Johannes Pfeifer
4486d098b5
Save dsge_var objects at the mode
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
2cf882fec5
Remove comments on dynare_estimation_1.m after implementing store_smoother_results
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
d08fd37986
Do not set oo_.posterior.optimization-fields when mh_posterior_mode_estimation is used
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
552a9b5230
Fix bugs previously introduces in dynare_estimation_1.m related to penalty function
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
2446ab02ba
Transform persistent variables of newrat.m into function arguments
2016-06-15 00:30:28 +02:00
Johannes Pfeifer
329b91d717
Harmonize output of objective functions
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Closes #1149
Mirrors 1ad8df4635
2016-06-15 00:30:28 +02:00
Houtan Bastani
b454c28096
fix latex compilation on linux. #1207
2016-06-14 11:37:16 +02:00
Stéphane Adjemian (Charybdis)
67b808207c
Added new algorithm for the estimation of nonlinear models.
2016-06-01 16:29:53 +02:00
Johannes Pfeifer
2baf88da47
Remove adaptive_metropolis_hastings
2016-05-19 23:16:29 +02:00
Johannes Pfeifer
86fcde0879
Cosmetic changes to dynare_estimation_1.m and store_smoother_results.m
2016-05-19 14:37:05 +02:00
Marco Ratto
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
Marco Ratto
8bd963de64
Fill in posterior_mode with info from posterior samples.
2016-05-19 14:34:09 +02:00
Marco Ratto
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
Marco Ratto
951dfe8ff4
When mh_posterior_mode_estimation, trap cases where the prior mode is at the boundary.
2016-05-19 14:34:09 +02:00
Marco Ratto
a3ab6de6c8
Added function to compute of inefficiency factors, used in McMCDiagnostics.m
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Requires missing autocorr (available in some MATLAB toolboxes).
Requires factor out CutSample in dynare_estimation_1.m
2016-05-19 14:34:09 +02:00
Houtan Bastani
25121bca4f
fix copyright dates
2016-05-04 16:05:31 +02:00
Johannes Pfeifer
6ad876cc18
Rename write_smoother_results to store_smoother_results.m to avoid confusion about its purpose
2016-04-12 11:37:12 +02:00
Johannes Pfeifer
6f8ca74490
Factorize saving of smoother results
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Also takes care of prefilter and loglinear option for calib_smoother
Closes #803 and #804
2016-03-23 10:31:11 +01:00
Johannes Pfeifer
fb20b464d4
Remove bayestopt_.mean_varobs and use dataset_info instead
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Closes #255
2016-03-23 10:31:09 +01:00
Johannes Pfeifer
dcf0d75d55
Add output of trend to DsgeSmoother.m and use it to reconstruct smoothed and filtered values
2016-03-23 10:19:41 +01:00
Johannes Pfeifer
1c816aef24
Various interrelated bugfixes dealing with detrending
2016-03-23 10:19:40 +01:00
Stéphane Adjemian (Charybdis)
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
Stéphane Adjemian (Charybdis)
5fb1b1cc23
Added Weibull prior.
2015-12-04 14:50:44 +01:00
Michel Juillard
c373d1e1be
adding new option 'fast_kalman_filter' implementing Ed Herbst 2012 approach
2015-11-28 17:38:00 +01:00
Michel Juillard
105100c7fe
remove global in dyn_forecast() and change input and output arguments
2015-11-28 17:38:00 +01:00
Johannes Pfeifer
ca5c714e29
Replace global variables in CutSample.m and metropolis_draw.m by function arguments
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Makes them usable outside of their current environment
2015-07-28 15:36:59 +02:00
Johannes Pfeifer
84e04522bf
Account for options_.nk potentially being empty.
2015-07-21 10:41:47 +02:00
MichelJuillard
80253835a7
Merge pull request #738 from JohannesPfeifer/Kalman
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Kalman
2015-07-20 15:02:40 +02:00
MichelJuillard
f94910173d
Merge pull request #937 from JohannesPfeifer/graph_fix
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Various fixes related to graphs and eps-TeX-loaders
2015-07-20 14:36:20 +02:00
MichelJuillard
c15e8f65c7
Merge pull request #769 from JohannesPfeifer/filtered_vars_ML
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Do not create classical filtered variables at posterior mean if Bayesian...
2015-07-20 14:21:30 +02:00
Johannes Pfeifer
b0bbab68f3
Add likelihood value to mode-file
2015-07-20 13:06:22 +02:00
Johannes Pfeifer
bcc1008d3d
Only create eps-loaders if eps-figures have been created (leaves table TeX-output unaffected)
2015-06-08 17:57:15 +02:00
Johannes Pfeifer
be567c92a3
Fix description of generating function in eps-loader in dynare_estimation_1.m
2015-06-08 17:57:15 +02:00
Johannes Pfeifer
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
Frédéric Karamé
df67efcb7c
add an exception for the use of gaussian filters and gradient-based estimation methods
2015-05-27 14:37:50 +02:00
Johannes Pfeifer
39ed3eb3f0
Fix bugs related to allowing mode_compute to be a string
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Crashes otherwise
2015-04-06 11:24:42 +02:00
Marco Ratto
c881cfff17
Fixed issues related to newratflag.
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This options relates to alternative numerical hessian computations:
optim=('Hessian',1) is the default dynare numeric Hessian
optim=('Hessian',0) is the outer product gradient
optim=('Hessian',2) is the 'mixed' outer product gradient, where diagonal elements using second order derivation formula,
Both 0 and 2 cases require univariate filters, to ensure using maximum number of individual densities.
2015-03-12 17:24:21 +01:00
Johannes Pfeifer
fe938c902a
Fixed another bug related to options_.optim_opt being now initialized as an empty array
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Finalizes 392486273e
2015-03-01 13:34:39 +01:00
Stéphane Adjemian (Charybdis)
0bb413e8fa
Merge branch 'experimental-optimizers'
2015-02-24 20:44:39 +01:00
Stéphane Adjemian (Charybdis)
0ffb9dd6e2
Changed order of the input arguments in dynare_mimimize_objective.
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It is more standard to have the name of the routine (defining the
objective to be minimized) as a first argument.
2015-02-23 14:35:41 +01:00
Stéphane Adjemian (Charybdis)
5865d46a74
Fixed bug. Wrong number of returned arguments when calling
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dynare_minimize_objective (missing options_).
2015-02-21 18:14:15 +01:00
Houtan Bastani
f72910ae33
fix preprocessor implimentation of filter_algorithm option to estimation. closes #843
2015-02-09 03:20:37 +01:00
Johannes Pfeifer
dc7cfd3f0d
Adjust smoother to data now being a column vector
2014-12-08 11:28:46 +01:00
Johannes Pfeifer
dd6f8c182c
Move call to optimizers in mode-computing to separate file to allow other function to access all integrated optimizers
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- also moves several options to subfields of options structure
- allows setting options of newrat
- requires newrat to have compatible kalman_algo specified in order for it to not change options_
- explicitly disallows using analytical derivation with numerical gradient (before the numerical gradient request was overwritten)
- always outputs hessian returned by optimizer (empty matrix if not computed) and deletes subsequent overwriting if cova_compute=0
2014-12-04 19:36:12 +01:00
MichelJuillard
8e9cd95a89
Merge pull request #760 from JohannesPfeifer/fix_smoother
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Fix bug when calling non-Bayesian smoother after Bayesian estimation
2014-11-20 10:27:15 +01:00
Johannes Pfeifer
86cac40362
Harmonize field length for FilteredVariables for calibrated smoother
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Analogous to 4f5e0321228c0e4aca19fcd114f26dbaa1bbbfaf
2014-11-16 21:11:06 +01:00
Johannes Pfeifer
4b1e815728
Always display value of posterior/likelihood at the mode
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Also clarifies that minus the posterior/likelihood is displayed
2014-11-16 21:11:06 +01:00
Johannes Pfeifer
1cbb17f929
Make sure classical filtered variables have the same length as the Bayesian ones, i.e. nobs.
2014-11-16 21:08:18 +01:00
Johannes Pfeifer
7c59edead2
Make simplex_optimization_routine.m usable outside of estimation
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Removes hard-coded parameter names extracted from bayestopt_ by handing them over explicitly
2014-11-10 19:53:55 +01:00
Johannes Pfeifer
8443eb58cd
Do not create classical filtered variables at posterior mean if Bayesian filtered variables were requested
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The check for running the smoother on the model at the posterior mean is only based on whether the smoother option was set. But filtered_vars is a separate option. If not also checking whether Bayesian filtered variables have already been requested, oo_.FilteredVariables will contain both "ML" and Bayesian fields, which is confusing. The change only saves the filtered variables from the classical smoother if the user did not use Bayesian estimation.
2014-10-29 19:07:49 +01:00