull request #1428 from JohannesPfeifer/patch-1
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Test the rank of Pinf in univariate smoother for the subset of observables
2017-04-01 09:57:32 +02:00
Johannes Pfeifer
1755192e63
Make 792924 consistent with cases where Pinf is an empty matrix
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Fixes the crash in `analytic_derivatives/fs2000_analytic_derivation.mod`
2017-03-31 17:41:38 +02:00
Houtan Bastani
ac851b0bac
preprocessor: initial_condition_decomposition front end. closes #1425
2017-03-31 13:19:04 +02:00
Houtan Bastani
3e779ebfee
initial_condition_decomposition: fix options_ substructure
2017-03-31 13:09:21 +02:00
Marco Ratto
792924a3b7
- test the rank of Pinf in univariate smoother for the subset of observables, in order to trap cases where this is not already trapped in compute_Pinf_Pstar.m
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- issue warning when diffuse steps never end [maybe we should issue an error?]
2017-03-30 11:21:54 +02:00
Johannes Pfeifer
bf607ce630
Make sure no stale _posterior_draws.mat files are present
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May crash compute_moments_varendo.m due to more files being present than generated in the current run
2017-03-29 14:52:32 +02:00
Johannes Pfeifer
839e7075f6
dsge_simulated_theoretical_covariance.m: fix bug that led to last _2ndOrderMoments*.mat file not being saved, instead overwriting the prior one
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Produced wrong posterior covariance estimates in large models, because the moments matrix contained zeros that were not overwritten by loaded draws due to missing file
2017-03-29 14:52:32 +02:00
Houtan Bastani
37dd5fd077
Merge pull request #1422 from JohannesPfeifer/real_time_shock
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realtime_shock_decomposition.m: Delete variable that produced unwante…
2017-03-27 11:37:16 +02:00
Houtan Bastani
2240b06487
fix typo
2017-03-27 11:20:34 +02:00
Marco Ratto
e24b1ea76e
fixes in preamble and plot_shock_decomp structure of options.
2017-03-27 08:29:52 +02:00
Johannes Pfeifer
4380b4a973
realtime_shock_decomposition.m: Delete variable that produced unwanted output
2017-03-25 12:21:47 +01:00
Marco Ratto
bab401ebbc
utility to decompose initial condition effect
2017-03-25 08:16:33 +01:00
Houtan Bastani
7315b5ae73
fix bug in merge commit e103462050
2017-03-24 18:11:45 +01:00
Houtan Bastani
b3fa669717
bug fix introduced in 234aaacf92
2017-03-24 17:13:03 +01:00
Houtan Bastani
ae921f6bf1
Merge remote-tracking branch 'rattoma/shock_decomp'
2017-03-24 16:20:47 +01:00
Houtan Bastani
b5262ca1e8
Merge remote-tracking branch 'rattoma/deterministic'
2017-03-24 16:20:01 +01:00
Houtan Bastani
e103462050
Merge remote-tracking branch 'rattoma/gsa'
2017-03-24 16:19:44 +01:00